fix(backtest): quote one book, not two

The recommendation's "Book vs SPY" line read from portfolio_sim — the hold/target
policy book — while the tiles directly above read from portfolio_monitor, the
production ATR-trail book. Same SPY figure, different portfolio return, on one
screen. It now reads the same production row the tiles do.

Also removed, for the same reason: the "legacy exit diagnostic" comparing hold
against the S/R target. Both are exits the production book replaced, so a
recommendation between them could not lead to an action. And the fallback
headline, which advised the fixed-hold exit whenever a report had no production
row — a report that cannot describe the production baseline now states none.

portfolio_sim stays in the report payload: scripts/run_backtest_snapshot.py and
reports/compare_reports.py read it, and it is no longer surfaced in the UI. The
test fixture now carries a production monitor whose numbers differ from its
policy sim, so re-sourcing that line from the old place fails rather than passes
unnoticed.

Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>

app/services/backtest_service.py

@@ -3946,38 +3946,12 @@ def _build_recommendation(report: dict) -> dict:
     q = report.get("overall_qualified") or {}
     target_net = q.get("net_avg_r")
 
-    # Legacy diagnostic: target/stop race vs the best fixed hold.
+    # The best fixed hold, kept ONLY to pick the basis for the robustness check
+    # below. The hold-vs-target comparison itself is deliberately not reported:
+    # both are legacy exits the production book replaced with the ATR trail, so
+    # a recommendation between them could not lead to an action.
     time_rows = [r for r in report.get("time_exit_sweep") or [] if r.get("net_avg_r") is not None]
     best_hold = max(time_rows, key=lambda r: r["net_avg_r"], default=None)
-    sim_rows = {
-        p.get("policy"): p
-        for p in (report.get("portfolio_sim") or {}).get("policies", [])
-    }
-    hold_sim = sim_rows.get("hold")
-    if best_hold is not None and target_net is not None:
-        if best_hold["net_avg_r"] > target_net + _EXIT_SWITCH_THRESHOLD:
-            text = (
-                f"Legacy exit diagnostic: hold {best_hold['hold_days']} trading days with the initial stop "
-                f"({best_hold['net_avg_r']:+.2f}R net/trade vs {target_net:+.2f}R for the S/R target exit)."
-            )
-            target_sim = sim_rows.get("target")
-            if (
-                hold_sim is not None and target_sim is not None
-                and hold_sim.get("cagr_pct") is not None and target_sim.get("cagr_pct") is not None
-            ):
-                text += (
-                    f" The simulated book agrees: {hold_sim['cagr_pct']:+.1f}% vs "
-                    f"{target_sim['cagr_pct']:+.1f}% CAGR at similar drawdown."
-                )
-            items.append({"topic": "exit", "text": text})
-        else:
-            items.append({
-                "topic": "exit",
-                "text": (
-                    f"Legacy exit diagnostic: keep the S/R target exit ({target_net:+.2f}R net/trade) — "
-                    "no fixed hold beats it by a meaningful margin."
-                ),
-            })
 
     # Gate floors, judged under the hold exit (the ablation's Hold column).
     ablation = {r["variant"]: r for r in report.get("gate_ablation") or []}
@@ -4025,17 +3999,20 @@ def _build_recommendation(report: dict) -> dict:
             ),
         })
 
-    # Book vs benchmark.
+    # Book vs benchmark — read from the SAME production monitor row the page
-    book = hold_sim or sim_rows.get("target")
+    # shows in its tiles. It used to read the hold/target policy sim, so the
-    if book is not None and book.get("spy_return_pct") is not None:
+    # recommendation quoted a different portfolio return than the tile directly
-        edge = book["total_return_pct"] - book["spy_return_pct"]
+    # above it, against an identical SPY figure. Those policies are legacy
+    # diagnostics; the production book is the ATR trail.
+    if production_row is not None and production_row.get("spy_return_pct") is not None:
+        edge = production_row["total_return_pct"] - production_row["spy_return_pct"]
         verdict = "beats" if edge > 0 else "LAGS"
         items.append({
             "topic": "benchmark",
             "text": (
                 f"Book vs SPY: {verdict} buy-and-hold by {edge:+.1f} points "
-                f"({book['total_return_pct']:+.1f}% vs {book['spy_return_pct']:+.1f}%), "
+                f"({production_row['total_return_pct']:+.1f}% vs "
-                f"max drawdown −{book['max_drawdown_pct']:.1f}%."
+                f"{production_row['spy_return_pct']:+.1f}%)."
             ),
         })
 
@@ -4072,16 +4049,10 @@ def _build_recommendation(report: dict) -> dict:
                 ),
             })
 
-    if headline is None and hold_recommended:
+    # No fallback headline. It used to recommend the fixed-hold exit whenever the
-        cagr_note = (
+    # portfolio monitor was missing, which meant a report without a production
-            f" (~{hold_sim['cagr_pct']:.0f}% CAGR simulated)"
+    # row advised an exit the production book had already replaced. A report that
-            if hold_sim is not None and hold_sim.get("cagr_pct") is not None
+    # cannot describe the production baseline states no baseline.
-            else ""
-        )
-        headline = (
-            f"Trade the qualified list long-only; hold {best_hold['hold_days']} trading days "
-            f"with the initial ATR stop{cagr_note}."
-        )
 
     return {
         "headline": headline,

tests/unit/test_backtest_service.py

@@ -1272,20 +1272,36 @@ def test_build_recommendation_reads_the_report():
             {"min_momentum_percentile": 60.0, "net_avg_r": 0.05, "total": 300},
             {"min_momentum_percentile": 0.0, "net_avg_r": -0.12, "total": 1000},
         ],
+        # Legacy policy book. Its numbers are deliberately DIFFERENT from the
+        # production monitor's below, so sourcing the benchmark line from here
+        # again would fail the assertion rather than pass unnoticed.
         "portfolio_sim": {"policies": [
             {"policy": "target", "cagr_pct": 23.7, "total_return_pct": 134.8,
              "spy_return_pct": 95.9, "max_drawdown_pct": 20.7},
             {"policy": "hold", "cagr_pct": 31.9, "total_return_pct": 203.6,
              "spy_return_pct": 95.9, "max_drawdown_pct": 21.2},
         ]},
+        "portfolio_monitor": {
+            "production_strategy": "prod",
+            "runs": [{
+                "strategy": "prod", "lookback": "all", "lookback_label": "All history",
+                "cagr_pct": 40.0, "sharpe": 1.72, "max_drawdown_pct": 17.7,
+                "total_return_pct": 297.8, "spy_return_pct": 101.9,
+            }],
+        },
     }
     rec = bt._build_recommendation(report)
     by_topic: dict[str, list[str]] = {}
     for item in rec["items"]:
         by_topic.setdefault(item["topic"], []).append(item["text"])
 
-    assert rec["headline"] is not None and "hold 30" in rec["headline"]
+    assert rec["headline"] is not None and "Production baseline" in rec["headline"]
-    assert any("hold 30 trading days" in t for t in by_topic["exit"])
+    # The hold-vs-target comparison is gone: both are exits the production book
+    # replaced, so a recommendation between them cannot lead to an action.
+    assert "exit" not in by_topic
+    # Benchmark must quote the SAME row the page's tiles show, not the policy sim.
+    assert "+297.8%" in by_topic["benchmark"][0]
+    assert "203.6" not in by_topic["benchmark"][0]
     gate_texts = " | ".join(by_topic["gate"])
     assert "confidence floor adds nothing" in gate_texts
     assert "keep the R:R floor" in gate_texts
@@ -1810,3 +1826,24 @@ class TestPortfolioQualityMetrics:
         for key in ("sortino", "gain_to_pain", "profit_factor"):
             assert key in sim
         assert sim["sortino"] is None
+
+def test_build_recommendation_states_no_baseline_without_a_production_row():
+    """A report with no portfolio monitor cannot describe the production book.
+    It used to fall back to recommending the fixed-hold exit — advice for a model
+    the production book had already replaced."""
+    report = {
+        "overall_qualified": {"net_avg_r": 0.13, "net_avg_r_ex_top5": 0.05},
+        "time_exit_sweep": [{"hold_days": 30, "net_avg_r": 0.50, "net_avg_r_ex_top5": 0.21}],
+        "portfolio_sim": {"policies": [
+            {"policy": "hold", "cagr_pct": 31.9, "total_return_pct": 203.6,
+             "spy_return_pct": 95.9, "max_drawdown_pct": 21.2},
+        ]},
+    }
+    rec = bt._build_recommendation(report)
+    topics = {item["topic"] for item in rec["items"]}
+
+    assert rec["headline"] is None
+    # Nothing may be sourced from the legacy policy book.
+    assert "benchmark" not in topics
+    assert "exit" not in topics
+