54 Commits

Include renames

Author	SHA1	Message	Date
dennisthiessenandClaude Opus 4.8	402025692a	add cross-sectional signal evaluation (factor rank-IC) to the backtest ... The per-setup hit-rate report can't tell whether a signal predicts returns — only how a target/stop structure built on one performs. This adds a cross-sectional factor-IC pass: each week the universe is ranked by a price-only signal and graded by its rank correlation (Spearman IC) and top-minus-bottom- quintile spread against the forward 30-day return. Candidate signals (point-in-time from price; sentiment/fundamentals have no history in the replay): 12-1/6-1/3-1 month momentum, 1-month reversal, price-vs-200d SMA, proximity to the 52-week high (George/Hwang), and 126-day realized volatility (low-vol anomaly). Reuses the existing per-ticker replay loop (no new data, no second DB pass); results land in the cached backtest_report as `signal_eval` and render as a "Signal edge" table in BacktestPanel beside the calibration curve. 330 backend tests pass (10 new in test_signal_eval); frontend build clean. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>	2026-06-23 17:58:40 +02:00
dennisthiessenandClaude Opus 4.8	c34f3cb1a4	redesign activation gate to expected value + make pipelines cron-configurable ... Diagnosing "no qualified signals for 5 days": setups were generated but none qualified. The gate required BOTH a high min_rr (2.0) AND a high min_target_probability (60), which became contradictory after the Jun-15 probability recalibration — probability already embeds R:R via the 1/(rr+1) ruin term, so high-R:R targets are inherently low-probability and nothing cleared both. Gate is now expected value (R): p*rr - (1-p) from the primary target's probability. R:R and confidence stay as floors; high-conviction / exclude-conflicts / min-target-probability become optional tighteners (default off). Defaults: min_expected_value=0.15, min_rr=1.2, min_confidence=55. EV is only enforced when computable. Migration 009 clears stored activation_* rows so the new defaults apply. Backtest sweeps min_expected_value instead of target probability. Scheduling: pipelines are now cron-configurable in Admin -> Jobs. daily_pipeline (full, default 0 7 * * *) plus a new light intraday_pipeline (OHLCV + outcome eval, default hourly US session) that keeps prices/live-R:R current without setup churn. Fundamentals on its own early weekly cron. Timezone configurable (default Europe/Berlin). Moving interval->CronTrigger also fixes the restart-deferral bug where an interval job's countdown resets on every process restart. 319 backend unit tests pass; frontend tsc clean. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>	2026-06-23 14:46:38 +02:00
dennisthiessenandClaude Opus 4.8	050abc6f71	backtest: add min target-probability sweep ... Re-applies the activation gate at several min_target_probability thresholds (60→30, other conditions fixed) over the already-replayed candidates, so the trade-off between how many setups qualify and their expectancy is visible in one table — the cheap "optimize" half of Phase 2. Candidates now carry meets_core + best_prob so the sweep needs no re-replay. New sweep table in BacktestPanel with the current threshold starred. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>	2026-06-16 06:13:30 +02:00
dennisthiessenandClaude Opus 4.8	6df67ad7ae	add backtest harness (Phase 1): historical replay + hit-rate & calibration reports ... Replays the price-derived engine over stored OHLCV: at each weekly as-of date, rebuild the setup from bars <= D (no lookahead) and walk the actual forward bars for the realized outcome. Reports realized hit-rate/expectancy of qualified setups (and all setups, by direction) plus a probability calibration curve (predicted target prob vs realized hit rate). Reuses pure functions throughout; extracted compute_technical_from_arrays / compute_momentum_from_closes from scoring_service so live and backtest stay in sync. Runs as a weekly/triggerable 'backtest' job caching the report in a SystemSetting; GET /backtest/report serves it. Sentiment/fundamentals held neutral (no point-in-time history) — calibrates the price/S-R/probability machinery. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>	2026-06-15 20:14:07 +02:00