promote residual momentum ranking

tests/unit/test_backtest_service.py

@@ -118,14 +118,30 @@ def test_assigns_raw_and_residual_percentiles_independently():
     assert by_resid[0.10] == 0.0
 
 
+def test_activation_percentile_prefers_residual_with_raw_fallback():
+    cands = [
+        {"momentum_percentile": 80.0, "residual_momentum_percentile": 95.0},
+        {"momentum_percentile": 70.0, "residual_momentum_percentile": None},
+    ]
+
+    bt._assign_activation_momentum_percentiles(cands)
+
+    assert cands[0][bt.PRODUCTION_PERCENTILE_KEY] == 95.0
+    assert cands[1][bt.PRODUCTION_PERCENTILE_KEY] == 70.0
+
+
 def test_strategy_variants_keep_only_current_research_candidates():
     variants = {cfg["variant"]: cfg for cfg in bt.STRATEGY_VARIANTS}
 
+    assert "production_raw_80_fixed10" not in variants
     assert "raw_80_regime_scaled" not in variants
     assert "residual_80_regime_scaled" not in variants
     assert "residual_90_fixed10" not in variants
-    assert variants["raw_90_fixed15"]["max_positions"] == 15
-    assert variants["residual_80_fixed20"]["max_positions"] == 20
+    assert "raw_90_fixed15" not in variants
+    assert "residual_80_fixed20" not in variants
+    assert variants["production_residual_80_fixed10"]["percentile_key"] == bt.PRODUCTION_PERCENTILE_KEY
+    assert variants["legacy_raw_80_fixed10"]["percentile_key"] == bt.RAW_PERCENTILE_KEY
+    assert variants["residual_80_fixed15"]["max_positions"] == 15
     assert all(cfg["risk_scale"] is None for cfg in bt.STRATEGY_VARIANTS)
 
 
@@ -136,6 +152,7 @@ def test_strategy_variant_sims_emit_fixed_variants_without_mutating_qualified(mo
         "direction": "long",
         "momentum_percentile": 90.0,
         "residual_momentum_percentile": 91.0,
+        "activation_momentum_percentile": 91.0,
     }]
     calls = []
 
@@ -168,34 +185,31 @@ def test_strategy_variant_sims_emit_fixed_variants_without_mutating_qualified(mo
 
     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"] == 20 for call in calls)
+    assert any(call["ranking_key"] == bt.PRODUCTION_PERCENTILE_KEY for call in calls)
+    assert any(call["ranking_key"] == bt.RAW_PERCENTILE_KEY 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": "residual_80_fixed20", "label": "Residual 20", "sharpe": 1.40,
-             "max_drawdown_pct": 20.5, "cagr_pct": 32.0, "risk_scale": None},
+            {"variant": "production_residual_80_fixed10", "label": "Base", "sharpe": 1.40,
+             "max_drawdown_pct": 20.0, "cagr_pct": 32.0, "skipped_book_full": 7},
+            {"variant": "residual_80_fixed15", "label": "Capacity", "sharpe": 1.39,
+             "max_drawdown_pct": 20.0, "cagr_pct": 32.0, "skipped_book_full": 0},
             {"variant": "raw_90_fixed10", "label": "Cutoff 90", "sharpe": 1.25,
              "max_drawdown_pct": 19.0, "cagr_pct": 28.0},
-            {"variant": "raw_90_fixed15", "label": "Cutoff 90 / 15", "sharpe": 1.30,
-             "max_drawdown_pct": 18.0, "cagr_pct": 29.0},
         ]},
     }
 
     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 "Residual 20" in by_topic["residual_momentum"]["text"]
-    assert by_topic["cutoff_90"]["candidate"] is True
-    assert "Cutoff 90 / 15" in by_topic["cutoff_90"]["text"]
+    assert by_topic["capacity_15"]["candidate"] is False
+    assert "not needed yet" in by_topic["capacity_15"]["text"]
+    assert by_topic["cutoff_90"]["candidate"] is False
+    assert "Cutoff 90" in by_topic["cutoff_90"]["text"]
 
 
 class TestStopFillR:
@@ -305,6 +319,7 @@ def _acand(
         "confidence": conf,
         "action": action,
         "momentum_percentile": mp,
+        "activation_momentum_percentile": mp,
         "direction": direction,
         "meets_core": meets,
         "risk_level": "Low",
@@ -380,6 +395,7 @@ def _sim_cand(
         "stop": stop,
         "target": target,
         "momentum_percentile": mp,
+        "activation_momentum_percentile": mp,
     }