Promote production portfolio strategy

app/services/rr_scanner_service.py

@@ -36,7 +36,7 @@ from app.services.recommendation_service import (
 
 logger = logging.getLogger(__name__)
 
-STRATEGY_VERSION = "residual_momentum_12_1_rr_time_v2"
+STRATEGY_VERSION = "residual_highvol_80_20_atr_trail3_v1"
 
 
 async def _get_ticker(db: AsyncSession, symbol: str) -> Ticker:
@@ -288,6 +288,21 @@ async def _create_signal_context_snapshots(
             "composite_score": float(comp.score) if comp else float(setup.composite_score),
             "composite_is_stale": bool(comp.is_stale) if comp else None,
             "composite_computed_at": comp.computed_at if comp else None,
+            "momentum_percentile": (
+                float(setup.momentum_percentile)
+                if setup.momentum_percentile is not None
+                else None
+            ),
+            "volatility_percentile": (
+                float(setup.volatility_percentile)
+                if setup.volatility_percentile is not None
+                else None
+            ),
+            "strategy_rank": (
+                float(setup.strategy_rank)
+                if setup.strategy_rank is not None
+                else None
+            ),
             "dimensions": dims.get(setup.ticker_id, {}),
         }
         sentiment_context = (
@@ -348,12 +363,15 @@ async def scan_ticker(
     rr_threshold: float = 1.5,
     atr_multiplier: float = 1.5,
     momentum_percentile: float | None = None,
+    strategy_rank: float | None = None,
+    volatility_percentile: float | None = None,
 ) -> list[TradeSetup]:
     """Scan a single ticker for trade setups meeting the R:R threshold.
 
     ``momentum_percentile`` is the ticker's residual 12-1 momentum activation
     rank across the universe (computed by the caller), stored on each setup so
-    the activation gate can select the top slice."""
+    the activation gate can select the top slice. ``strategy_rank`` is the
+    production ordering score used for top-pick ranking."""
     ticker = await _get_ticker(db, symbol)
 
     records = await query_ohlcv(db, symbol)
@@ -441,6 +459,8 @@ async def scan_ticker(
                     composite_score=round(composite_score, 4),
                     detected_at=now,
                     momentum_percentile=momentum_percentile,
+                    strategy_rank=strategy_rank,
+                    volatility_percentile=volatility_percentile,
                 ))
 
     if levels_below:
@@ -475,6 +495,8 @@ async def scan_ticker(
                     composite_score=round(composite_score, 4),
                     detected_at=now,
                     momentum_percentile=momentum_percentile,
+                    strategy_rank=strategy_rank,
+                    volatility_percentile=volatility_percentile,
                 ))
 
     available_directions = {s.direction for s in setups}
@@ -525,16 +547,17 @@ async def scan_all_tickers(
     tickers = list(result.scalars().all())
     total = len(tickers)
 
-    # Rank the universe by residual 12-1 momentum up front so each new setup
-    # carries its activation percentile. Best-effort; the ranker falls back to
-    # raw 12-1 momentum only if benchmark data is unavailable.
+    # Rank the universe up front so each new setup carries both the residual
+    # activation gate percentile and the promoted production ordering score.
+    # Best-effort; the ranker falls back to raw 12-1 momentum only if benchmark
+    # data is unavailable.
     try:
         from app.services import momentum_service
 
-        percentiles = await momentum_service.compute_momentum_percentiles(db)
+        ranks = await momentum_service.compute_activation_ranks(db)
     except Exception:
-        logger.exception("Momentum ranking refresh failed")
-        percentiles = {}
+        logger.exception("Activation ranking refresh failed")
+        ranks = {}
 
     all_setups: list[TradeSetup] = []
     for index, ticker in enumerate(tickers):
@@ -555,7 +578,9 @@ async def scan_all_tickers(
 
             setups = await scan_ticker(
                 db, ticker.symbol, rr_threshold, atr_multiplier,
-                momentum_percentile=percentiles.get(ticker.symbol),
+                momentum_percentile=(ranks.get(ticker.symbol) or {}).get("momentum_percentile"),
+                strategy_rank=(ranks.get(ticker.symbol) or {}).get("strategy_rank"),
+                volatility_percentile=(ranks.get(ticker.symbol) or {}).get("volatility_percentile"),
             )
             all_setups.extend(setups)
         except Exception:
@@ -605,6 +630,8 @@ async def get_trade_setups(
     latest_rows = list(latest_by_key.values())
     latest_rows.sort(
         key=lambda row: (
+            row[0].strategy_rank if row[0].strategy_rank is not None else -1.0,
+            row[0].momentum_percentile if row[0].momentum_percentile is not None else -1.0,
             row[0].confidence_score if row[0].confidence_score is not None else -1.0,
             row[0].rr_ratio,
             row[0].composite_score,
@@ -632,6 +659,8 @@ async def get_trade_setups(
             ]
         rows_out.sort(
             key=lambda row: (
+                row["strategy_rank"] if row["strategy_rank"] is not None else -1.0,
+                row["momentum_percentile"] if row["momentum_percentile"] is not None else -1.0,
                 row["confidence_score"] if row["confidence_score"] is not None else -1.0,
                 row["rr_ratio"],
                 row["composite_score"],
@@ -757,5 +786,7 @@ def _trade_setup_to_dict(setup: TradeSetup, symbol: str, price_context: dict | N
         "evaluated_at": setup.evaluated_at,
         "current_price": current_price,
         "momentum_percentile": setup.momentum_percentile,
+        "strategy_rank": setup.strategy_rank,
+        "volatility_percentile": setup.volatility_percentile,
         "context_as_of": context_as_of,
     }