promote residual momentum ranking
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This commit is contained in:
2026-07-02 21:00:39 +02:00
parent 849489a4b5
commit aadec7d403
21 changed files with 310 additions and 185 deletions
@@ -41,16 +41,16 @@ export function ActivationSettings() {
<p className="mt-1 text-xs text-gray-500">
What counts as a signal worth acting on. Drives the Dashboard's "Qualified" metric, the
Signals "Qualified only" view, and the Track Record's qualified stats. The core selection is
<span className="text-gray-300"> cross-sectional momentum</span> the ticker must rank in the
top slice of the universe by 12-1 month momentum, the one signal the backtest showed predicts
forward returns. R:R and confidence stay as floors. Tune the cutoff against the Track Record's
<span className="text-gray-300"> residual cross-sectional momentum</span> the ticker must rank in the
top slice of the universe by beta-adjusted 12-1 month momentum, the production signal promoted
from the backtest. R:R and confidence stay as floors. Tune the cutoff against the Track Record's
momentum sweep to see what actually wins.
</p>
</div>
<div className="grid gap-4 md:grid-cols-3">
<label className="block space-y-1">
<span className="text-xs text-gray-400">Min Momentum Percentile</span>
<span className="text-xs text-gray-400">Min Residual Momentum Percentile</span>
<input
type="number"
min={0}
@@ -60,7 +60,7 @@ export function ActivationSettings() {
onChange={(e) => setForm((prev) => ({ ...prev, min_momentum_percentile: Number(e.target.value) }))}
className="w-full input-glass px-3 py-2 text-sm"
/>
<span className="text-[11px] text-gray-600">Ticker's 12-1 momentum rank. 80 = top 20% of the universe. 0 disables. The core gate.</span>
<span className="text-[11px] text-gray-600">Ticker's residual 12-1 momentum rank. 80 = top 20% of the universe. 0 disables. The core gate.</span>
</label>
<label className="block space-y-1">
<span className="text-xs text-gray-400">Min Risk:Reward (1 : x)</span>
@@ -100,7 +100,7 @@ export function ActivationSettings() {
Require a directional call (exclude NEUTRAL)
<span className="mt-0.5 block text-[11px] text-gray-500">
On by default. A NEUTRAL ("No Clear Setup") recommendation isn't a tradeable signal, so it
never qualifies or becomes a top pick. Turn off to also count no-clear-direction momentum leaders.
never qualifies or becomes a top pick. Turn off to also count no-clear-direction residual momentum leaders.
</span>
</span>
</label>
@@ -308,11 +308,11 @@ export function BacktestPanel() {
{report.sweep && report.sweep.length > 0 && report.sweep[0].min_momentum_percentile != null && (
<div>
<p className="mb-2 text-xs font-medium uppercase tracking-widest text-gray-500">
Momentum-percentile sweep
Residual-momentum percentile sweep
</p>
<p className="mb-2 text-[11px] text-gray-500">
How many setups qualify and how they perform at each momentum-rank cutoff (floors
held fixed). 80 = only the top 20% of the universe by 12-1 momentum each week; 0 =
How many setups qualify and how they perform at each production-rank cutoff (floors
held fixed). 80 = only the top 20% of the universe by residual 12-1 momentum each week; 0 =
floors only. Lower = more trades, watch that expectancy holds. Your current setting is
highlighted; set it in Admin Settings Activation.
</p>
@@ -320,7 +320,7 @@ export function BacktestPanel() {
<table className="w-full text-sm">
<thead>
<tr className="border-b border-white/[0.06] text-left text-xs uppercase tracking-wider text-gray-500">
<th className="px-4 py-2.5">Min momentum %ile</th>
<th className="px-4 py-2.5">Min residual %ile</th>
<th className="px-4 py-2.5 text-right">Qualified</th>
<th className="px-4 py-2.5 text-right">Wins</th>
<th className="px-4 py-2.5 text-right">Losses</th>
@@ -541,10 +541,7 @@ export function BacktestPanel() {
Strategy variants
</p>
<p className="mb-2 text-[11px] text-gray-500">
{report.strategy_variants.note ?? 'Research-only portfolio variants.'}{' '}
<span className="text-gray-300">
Residual momentum stays research-only until a variant beats production under the promotion rules.
</span>
{report.strategy_variants.note ?? 'Research-only portfolio variants.'}
</p>
<div className="glass overflow-x-auto">
<table className="w-full text-sm">
@@ -24,7 +24,7 @@ export interface FieldPoint {
interface StandingMatrixProps {
symbol: string;
composite: number | null; // X for the highlighted dot (authoritative, from the scores endpoint)
momentum: number | null; // Y for the highlighted dot (the ticker's 12-1 momentum percentile)
momentum: number | null; // Y for the highlighted dot (residual 12-1 momentum percentile)
field: FieldPoint[]; // every tracked ticker, for the background cloud
gateMomentum: number; // Y divider = the activation gate's momentum percentile
status: 'top-pick' | 'qualified' | 'none';
@@ -186,7 +186,7 @@ export default function StandingMatrix({
<p className="mt-1 text-sm leading-snug text-gray-400">{v.note}</p>
<div className="mt-3 space-y-1 text-xs text-gray-500">
<StatRow label="Quality (composite)" value={`${Math.round(here.composite)}`} />
<StatRow label="Momentum percentile" value={`${Math.round(here.momentum)}`} />
<StatRow label="Residual momentum percentile" value={`${Math.round(here.momentum)}`} />
{confidence != null && <StatRow label="Long confidence" value={`${Math.round(confidence)}%`} />}
</div>
</>
@@ -206,7 +206,7 @@ export default function StandingMatrix({
</div>
<p className="mt-2 text-[11px] leading-relaxed text-gray-600">
Each dot is a tracked ticker; <span className="text-gray-300">this one is highlighted</span>. The dashed line is the
activation gate ({Math.round(gate)}th-pct momentum) above it qualifies for a top pick. Click any peer to open it.
activation gate ({Math.round(gate)}th-pct residual momentum) above it qualifies for a top pick. Click any peer to open it.
</p>
</div>
);
+5 -5
View File
@@ -33,9 +33,9 @@ export function qualifiesSetup(setup: TradeSetup, config: ActivationConfig): boo
return false;
}
if ((setup.confidence_score ?? 0) < config.min_confidence) return false;
// Cross-sectional momentum is the core selection (long-only). While the gate is
// active, shorts never qualify; the percentile floor is enforced only when a
// percentile is attached, otherwise defer to the floors.
// Residual cross-sectional momentum is the core selection (long-only). While
// the gate is active, shorts never qualify; the percentile floor is enforced
// only when a percentile is attached, otherwise defer to the floors.
if (config.min_momentum_percentile > 0) {
if (setup.direction === 'short') return false;
if (setup.momentum_percentile != null && setup.momentum_percentile < config.min_momentum_percentile) {
@@ -53,7 +53,7 @@ export function qualifiesSetup(setup: TradeSetup, config: ActivationConfig): boo
/**
* Symbol of the current single 'top pick' — the #1 row the dashboard highlights:
* the highest 12-1 momentum percentile among qualified setups (or among all
* the highest residual 12-1 momentum percentile among qualified setups (or among all
* setups when none qualify). Returns null when there are no setups. Keep in step
* with the Top Setups ranking in DashboardPage.
*/
@@ -74,7 +74,7 @@ export function topPickSymbol(
/** Short human summary of the active gate, e.g. for tooltips/labels. */
export function activationSummary(config: ActivationConfig): string {
const parts = [];
if (config.min_momentum_percentile > 0) parts.push(`top ${(100 - config.min_momentum_percentile).toFixed(0)}% momentum`);
if (config.min_momentum_percentile > 0) parts.push(`top ${(100 - config.min_momentum_percentile).toFixed(0)}% residual momentum`);
parts.push(`R:R ≥ ${config.min_rr.toFixed(1)}`, `conf ≥ ${config.min_confidence.toFixed(0)}%`);
if (config.exclude_neutral) parts.push('directional');
if (config.require_high_conviction) parts.push('high-conviction');
+2 -2
View File
@@ -77,7 +77,7 @@ export default function DashboardPage() {
);
// Show qualified setups first; fall back to the full list when none qualify.
// Rank by 12-1 momentum percentile so the strongest names sit at the top.
// Rank by residual 12-1 momentum percentile so the strongest names sit at the top.
const showingQualified = qualifiedSetups.length > 0;
const topSetups: TradeSetup[] = useMemo(() => {
const pool = showingQualified ? qualifiedSetups : trades.data ?? [];
@@ -214,7 +214,7 @@ export default function DashboardPage() {
<th className="px-4 py-3 text-right">Entry</th>
<th className="px-4 py-3 text-right">R:R</th>
<th className="px-4 py-3 text-right">Target&nbsp;Prob</th>
<th className="px-4 py-3 text-right">Momentum</th>
<th className="px-4 py-3 text-right">Residual Mom.</th>
<th className="hidden px-4 py-3 md:table-cell">Action</th>
</tr>
</thead>
+2 -2
View File
@@ -216,7 +216,7 @@ export default function TickerDetailPage() {
[setupsForSymbol],
);
// Standing matrix: this ticker's momentum percentile + long confidence (from its
// Standing matrix: this ticker's residual momentum percentile + long confidence (from its
// setup), the field (every ticker's composite × momentum) for the cloud, and
// whether it qualifies / is the top pick.
const myMomentum = longSetup?.momentum_percentile ?? shortSetup?.momentum_percentile ?? null;
@@ -296,7 +296,7 @@ export default function TickerDetailPage() {
<StatusPill
tone="blue"
label="★ Top Pick"
title="Current top pick — highest-momentum qualified setup right now"
title="Current top pick — highest residual-momentum qualified setup right now"
/>
)}
{hasOpenTrade && (