dennisthiessen
605f95098c
Part 1 — long-only. The momentum edge is long top-momentum; the gate was
qualifying shorts on high-momentum names (fighting the trend), which showed as
the -0.13R Short(qual.) drag. While the gate is active, shorts no longer qualify
(backend qualification, backtest _momentum_qualifies, and the frontend mirror).
Part 2 — production wiring. Live setups now carry a real momentum rank, so the
dashboard, the Track Record's qualified stats, and outcome evaluation all gate on
the same value instead of deferring to floors:
- new momentum_service.compute_momentum_percentiles: 12-1 momentum per ticker,
ranked across the universe into a {symbol: percentile} map.
- the daily R:R scan ranks the universe up front and stores each setup's
percentile (new trade_setups.momentum_percentile column, migration 010).
- enhance_trade_setup mutates the same row, so the percentile is preserved;
_trade_setup_to_dict + TradeSetupResponse expose it to the API.
Until a fresh scan runs, pre-existing setups have a null percentile and the gate
falls back to floors for them (longs) / excludes them (shorts) — they fill in on
the next scan. 341 backend tests pass; frontend build clean.
Needs the alembic upgrade (migration 010) on deploy.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
35 lines
946 B
Python
35 lines
946 B
Python
"""add momentum_percentile to trade_setups
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The activation gate selects the top slice of the universe by 12-1 month momentum.
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That rank is computed across all tickers at scan time and stored on each setup so
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the live list, the Track Record's qualified stats, and outcome evaluation all gate
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on the same value (momentum as of the setup's detection).
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Revision ID: 010
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Revises: 009
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Create Date: 2026-06-23 00:00:00.000000
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"""
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from typing import Sequence, Union
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from alembic import op
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import sqlalchemy as sa
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# revision identifiers, used by Alembic.
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revision: str = "010"
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down_revision: Union[str, None] = "009"
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branch_labels: Union[str, Sequence[str], None] = None
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depends_on: Union[str, Sequence[str], None] = None
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def upgrade() -> None:
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op.add_column(
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"trade_setups",
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sa.Column("momentum_percentile", sa.Float(), nullable=True),
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)
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def downgrade() -> None:
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op.drop_column("trade_setups", "momentum_percentile")
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