feat: breadth-divergence early-warning indicator + event study

Adds a leading-by-construction candidate and the harness to measure whether it
actually leads regime breaks, before any of it earns weight in the live index.

- breadth_service: % of the stored universe above its own 200-DMA + a divergence
  score (benchmark price up while breadth falls, nudged by low breadth). Genuinely
  leading because it keys on divergence, not level. Not wired into the live score.
- event_study_service: detect drawdown events on the benchmark, then measure each
  indicator's median lead time (event-centered) and precision/recall vs. the base
  rate (signal-centered). Compares breadth-divergence against the deterministic
  coincident price composite (reuses the regime price sub-scores). Price/breadth
  only — reproducible, no LLM/FRED.
- Manual "Event Study" job (Admin → Jobs), GET /regime/event-study, and an
  inline early-warning panel on the Regime tab with an honest small-sample caveat.

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
This commit is contained in:
2026-06-26 14:08:52 +02:00
parent ebff19940b
commit 824c15cf69
10 changed files with 719 additions and 2 deletions
+32
View File
@@ -311,6 +311,38 @@ export interface RegimeConfig {
fundamental_staleness_days: number;
}
// Event study — measured lead time of early-warning indicators vs. drawdowns
export interface EventStudyLeadStats {
median_lead_days: number | null;
events_with_signal: number;
events_total: number;
mean_path: { rel_day: number; value: number }[];
signal: {
base_rate: number;
horizon_days: number;
rows: { threshold: number; precision: number | null; recall: number | null; alarms: number }[];
};
}
export interface EventStudyReport {
available: boolean;
reason?: string;
generated_at?: string;
params?: {
benchmark: string;
event_threshold_pct: number;
horizon_days: number;
warn_threshold: number;
};
events?: { date: string; index: number; depth_pct: number }[];
indicators?: {
breadth_divergence: EventStudyLeadStats;
coincident_price: EventStudyLeadStats;
};
lead_delta_days?: number | null;
recent_breadth?: { date: string; breadth: number; divergence: number | null }[];
}
export interface AlertConfig {
enabled: boolean;
telegram_chat_id: string;