dennisthiessenandClaude Fable 5
ba2df8b9fd
The manual paper book only contains trades taken by hand, inside a 20
minute window, on days someone was available. The backtest that validated
this strategy auto-takes the top-ranked qualified setups up to capacity
every session. The forward record was therefore measuring strategy plus
discretion plus availability -- and degrading silently on busy days.
The shadow book closes that gap: it mirrors the backtest's selection rule
(top strategy_rank qualified, up to capacity, 1% fixed-fractional risk)
and shares the manual book's exit policy, so the only difference between
the two books is which setups get taken. Selection ordering reuses the
strategy_rank the scanner already stores rather than recomputing it, so
the two cannot drift apart. It runs as a near-close pipeline step right
after the scan, marking entries at the same prices a human would see.
Gate-reset re-entry state is now scoped per book -- the books diverge as
soon as their entries differ, and each must see only its own stops.
Performance view rewritten around the comparison:
- three series (shadow, manual, SPY) from a new endpoint
- SPY changes from a per-trade cost-basis counterfactual to plain
buy-and-hold %, since one line has to serve two books
- headline stats are R-multiples, not currency: the books size
differently, so only R compares across them
- configurable start date, because the strategy has been revised
repeatedly and pre-cutover trades ran under rules that no longer
exist
Migration 024 also repairs the numeric weekday crons written by 023,
rewriting only rows still holding the broken form so hand-corrected
settings survive. Its literals are inlined because bound parameters
render as NULL under 'alembic upgrade --sql'.
The shadow book is opt-in and writes nothing until enabled. Verify its
first selections match a backtest of that day's cross-section before
trusting any point on the curve.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
60 lines
2.3 KiB
Python
60 lines
2.3 KiB
Python
"""paper trade book tag (manual vs shadow) + weekday cron repair
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Revision ID: 024
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Revises: 023
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Create Date: 2026-07-20 00:00:00.000000
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Two things ship together because both are corrections to 023's stored state.
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1. ``paper_trades.book`` separates the discretionary book from the automatic
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shadow book. Everything that exists today was opened by hand, so the
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backfill value is "manual".
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2. 023 wrote weekday crons with a numeric day-of-week. APScheduler's
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from_crontab() feeds field 5 to its own day_of_week where 0=Monday, so
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"1-5" resolved to Tue-Sat: every Monday was skipped and the scanner ran on
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Saturdays against stale data. Rewrite only the rows that still hold the
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broken numeric form, so a hand-corrected setting is never clobbered.
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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: str = "024"
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down_revision: Union[str, None] = "023"
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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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# key -> (broken numeric form written by 023, corrected named form)
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_CRON_REPAIR: dict[str, tuple[str, str]] = {
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"schedule_near_close_pipeline_cron": ("30 15 * * 1-5", "30 15 * * mon-fri"),
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"schedule_after_close_pipeline_cron": ("45 16 * * 1-5", "45 16 * * mon-fri"),
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"schedule_intraday_pipeline_cron": ("0 10-15 * * 1-5", "0 10-15 * * mon-fri"),
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"schedule_fundamentals_cron": ("0 1 * * 1", "0 1 * * mon"),
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}
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def upgrade() -> None:
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# server_default backfills existing rows, so no separate UPDATE is needed.
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op.add_column(
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"paper_trades",
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sa.Column("book", sa.String(length=10), nullable=False, server_default="manual"),
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)
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# Literals are inlined rather than bound because bound parameters render as
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# NULL under `alembic upgrade --sql`, which would silently produce a script
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# that matches nothing. Every value here is a constant defined above.
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for key, (broken, fixed) in _CRON_REPAIR.items():
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op.execute(
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f"UPDATE system_settings SET value = '{fixed}' " # noqa: S608
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f"WHERE key = '{key}' AND value = '{broken}'"
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)
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def downgrade() -> None:
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op.drop_column("paper_trades", "book")
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# Crons are deliberately left corrected — restoring the numeric form would
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# reintroduce the skipped-Monday bug.
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