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feat: near-close scan schedule and distinct-day gate reset

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Move the only qualifying R:R scan to 15:30 ET with chained Telegram alerts,
put outcome eval after a final-bar OHLCV fetch, enforce NY trading-day
requalify semantics, stamp paper trades fill_mode=near_close, and migrate
stored schedule_* keys to America/New_York.
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dennisthiessen
2026-07-18 17:55:39 +02:00
parent 5a61b164f6
commit 736451e26f
14 changed files with 428 additions and 83 deletions
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README.md
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@@ -60,11 +60,11 @@ flowchart TD
**What happens after an initial stop.** The stop always closes the trade and realizes its costs. The ticker is then locked until a successful daily full-universe scan first observes it outside the production gate and a later scan observes a fresh qualification. A continuously qualified ticker therefore cannot generate an immediate duplicate entry. Other exit reasons do not start this reset. See the [daily post-stop re-entry study](docs/research/post-stop-reentry.md).
**Live timing matters.** The full daily pipeline runs the R:R scan before Outcome Eval. A stop closed by that Outcome Eval—or by an intraday evaluation after the day's full scan—therefore cannot use its stop-day gate state. The earliest failure observation is the next successful full scan, and requalification needs a subsequent full scan. The research `gate_reset` arm evaluated the stop before its same-session gate check; the live boundary is consequently analogous to the study's stricter `strict_gate_reset` arm. This known event-ordering difference is quantified below.
**Live timing matters.** The **only** full-universe R:R scan runs near the US close (~15:30 ET), then Telegram alerts fire immediately so manual fills can still hit MOC. Outcome eval runs later (~16:45 ET) after a fresh OHLCV fetch of the final bar. Morning jobs refresh data/sentiment/regime without scanning. Stops closed by earlier same-day intraday outcome evals can get a **same-day** fail observation at the near-close scan — closer to the promoted research `gate_reset` arm than the old morning-scan `strict_gate_reset` analogue. Stops after the bell still need a later day. Same-day fail+qualify cannot unlock: `trade_policy` requires the failure to fall on an earlier America/New_York trading date.
## How It Works
Scheduled pipelines turn raw prices into a ranked, gated list of tradeable setups. Everything downstream of OHLCV is recomputed from stored data, so each refresh is cheap and idempotent. Job timing is cron-based and configurable in **Admin → Jobs** (default timezone Europe/Berlin).
Scheduled pipelines turn raw prices into a ranked, gated list of tradeable setups. Everything downstream of OHLCV is recomputed from stored data, so each refresh is cheap and idempotent. Job timing is cron-based and configurable in **Admin → Jobs** (default timezone **America/New_York** so the near-close scan tracks the cash close through DST).
### Price-level architecture: two different jobs
@@ -127,26 +127,34 @@ percentile rails show each input. Only momentum carries the live activation-
gate marker. These are cross-sectional scan percentiles, not historical chart
indicators.
### Daily Load — the full refresh
### Pipelines (America/New_York)
Once a day (default 07:00). Steps run **in dependency order**, each consuming the previous step's fresh output:
**Morning** (~02:00 ET) — data and display only, **no** qualifying R:R scan:
1. **OHLCV** — fetch the latest daily bars for every tracked ticker (Alpaca); new tickers backfill ~5 years.
2. **Sentiment** — fetch sentiment for the names that matter and are stale (> 5 days): top-pick feeders (residual-momentum leaders with a tradeable long setup), the watchlist, and open paper trades, plus a top-N-by-composite discovery net. Runs *before* the scan so the scan sees fresh sentiment.
3. **R:R Scan** — persist clean Structural S/R for charts/alerts, recompute the 5-dimension scores, and build long/short setups from a transient Gate Target Ladder (ATR stops and nominal gate targets) for every ticker. Attach each ticker's residual 12‑1 momentum activation percentile plus the promoted 80/20 production rank. The completed full-universe scan also advances post-stop locks from gate failure to later requalification; failed scans never count as a transition.
4. **Outcome Eval** — resolve setups that hit target/stop or expired (default 30 trading days) and auto-close paper trades per the exit policy (default: 3x ATR trail with a 30-trading-day max hold).
5. **Market Regime** — recompute the regime index (breadth/trend).
6. **Regime Monitor** — separate v2 State/Warning risk thermometer with fixed-basket breadth, VIX, credit, and point-in-time fundamentals; feeds no trades.
1. **OHLCV** — latest daily bars (Alpaca); new tickers backfill ~5 years.
2. **Sentiment** — stale names that matter (top-pick feeders, watchlist, open paper, discovery net). Display context only; the activation gate is price-only.
3. **Market Regime** + **Regime Monitor** — breadth/trend and the v2 risk thermometer; feed no trades.
A failing step is logged; the pipeline continues with the next.
**Near-close** (~15:30 ET Mon–Fri) — the only full-universe qualifying observation:
1. **OHLCV fetch** — refresh the in-progress day-t bar (same path as intraday).
2. **R:R Scan** — Structural S/R, scores, Gate Target Ladder setups, residual 12‑1 + 80/20 rank. Advances post-stop gate-reset transitions; failed scans never count.
3. **Telegram alerts** — chained immediately so manual MOC fills can still hit ~15:50/15:55.
**After close** (~16:45 ET Mon–Fri):
1. **OHLCV fetch** — final bar (not the partial near-close bar).
2. **Outcome Eval** — resolve setups and auto-close paper trades (default 3× ATR trail, 30-day max hold).
A failing step is logged; the pipeline continues with the next. Near-close duration is logged; warn if > 10 minutes.
### Intraday — light refresh
Hourly across the US session (Mon–Fri): only **OHLCV → Outcome Eval**, to keep prices current and close paper trades intraday. No scan/sentiment — the dashboard recomputes live R:R from the latest price, so fresh prices are enough.
Hourly mid-session (Mon–Fri ~10:00–15:00 ET): only **OHLCV → Outcome Eval**, to keep prices current and close paper trades intraday. No scan/sentiment — the dashboard recomputes live R:R from the latest price.
### Other jobs
Fundamentals (weekly, early Monday) · Alerts (hourly, Telegram) · Backtest (weekly) · Ticker-universe sync (daily). Deep history backfill and event study are manual-only (Admin → Jobs).
Fundamentals (weekly, early Monday ET) · Backtest (weekly) · Ticker-universe sync (daily). Alerts auto-fire only via the near-close pipeline (still manually triggerable). Deep history backfill and event study are manual-only (Admin → Jobs).
### From score to "top pick"
@@ -193,7 +201,7 @@ The production policy is **normal gate reset**, evaluated with daily setup oppor
In the disjoint 2025+ book, gate reset also beat immediate re-entry (Sharpe 1.66 vs 1.55; CAGR 41.8% vs 39.3%) and the fixed five-session rule (Sharpe 1.43; CAGR 32.7%). Its lead over both survived costs of 0.2% and 0.3% per side. The result is capacity-specific: cooldown 5 won at capacity 5, while immediate had slightly higher return and Sharpe at capacity 15. Production uses capacity 10, so that is the portfolio for which this decision is valid.
Those promotion numbers belong to the selected normal-reset study arm. Under the live scheduler's stricter first-observation timing, the full-period analogue was Sharpe 1.68 / CAGR 44.8% / DD 23.4%; in the disjoint 2025+ book it was Sharpe 1.38 / CAGR 32.9% / DD 21.0%. The matrix therefore validates the state-machine choice but is not exact scheduler-order parity. Closing this timing gap would require a separately reviewed pipeline-order change, not a documentation reinterpretation.
Those promotion numbers belong to the selected normal-reset study arm. Under the **pre-cutover** morning-scan scheduler (scan always before any outcome eval), live first-observation timing matched the stricter `strict_gate_reset` analogue (full-period Sharpe 1.68 / CAGR 44.8% / DD 23.4%). After the **near-close cutover** (2026-07), stops closed by earlier same-day intraday evals can receive a same-day fail observation at ~15:30 ET — moving live behavior **toward** the promoted `gate_reset` arm. Requalification still requires a later America/New_York trading date than the failure (`trade_policy` distinct-day guard). Full definitions and all nine policy arms: [docs/research/post-stop-reentry.md](docs/research/post-stop-reentry.md); execution evidence: [docs/research/execution-recovery.md](docs/research/execution-recovery.md).
`gate_reset` and a simple `next_session` block happened to produce the same executed live-universe portfolio in this sample. Their rules are still different: this establishes that same-day re-entry was harmful here, but does not isolate a separate historical return premium from the reset condition. Gate reset was promoted because it represents a genuinely new signal episode and did not sacrifice results in the production book. Full definitions, all nine policy arms, cost/capacity sensitivity, and legacy-rank results are in [docs/research/post-stop-reentry.md](docs/research/post-stop-reentry.md); source report: [`reports/daily_reentry_matrix.json`](reports/daily_reentry_matrix.json).