diff --git a/app/services/regime_monitor_service.py b/app/services/regime_monitor_service.py index 64921fe..d0fc8fb 100644 --- a/app/services/regime_monitor_service.py +++ b/app/services/regime_monitor_service.py @@ -38,7 +38,7 @@ from app.config import settings from app.exceptions import ProviderError from app.models.regime_snapshot import RegimeSnapshot from app.providers.alpaca import AlpacaOHLCVProvider -from app.services import settings_store +from app.services import breadth_service, settings_store from app.services.admin_service import update_setting from app.services.sentiment_provider_service import _resolve as resolve_llm_config @@ -65,6 +65,11 @@ DEFAULT_CONFIG: dict = { "F1": 25, "F2": 15, "F3": 8, "F4": 7, }, "alert_threshold": 65, + # Observational early-warning blend: a small Combined score = weighted mean of + # the coincident index and the breadth-divergence early-warning score. Kept + # separate from the index weights above so the early-warning side stays + # decoupled until proven. Tunable; need not sum to 1 (normalised). + "combined_weights": {"coincident": 0.6, "early_warning": 0.4}, "leader_weight": 2.0, # SMH counts 2x vs QQQ where both feed a signal "rs_lookback": 60, # trading days for relative-strength / breadth trend "fundamental_staleness_days": 80, @@ -530,6 +535,18 @@ async def update_regime_monitor(db: AsyncSession, backfill_days: int = 90) -> di leader_series = prices.get(leader or "", []) latest_date = leader_series[-1][0] if leader_series else end + # Early-warning signal: breadth-divergence over the stored universe (leads but + # noisy). Computed once here so the daily job carries it live, as a SEPARATE + # score next to the coincident index — not folded into the index weights. + # Best-effort: a breadth failure must not stop the index update. + try: + breadth = await breadth_service.compute_breadth_series(db) + divergence = breadth_service.compute_divergence_series(breadth, sorted(leader_series)) + except Exception as exc: + logger.warning("Regime monitor: breadth/divergence skipped: %s", exc) + divergence = {} + cw = config.get("combined_weights") or {"coincident": 0.6, "early_warning": 0.4} + dates = {latest_date} if await _snapshot_count(db) < 5 and leader_series: cutoff = end - timedelta(days=backfill_days) @@ -538,6 +555,7 @@ async def update_regime_monitor(db: AsyncSession, backfill_days: int = 90) -> di latest_result: dict | None = None for d in sorted(dates): result = _compute_index(prices, vix_series, oas_series, overrides, config, d) + _attach_early_warning(result, divergence.get(d), cw) await _upsert_snapshot(db, result) latest_result = result await db.commit() @@ -551,19 +569,51 @@ async def update_regime_monitor(db: AsyncSession, backfill_days: int = 90) -> di return latest_result or {"available": False, "reason": "no data"} -async def _score_at_or_before(db: AsyncSession, target: date) -> float | None: +def _attach_early_warning(result: dict, ew: float | None, weights: dict) -> None: + """Attach the separate early-warning score and a combined blend to a snapshot. + + ``ew`` is the breadth-divergence value as-of this date (or None). The combined + score is a normalised weighted mean of the coincident index and the early + warning — observational, kept apart from the index itself. + """ + result["early_warning"] = { + "score": round(ew, 1) if ew is not None else None, + "band": band_for(ew) if ew is not None else None, + } + if ew is None: + combined = result["total_score"] + else: + wc = float(weights.get("coincident", 0.6)) + we = float(weights.get("early_warning", 0.4)) + wsum = (wc + we) or 1.0 + combined = (result["total_score"] * wc + ew * we) / wsum + result["combined"] = {"score": round(combined, 1), "band": band_for(combined)} + + +async def _result_at_or_before(db: AsyncSession, target: date) -> dict | None: + """Parsed snapshot result for the latest date on/before ``target``.""" res = await db.execute( - select(RegimeSnapshot.total_score) + select(RegimeSnapshot.breakdown_json) .where(RegimeSnapshot.date <= target) .order_by(RegimeSnapshot.date.desc()) .limit(1) ) - val = res.scalar_one_or_none() - return float(val) if val is not None else None + raw = res.scalar_one_or_none() + if raw is None: + return None + try: + return json.loads(raw) + except (TypeError, ValueError): + return None + + +def _delta(curr: float | None, prev: float | None) -> float | None: + return round(curr - prev, 1) if (curr is not None and prev is not None) else None async def get_regime_monitor(db: AsyncSession) -> dict: - """Latest snapshot result + 7/30-day trend deltas. Cheap (one+ row reads).""" + """Latest snapshot + 7/30-day trend deltas for the index, early-warning, and + combined scores. Cheap (a few row reads).""" res = await db.execute( select(RegimeSnapshot).order_by(RegimeSnapshot.date.desc()).limit(1) ) @@ -577,13 +627,23 @@ async def get_regime_monitor(db: AsyncSession) -> dict: result = {"date": latest.date.isoformat(), "total_score": latest.total_score, "band": latest.band, "breakdown": []} - score_7 = await _score_at_or_before(db, latest.date - timedelta(days=7)) - score_30 = await _score_at_or_before(db, latest.date - timedelta(days=30)) + r7 = await _result_at_or_before(db, latest.date - timedelta(days=7)) + r30 = await _result_at_or_before(db, latest.date - timedelta(days=30)) + + def _nested(r: dict | None, key: str) -> float | None: + return (r.get(key) or {}).get("score") if r else None + result["available"] = True + cur_total = result.get("total_score") result["trend"] = { - "delta_7": round(latest.total_score - score_7, 1) if score_7 is not None else None, - "delta_30": round(latest.total_score - score_30, 1) if score_30 is not None else None, + "delta_7": _delta(cur_total, (r7 or {}).get("total_score")), + "delta_30": _delta(cur_total, (r30 or {}).get("total_score")), } + for key in ("early_warning", "combined"): + block = result.get(key) or {"score": None, "band": None} + block["delta_7"] = _delta(block.get("score"), _nested(r7, key)) + block["delta_30"] = _delta(block.get("score"), _nested(r30, key)) + result[key] = block return result diff --git a/frontend/src/lib/types.ts b/frontend/src/lib/types.ts index 0755625..216df0a 100644 --- a/frontend/src/lib/types.ts +++ b/frontend/src/lib/types.ts @@ -275,6 +275,13 @@ export interface RegimeSignal { contribution: number; } +export interface RegimeSubScore { + score: number | null; + band: RegimeBand | null; + delta_7?: number | null; + delta_30?: number | null; +} + export interface RegimeMonitor { available: boolean; reason?: string; @@ -289,6 +296,10 @@ export interface RegimeMonitor { fundamentals_fetched_at: string | null; }; trend?: { delta_7: number | null; delta_30: number | null }; + // Separate, observational early-warning score (breadth divergence) + a small + // combined blend. Decoupled from the index above. + early_warning?: RegimeSubScore; + combined?: RegimeSubScore; } export interface RegimeFundamentals { diff --git a/frontend/src/pages/RegimePage.tsx b/frontend/src/pages/RegimePage.tsx index 2961179..42f69c7 100644 --- a/frontend/src/pages/RegimePage.tsx +++ b/frontend/src/pages/RegimePage.tsx @@ -1,4 +1,4 @@ -import { useState } from 'react'; +import { useState, type ReactNode } from 'react'; import { useQuery, useMutation, useQueryClient } from '@tanstack/react-query'; import { PageHeader } from '../components/ui/PageHeader'; import { Callout } from '../components/ui/Callout'; @@ -17,7 +17,6 @@ import { } from '../api/regime'; import type { RegimeBand, - RegimeMonitor, RegimeSignal, RegimeConfig, RegimeFundamentals, @@ -49,54 +48,71 @@ function TrendChip({ label, delta }: { label: string; delta: number | null | und ); } -function Gauge({ data }: { data: RegimeMonitor }) { - const band = (data.band ?? 'stable') as RegimeBand; - const style = BAND_STYLES[band]; - const score = data.total_score ?? 0; - const threshold = data.alert_threshold ?? 65; +function ScoreGauge({ + label, + score, + band, + trend, + threshold, + footnote, + size = 'lg', +}: { + label: string; + score: number | null | undefined; + band: RegimeBand | null | undefined; + trend?: { delta_7?: number | null; delta_30?: number | null }; + threshold?: number; + footnote?: ReactNode; + size?: 'lg' | 'md'; +}) { + const naa = score == null; + const style = BAND_STYLES[(band ?? 'stable') as RegimeBand]; + const s = score ?? 0; const clamp = (v: number) => Math.min(100, Math.max(0, v)); + const numCls = size === 'lg' ? 'text-6xl' : 'text-4xl'; return ( -
-
+
+
-
- {Math.round(score)} - / 100 +
{label}
+
+ + {naa ? '—' : Math.round(s)} + + {!naa && / 100}
-

{style.label}

+ {!naa &&

{style.label}

}
-
- - -
-
- - {/* Band track with score + threshold markers */} -
-
-
-
-
- 0306080100 -
- -

- An index (not a calibrated probability) of how far the AI/Tech bull regime - has deteriorated. Mostly coincident signals — it shortens reaction time, it doesn't predict the exact turn. - {data.date && <> As of {data.date}.} - {data.inputs && (data.inputs.vix != null || data.inputs.hy_oas != null) && ( - - VIX {data.inputs.vix ?? '—'} · HY OAS {data.inputs.hy_oas ?? '—'} - + {trend && ( +

+ + +
)} -

+
+ + {!naa && ( + <> + {/* Band track with score (+ optional threshold) markers */} +
+ {threshold != null && ( +
+ )} +
+
+
+ 0306080100 +
+ + )} + {footnote &&

{footnote}

}
); } @@ -501,7 +517,52 @@ export default function RegimePage() { {monitor.data && monitor.data.available && ( <> - +
+ + An index (not a calibrated probability) of how far the AI/Tech + bull regime has deteriorated. Mostly coincident — it shortens reaction time, it doesn't predict + the turn. + {monitor.data.date && <> As of {monitor.data.date}.} + {monitor.data.inputs && (monitor.data.inputs.vix != null || monitor.data.inputs.hy_oas != null) && ( + + VIX {monitor.data.inputs.vix ?? '—'} · HY OAS {monitor.data.inputs.hy_oas ?? '—'} + + )} + + } + /> + + Breadth narrowing while price holds. In the event study it led ~6 weeks on 7/11 past drawdowns, but + it's noisy (≈2× base rate) and blind to shocks. Observational — separate from the index, not + wired into trades. + + } + /> +
+ A weighted mean of the index and the early warning — for observation only. Tune the mix via the + regime config. + } + /> {monitor.data.breakdown && } )} diff --git a/tests/unit/test_regime_monitor.py b/tests/unit/test_regime_monitor.py index 1aec47d..67b5e9c 100644 --- a/tests/unit/test_regime_monitor.py +++ b/tests/unit/test_regime_monitor.py @@ -6,6 +6,7 @@ from datetime import date, timedelta from app.services.regime_monitor_service import ( DEFAULT_CONFIG, + _attach_early_warning, band_for, compute_regime_score, f2_credit_spreads, @@ -35,6 +36,23 @@ def test_band_for(): assert band_for(90) == "breaking" +def test_attach_early_warning_blends(): + result = {"total_score": 80.0} + _attach_early_warning(result, 40.0, {"coincident": 0.6, "early_warning": 0.4}) + assert result["early_warning"]["score"] == 40.0 + assert result["early_warning"]["band"] == "watch" + # combined = (80*0.6 + 40*0.4) / 1.0 = 64 + assert result["combined"]["score"] == 64.0 + assert result["combined"]["band"] == "elevated" + + +def test_attach_early_warning_none_falls_back_to_index(): + result = {"total_score": 80.0} + _attach_early_warning(result, None, {"coincident": 0.6, "early_warning": 0.4}) + assert result["early_warning"]["score"] is None + assert result["combined"]["score"] == 80.0 # no early warning -> just the index + + # --------------------------------------------------------------------------- # Price sub-scores # ---------------------------------------------------------------------------