feat: shadow book + shadow-vs-manual performance comparison

The manual paper book only contains trades taken by hand, inside a 20
minute window, on days someone was available. The backtest that validated
this strategy auto-takes the top-ranked qualified setups up to capacity
every session. The forward record was therefore measuring strategy plus
discretion plus availability -- and degrading silently on busy days.

The shadow book closes that gap: it mirrors the backtest's selection rule
(top strategy_rank qualified, up to capacity, 1% fixed-fractional risk)
and shares the manual book's exit policy, so the only difference between
the two books is which setups get taken. Selection ordering reuses the
strategy_rank the scanner already stores rather than recomputing it, so
the two cannot drift apart. It runs as a near-close pipeline step right
after the scan, marking entries at the same prices a human would see.

Gate-reset re-entry state is now scoped per book -- the books diverge as
soon as their entries differ, and each must see only its own stops.

Performance view rewritten around the comparison:
  - three series (shadow, manual, SPY) from a new endpoint
  - SPY changes from a per-trade cost-basis counterfactual to plain
    buy-and-hold %, since one line has to serve two books
  - headline stats are R-multiples, not currency: the books size
    differently, so only R compares across them
  - configurable start date, because the strategy has been revised
    repeatedly and pre-cutover trades ran under rules that no longer
    exist

Migration 024 also repairs the numeric weekday crons written by 023,
rewriting only rows still holding the broken form so hand-corrected
settings survive. Its literals are inlined because bound parameters
render as NULL under 'alembic upgrade --sql'.

The shadow book is opt-in and writes nothing until enabled. Verify its
first selections match a backtest of that day's cross-section before
trusting any point on the curve.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
2026-07-20 23:44:41 +02:00
co-authored by Claude Fable 5
parent 29715ef3d1
commit ba2df8b9fd
17 changed files with 1334 additions and 40 deletions
+58
View File
@@ -204,6 +204,61 @@ async def update_activation_config(
return await get_activation_config(db)
# ---------------------------------------------------------------------------
# Performance window + shadow book
# ---------------------------------------------------------------------------
async def get_performance_config(db: AsyncSession) -> dict:
"""Start date for the Performance comparison ('' = all history)."""
from app.services.paper_trade_service import KEY_PERFORMANCE_START
return {"start_date": await settings_store.get_value(db, KEY_PERFORMANCE_START, "") or ""}
async def update_performance_config(db: AsyncSession, updates: dict) -> dict:
"""Set (or clear) the performance start date. Empty string means all history."""
from datetime import date as _date
from app.services.paper_trade_service import KEY_PERFORMANCE_START
if "start_date" in updates:
raw = (updates.get("start_date") or "").strip()
if raw:
try:
_date.fromisoformat(raw)
except ValueError as exc:
raise ValidationError("start_date must be an ISO date (YYYY-MM-DD)") from exc
await update_setting(db, KEY_PERFORMANCE_START, raw)
return await get_performance_config(db)
async def get_shadow_book_config(db: AsyncSession) -> dict:
"""Shadow book switch + sizing, with the validated defaults filled in."""
from app.services import shadow_book_service
config = await shadow_book_service.get_config(db)
config["enabled"] = await shadow_book_service.is_enabled(db)
return config
async def update_shadow_book_config(db: AsyncSession, updates: dict) -> dict:
"""Update the shadow book. Enabling it starts automatic live entries."""
from app.services import shadow_book_service
if "enabled" in updates:
await update_setting(
db, shadow_book_service.KEY_ENABLED, "true" if updates["enabled"] else "false"
)
for key, storage_key in (
("capacity", shadow_book_service.KEY_CAPACITY),
("risk_pct", shadow_book_service.KEY_RISK_PCT),
("start_equity", shadow_book_service.KEY_START_EQUITY),
):
if key in updates:
await update_setting(db, storage_key, str(updates[key]))
return await get_shadow_book_config(db)
# ---------------------------------------------------------------------------
# Pipeline schedule (cron)
# ---------------------------------------------------------------------------
@@ -569,6 +624,7 @@ VALID_JOB_NAMES = {
"near_close_pipeline",
"after_close_pipeline",
"intraday_pipeline",
"shadow_book",
}
JOB_LABELS = {
@@ -589,6 +645,7 @@ JOB_LABELS = {
"near_close_pipeline": "Near-Close Pipeline (scan+alert)",
"after_close_pipeline": "After-Close Pipeline (outcome)",
"intraday_pipeline": "Intraday Pipeline",
"shadow_book": "Shadow Book (auto-traded strategy)",
}
# Jobs driven by a pipeline (in order) rather than their own auto timer.
@@ -601,6 +658,7 @@ PIPELINE_MEMBERS = {
"alerts",
"market_regime",
"regime_monitor",
"shadow_book",
}