dennisthiessen
1e82dfad7f
Production strategy change based on the July 2026 backtest: paper trades now default to a 30-trading-day hold with the initial stop (classic momentum hold-and-rerank), while target and trailing exits remain available in Admin. The exit policy API/UI now carries hold_days and close_reason can be 'time'. The activation confidence floor default is now 0/off because the gate ablation showed it added no per-trade edge while filtering out usable setups. Migration 015 clears stored activation_min_confidence and paper_exit_mode so the new defaults take effect; this intentionally resets Track Record comparability from this deploy. Verification: 451 backend tests pass, ruff check app/ clean, frontend npm run build clean. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
51 lines
1.7 KiB
Python
51 lines
1.7 KiB
Python
"""Phase 3 strategy adoption: time-based exit + confidence floor removed.
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The July 2026 backtest (gate ablation graded under both exit models, plus the
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capital-constrained portfolio simulation) concluded:
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- The best exit is hold-to-horizon: keep the initial ATR stop and exit at the
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30th trading day's close (+0.50R net/trade vs +0.13R for the S/R target
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exit; simulated book +31.9% vs +23.7% CAGR at the same drawdown). The paper
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trade exit-policy default is now ``time`` (30 trading days).
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- The confidence floor adds nothing (identical net/trade with it removed,
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under both exit models) while cutting ~25% of qualified trades. Its default
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is now 0 (off).
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Stored rows for these two settings were written under the old semantics, so
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they are cleared here and the new code defaults take effect. Re-tune in
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Admin -> Activation / Paper-Trade Exit if desired. Note: this changes which
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setups qualify and how paper trades close, so Track Record comparability
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resets from this deploy.
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Revision ID: 015
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Revises: 014
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Create Date: 2026-07-02 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 = "015"
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down_revision: Union[str, None] = "014"
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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.execute(
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sa.text(
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"DELETE FROM system_settings "
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"WHERE key IN ('activation_min_confidence', 'paper_exit_mode')"
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)
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)
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def downgrade() -> None:
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# One-way data reset: the old per-key values aren't recoverable. Code
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# defaults apply until re-tuned, so there is nothing to restore.
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pass
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