feat: net-of-cost backtest, gate ablation + time-exit sweeps, longer tails

Phase 1 of the strategy-measurement plan — report-only, no production trading behavior changes: - Cost haircut: every bucket/sweep now reports net_avg_r/net_total_r alongside gross (COST_PER_SIDE=0.1% of notional, converted to R via each setup's stop distance); params carry cost_per_side_pct. - Gate ablation table: re-qualifies candidates at the current momentum cutoff with one floor removed per row (confidence / R:R / NEUTRAL / momentum-only) to show which floors earn their keep. - Time-based exit sweep: hold 5/10/21/30 days with the initial ATR stop, exit at the day-N close — the classic momentum implementation, to disambiguate the wide-trailing result. - TP sweep extended to +40/+50%, trailing to 25/30% so the optima are interior instead of starred at the sweep edge. - BacktestPanel: Net Avg R columns everywhere, gate-ablation and time-exit tables, stars now mark best net avg R; stale cached reports still render (all new fields optional/guarded). Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
2026-07-02 07:50:37 +02:00
parent 84ce7c5c26
commit 29b1a9a28c
5 changed files with 505 additions and 24 deletions
@@ -32,6 +32,20 @@ const SIGNAL_LABELS: Record<string, string> = {
  vol_6m: '6-month realized volatility',
 };

+const ABLATION_LABELS: Record<string, string> = {
+  all_floors: 'All floors (current gate)',
+  no_confidence_floor: 'Without confidence floor',
+  no_rr_floor: 'Without R:R floor',
+  no_neutral_exclusion: 'Without NEUTRAL exclusion',
+  momentum_only: 'Momentum only (no floors)',
+};
+
+// Prefer the net-of-costs number when the report carries it; older cached
+// reports (pre-cost model) fall back to gross.
+function netOrGross(r: { avg_r: number | null; net_avg_r?: number | null }): number | null {
+  return r.net_avg_r ?? r.avg_r;
+}
+
 // An |IC| this large, with a consistent sign, is a real (if small) edge worth
 // building on; below it, ranking on the signal sorts essentially nothing.
 const IC_EDGE_THRESHOLD = 0.03;
@@ -76,6 +90,7 @@ function BucketRow({ label, b }: { label: string; b: BacktestBucket }) {
      <td className="num px-4 py-2.5 text-right text-gray-400">{b.expired}</td>
      <td className="num px-4 py-2.5 text-right text-gray-200">{fmtPct(b.hit_rate)}</td>
      <td className={`num px-4 py-2.5 text-right ${rColor(b.avg_r)}`}>{fmtR(b.avg_r)}</td>
+      <td className={`num px-4 py-2.5 text-right ${rColor(b.net_avg_r ?? null)}`}>{fmtR(b.net_avg_r ?? null)}</td>
    </tr>
  );
 }
@@ -87,11 +102,15 @@ export function BacktestPanel() {

  const bestTpAvgR =
    report?.take_profit_sweep && report.take_profit_sweep.length > 0
-      ? Math.max(...report.take_profit_sweep.map((r) => r.avg_r ?? -Infinity))
+      ? Math.max(...report.take_profit_sweep.map((r) => netOrGross(r) ?? -Infinity))
      : null;
  const bestTrailAvgR =
    report?.trailing_sweep && report.trailing_sweep.length > 0
-      ? Math.max(...report.trailing_sweep.map((r) => r.avg_r ?? -Infinity))
+      ? Math.max(...report.trailing_sweep.map((r) => netOrGross(r) ?? -Infinity))
+      : null;
+  const bestTimeAvgR =
+    report?.time_exit_sweep && report.time_exit_sweep.length > 0
+      ? Math.max(...report.time_exit_sweep.map((r) => netOrGross(r) ?? -Infinity))
      : null;

  const run = useMutation({
@@ -140,6 +159,9 @@ export function BacktestPanel() {
            <p className="text-[11px] text-gray-500">
              Ran {timeAgo(report.generated_at)} · {report.tickers} tickers · {report.candidates} setups
              ({report.qualified} qualified) · weekly cadence, {report.params.horizon_days}-day horizon
+              {report.params.cost_per_side_pct != null && (
+                <> · net assumes {report.params.cost_per_side_pct}%/side costs</>
+              )}
            </p>

            <div className="grid gap-3 sm:grid-cols-2 lg:grid-cols-4">
@@ -179,6 +201,7 @@ export function BacktestPanel() {
                    <th className="px-4 py-2.5 text-right">Expired</th>
                    <th className="px-4 py-2.5 text-right">Hit Rate</th>
                    <th className="px-4 py-2.5 text-right">Avg R</th>
+                    <th className="px-4 py-2.5 text-right">Net Avg R</th>
                  </tr>
                </thead>
                <tbody>
@@ -214,6 +237,7 @@ export function BacktestPanel() {
                        <th className="px-4 py-2.5 text-right">Losses</th>
                        <th className="px-4 py-2.5 text-right">Hit Rate</th>
                        <th className="px-4 py-2.5 text-right">Avg R</th>
+                        <th className="px-4 py-2.5 text-right">Net Avg R</th>
                        <th className="px-4 py-2.5 text-right">Total R</th>
                      </tr>
                    </thead>
@@ -231,6 +255,7 @@ export function BacktestPanel() {
                            <td className="num px-4 py-2.5 text-right text-red-400">{row.losses}</td>
                            <td className="num px-4 py-2.5 text-right text-gray-200">{fmtPct(row.hit_rate)}</td>
                            <td className={`num px-4 py-2.5 text-right font-semibold ${rColor(row.avg_r)}`}>{fmtR(row.avg_r)}</td>
+                            <td className={`num px-4 py-2.5 text-right ${rColor(row.net_avg_r ?? null)}`}>{fmtR(row.net_avg_r ?? null)}</td>
                            <td className={`num px-4 py-2.5 text-right ${rColor(row.total_r)}`}>{fmtR(row.total_r)}</td>
                          </tr>
                        );
@@ -241,6 +266,51 @@ export function BacktestPanel() {
              </div>
            )}

+            {report.gate_ablation && report.gate_ablation.length > 0 && (
+              <div>
+                <p className="mb-2 text-xs font-medium uppercase tracking-widest text-gray-500">
+                  Gate ablation — which floors earn their keep
+                </p>
+                <p className="mb-2 text-[11px] text-gray-500">
+                  {report.gate_ablation_note ??
+                    'Each row re-qualifies the same candidates at the current momentum cutoff with one floor removed (long-only throughout).'}
+                </p>
+                <div className="glass overflow-x-auto">
+                  <table className="w-full text-sm">
+                    <thead>
+                      <tr className="border-b border-white/[0.06] text-left text-xs uppercase tracking-wider text-gray-500">
+                        <th className="px-4 py-2.5">Variant</th>
+                        <th className="px-4 py-2.5 text-right">Setups</th>
+                        <th className="px-4 py-2.5 text-right">Hit Rate</th>
+                        <th className="px-4 py-2.5 text-right">Avg R</th>
+                        <th className="px-4 py-2.5 text-right">Net Avg R</th>
+                        <th className="px-4 py-2.5 text-right">Total R</th>
+                      </tr>
+                    </thead>
+                    <tbody>
+                      {report.gate_ablation.map((row) => (
+                        <tr
+                          key={row.variant}
+                          className={`border-b border-white/[0.04] ${row.variant === 'all_floors' ? 'bg-blue-400/10' : ''}`}
+                        >
+                          <td className="px-4 py-2.5 font-medium text-gray-200">
+                            {ABLATION_LABELS[row.variant] ?? row.variant}
+                          </td>
+                          <td className="num px-4 py-2.5 text-right text-gray-200">{row.total}</td>
+                          <td className="num px-4 py-2.5 text-right text-gray-200">{fmtPct(row.hit_rate)}</td>
+                          <td className={`num px-4 py-2.5 text-right ${rColor(row.avg_r)}`}>{fmtR(row.avg_r)}</td>
+                          <td className={`num px-4 py-2.5 text-right font-semibold ${rColor(row.net_avg_r ?? null)}`}>
+                            {fmtR(row.net_avg_r ?? null)}
+                          </td>
+                          <td className={`num px-4 py-2.5 text-right ${rColor(row.total_r)}`}>{fmtR(row.total_r)}</td>
+                        </tr>
+                      ))}
+                    </tbody>
+                  </table>
+                </div>
+              </div>
+            )}
+
            {report.take_profit_sweep && report.take_profit_sweep.length > 0 && (
              <div>
                <p className="mb-2 text-xs font-medium uppercase tracking-widest text-gray-500">
@@ -253,7 +323,7 @@ export function BacktestPanel() {
                  target model above. <span className="text-gray-300">Hit Rate = how often you'd have banked
                  +X%</span> (how far winners actually run) — no top-ticking, it's the level you'd really set.
                  The setup's own S/R target is <em>not</em> used here (exiting at that target is the model
-                  above); this is a pure fixed-% exit. ★ = best avg R.
+                  above); this is a pure fixed-% exit. ★ = best net avg R.
                </p>
                <div className="glass overflow-x-auto">
                  <table className="w-full text-sm">
@@ -264,12 +334,13 @@ export function BacktestPanel() {
                        <th className="px-4 py-2.5 text-right">Hit (banked)</th>
                        <th className="px-4 py-2.5 text-right">Hit Rate</th>
                        <th className="px-4 py-2.5 text-right">Avg R</th>
+                        <th className="px-4 py-2.5 text-right">Net Avg R</th>
                        <th className="px-4 py-2.5 text-right">Total R</th>
                      </tr>
                    </thead>
                    <tbody>
                      {report.take_profit_sweep.map((row) => {
-                        const best = row.avg_r != null && row.avg_r === bestTpAvgR;
+                        const best = netOrGross(row) != null && netOrGross(row) === bestTpAvgR;
                        return (
                          <tr key={row.tp_pct} className={`border-b border-white/[0.04] ${best ? 'bg-emerald-400/[0.06]' : ''}`}>
                            <td className="num px-4 py-2.5 text-gray-200">
@@ -279,7 +350,8 @@ export function BacktestPanel() {
                            <td className="num px-4 py-2.5 text-right text-gray-200">{row.total}</td>
                            <td className="num px-4 py-2.5 text-right text-emerald-400">{row.wins}</td>
                            <td className="num px-4 py-2.5 text-right text-gray-200">{fmtPct(row.hit_rate)}</td>
-                            <td className={`num px-4 py-2.5 text-right font-semibold ${rColor(row.avg_r)}`}>{fmtR(row.avg_r)}</td>
+                            <td className={`num px-4 py-2.5 text-right ${rColor(row.avg_r)}`}>{fmtR(row.avg_r)}</td>
+                            <td className={`num px-4 py-2.5 text-right font-semibold ${rColor(row.net_avg_r ?? null)}`}>{fmtR(row.net_avg_r ?? null)}</td>
                            <td className={`num px-4 py-2.5 text-right ${rColor(row.total_r)}`}>{fmtR(row.total_r)}</td>
                          </tr>
                        );
@@ -299,7 +371,7 @@ export function BacktestPanel() {
                  Let it run, but exit when price gives back <span className="text-gray-300">X% from its
                  peak</span> (the stop only ratchets up, never below the initial stop). Captures the tail
                  without the fixed take-profit's all-or-nothing miss, and protects gains. In R vs the initial
-                  risk. <span className="text-gray-300">Win Rate = share closed in profit.</span> ★ = best avg R.
+                  risk. <span className="text-gray-300">Win Rate = share closed in profit.</span> ★ = best net avg R.
                </p>
                <div className="glass overflow-x-auto">
                  <table className="w-full text-sm">
@@ -310,12 +382,13 @@ export function BacktestPanel() {
                        <th className="px-4 py-2.5 text-right">Profitable</th>
                        <th className="px-4 py-2.5 text-right">Win Rate</th>
                        <th className="px-4 py-2.5 text-right">Avg R</th>
+                        <th className="px-4 py-2.5 text-right">Net Avg R</th>
                        <th className="px-4 py-2.5 text-right">Total R</th>
                      </tr>
                    </thead>
                    <tbody>
                      {report.trailing_sweep.map((row) => {
-                        const best = row.avg_r != null && row.avg_r === bestTrailAvgR;
+                        const best = netOrGross(row) != null && netOrGross(row) === bestTrailAvgR;
                        return (
                          <tr key={row.trail_pct} className={`border-b border-white/[0.04] ${best ? 'bg-emerald-400/[0.06]' : ''}`}>
                            <td className="num px-4 py-2.5 text-gray-200">
@@ -325,7 +398,56 @@ export function BacktestPanel() {
                            <td className="num px-4 py-2.5 text-right text-gray-200">{row.total}</td>
                            <td className="num px-4 py-2.5 text-right text-emerald-400">{row.wins}</td>
                            <td className="num px-4 py-2.5 text-right text-gray-200">{fmtPct(row.win_rate)}</td>
-                            <td className={`num px-4 py-2.5 text-right font-semibold ${rColor(row.avg_r)}`}>{fmtR(row.avg_r)}</td>
+                            <td className={`num px-4 py-2.5 text-right ${rColor(row.avg_r)}`}>{fmtR(row.avg_r)}</td>
+                            <td className={`num px-4 py-2.5 text-right font-semibold ${rColor(row.net_avg_r ?? null)}`}>{fmtR(row.net_avg_r ?? null)}</td>
+                            <td className={`num px-4 py-2.5 text-right ${rColor(row.total_r)}`}>{fmtR(row.total_r)}</td>
+                          </tr>
+                        );
+                      })}
+                    </tbody>
+                  </table>
+                </div>
+              </div>
+            )}
+
+            {report.time_exit_sweep && report.time_exit_sweep.length > 0 && (
+              <div>
+                <p className="mb-2 text-xs font-medium uppercase tracking-widest text-gray-500">
+                  Time-based exit
+                </p>
+                <p className="mb-2 text-[11px] text-gray-500">
+                  Buy at detection, keep the initial ATR stop, and exit at the{' '}
+                  <span className="text-gray-300">day-N close</span> — no target, no trailing. This is the
+                  classic cross-sectional momentum implementation (hold ~a month, re-rank).{' '}
+                  <span className="text-gray-300">Win Rate = share closed in profit.</span> ★ = best net avg R.
+                </p>
+                <div className="glass overflow-x-auto">
+                  <table className="w-full text-sm">
+                    <thead>
+                      <tr className="border-b border-white/[0.06] text-left text-xs uppercase tracking-wider text-gray-500">
+                        <th className="px-4 py-2.5">Hold</th>
+                        <th className="px-4 py-2.5 text-right">Setups</th>
+                        <th className="px-4 py-2.5 text-right">Profitable</th>
+                        <th className="px-4 py-2.5 text-right">Win Rate</th>
+                        <th className="px-4 py-2.5 text-right">Avg R</th>
+                        <th className="px-4 py-2.5 text-right">Net Avg R</th>
+                        <th className="px-4 py-2.5 text-right">Total R</th>
+                      </tr>
+                    </thead>
+                    <tbody>
+                      {report.time_exit_sweep.map((row) => {
+                        const best = netOrGross(row) != null && netOrGross(row) === bestTimeAvgR;
+                        return (
+                          <tr key={row.hold_days} className={`border-b border-white/[0.04] ${best ? 'bg-emerald-400/[0.06]' : ''}`}>
+                            <td className="num px-4 py-2.5 text-gray-200">
+                              {best && <span className="mr-1 text-emerald-300">★</span>}
+                              {row.hold_days}d
+                            </td>
+                            <td className="num px-4 py-2.5 text-right text-gray-200">{row.total}</td>
+                            <td className="num px-4 py-2.5 text-right text-emerald-400">{row.wins}</td>
+                            <td className="num px-4 py-2.5 text-right text-gray-200">{fmtPct(row.win_rate)}</td>
+                            <td className={`num px-4 py-2.5 text-right ${rColor(row.avg_r)}`}>{fmtR(row.avg_r)}</td>
+                            <td className={`num px-4 py-2.5 text-right font-semibold ${rColor(row.net_avg_r ?? null)}`}>{fmtR(row.net_avg_r ?? null)}</td>
                            <td className={`num px-4 py-2.5 text-right ${rColor(row.total_r)}`}>{fmtR(row.total_r)}</td>
                          </tr>
                        );