"""Shared definition of a 'qualified' (actionable) trade setup. A single predicate, driven by the admin activation config, used by the performance stats (server) and mirrored on the frontend. The core selection is cross-sectional momentum: a setup's ticker must rank in the top ``min_momentum_percentile`` of the universe by 12-1 month momentum — the one signal the backtest showed actually sorts forward returns. R:R and confidence remain as floors, and conviction/conflict survive as optional tighteners (off by default). The momentum percentile is computed across the universe and attached to each setup upstream; when it's absent the gate falls back to the floors. """ from __future__ import annotations from typing import Any HIGH_CONVICTION_ACTIONS = {"LONG_HIGH", "SHORT_HIGH"} def best_target_probability(setup: Any) -> float: """Highest probability among a setup's targets, 0 if none.""" targets = getattr(setup, "targets", None) or [] probs = [float(t.get("probability", 0.0)) for t in targets if isinstance(t, dict)] return max(probs, default=0.0) def live_risk_reward(setup: Any, current_price: float) -> float | None: """R:R recomputed from the CURRENT price, not the (possibly stale) entry. Returns None / a low value when the setup is no longer actionable: price already at/past the target (no reward left) or through the stop. This is how over-progressed setups get filtered without a separate 'max progress' knob. """ if setup.direction == "long": reward = setup.target - current_price risk = current_price - setup.stop_loss else: reward = current_price - setup.target risk = setup.stop_loss - current_price if reward <= 0 or risk <= 0: return 0.0 return reward / risk def setup_qualifies(setup: Any, config: dict) -> bool: """Whether a setup clears the activation gate. ``setup`` is duck-typed: any object exposing rr_ratio, confidence_score, recommended_action, risk_level and a ``targets`` list of dicts. Gate order: R:R floor → freshness (live R:R) → confidence floor → momentum percentile (the core selection) → optional conviction / conflict tighteners. ``min_momentum_percentile`` defaults to 0 (off) for callers that pass a legacy config without the key. """ if setup.rr_ratio < config["min_rr"]: return False # Live R:R from the current price: drops setups whose price has already run # toward the target (reward consumed) or through the stop. Only applied when # a current price is attached (live list); skipped for historical setups. current_price = getattr(setup, "current_price", None) if current_price is not None: live_rr = live_risk_reward(setup, float(current_price)) if live_rr is not None and live_rr < config["min_rr"]: return False if (setup.confidence_score or 0.0) < config["min_confidence"]: return False # Cross-sectional momentum: the core selection. A setup's ticker must rank in # the top ``min_momentum_percentile`` of the universe by 12-1 momentum. The # validated edge is long-only, so while the gate is active shorts (which fight # the trend) never qualify. The percentile floor is only enforced when a # percentile is attached (live setups / backtest); callers that don't attach # it defer to the floors above. min_pct = float(config.get("min_momentum_percentile", 0.0)) if min_pct > 0: if (getattr(setup, "direction", "long") or "long") == "short": return False momentum_percentile = getattr(setup, "momentum_percentile", None) if momentum_percentile is not None and momentum_percentile < min_pct: return False # A NEUTRAL recommendation means the engine found no clear directional setup — # not an actionable signal, so by default it doesn't qualify (and can't be a # top pick). ``exclude_neutral`` defaults on; turn it off to also count # no-clear-direction momentum leaders. if config.get("exclude_neutral"): if (setup.recommended_action or "NEUTRAL") == "NEUTRAL": return False if config.get("require_high_conviction"): if (setup.recommended_action or "") not in HIGH_CONVICTION_ACTIONS: return False if config.get("exclude_conflicts"): if (setup.risk_level or "") != "Low": return False return True