dennisthiessen
736451e26f
Move the only qualifying R:R scan to 15:30 ET with chained Telegram alerts, put outcome eval after a final-bar OHLCV fetch, enforce NY trading-day requalify semantics, stamp paper trades fill_mode=near_close, and migrate stored schedule_* keys to America/New_York.
193 lines
8.1 KiB
Markdown
193 lines
8.1 KiB
Markdown
# Execution recovery (2026-07-18) — when you fill is the edge you leave on the table
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Report: `reports/execution_recovery_matrix.json` / `.md`
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Follows Phase A A4 ([phase-a-matrix.md](phase-a-matrix.md)).
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Arms: `close_control` · `next_open` · `stale_close` · `next_open_gap2`.
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Mechanics verified before sign-off: `stale_close` re-anchors stop to
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fill − 1.5×ATR(signal day); no same-day stop after a close fill; each t−1
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candidate keeps its own gate/rank cross-section (no lookahead). Numbers trusted.
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---
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## Results
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| Arm | Full Sharpe | Full CAGR | Full DD | Train Sharpe | Val Sharpe |
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|---|---:|---:|---:|---:|---:|
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| **close_control** | **1.77** | **48.3%** | **21.6%** | 1.75 | 1.68 |
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| **stale_close** | **1.57** | **40.6%** | **21.8%** | 1.36 | **1.74** |
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| next_open | 1.20 | 30.0% | 28.2% | 0.94 | 1.44 |
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| next_open_gap2 | 1.06 | 25.2% | 27.8% | 0.72 | 1.41 |
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### Monotonicity (the strongest evidence)
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In every window, Sharpe recovers as the fill moves **toward** the signal:
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| Window | next_open → stale_close → close |
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|---|---|
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| Train | 0.94 → 1.36 → 1.75 |
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| Validation | 1.44 → 1.74 → 1.68* |
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| Full | 1.20 → 1.57 → 1.77 |
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\*Val close 1.68 is within SE of stale 1.74 — not a break of the story.
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A dead edge does **not** produce a monotone gradient in fill timing. A live edge
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that is progressively surrendered to execution delay does. Combined with full-period
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**DD recovery** (28.2% → 21.8% ≈ close’s 21.6%), this confirms the diagnosis:
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**when you fill**, not decaying alpha.
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### Auto-flag `recover: False` is not a null
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Pre-registered recovery applied the “≥ close − 0.5 SE” bar to **`stale_close`**,
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the **lower-bound** arm (one full session of lag). Flags:
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| Flag | Result |
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|---|---|
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| near_close_control (val) | **True** (Δ +0.06) |
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| beats_next_open | **True** (val Δ +0.30) |
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| train_ok | **False** (1.36 vs need ≥ ~1.39 — miss by ~0.03) |
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The floor missed “≥ close − 0.5 SE” by 0.03 while the live design is expected to
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sit **above** the floor. The flag worked correctly on the wrong object.
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**Log sentence:** *Partial recovery proven; full recovery needs same-day fill.*
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### Live outcome bracket
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| Bound | Arm | Meaning |
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|---|---|---|
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| Floor | stale_close ~1.57 full | One-session-stale close fill (conservative) |
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| Ceiling | close_control ~1.77 full | Same-day close; optimistic only by final ~15 min of signal info |
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Real near-close execution (scan ~15:30–15:40 ET on a ~99% complete bar, MOC by
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15:50/15:55) is signal-at-partial-bar filled at the same close the control uses.
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**Live truth is bracketed [1.57, 1.77]** with residual uncertainty of ~15 minutes
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of staleness, not 24 hours — expect near the **top** of the bracket.
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`stale_close` alone already justifies the schedule change. **No further fill-timing
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simulation on this snapshot** — the bracket is the result. You cannot simulate
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15:45 partial bars from daily data, and you do not need to.
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### Gap-cap — dead (third tail-trim instance)
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`next_open_gap2` worse than plain next_open on every window (full Sharpe 1.06 vs
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1.20). **262** full-period gap-ups skipped — they were continuations.
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This is the **third independent instance** of the same lesson:
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1. Take-profit exits (gate target as TP)
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2. FIP as an in-book filter
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3. **Gap-up entry caps**
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Any rule that trims the right tail improves cosmetic quality metrics and destroys
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P&L. **Standing method rule:** momentum filters must be presumed guilty of
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tail-trimming until shown otherwise.
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---
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## Decisions locked
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1. **Biggest lever is execution scheduling**, not a strategy rewrite.
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2. **Until near-close execution is live:** grade strategy promotion under
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`fill_mode=next_open`; keep close-fill as historical control.
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3. **After near-close ships:** grade under a close-like / near-close fill mode
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(actual live path).
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4. **No more sim arms** on fill timing for this snapshot.
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5. **Gap-cap:** do not ship.
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6. **Strategy work** (nasdaq_all, fip_id, sector) waits until the execution path
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is decided — those experiments must be graded under the fill mode you will trade.
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---
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## Ops design — implementation plan (code-checked)
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Assumptions verified against current code before ship:
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- Intraday pipeline already fetches/upserts the **in-progress day-t bar** all
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session (`fetch_ohlcv` end_date defaults to today). Near-close job =
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**OHLCV fetch → R:R scan** (no new snapshot synthesizer).
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- One global `schedule_timezone` (default `Europe/Berlin`); stored
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`SystemSetting` values shadow code defaults — **defaults alone do not
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migrate prod**.
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- `observe_reentry_gate_transitions` stamps timestamps with **no same-day
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guard** today — dual scans would accelerate fail→requalify unless fixed in
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`trade_policy`.
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### Semantic guard (ship step 1 — precondition)
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In `trade_policy` (not the scheduler):
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> `reentry_gate_requalified_at` may only be set when `reentry_gate_failed_at`
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> falls on an **earlier America/New_York trading date** than the current
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> observation.
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Manual mid-day scans stay allowed; same-day fail+qualify cannot unlock.
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Unit test: fail 10:00 / qualify 15:35 same day → still locked; qualify next day → unlocked.
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### Schedule split
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| Slot (America/New_York) | Jobs |
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|---|---|
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| Morning (~02:00) | OHLCV backfill, benchmark, sentiment, fundamentals — **no** qualifying R:R scan |
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| Near-close (~15:30 Mon–Fri) | OHLCV fetch (refresh day-t bar) → **R:R scan** (only daily qualifying observation) |
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| After close (~16:30–17:00) | **Outcome eval** on its own slot (not chained to the partial-bar scan) |
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| Intraday hourly | Unchanged in NY terms; last ~16:00 still mid-session under 15m feed |
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- Near-close scan **1–5 only**; US-holiday no-ops are fine (stale identical data
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can’t flip gates) — comment only, no exchange calendar.
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- **Do not** run morning + near-close qualifying scans; move the scan, don’t add a second.
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### Behavior change to document (not an accident)
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With scan at ~15:35 ET, stops closed by **earlier same-day** intraday outcome
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evals can get a **same-day fail observation** — closer to the **promoted**
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`gate_reset` arm (stop-day close may establish failure) than today’s
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`strict_gate_reset` analogue (scan always before any eval). Stops after the
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bell still wait a day. Rewrite README “Live timing matters” / post-stop sections
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and a line here when shipping.
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### Feed / paper honesty
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- Document 15-minute delayed SIP: 15:35 scan may see ~15:20 prices; OK for 12-1.
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- Paper entry price ≈ scan entry (near close) is nearly automatic; add
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**`fill_mode=near_close` era tag** so Track Record can separate morning-scan /
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near-close / future broker-routed eras.
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- Morning sentiment staleness is display-only; gate is price-only (GTL parity /
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neutral-sentiment backtest). One doc line closes that.
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### Stored settings migration (ship step 4)
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Flip global default TZ to `America/New_York` and re-express crons in NY time.
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**Also** migration (or documented Admin rewrite) of stored `schedule_*` keys so
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prod does not keep 07:00 Berlin silently.
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### Ship order
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1. `trade_policy` distinct-day requalify guard + unit test
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2. Near-close job = existing fetch → scan; outcome eval own after-close slot
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3. Paper `fill_mode=near_close` era tag; verify entry marking
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4. Defaults + **stored settings migration** + README/research timing rewrite
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### Out of scope
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Broker MOC routing, more fill-timing sim, nasdaq_all / fip / sector (grade later
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under the fill mode you trade).
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---
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## Implementation status
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| Item | Status |
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| Research evidence | **Closed** — this doc + matrix report |
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| Distinct-day gate-reset guard | **Shipped** — `trade_policy` + unit test |
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| Schedule split + near-close scan→alert | **Shipped** — morning / near-close / after-close (fetch→outcome) |
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| Paper era tag | **Shipped** — `fill_mode=near_close` on new paper trades |
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| Settings migration + docs | **Shipped** — alembic 023 rewrites schedule_*; README updated |
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### Shipped behavior change (not accidental)
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Near-close scan at ~15:30 ET lets same-day fail observations after earlier
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intraday stop closes — closer to promoted `gate_reset` than the old
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morning-scan `strict_gate_reset` analogue. Documented in README.
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