feat: add strategy variant lab and signal context snapshots

Backtest report now includes research-only hold-to-horizon portfolio variants comparing raw vs residual 12-1 momentum, cutoff 80 vs 90, max 10 vs 15 positions, and SPY-200 risk scaling. A dynamic research recommendation panel flags residual momentum, cutoff 90, or regime scaling only when transparent promotion rules pass.

Adds signal_context_snapshots with migration 016 and captures one point-in-time context row per newly generated TradeSetup: setup fields, composite/dimensions, latest sentiment, latest fundamentals, and strategy_version=momentum_12_1_rr_time_v1. This is forward-only; no historical sentiment/fundamental backfill is attempted.

No live gate, paper-trade exit, or production ranking behavior changes.

Verification: 458 backend tests pass, ruff check app/ clean, frontend npm run build clean.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>

tests/unit/test_backtest_service.py

@@ -100,6 +100,101 @@ def test_residual_momentum_removes_market_beta_but_keeps_specific_drift():
     assert drift["mom_12_1_resid"] > pure["mom_12_1_resid"] + 0.12
 
 
+def test_assigns_raw_and_residual_percentiles_independently():
+    cands = [
+        {"iso_week": (2026, 1), "momentum": 0.10, "residual_momentum": 0.30},
+        {"iso_week": (2026, 1), "momentum": 0.30, "residual_momentum": 0.10},
+        {"iso_week": (2026, 1), "momentum": 0.20, "residual_momentum": 0.20},
+    ]
+
+    bt._assign_momentum_percentiles(cands)
+    bt._assign_residual_momentum_percentiles(cands)
+
+    by_raw = {c["momentum"]: c["momentum_percentile"] for c in cands}
+    by_resid = {c["residual_momentum"]: c["residual_momentum_percentile"] for c in cands}
+    assert by_raw[0.30] == 100.0
+    assert by_raw[0.10] == 0.0
+    assert by_resid[0.30] == 100.0
+    assert by_resid[0.10] == 0.0
+
+
+def test_spy_200_risk_scale_halves_risk_below_sma():
+    base = date(2025, 1, 1)
+    closes = {base + timedelta(days=i): 100.0 for i in range(210)}
+    closes[base + timedelta(days=210)] = 80.0
+
+    scale = bt._spy_200_risk_scale(closes)
+
+    assert scale[(base + timedelta(days=199)).toordinal()] == 1.0
+    assert scale[(base + timedelta(days=210)).toordinal()] == 0.5
+
+
+def test_strategy_variant_sims_emit_fixed_variants_without_mutating_qualified(monkeypatch):
+    cands = [{
+        "qualified": False,
+        "meets_core": True,
+        "direction": "long",
+        "momentum_percentile": 90.0,
+        "residual_momentum_percentile": 91.0,
+    }]
+    calls = []
+
+    def fake_sim(candidates, prices, spy_closes, exit_policy, hold_days, **kwargs):
+        calls.append({"exit_policy": exit_policy, "hold_days": hold_days, **kwargs})
+        return {
+            "starting_capital": bt.SIM_STARTING_CAPITAL,
+            "final_equity": 11_000.0,
+            "total_return_pct": 10.0,
+            "cagr_pct": 9.0,
+            "max_drawdown_pct": 5.0,
+            "sharpe": 1.1,
+            "trades": 1,
+            "win_rate": 100.0,
+            "avg_trade_pnl": 100.0,
+            "best_trade_r": 1.0,
+            "worst_trade_r": 1.0,
+            "best_trade_pnl": 100.0,
+            "worst_trade_pnl": 100.0,
+            "avg_hold_days": 30.0,
+            "skipped_book_full": 0,
+            "spy_return_pct": 1.0,
+            "yearly_returns": [],
+            "start_date": "2026-01-01",
+            "end_date": "2026-02-01",
+        }
+
+    monkeypatch.setattr(bt, "_simulate_portfolio", fake_sim)
+    rows = bt._strategy_variant_sims(cands, {}, {}, 30)
+
+    assert [r["variant"] for r in rows] == [cfg["variant"] for cfg in bt.STRATEGY_VARIANTS]
+    assert all(call["exit_policy"] == "hold" for call in calls)
+    assert any(call["ranking_key"] == "residual_momentum_percentile" for call in calls)
+    assert any(call["max_positions"] == 15 for call in calls)
+    assert cands[0]["qualified"] is False
+
+
+def test_build_research_recommendation_applies_promotion_rules():
+    report = {
+        "strategy_variants": {"variants": [
+            {"variant": "production_raw_80_fixed10", "label": "Base", "sharpe": 1.20,
+             "max_drawdown_pct": 20.0, "cagr_pct": 30.0},
+            {"variant": "residual_80_fixed10", "label": "Residual", "sharpe": 1.35,
+             "max_drawdown_pct": 21.0, "cagr_pct": 31.0, "risk_scale": None},
+            {"variant": "raw_80_regime_scaled", "label": "Scaled", "sharpe": 1.1,
+             "max_drawdown_pct": 15.0, "cagr_pct": 27.0},
+            {"variant": "raw_90_fixed10", "label": "Cutoff 90", "sharpe": 1.25,
+             "max_drawdown_pct": 19.0, "cagr_pct": 28.0},
+        ]},
+    }
+
+    rec = bt._build_research_recommendation(report)
+    by_topic = {item["topic"]: item for item in rec["items"]}
+
+    assert by_topic["residual_momentum"]["candidate"] is True
+    assert by_topic["regime_scaling"]["candidate"] is True
+    assert by_topic["cutoff_90"]["candidate"] is True
+
+
 class TestStopFillR:
     def test_intraday_fill_at_stop(self):
         assert bt._stop_fill_r("long", 100.0, 95.0, _bar(101, 94, 96)) == pytest.approx(-1.0)
@@ -491,7 +586,8 @@ async def test_run_backtest_smoke(session):
     assert isinstance(report["candidates"], int)
     for key in (
         "overall_qualified", "overall_all", "by_direction", "sweep",
-        "gate_ablation", "time_exit_sweep", "portfolio_sim", "recommendation",
+        "gate_ablation", "time_exit_sweep", "portfolio_sim", "strategy_variants",
+        "recommendation", "research_recommendation",
     ):
         assert key in report
     # the oscillating series should yield at least some resolved setups
@@ -516,6 +612,7 @@ async def test_run_backtest_smoke(session):
     assert "portfolio_sim" in report
     assert isinstance(report["portfolio_sim"]["policies"], list)
     assert report["portfolio_sim"]["params"]["max_positions"] == bt.SIM_MAX_POSITIONS
+    assert isinstance(report["strategy_variants"]["variants"], list)
 
     # sweep: lowering the momentum-percentile cutoff can only add qualifiers
     sweep = sorted(report["sweep"], key=lambda r: r["min_momentum_percentile"], reverse=True)