momentum gate: long-only + wire the percentile onto live setups
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>
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@@ -90,6 +90,15 @@ class TestMomentumGate:
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legacy = {k: v for k, v in DEFAULT_GATE.items() if k != "min_momentum_percentile"}
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assert setup_qualifies(_setup(momentum_percentile=10.0), legacy) is True
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def test_short_excluded_when_gate_active(self):
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# The momentum edge is long-only — a short never qualifies while the gate
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# is on, even on a top-momentum name.
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assert setup_qualifies(_setup(direction="short", momentum_percentile=95.0), MOMENTUM_GATE) is False
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def test_short_allowed_when_gate_off(self):
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# With the momentum gate disabled, shorts pass on the floors as before.
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assert setup_qualifies(_setup(direction="short", momentum_percentile=10.0), DEFAULT_GATE) is True
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class TestStrictTighteners:
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def test_clean_high_conviction_passes(self):
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