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:
@@ -92,6 +92,41 @@ export function updateScheduleSettings(payload: Partial<ScheduleConfig>) {
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.then((r) => r.data);
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}
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export interface PerformanceConfig {
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start_date: string;
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}
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export function getPerformanceSettings() {
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return apiClient
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.get<PerformanceConfig>('admin/settings/performance')
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.then((r) => r.data);
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}
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export function updatePerformanceSettings(payload: Partial<PerformanceConfig>) {
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return apiClient
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.put<PerformanceConfig>('admin/settings/performance', payload)
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.then((r) => r.data);
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}
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export interface ShadowBookConfig {
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enabled: boolean;
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capacity: number;
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risk_pct: number;
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start_equity: number;
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}
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export function getShadowBookSettings() {
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return apiClient
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.get<ShadowBookConfig>('admin/settings/shadow-book')
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.then((r) => r.data);
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}
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export function updateShadowBookSettings(payload: Partial<ShadowBookConfig>) {
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return apiClient
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.put<ShadowBookConfig>('admin/settings/shadow-book', payload)
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.then((r) => r.data);
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}
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export function getSentimentSettings() {
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return apiClient
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.get<SentimentProviderConfig>('admin/settings/sentiment')
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