momentum gate: long-only + wire the percentile onto live setups
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Part 1 — long-only. The momentum edge is long top-momentum; the gate was
qualifying shorts on high-momentum names (fighting the trend), which showed as
the -0.13R Short(qual.) drag. While the gate is active, shorts no longer qualify
(backend qualification, backtest _momentum_qualifies, and the frontend mirror).

Part 2 — production wiring. Live setups now carry a real momentum rank, so the
dashboard, the Track Record's qualified stats, and outcome evaluation all gate on
the same value instead of deferring to floors:
- new momentum_service.compute_momentum_percentiles: 12-1 momentum per ticker,
  ranked across the universe into a {symbol: percentile} map.
- the daily R:R scan ranks the universe up front and stores each setup's
  percentile (new trade_setups.momentum_percentile column, migration 010).
- enhance_trade_setup mutates the same row, so the percentile is preserved;
  _trade_setup_to_dict + TradeSetupResponse expose it to the API.

Until a fresh scan runs, pre-existing setups have a null percentile and the gate
falls back to floors for them (longs) / excludes them (shorts) — they fill in on
the next scan. 341 backend tests pass; frontend build clean.

Needs the alembic upgrade (migration 010) on deploy.

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
This commit is contained in:
2026-06-24 07:07:38 +02:00
parent 7060b9a019
commit 605f95098c
10 changed files with 221 additions and 11 deletions
+9
View File
@@ -90,6 +90,15 @@ class TestMomentumGate:
legacy = {k: v for k, v in DEFAULT_GATE.items() if k != "min_momentum_percentile"}
assert setup_qualifies(_setup(momentum_percentile=10.0), legacy) is True
def test_short_excluded_when_gate_active(self):
# The momentum edge is long-only — a short never qualifies while the gate
# is on, even on a top-momentum name.
assert setup_qualifies(_setup(direction="short", momentum_percentile=95.0), MOMENTUM_GATE) is False
def test_short_allowed_when_gate_off(self):
# With the momentum gate disabled, shorts pass on the floors as before.
assert setup_qualifies(_setup(direction="short", momentum_percentile=10.0), DEFAULT_GATE) is True
class TestStrictTighteners:
def test_clean_high_conviction_passes(self):