Isolate residual S/R target selection

app/services/backtest_service.py

@@ -94,9 +94,14 @@ HORIZON = 30           # trading days to resolve an outcome (matches the evaluat
 ATR_MULTIPLIER = 1.5
 RANGE_FACTOR_LOOKBACK = 504
 RANGE_FACTOR_MIN_LOG = 1.0  # approximately a 2.7x high/low span
+RANGE_RESIDUAL_VARIANTS = {
+    "rewrite_range504_structural_legacy_primary",
+    "rewrite_range504_structural_primary2",
+}
 RANGE_FACTOR_VARIANTS = {
     "production_range504",
     "rewrite_range504_legacy_primary",
+    *RANGE_RESIDUAL_VARIANTS,
 }
 
 # Cross-sectional signal evaluation (factor IC). Each candidate signal is a
@@ -169,7 +174,10 @@ def _sr_detector_variant(sr_variant: str) -> str:
     """Map factor-gated research arms to the detector they hold fixed."""
     if sr_variant == "production_range504":
         return "production_control"
-    if sr_variant == "rewrite_range504_legacy_primary":
+    if (
+        sr_variant == "rewrite_range504_legacy_primary"
+        or sr_variant in RANGE_RESIDUAL_VARIANTS
+    ):
         return "rewrite"
     return sr_variant.removesuffix("_legacy_primary")
 
@@ -195,6 +203,17 @@ def _range_factor_allows(sr_variant: str, range_504_log: float) -> bool:
     )
 
 
+def _primary_min_rr_for_variant(sr_variant: str, activation: dict) -> float:
+    """Preserve the deployed selector except in explicit primary-2 research."""
+    if (
+        sr_variant in {"production_control", "production_range504"}
+        or sr_variant.endswith("_legacy_primary")
+        or sr_variant.startswith("legacy_")
+    ):
+        return 1.5
+    return float(activation.get("min_rr", 0.0))
+
+
 def _apply_zone_strength_variant(zone_levels: list[Any], sr_variant: str) -> list[Any]:
     """Apply post-cluster research controls without changing zone geometry."""
     if sr_variant in {"legacy_geometry_neutral", "legacy_range_grid_neutral"}:
@@ -363,6 +382,7 @@ def _window_setups(
     gate_levels = _gate_eligible_levels(
         sr_levels,
         confirmed_rounds_only=detector_variant in {"confirmed_rounds", "gate_v2"},
+        exclude_standalone_rounds=sr_variant in RANGE_RESIDUAL_VARIANTS,
     )
     zone_strength_mode = (
         "soft"
@@ -406,13 +426,7 @@ def _window_setups(
         # Collapse duplicate floor-pinned lottery targets (parity with
         # enhance_trade_setup).
         targets = _prune_floor_pinned_targets(targets)
-        primary_min_rr = (
+        primary_min_rr = _primary_min_rr_for_variant(sr_variant, activation)
-            1.5
-            if sr_variant in {"production_control", "production_range504"}
-            or sr_variant.endswith("_legacy_primary")
-            or sr_variant.startswith("legacy_")
-            else float(activation.get("min_rr", 0.0))
-        )
         primary = _select_primary_target(
             targets,
             min_rr=primary_min_rr,

app/services/recommendation_service.py

@@ -60,6 +60,7 @@ def _gate_eligible_levels(
     sr_levels: list[Any],
     *,
     confirmed_rounds_only: bool = False,
+    exclude_standalone_rounds: bool = False,
     min_round_rejections: int = 2,
 ) -> list[Any]:
     """Return structures allowed to influence entry qualification.
@@ -69,7 +70,7 @@ def _gate_eligible_levels(
     either confluence with a pivot/volume source or distinct rejection clusters
     before such a level is allowed to manufacture a gate target.
     """
-    if not confirmed_rounds_only:
+    if not confirmed_rounds_only and not exclude_standalone_rounds:
         return list(sr_levels)
 
     eligible: list[Any] = []
@@ -79,8 +80,11 @@ def _gate_eligible_levels(
         ])
         is_round_only = sources == {"round_number"}
         rejections = int(getattr(level, "rejection_count", 0) or 0)
-        if not is_round_only or rejections >= min_round_rejections:
+        if exclude_standalone_rounds and is_round_only:
-            eligible.append(level)
+            continue
+        if confirmed_rounds_only and is_round_only and rejections < min_round_rejections:
+            continue
+        eligible.append(level)
     return eligible
 
 

docs/research/sr-levels-and-exits.md

@@ -585,6 +585,41 @@ Run on pre-2024 training data only:
 .venv/bin/python scripts/run_sr_v2_matrix.py factor --workers 14
 ```
 
+Result:
+
+| training arm | qualified | Sharpe | CAGR | MaxDD | net avg R | ex-top-5% |
+|---|---:|---:|---:|---:|---:|---:|
+| production control | 676 | 1.28 | 28.8% | 21.4% | 0.230 | 0.066 |
+| production + range504 | 180 | **1.65** | 31.4% | **15.9%** | **0.476** | **0.250** |
+| clean rewrite | 1,200 | 0.96 | 21.0% | 22.2% | 0.037 | -0.102 |
+| clean rewrite + range504 | 291 | 1.46 | **31.5%** | 18.4% | 0.292 | 0.158 |
+
+The scalar recovers most of the detector rewrite's regression. The clean arm now
+beats the original production baseline on Sharpe, CAGR, drawdown, and robust
+expectancy. Old target geometry retains a smaller edge over the equally filtered
+clean arm.
+
+The residual cohort is target selection, not another range feature. The clean arm
+retains 63 exceptionally strong common setups (+0.665R ex-top-5%), adds 228 weak
+setups (+0.018R), and misses 117 strong old-geometry setups (+0.175R). Of the
+clean-only additions, 156 have a standalone round-number primary; all 162
+round-only qualified setups have fewer than two observed rejections and return
+-0.024R ex-top-5%. Structural-only and round-confluent primaries return +0.394R
+and +0.369R.
+
+For 113 of the 117 missed setups, the clean detector does produce a target, but
+its selected primary averages 1.56R; 77 land in the 1.5-2R veto band. A final
+two-arm residual matrix therefore holds the clean detector and range factor fixed:
+
+- `rewrite_range504_structural_legacy_primary`: exclude standalone round targets,
+  retain the deployed 1.5 primary floor;
+- `rewrite_range504_structural_primary2`: identical, but select the primary from
+  targets clearing 2.0R.
+
+```bash
+.venv/bin/python scripts/run_sr_v2_matrix.py residual --workers 14
+```
+
 The post-2024 window has been opened and is now analysis data, not a valid final
 promotion holdout. These arms can isolate mechanism, but neither may ship without
 new future data or a separately pre-registered walk-forward protocol.

scripts/run_backtest_snapshot.py

@@ -57,6 +57,8 @@ def _parse_args() -> argparse.Namespace:
             "legacy_traffic_grid_only", "legacy_range_grid_touch",
             "legacy_range_grid_neutral",
             "production_range504", "rewrite_range504_legacy_primary",
+            "rewrite_range504_structural_legacy_primary",
+            "rewrite_range504_structural_primary2",
         ),
         default=None,
         help="Research-only S/R detector/gate arm.",

scripts/run_sr_v2_matrix.py

@@ -38,6 +38,10 @@ RANGE_FACTOR_ARMS = (
     "production_range504",
     "rewrite_range504_legacy_primary",
 )
+RANGE_RESIDUAL_ARMS = (
+    "rewrite_range504_structural_legacy_primary",
+    "rewrite_range504_structural_primary2",
+)
 
 
 def _add_common(parser: argparse.ArgumentParser) -> None:
@@ -76,6 +80,17 @@ def _args() -> argparse.Namespace:
         default=None,
         help="Run one range-factor arm without repeating the pair.",
     )
+    residual = commands.add_parser(
+        "residual",
+        help="Isolate standalone rounds and the 1.5-2R primary-target veto.",
+    )
+    _add_common(residual)
+    residual.add_argument(
+        "--only-arm",
+        choices=RANGE_RESIDUAL_ARMS,
+        default=None,
+        help="Run one residual target-geometry arm without repeating the pair.",
+    )
     validate = commands.add_parser(
         "validate",
         help="Run production control and one locked arm from 2024-07-01.",
@@ -166,6 +181,9 @@ def main() -> None:
     elif args.command == "factor":
         arms = (args.only_arm,) if args.only_arm else RANGE_FACTOR_ARMS
         _train(args, arms, "backtest-sr-range-factor-train")
+    elif args.command == "residual":
+        arms = (args.only_arm,) if args.only_arm else RANGE_RESIDUAL_ARMS
+        _train(args, arms, "backtest-sr-range-residual-train")
     else:
         _validate(args)
 

tests/unit/test_backtest_service.py

@@ -765,6 +765,8 @@ def test_sr_research_variant_is_explicit_and_validated(monkeypatch):
         "legacy_range_grid_neutral",
         "production_range504",
         "rewrite_range504_legacy_primary",
+        "rewrite_range504_structural_legacy_primary",
+        "rewrite_range504_structural_primary2",
     ):
         monkeypatch.setenv("BACKTEST_SR_VARIANT", variant)
         assert bt._sr_research_variant() == variant
@@ -776,6 +778,10 @@ def test_sr_research_variant_is_explicit_and_validated(monkeypatch):
 def test_range_factor_detector_mapping_is_explicit():
     assert bt._sr_detector_variant("production_range504") == "production_control"
     assert bt._sr_detector_variant("rewrite_range504_legacy_primary") == "rewrite"
+    assert bt._sr_detector_variant(
+        "rewrite_range504_structural_legacy_primary"
+    ) == "rewrite"
+    assert bt._sr_detector_variant("rewrite_range504_structural_primary2") == "rewrite"
     assert bt._sr_detector_variant("soft_zones_legacy_primary") == "soft_zones"
 
 
@@ -789,6 +795,10 @@ def test_range_factor_gate_is_research_arm_only():
     below = bt.RANGE_FACTOR_MIN_LOG - 0.01
     assert not bt._range_factor_allows("production_range504", below)
     assert not bt._range_factor_allows("rewrite_range504_legacy_primary", below)
+    assert not bt._range_factor_allows(
+        "rewrite_range504_structural_primary2",
+        below,
+    )
     assert bt._range_factor_allows(
         "production_range504",
         bt.RANGE_FACTOR_MIN_LOG,
@@ -796,6 +806,18 @@ def test_range_factor_gate_is_research_arm_only():
     assert bt._range_factor_allows("production_control", below)
 
 
+def test_residual_arms_change_only_the_primary_rr_floor():
+    activation = {"min_rr": 2.0}
+    assert bt._primary_min_rr_for_variant(
+        "rewrite_range504_structural_legacy_primary",
+        activation,
+    ) == 1.5
+    assert bt._primary_min_rr_for_variant(
+        "rewrite_range504_structural_primary2",
+        activation,
+    ) == 2.0
+
+
 @pytest.mark.parametrize(
     ("variant", "neutral_strength"),
     [

tests/unit/test_recommendation_service.py

@@ -374,3 +374,6 @@ def test_gate_requires_confirmation_for_standalone_round_number():
     assert _gate_eligible_levels(
         [untouched, confirmed, confluent], confirmed_rounds_only=True
     ) == [confirmed, confluent]
+    assert _gate_eligible_levels(
+        [untouched, confirmed, confluent], exclude_standalone_rounds=True
+    ) == [confluent]