dennisthiessenandClaude Opus 4.8
85b3ef618f
Investigated whether our support/resistance detection follows best practice and whether we actually use it that way. Three findings, all backed by runs against the prod snapshot and written up in docs/research/sr-levels-and-exits.md: - The S/R target must NOT become an exit. Honoring it as a take-profit on top of the 3x ATR trail drops Sharpe 2.04 -> 1.47 and halves CAGR. Win rate rises (37.5% -> 40.0%), which is the tell: it truncates the right tail where momentum's edge lives. - The clear-air fallback (synthesize a 3xATR target where no resistance exists, so 52-week-high breakouts stop being vetoed) looked strictly better in-sample (Sharpe 2.04 -> 2.07, CAGR 50.4% -> 62.3%, DD 21.4% -> 20.1%) but FAILED a real out-of-sample holdout: on entries after 2024-07-01 it is worse on Sharpe (2.78 -> 2.45) and Calmar, better only on raw CAGR. Not shipped. - The detector itself is weak vs best practice (POC/VAH/VAL computed then discarded, HVN = any above-mean bin, 1.48x volume double-counting, "touch" counts pass-throughs, no round numbers), but its only causal path to P&L is the entry gate. Fix it for the displayed levels, not for returns. Method note: nested lookback windows are NOT out-of-sample. The in-sample result was clean, large, and consistent across five windows, and still did not survive a proper entry-date split. All research paths are off by default and the default report is unchanged: BACKTEST_RESEARCH_EXITS=1 take-profit exit rows BACKTEST_ATR_TARGET_FALLBACK=k synthetic k*ATR target when S/R offers none BACKTEST_FALLBACK_CLEAR_AIR_ONLY=1 restrict that to genuinely clear air BACKTEST_HOLDOUT_SPLIT=YYYY-MM-DD train/test split by entry date Also fixes two reproducibility holes found while reconciling our local baseline against the live report: - create_backtest_snapshot.py now copies paper_% settings. The production monitor row replays the runtime exit policy via get_exit_policy(); without those keys a snapshot silently falls back to code defaults, so a live-tuned exit would never be reflected. - Migration 020 drops activation_min_expected_value and activation_min_target_probability. Both are orphans of the June EV-gate redesign, read by no code path, but prod carries min_target_probability = 50.0 which implies a probability floor that is not enforced (the real floor is the 20% constant in qualification.py). Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
64 lines
2.2 KiB
Python
64 lines
2.2 KiB
Python
"""Drop the orphaned EV-gate activation settings.
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``activation_min_expected_value`` and ``activation_min_target_probability`` are
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leftovers from the June 2026 EV-gate redesign (migration 009). That gate was
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superseded by the residual-momentum gate, and the current code reads neither key:
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``admin_service._ACTIVATION_FLOAT_KEYS`` exposes only ``min_momentum_percentile``,
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``min_rr`` and ``min_confidence``, and ``qualification.setup_qualifies`` gates on
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those plus the hardcoded ``MIN_TARGET_PROBABILITY`` floor.
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The rows are therefore inert but actively misleading: prod carries
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``activation_min_target_probability = 50.0``, so anyone reading the DB (or an
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Admin screen rendering it) would reasonably believe a 50% probability floor is
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enforced. It is not — the real floor is the 20% constant in ``qualification.py``.
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Reads never recreate them (``settings_store.get_value`` returns a default without
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persisting), and the current Admin write path no longer emits these keys, so the
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delete is permanent. Follows the precedent of migrations 009, 015 and 018.
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Revision ID: 020
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Revises: 019
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Create Date: 2026-07-12 00:00:00.000000
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"""
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from __future__ import annotations
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from alembic import op
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import sqlalchemy as sa
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revision = "020"
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down_revision = "019"
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branch_labels = None
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depends_on = None
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ORPHANED_KEYS = (
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"activation_min_expected_value",
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"activation_min_target_probability",
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)
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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 WHERE key IN "
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"('activation_min_expected_value', 'activation_min_target_probability')"
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)
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)
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def downgrade() -> None:
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# Restore the values prod carried before the delete. They are inert either
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# way — no code path reads them — but this keeps the downgrade faithful.
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# ``updated_at`` is NOT NULL with only a Python-side default, so raw SQL must
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# supply it explicitly.
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op.execute(
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sa.text(
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"INSERT INTO system_settings (key, value, updated_at) VALUES "
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"('activation_min_expected_value', '0.01', CURRENT_TIMESTAMP), "
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"('activation_min_target_probability', '50.0', CURRENT_TIMESTAMP) "
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"ON CONFLICT (key) DO NOTHING"
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)
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)
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