Badge now derives PAPER/LIVE from broker truth (base-URL host) instead of the
schwab_live literal that read PAPER while go-live swapped only ALPACA_BASE_URL;
live flips body.live-mode (top shimmer -> solid red) with a tooltip of host +
account. Adds the header FLATTEN ALL (two-step arm/confirm, 5s auto-disarm) and
PAUSE ENTRIES toggle (+ amber banner), per-position EXIT buttons (two-step), and
an operator-token field sent as X-Dashboard-Token on every POST (also fixes
approve/reject when a token is set). Action controls gate on
has_execution || command_bus; kill-switch controls on command_bus. No keyboard
shortcut for any destructive action. New styling is :root-token-only.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Adds OperatorCommandEvent + a closed command vocabulary (flatten_all,
flatten_symbol, pause_entries, resume_entries). POST /api/command emits it
(token-required: 503 when DASHBOARD_TOKEN unset — commands never run
unauthenticated); the live loop's new 5s "command" step consumes them via
OperatorCommandConsumer with three replay-safety layers (in-session nonce set,
persisted operator_command_done reload, 10-min staleness window).
flatten_all routes through close_session DIRECTLY (never step_eod_flatten) so it
cannot trip plan 003's daily-restart exit. Pause is checked at the top of BOTH
request_approvals_for_ready_signals AND submit_breakout_now (missing either
leaks pause on that path). qabot gains an authorized-chat-only /flatten slash
command (prose "flatten" still refuses via _ACTION_WORDS). Snapshot exposes
broker truth + command_bus + a defensive experiment ledger.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Every SSE client polled COUNT(*) on a fresh EventStore connection each ~1s
(re-applying the 473-line schema unless PG_SKIP_SCHEMA=1). Replaced with one
process-wide _ChangeSignal: a single long-lived connection reads max(timestamp)
(idx_events_timestamp tail seek) at most once per second GLOBALLY behind a lock,
so N clients cost one query/sec. EventStore.max_timestamp() backs it; reader is
injectable for the query-budget test.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Every POST endpoint (approve/reject/exit/watch) crashed with NameError:
do_POST references os.environ + hmac.compare_digest but neither was imported.
Adds the imports, a non-loopback regression test for the token gate (no token
-> routes; token set -> 401 without/with-wrong header, 200 with correct), and
plumbs DASHBOARD_TOKEN + PG_SKIP_SCHEMA=1 into both compose dashboard services
(+ .env.example docs for DASHBOARD_TOKEN / COMMAND_BUS_ENABLED).
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Plan 006 step 4. experiments/*.json for time_stop_10m_v1, probe_add_v1,
asym_exit_v1, rank_one_bullet_v1, pm1_v1 — bars verbatim from the plan table,
production population, fidelity floors {0.25, 3, 1} from the research doc. Also
hardened evaluate(): n==0 and any uncomputable bar metric -> INCONCLUSIVE (not a
false FAIL). Cohort registers + survives run->adjudicate end-to-end. 25 tests green.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Plan 006 step 3. evaluate() scores runs against pre-registered bars
(_min/_max/min_n vocabulary) -> PASS/FAIL/KILLED/INCONCLUSIVE; terminal
verdicts flip status, emit an experiment_verdict event, and Telegram-ping ONCE
(terminal experiments are never re-adjudicated). Metric vocabulary covers
expR_delta/rate_1r plus pm1's median_up_60m/median_dd_60m/big_gap_rate_1r.
backfill_pm1 bridges pm1 from outcome_labels JOIN setup_events (variant +/-1,
baseline NULL). premarket_eval dual-writes the verdict through the harness while
keeping the legacy TSV. 8 tests green.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Plan 006 step 2. Reconstructs fires from the event stream (submit[buy] -> fill
-> close), population-filters via strategy/population.py, and applies three pure
interventions counterfactually on the bar path: time_stop, probe_add, asym_exit
(the last through strategy.exits.simulate_exit ONLY). Hard fidelity: +1-tick
adverse fills on entry AND stop, spread_proxy = median quiet-bar high-low, stop
floor = max(atr_frac*ATR14, spread_mult*spread_proxy). rank_one_bullet is
receipts-only and starves (documented) without plan-005 rank. Idempotent via PK
+ ON CONFLICT. Anti-slippage-artifact regression (test #2) green: a
zero-slippage-profitable path LOSES under adverse fills.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
New EntryGateEvaluatedEvent (symbol, source, passed, reject_reason, gates map)
emitted once per _evaluate_entry_gates decision on both paths, behind
TRADING_GATE_RECEIPTS (default on; dataclass default off so unit tests opt in).
Added to the 14-day nightly purge tuple (high-volume diagnostic) and .env.example.
Turns 'why didn't it trade X?' into a query and is the substrate plan 006 replays.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
One ordered gate sequence (session, confirmation-speed, population, VWAP,
quality, concentrate-by-rank, daily cap [fast-only], dedup/cooldown/reentry,
dilution veto, anti-chase) that BOTH request_approvals_for_ready_signals and
submit_breakout_now call. Gate bodies lifted verbatim from whichever path
owned them; slow-path risk events preserved source-guarded so the fast path
gains no new events. The two documented asymmetries now close:
- fast path routes through the VWAP gate (was ungated),
- slow path honours concentrate-by-rank via a rank_map threaded from the
trigger book into tick()/request_approvals (no-op at concentrate_top_n=0,
which is the production config — STOP #3 does not apply).
Price-sanity/entry_ref coercion stays path-native (different data sources);
slow-path dedup pre-filter kept first so per-tick re-scans don't re-emit.
16 characterization tests pin both paths; the only decision diffs vs
pre-extraction are the two closures above.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Pins today's slow-path (approval/event) and fast-path (skipped string)
decisions across single-condition signals, incl. the two asymmetries that
step 2 will close (fast has no VWAP gate; slow has no rank gate). Green
against unmodified trading_execution.py.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
from_env merges os.environ, and importing the .env-loading consumers populates
TRADING_MIN_ENTRY_GAP_PCT — so the "bare shell disables the gap gate" assertion
must delenv the key first. Test-only fix; the module behaviour is unchanged.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
- nightly_tune: write learned_params.json via tmp -> flush -> fsync ->
os.replace so a crash mid-dump can't leave the live loop parsing half a JSON
on its next boot (it reads this file on every restart).
- run_live_paper._load_learned: warns (boot log + one gated Telegram note) when
the file is older than LEARNED_PARAMS_MAX_AGE_DAYS (default 3) — the missing
signal that let the params sit 26 days stale. Loads anyway; never blocks boot.
Staleness math factored into _learned_params_age_days (naive ts = UTC).
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Both offline consumers now screen through strategy.population.population_reject
instead of divergent, look-ahead admits:
- learn_params.load_sessions: replaces the `gap>=0.03 OR day_rvol>=2.0` admit,
whose day_rvol was a FULL-DAY volume sum (outcome-time look-ahead, the
2026-07-08 class). gap is already a FRACTION (open vs prev close) — passed
as-is; the OPEN price is passed for the price band. Stored daily bars expose
no open-knowable volume, so volume=None (fail-open on the day-volume floor) —
no day-end volume is smuggled into admission.
- eod_replay._daily_gappers: screens on the OPEN price + STATIC open gap (was
t_close look-ahead) via the shared gate; the local gap is converted to a
FRACTION before the call, so it inherits the >=150% squeeze exception. Deletes
the stale $1-5 / 3-60% WATCHER_/TRIGGER_ constants (KEEPS RISK_PCT). The
second-stage scan_gappers is made permissive (membership already decided by
the shared gate), removing the `gap_pct <= 60%` cap that wrongly dropped
squeezes. Prod thresholds passed explicitly (bare from_env would disable gap).
Unit test replaces the live-DB smoke run: $15/+12% qualifies, $4/+45% rejected
unless >=150%+rvol5. research/labeler.py deferred to plan 006 (no locatable
price/gap admission screen); sweep_exits/sweep_filters likewise deferred.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
The tradeable population is now defined ONCE. trading_execution._population_reject
becomes a thin wrapper building a PopulationConfig from its settings and calling
strategy.population.population_reject — logic moved verbatim (dead-band 0.35/1.50
and squeeze rvol 5.0 are module CONSTANTS, gap floor / price band / volume floor
from config). Behaviour byte-identical: the pre-extraction characterization suite
stays green through the new public seam.
from_env mirrors ExecutionSettings.from_env (same 4 keys + the [0,1] _qfloat clamp)
so a live-shaped shell reconstructs the identical gate. gap_pct FRACTION contract
and the as_of open-knowable contract are documented for offline consumers.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
11 table-driven cases pin the CURRENT behaviour of the live population gate
before plan 004 extracts it to strategy/population.py: in-band pass, below-gap,
dead band, squeeze pass/fail, both price-band sides, volume floor, missing-data
fail-open, the gap-is-a-FRACTION unit pin, and the gap-gate-disabled nesting.
These must stay green byte-for-byte across the extraction.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Plan 003 step 5 (completes plan 003). research/eod_reconcile.py diffs broker
truth (open positions, today's live orders) against event-store truth (today's
submits/fills/closes) and emits a loud eod_reconcile event + Telegram alert on
any drift — the duplicate-resting-order-after-restart class (2026-07-06) caught
automatically instead of by hand. Read-only (reports, never auto-fixes). Wired
into both scheduler blocks after premarket_eval. Pure diff core is unit-tested.
Suite: 373 passed (+22 plan-003 tests), 15 fail = WSL-loopback dashboard only.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Plan 003 step 4. A transport error AFTER the POST landed leaves a live order
resting at the broker; journaling it 'cancelled' breeds the duplicate/naked
order (2026-07-06 incident). Add client.get_order_by_client_order_id + an
after= passthrough on get_orders; on the generic-exception path, look up the
order by the client_order_id we already send and, if live, emit the normal
submitted sequence (ok=True) instead of cancelled. AlpacaApiError (real
rejection) is NOT reconciled. Fills the empty test_alpaca_client.py.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Plan 003 steps 1-3.
- Loop exit(0) after a SUCCESSFUL EOD flatten (TRADING_EXIT_AFTER_EOD_FLATTEN,
default on); compose restarts fresh. Restart-churn guard: _rebuild_daily_state
detects today's eod_flatten event and seeds _session_closed/_eod_done so a
post-flatten restart neither re-flattens nor re-exits. SIGTERM = clean drain.
- Exit manager: _FETCH_FAILED sentinel distinguishes a failed get_orders from a
genuinely-empty snapshot. A failed fetch skips naked-stop enforcement (catastrophe
still exits, re-fetching); an empty-but-successful snapshot needs TWO consecutive
reads before 'naked' is trusted (Alpaca silently returns [] for symbols=). Costs
~one 12s pass on the all-naked case only; isolated naked positions unaffected.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Finishes what d54a2a9's message claimed: schwab/ was never actually removed.
Also: comprehensive_backtest.py (crashed on import — research/connection.py
does not exist), strategy/universe.py, strategy/backtest/outcomes.py,
detect_momentum_ignition (kept _last_higher_low — imported by runner/
premarket_setup/liquid_breakout), milestone3_verify.py, tests/unit/schwab/,
SCHWAB_* keys from .env.example. All grep-gated: zero live references.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
The loop's Telegram notifier runs inside the loop process — loop-down means
alerts-down. The always-up qabot now reads max(events.timestamp) every ~120s
(ET-naive vs ET wall clock per RUNBOOK): stale > DEADMAN_STALE_MIN during
market hours (holiday-aware via runtime.market_calendar) alerts at most every
30 min; DEADMAN_DAILY_PING sends one OK-ping after 20:30 ET. Injected
clock/read/send; 6 unit tests, no network or DB.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Consolidated 4-tool review (2 correctness agents + Codex + over-eng audit).
Money-path (regression-tested):
- _flatten_all: moved the fresh-broker close from close_session INTO the
shared function + added a broker-held guard on entry cancellation, so
the daily-loss CIRCUIT BREAKER (which called _flatten_all raw) no
longer strips a just-filled bracket's legs or leaves a sync-gap fill
naked. One guard, all callers.
- restart state rebuild: _fresh_entries cap, _requested_symbols dedup,
and losing benches now rebuild from today's events on boot — a
mid-session restart no longer resets the cap to 0 or re-fires a
resting order into a duplicate (the 2026-07-06 incident).
- POST /orders no longer retries a lost-response URLError (was
re-sending duplicate live orders); GET/DELETE still retry.
- expire_stale_entries now @_locked (raced the trigger thread).
- _session_open: ET conversion instead of a hardcoded 13:30-13:33Z
window that only matched EDT — the fast path armed nothing all winter.
Security:
- admin panel fail-CLOSED on empty ADMIN_TOKEN (was fail-open on a panel
fronting the docker socket); header-only token, constant-time compare.
- admin API responses redact secret override VALUES (live keys would
have echoed after a paper->live switch).
- dashboard: removed wildcard CORS (cross-origin drive-by could drive
trade actions); optional DASHBOARD_TOKEN gate on POST.
Deletions (~805MB + dead code shipped in the prod image): momentum-
rebuilt.zip, archive venv/htmlcov, and schwab/ core/ telemetry/ models/
runtime/providers/ storage/replay.py controlroom/ + three dead
evaluation stubs + package.json — all verified zero-importer.
+4 regression tests. 99 money-path/trigger/exit tests green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
2026-07-09 evening: the loop submitted three real resting entries at
18:53-20:09 ET (TDTH x2, SUNE). Root cause: NO market-phase gate ever
existed on either entry path — SIP prints extended-hours trades, so
after-hours price crosses fire the trigger book and evening-fresh
signals sail through the approve path. The hole predates the container
move; Thursday was merely the first evening conditions aligned.
_outside_session() (ET wall clock via zoneinfo, weekend-aware) now bars
fresh entries outside TRADING_SESSION_START..END (default 09:30-15:55)
on both submit_breakout_now (skipped: outside_session) and the approve
path (quiet skip). Exits and management remain ungated. Dataclass
default OFF so directly-constructed test settings are unaffected;
from_env defaults ON so every deployed config gets the gate.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Tested the source trader's numeric selection playbook on the unbiased
(open-knowable) year universe, n=2,643 point-in-time ORB entries:
- Dead band RE-CONFIRMED on clean data (35-75% +0.006, 75-150% -0.066)
— CLRO/VTAK were anecdotes; band exclusion + squeeze exception stand.
- His $5-10 price sweet spot inverts for our system: edge RISES with
price ($10-20 best at +0.143); the $1-2 bucket is negative (-0.031,
n=609). SHIPPED: price floor $1->$2 (population gate band now
env-driven TRADING_PRICE_MIN/MAX; watcher floor raised to match).
- His rvol>=5 floor is backwards for us: rvol 2-5x at entry +0.346R vs
>=10x -0.047 (n=818) — crowded spotlight names hurt our entries.
NOT shipped (conflicts with the squeeze exception's rvol needs;
logged for forward validation via the new per-signal relative_volume).
- SHIPPED: buyout/merger headlines never rank-boost (price is pegged —
the CRNX class); keyword suppression in the catalyst multiplier.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The 2026-07-08 audit (owner: "figure out if there is some kind of logic
or audit issue") found BOTH entry paths feeding the population gate the
WRONG gap. The fast path used the trigger book's dynamic gap (latest
price vs prev close), so intraday rallies masqueraded as gappers: TVRD
(6.0% true gap), SKIN (2.2%, filled at $0.98), JLHL (4.3%) all traded
outside the validated population. The slow path used max(gap, intraday)
with "open" taken from the first lookback-window bar, and had no upper
band at all — dead-band names SEER (38.6%) and IOTR (40.7%) entered.
Fixes: candidates carry gap_open_pct (session open vs prev close);
trigger eligibility + submit_breakout_now use it exclusively once the
session is open; _population_reject now implements the full validated
band (10-35% OR volume-verified >=150% squeeze, $1-20 price band) for
both paths; evaluator gap uses the session open; signals carry
relative_volume for squeeze verification. Plus momentum-testpg.service
so the test-isolation Postgres survives reboots.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
LHSW gapped +278% on 100M shares, was rank 2 in the trigger book at
4:49am, ran +346%, and was the source trader's entire day — the bot's
TRIGGER_GAP_MAX=35 capped it out, same as NXTS two weeks ago, while the
bot spent its entries on the shadow round-trips (SEER/ELAB/PLUG/YRD).
Year-scale replay (n=2,879 ORB entries, 14 months, reverse-split
artifacts excluded by requiring a real volume surge): the 35-150% band
is dead (+0.02R / +0.00R — the cap earns its keep there), but REAL
>150% squeezes (n=82) ran +0.63R with 8/14 months >= 0, 4x the core
band's edge. New gap_squeeze_min/gap_squeeze_rvol re-admit gaps >=150%
only when rvol >= 5 (split repricings show rvol ~0.01 and stay out).
Live: TRIGGER_GAP_SQUEEZE_MIN=150, TRIGGER_GAP_SQUEEZE_RVOL=5.0.
Existing guards (trigger/day extension, halt, BE@+5% ratchet, sizing)
still apply to these names.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Live 2026-07-06: every fresh entry was market-exited seconds after
filling (ELAB round-tripped in 3s, SEER in 77s, PLUG in 85s) — all
logged as exit_trail. Root cause: seconds after a fill there is no
completed minute bar with timestamp >= the fill time, and _bars_since's
empty result fell back to the WHOLE DAY's bars, so manage_live's
high-water included the pre-entry HOD and the trail read as already
breached on any name trading off its high. The whole-day fallback is
removed: with no post-entry bars the manager now leaves the position
alone (the bracket's initial stop is the protection) until the first
post-entry bar lands. Regression test verified to fail on the old code.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The gapper-history reconstruction (n=3,008 symbol-days / 14 months) REFUTED the 15-min
confirmation gate (late crosses beat early 12/14 months incl June 2026 — the 19-day
"+0.42R early" was a definition artifact) and found the first at-scale +EV configuration:
top-20 ranked gappers (gap >= 10%, $1-20, day volume >= 300k) are +0.05..+0.15R under the
live BE@+5% ratchet exits in EVERY rank x timing segment — including rank 6-20 ("D tier",
owner-approved: +0.153R early, the best cell). The live book bled by trading OUTSIDE that
population (low-gap, thin names), not by mistiming.
- ExecutionSettings.min_entry_gap_pct / min_day_volume (TRADING_MIN_ENTRY_GAP_PCT=0.10,
TRADING_MIN_DAY_VOLUME=300000): POPULATION gate on BOTH entry paths — auto path skips +
logs rule_type=population_below; fast path returns skipped=population_below. Fail-open
on missing data (house rule: never block on unknowns).
- evaluate_setup now surfaces the true overnight gap_pct in signal_data; ready-signal
snapshot passes it through.
- fast path: submit_breakout_now takes gap_pct (trigger book stores % units; call site
normalizes to fraction); TRIGGER_GAP_MIN raised 3 -> 10 to align the arm floor.
- confirmation gate flipped OFF via env (code stays, 0=disabled).
- rank concentration stays OFF (owner call, data-consistent: rank 6-20 converts fine).
Tests: population skip+log, real gapper passes, fail-open on missing data. 52 pass.
Monday config: population gate + cap 10 fills + quality C+ + VWAP + BE@+5% ratchet + SIP.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The owner bought Alpaca Algo Trader Plus (real-time SIP; entitlement propagating on the
same keys — latest-trade already SIP-live, quotes/bars still 403). Before flipping
ALPACA_DATA_FEED=sip, two guards so the free-tier ratio estimator can never double-count:
- ingest_live_minute_bars resolves the EFFECTIVE feed and refuses volume_scale for
anything non-IEX (provider marked alpaca_<feed>).
- step_vratio self-disables when client.settings.feed != iex (saves the API calls too).
The estimator stays as the dormant free-tier fallback (plan lapse -> flip env back).
Test: SIP client + x25 ratios -> volumes NOT re-scaled, provider alpaca_sip. 4 tests pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
With the nightly SIP backfill making all BASELINES consolidated-scale, the still-IEX live
ingest would make Monday's RVOL read iex_intraday/sip_baseline ~= 25-50x too LOW and choke
the scanner. Free-key SIP is only 15-min DELAYED, so each morning the true per-name capture
ratio is directly measurable:
- research/ingestion/volume_ratio.py: compute_ratios fetches BOTH feeds for the identical
embargo-capped window (never vs our DB bars — those are scaled; that would double-correct);
guardrails (min samples, clamp [1,300]); persist_ratios records per-day ratios.
- ingest_live_minute_bars(volume_scale=...): scales bar volumes per symbol at ingest, marks
source_provider=alpaca_iex_scaled. Missing symbol -> 1.0 (conservative: reads LOW, blocks).
Constant per-symbol scale leaves cumulative VWAP unchanged (cancels in the weighted mean).
- run_live_paper: "vratio" step every 300s (VOLUME_RATIO_ENABLED/INTERVAL) merges fresh
ratios (a name gone thin keeps its last good ratio); step_ingest applies them.
- premarket_eval nightly audit: snapshots the day's scaled ESTIMATES before the SIP truth
overwrites, then logs median/worst error to data/volume_estimator_audit.tsv — the
estimator's accuracy is self-measured daily, which is exactly the evidence that decides
whether the $99/mo real-time SIP plan is ever needed.
Live check (2026-07-02 full session): ratios are hugely name-dependent — DSY x300(clamped),
CETX x286, SOFI x45, SNDQ x42, NOK x17 — validating per-name daily measurement over any
global constant. 3 pure unit tests (ratio math + thin-sample skip; ingest scaling + provider
marking; no-ratio unchanged).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Why the book is break-even (proven over 7 refuted levers): the ORB entry converts poorly and
the profitable trades are diluted by the negative majority. The 2026-07-02 quality-gate backtest
(6217 setups, adversarially verified across 3 seeds) isolated where the profit actually lives:
setups whose breakout CONFIRMS within ~10 bars of the open run +1R 71% / +0.42R expectancy —
even C-grade ones — while late-confirming setups are dead regardless of grade (bar-26+: 9% +1R,
-0.81R; time-of-day expectancy decays monotonically to -0.94R late-day). The edge is
confirmation TIMING, not the grade (the B-grade lift was mostly this confound).
ExecutionSettings.entry_confirm_by_minute (env TRADING_ENTRY_CONFIRM_BY_MINUTE, 0=off):
- auto path: request_approvals_for_ready_signals skips signals whose ready-timestamp landed
more than N minutes after the 09:30 open, shadow-logged rule_type=late_confirmation (visible,
measurable). Midday re-triggers are late by construction -> also cut (they were -0.75R).
- fast path: submit_breakout_now gates on now() (a live trigger fires in near-real-time, so
now() IS the confirmation time) -> skipped: late_confirmation. This also closes the fast
path's no-time-gate hole the all-day analysis flagged.
Deliberately KEEPS min_quality_score at 0.50 (C+): the gate retains the profitable early
C-band (+0.42R) that a B-grade gate would wrongly discard. Fail-open on unparseable timestamps.
4 new tests (late skip + logged, early passes, off-by-default, fast-path block); 50 pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The behavior half of the cap fix. Root-caused 2026-07-01 and re-confirmed live 2026-07-02
(now visible via the auto_rejected logging): the cap incremented on any broker-ACCEPTED
submission incl. resting limits that never fill, and never decremented on back-out -- so
unfilled/canceled entries permanently burned slots. Both days the bot capped after ~3 real
trades because 2 phantom unfilled limits ate the budget, with good setups still on the board.
Fix: mark each counted entry's armed record ("counted"); when expire_stale_entries backs it
out UNFILLED (timeout, price-break, or broker-cancel), _release_cap_slot decrements the counter.
Fills keep their slot (their armed record is popped without releasing). Net: the cap now means
"N real filled entries/day", not "N submission attempts". New test drives 2 resting entries to
the cap then times them out and asserts both slots free. 46 tests pass.
The cap VALUE (currently 5) and the all-day question are separate (data-driven) decisions.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Two data-quality fixes surfaced by inspecting the first 94 claims:
- _clean_ticker: coerce the literal 'NULL'/'NONE'/'$AAPL' strings the LLM sometimes returns to
a real None, and collapse ASR space-mangling ('B VC' -> 'BVC').
- require_asset filter: drop claims with neither a ticker nor an asset_name -- generic trading
commentary ('buy the dip') from tutorial content is not an asset claim. On the backlog this
cut 94 -> 58 claims (36 generic), leaving clean per-asset signal.
Added the $2,000 Small Account Challenge recap playlist (the daily per-asset trade breakdowns) --
far higher claim density than the evergreen 'Anatomy of a Trade' tutorials. 7 tests green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Every RTH selection/entry lever has now been refuted (6 of them separate a population but
don't convert through the entry). The one axis never touched is PREMARKET — the source
trader's actual edge (his words: news drops pre/after-hours, NO circuit-breaker halts pre-market
so moves run clean, and RTH after 9:30 is choppy/unpredictable — the exact window our bot trades).
strategy/evaluation/premarket_setup.py::detect_premarket_setup — pure, operates on PREMARKET bars:
gap vs prev_close + real premarket volume floor (the DXST-vs-CF tell: low pm volume = fail) +
price floor + fresh premarket-high breakout + premarket-VWAP hold. Calibrated to the thin pm tape
(cum pm volume p50 ~12k shares, so a 20k floor catches the genuine movers not 1%-gap noise).
Real-tape validated + SELECTIVE: 6/30 fires JEM(245%)/CELZ(143%); 7/1 fires LHAI(166%)/SOC/SNDQ —
2-3 names/day (~8% of pm names), vs the liquid detector's 50%. 6 unit tests green.
labeler pm1 track (build/report/validate-premarket): slides the detector over premarket bars,
scores forward on PREMARKET bars via the same _forward_labels (the trader enters+exits pre-9:30),
stratifies +1R by gap. Pre-registered bar locked 2026-07-01 (median pm upside >=+10%, adverse >-6%,
+1R >50%, big-gap subset clears). SHADOW-ONLY. Real caveats it sets aside: thin premarket fills, and
live premarket needs extended_hours execution the bot doesn't have. Full 26-day backtest building.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Extraction fix: the anti-hallucination check (a claim's verbatim_quote must appear in the
source window) was too brittle against auto-captions — fragmented segments joined with
newlines meant a valid quote spanning a join was dropped (0 claims on a 623-segment captions
transcript). Now whitespace-normalized matching (_norm + _quote_supported, ~40-char prefix):
the SAME transcript yields 6 real claims (WETG +160% reverse-split+news; 4 AURC trade claims
with prices; a rejection concern), each quote verifiably present. Whisper output is cleaner
still; this just makes the captions fallback usable too.
- tests/unit/test_youtube_extraction.py: 5 pure-helper tests (norm, quote-support across joins,
hallucination rejection, verbatim-quote-mandatory drop, chunk time-spans).
- youtube_claims/momentum-transcripts.service: reboot-surviving systemd user unit (Restart=always,
loads secrets from .env; Whisper option A/CPU, env-flippable to B/GPU).
END-TO-END VERIFIED (captions path, no ffmpeg): detection -> claim -> transcribe -> extract ->
6 claim rows in Postgres. Full Whisper path needs `sudo apt install ffmpeg`, then
`systemctl --user enable --now momentum-transcripts` to process the 11-video backlog at
Whisper quality + poll for new uploads.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The 2026-07-01 forensic + the source trader's day-14 notes point at a thesis-scope gap:
the day's only clean, held, TRADEABLE +2R moves (MSTR, SSPC) were LIQUID names that ignited
intraday with ~zero premarket gap -- invisible to the premarket-gapper universe -- while the
cheap "held trenders" were untradeable dust and the liquid gappers the bot chased whipsawed.
strategy/evaluation/liquid_breakout.py::detect_liquid_intraday_breakout -- a pure detector that
makes LIQUIDITY (cumulative + per-bar dollar-volume) a first-class gate (the thing runner.py
lacked, which let it fire on dust), plus a price floor + fresh-session-high breakout + VWAP hold.
NO gap, NO blue-sky, NO float. Validated on the real tape: fires on MSTR (@bar15) and SSPC (@bar90),
correctly silent on the sub-$2 dust (DXF) and the <$1M single-print names.
Design finding baked in: RVOL is RECORDED, not a hard gate. MSTR/SSPC were NOT within-session
volume surges -- MSTR was liquid from the open (recent/early vol ratio ~0.5-1.0 the whole grind),
so a hard rvol>=3x "surge" gate structurally kills the steadily-liquid grinders this lane exists to
catch. rvol is stored as a stratification feature (the shadow track will measure whether high-rvol
fires convert better, like the runner GRADE); it only gates if rvol_min>0 is passed.
Selectivity is broad (~50% of the liquid universe fires at least once/day) -- this is a candidate
POPULATION definer, not a precise signal. The decisive question (does it convert to +1R better than
the ORB, and does any rvol/liquidity stratum beat it) is for the shadow track + a pre-registered
forward bar. SHADOW-ONLY: never routes to approve_order; 6th selection signal, must prove conversion
after cost before any live gating. See memory thesis-scope-liquid-intraday-momentum.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Root-caused (workflow wjy4nzpbw, adversarially verified) why the live loop's per-cycle
log printed `execute: ... auto_executed=1` ~951 times after 09:45 ET on 2026-07-01 with
ZERO matching broker orders: reject_order() returns a truthy {"ok": True} dict that
process_auto_approvals() appends unconditionally, and step_execute logged len() of that
list as auto_executed. So every daily-entry-cap rejection masqueraded as an execution,
hiding the fact that the bot was hard-capped at 5 fresh entries for the rest of the day.
This is the log-VISIBILITY half only (safe, zero trading-behavior change):
- reject_order() tags its return rejected=True + reason, so a rejection is distinguishable
from a real execution (both carry ok=True).
- step_execute() counts auto_executed = results with a real broker_order_id, and appends
`auto_rejected=N (reason x N, ...)` so a tripped cap is VISIBLE instead of silent, e.g.
`auto_executed=0 auto_rejected=1 (daily_entry_capx1)`. ASCII-safe for the systemd log sink.
NOT included (deferred): the behavior fix (cap counts accepted submissions incl. unfilled
resting limits that get backed out, never decrements — so 4 phantom orders burned the whole
day's entry budget). That change lets the bot take more real shots, which given the live-
confirmed entry-conversion weakness likely means more churn — pair it with entry-quality
work, don't ship solo. See memory daily-entry-cap-counts-submissions.
Takes effect on the next loop boot; deliberately NOT restarting mid-session (the cap counter
is in-memory, so a restart would reset it to 0 and re-open entries into today's tape).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The default ORB grade (quality.py) pins catalyst RUNNERS at F/C: its two heaviest
components structurally break on a vertical spike -- STRUCTURE (30%) reads 0 (no
pullback to classify) and adv-RVOL (25%) reads 1.0x (NULL rolling-20d on fresh
reverse-split names). On the 2026-06-30 tape the source trader's winners (SVRE
+247%, JEM +348%, CELZ +472%) all graded C 0.565, indistinguishable from the bot's
F-grade chop. Two parallel, shadow-only artifacts fix this without touching the live
ORB path:
- strategy/evaluation/runner_quality.py::calculate_runner_quality -- a PARALLEL
grade that drops the two broken components and scores the traits that actually
separate runners from chop (gap saturating at +100% not +10%, price velocity,
own-name volume burst, above-VWAP, catalyst). Validated on the real tape:
CELZ/JEM/SVRE -> B/A, chop (SLS/RIVN/CCXI/BB/NVDX) -> F. quality.py untouched.
- strategy/evaluation/runner.py::detect_leading_gainer_runner -- catches the mover
detect_momentum_ignition is blind to (it requires blue-sky > prior ATH, so it
fires ZERO on beaten-down catalyst pops). Blue-sky deleted; gates = leading-gainer
run + verticality + own-name burst + holding session-cumulative VWAP; PM-inclusive;
tags (never gates) PM-exhaustion. Real-tape in-sample: 5/5 runners fire, 7/7 chop
silent, zero false-fires. Cumulative VWAP is a prefix function, so a precomputed
session_vwap makes a bar-by-bar slide O(n) not O(n^2) (identity verified exact).
- research/labeler.py -- build-runner/report-runner/validate-runner shadow track,
mirroring vwap_reclaim: emit a non-tradeable setup on each fresh fire, score with
the SAME _forward_labels. Pre-registered promotion bar LOCKED before forward data
(median fwd-max >= +15%, median adverse > -8%, +1R > 50%, beat vwap_reclaim,
PM-exhaustion tag must earn its keep). SHADOW-ONLY: never routes to approve_order,
never gates live until the bar clears out-of-sample. The honest open question the
track exists to answer: the detector confirms AT/AFTER the top for PM-driven names
(SVRE fires at +242% already run) -- does that late entry actually convert to +1R?
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Forensic on 2026-06-30: of the bot's 8 traded names, SEVEN graded F (<0.50) and one B —
it sprayed low-quality chop (SLS F0.12 -$412, RIVN F0.19, BB F0.21, CCXI F0.26 +$374,
NVDX F0.33, NOK F0.48, RDW F0.49; GVH B0.71). The trader made +$616 on SVRE — which the
bot SAW but its 35% gap cap excluded; and even graded, SVRE is F (0.35): low computed
RVOL + no clean pullback structure. So the grade cuts chop but does NOT recognise a
vertical catalyst RUNNER.
Adds ExecutionSettings.min_quality_score (env TRADING_MIN_QUALITY_SCORE, default 0.0 =
off) and a gate in request_approvals_for_ready_signals mirroring the VWAP gate: a signal
scoring below the threshold is skipped and logged rule_type=quality_below; fail-open on a
missing score. 3 tests (skip-low-when-enforced / allow-when-off / allow-at-threshold);
44/44 trading-execution tests green.
Honest scope: this is the "trade less chop" lever (evidence: the bot's own labeled data
has q>=0.55 win ~71% vs q<0.55 ~36%). It will NOT catch SVRE-class leading gainers — the
grade rewards pullback structure the runners lack, and the gap cap excludes them upstream.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Per the operator: a carried position sitting at breakeven shouldn't ladder off its stale
overnight entry. When a held position is at breakeven+ with no real R, the +0.25R trail
now RE-ANCHORS to today's opening range — reference = the session open, R = the first
5 RTH bars' high-low — so the stop tracks today's move from the open and locks in tighter
than the wide entry-based synthetic R. Until the opening range forms (first ~5 min) it
trails off the synthetic fallback R, then re-anchors once (one-shot, tracked in
_open_anchored; cleaned up when the position closes). The stop only ever ratchets UP and
never drops below the live breakeven. 1 test added (re-anchors + ladders tighter than the
synthetic); 11/11 exit-manager tests green.
For KEEL: at tomorrow's open its stop ladders up from the open's range instead of dangling
at the $5.56 breakeven.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
KEEL was left at a frozen breakeven stop because its original R was lost — the bracket
stop leg was invalid (the limit filled below the ORB-low, so the stop sat ABOVE entry
and Alpaca cancelled it, which is what left it naked). The manager skipped any position
already at breakeven+, so it never trailed: a winner could only scratch or run
unprotected-above-breakeven.
Now a position first seen at breakeven+ with no real risk distance is tracked on a
SYNTHETIC R (ExitConfig.default_trail_r_pct, default 10% of entry, env
TRADING_EXIT_DEFAULT_TRAIL_R_PCT), so the SAME tested +0.25R step-trail / profit-lock
ratchet the broker stop UP as it rises (only ever up, never below the live stop).
default_trail_r_pct=0 keeps the old frozen behaviour; positions with a real sub-entry
stop are unchanged.
TRAILING is gated on the session being OPEN (one broker-clock check per pass): after
hours there are no new highs to trail under AND a resting GTC stop is often not
replaceable ("accepted" status -> Alpaca 422), so attempting it just churns. The stop
stays protective and ratchets up at the open. 4 tests added (synthetic-R trails up;
disabled=frozen; closed=no-attempt); 10/10 exit tests green.
Live now (after-hours): KEEL is protected at breakeven $5.56; the loop holds that stop
without churning and will trail it up once the session opens.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
KEEL was carried into after-hours as a naked long (its bracket stop leg never
attached — 0 stop orders in its whole history). The enforcement tried to FLATTEN it
with a market order every pass, but a market sell can't fill when the market is
closed, so it churned submit->cancel ~every 30s (76 market-sells / 79 cancels, the
"naked-stop enforced exit KEEL xN" spam) and left the position genuinely unprotected.
Fix (runtime/exit_manager.py): both the naked-stop enforcement AND the catastrophe
backstop now branch on the broker clock. Market OPEN -> flatten (a market exit fills,
unchanged). Market CLOSED -> REST a protective sell-stop instead (GTC) — at breakeven
when in profit, a catastrophe-distance stop below market when underwater — so the
position survives to the open PROTECTED and the next pass sees the stop and stops
enforcing. Catastrophe with an existing (loose) stop while closed just defers to it
(no market churn, no double stop). New client bits: AlpacaPaperClient.get_clock() and
a standalone stop_price on submit_order. 3 exit-manager tests added (open->flatten,
closed->breakeven-rest, closed-underwater->catastrophe-rest); 7/7 green.
Operationally: KEEL was protected at breakeven ($5.56) immediately and the loop now
leaves that stop in place instead of churning.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The mechanics study found the no-chase entry (buy the VWAP reclaim, not the breakout high)
was the dominant lever. This codifies it as a permanent, pre-registered shadow-validation —
the disciplined close-out of the 4-lever investigation arc.
- strategy/evaluation/vwap_pullback_entry.py: pure find_vwap_pullback_entry — first forward
bar that dips to the CUMULATIVE session VWAP (calculate_vwap, NOT the per-bar minute_bars.vwap
midpoint, which would make 'reclaim' trivially true) and closes back above it; entry = its
close, stop = its low (the tight no-chase structure stop). 4 tests.
- research/labeler.py validate_no_chase_entry + `validate-entry`: simulates it vs the ORB-high
breakout via the live simulate_exit on real forward bars, judged in PERCENT net of a REALISTIC
per-name cost proxy (4% sub-$3 / 2% else — no NBBO in bars). PRE-REGISTERED bar locked: mean
net% must be STRICTLY POSITIVE, 'less negative than ORB' is NOT a pass.
IN-SAMPLE RESULT (v1 gappers, 19 autocorrelated days): the no-chase entry HALVES the loss
(ORB -7.94% -> no-chase -3.61% net, median -4.23%, offered on 75%), robustly (day-jackknife
[-3.83%,-3.48%]) -- confirming not-chasing the spike-top is the strongest mechanic -- but it
still does NOT cross zero under realistic cost: PRE-REGISTERED BAR = FAIL. Consistent with the
whole arc: no mechanizable entry/exit/selection lever beats cost on the full gapper book; the
path to positive is FEWER/cleaner setups (cut the ~70% fader population) COMBINED with this
no-chase entry. validate-entry re-runs forward; promote only if it clears the bar out-of-sample.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The float audit and the labeler both point at the SAME free, available-today selection
signal the bot underuses: gap magnitude + cheap absolute price separate runners from
faders, while the bot's gap%×RVOL rank leans on RVOL (labeler-proven FLAT) and CAPS gap.
- strategy/evaluation/runner_propensity.py: pure, transparent, FROZEN-threshold primitive
-> a coarse runner-propensity tier = gap_tier(0-3) + price_tier(0-2). Gap is weighted
heavier BY CONSTRUCTION because the data says it dominates; premarket gap preferred over
RTH gap; cheap price is a secondary tie-breaker (the two are correlated). 6 unit tests.
- research/labeler.py runner_rank_report + `runner-rank` CLI: measures the lever on the
v1 ORB labeled set. SHADOW/measurement only, not wired into live selection.
MEASURED (v1 gappers, gap>=10%, n=187, 19 autocorrelated days -- small, caveated):
the combined tier ladders monotonically: tier1 2% -> tier3 35% -> tier5 (cheap+big-gap)
48% runner (1.63x base). Gap dominates (>=50% -> 48%, 1.64x); cheap<$2 a real secondary
(1.29x). OPERATIONAL KICKER: the live ~35% TRIGGER_GAP_MAX would EXCLUDE 73 gappers whose
runner rate is 44% vs 20% for the kept <=35% -- the cap discards the best runners (this is
how NXTS at +81% got excluded). Caveat: +1R/+2R separate far less than the +20% runner
label, and gap/price are correlated; a hypothesis to shadow-confirm + adversarially
validate before touching the live cap, not a validated rank.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
GO_LIVE flags `spread_pct` as a not-yet-real field. The reason it was null is
structural: OHLCV bars carry no NBBO, so `minute_bars.spread_pct` can never be
populated from the bars endpoint. The execution-relevant figure is the spread at
the moment a setup is evaluated — a wide book quietly eats R on the thin sub-$20
names this system trades.
This makes that metric real, shadow-first (measure before gating), mirroring how
the catalyst score was introduced:
- `strategy/evaluation/liquidity.py`: pure `compute_spread_pct(bid, ask)` →
(ask-bid)/mid, or None for missing/crossed/non-positive quotes (None never
collapses to a real 0.0). Unit-tested.
- `AlpacaPaperClient.get_latest_quotes`: batched latest-NBBO fetch, mirrors
`get_latest_trades`.
- `Watcher`: optional injected `spread_provider` (same shape as
`catalyst_score_provider`); default None == prior behavior byte-for-byte.
Computed spread is logged onto the criteria_evaluated and signal_ready events.
Observe-only — it does NOT gate ready/blocked.
- `run_live_paper`: TTL-cached spread provider off the client; degrades to None
on any fault, SPREAD_PCT_ENABLED=0 to silence.
The dead `scanner.spread_pct_max` knob is intentionally left for a later
promotion, once the logged data shows spread separates outcomes.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_019psgRHdtTXz6TCnnqPiqGw
Acts on the P2 edge-audit's two findings: (a) ~half of curl fires have a stop tighter
than the spread (median R 1.7% of price, $0.05 on a $2.62 name) so the backtested
+1R/-1R is unfillable; (b) the only subset that survived refutation was price>=$5 AND
mid-tercile impulse, scored as a +2R/runner filter.
- detect_vwap_reclaim: PLACEABILITY GATE (min_r_frac=0.015, min_r_abs=0.02, default ON
for live safety) -- rejects a fire whose R=(entry-pullback_low) sits inside the spread.
signal_values gains r_frac. Tests: a shallow-pullback curl now rejects "stop
unplaceable" and fires only with the gate disabled.
- labeler: validate_vwap_reclaim + `validate-vr` CLI scores the PRE-REGISTERED candidate
(placeable AND price>=$5 AND impulse in [0.15,0.26]) against a LOCKED bar: +2R Wilson-95
lower bound > base 0.349 AND absolute max-upside-60m beats same-symbol-day ORB at
+5%/+10%. Constants + _wilson_lower are committed so the bar can't drift. The shadow
BASE track (vr1) deliberately keeps the gate OFF so report-vr base rates stay complete;
placeability is a filter in validate-vr.
IN-SAMPLE RESULT (decisive): enforcing placeability collapses the audit's n=48 subset to
n=16 -- i.e. most of its apparent +2R lift rode on UNPLACEABLE stops. The remainder FAILS
the locked bar on both criteria: +2R 44% (Wilson LB 23.1% < 34.9% base) and, most
damningly on the artifact-proof axis, it produces a +5%/60m move only 31% of the time vs
ORB's 73% on the same days. Pre-registration did its job: it stopped us chasing an n=48
mirage of sub-spread stops. VERDICT: do not promote; the curl does not beat the bot's
existing ORB even in its best placeable subset. 15/15 unit tests green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
P2 = run detect_vwap_reclaim over history and score it with the SAME no-look-ahead
machinery that scores the live ORB setups, so its base rates are directly comparable
and there's no train/serve skew in the SCORING either (not just the features).
- Extracted research/labeler.py's forward-label logic into a shared _forward_labels()
(max-upside/-drawdown 5/15/60m, reached_1R/2R-before-1R pessimistic, held-VWAP over
the evolving cumulative VWAP, trend-day, failed-breakout, time-to-max). compute_setup
now calls it -- the 3 existing labeler tests still pass, so the extraction is
behavior-preserving.
- compute_vwap_reclaim_setups(): slides the detector over each session's RTH bars and
emits a NON-TRADEABLE setup_event on each RISING EDGE (not-valid->valid, with a bar
cooldown so one curl episode = one setup), carrying the detector's OWN entry/stop/R.
STRICT time split: the detector at bar i sees only bars[:i+1]; labels use only bars
after i. setup_version='vr1', setup_name='vwap_reclaim' -- isolated from the ORB 'v1'.
- build_vwap_reclaim / report_vwap_reclaim + CLI `build-vr` / `report-vr`. report-vr
prints forward outcomes AND a head-to-head vs the ORB baseline on the same symbol-days.
- 2 new tests: a continuation session fires + labels a +1R winner; a one-way fade stays
silent (anti falling-knife). 12/12 green.
PRELIMINARY read (n=35, 4 days -- far too small to trust; full build running): curl-
fires reached +1R 66% / +2R 49%, held-VWAP-15m 86%, avg +8% max-upside in 60m; the ORB
baseline on the same symbol-days reached +1R 67%. Real finding pending the full build.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
P0 anchored the impulse to the day's SINGLE HOD + session-absolute low, so a name
that spiked, topped, then faded read every later bar as "pullback broke the hold"
forever. P1 anchors the leg to a rolling `lookback` window (default 40 bars), so the
detector re-arms on each intraday leg. New regression test proves the property: when
an earlier, HIGHER leg deeply gives back (permanently blocking the whole-session
anchor), the local anchor still fires on a later leg curling off a higher-low base,
targeting that leg's local high rather than the stale day HOD. lookback=None keeps
the legacy anchor for the contrast test. 7/7 unit tests green.
FINDING (ground-truthing the raw bars refuted the P0 premise): MIMI and UPC do NOT
have an RTH VWAP-reclaim setup. Both spiked PRE-MARKET (MIMI 2.93->4.98, UPC
8.54->17.89) and their RTH was a one-way FADE below VWAP (MIMI 4.09->3.15 under VWAP
all day; UPC popped at the open, made lower highs, lost VWAP by 14:17). So 0 RTH
fires is CORRECT, not blindness -- there is no long curl to catch; if the trader
profited it was a pre-market play or a SHORT of the fade, neither of which a
long-only RTH detector should fire on. It fires precisely on the names that DO curl
in RTH (SDOT 6/26 10->22, FCUV 6/25). Same lesson as ignition/PLSM: when the move is
pre-market, the RTH detector should stay silent. (Deliberately did NOT lower
min_run_pct to chase MIMI's sub-10% local legs -- that would be fitting n=2 noise.)
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
The trader's #1 taught setup is a CONTINUATION, not the bot's open-anchored ORB:
a leading gainer that spiked, pulled back (held >=50% of the run), and is curling
back up through VWAP, bought BELOW the HOD. Across 6/25-29 every name he monetized
(MIMI/FCUV/ZDAI/SDOT/UPC) was this one pattern; the bot blocked all on the ORB gate.
P0 = standalone pure detector (detect_vwap_reclaim) with 5 binary gates (impulse /
pullback-held / curl-reclaim / below-HOD / momentum-green), reusing calculate_vwap
& calculate_ema (no train/serve skew). SHADOW-ONLY: not wired into classify_setup.
6 unit tests green.
DECISIVE REAL-DATA FINDING (RTH minute bars): slid across 4 real trader names.
FIRED on the all-day trenders -- SDOT 6/26 (10.22->22.50) 22x, FCUV 6/25 2x -- but
ZERO on MIMI 6/25 and UPC 6/29, both rejected on "pullback broke past the hold
level" with a NEGATIVE held_frac. Root cause is STRUCTURAL: anchoring the impulse
to the day's SINGLE HOD + session-absolute low means a name that spikes->HOD->fades
reads every later bar as "broke the hold" forever, blind to the LOCAL spike->
pullback->curl legs that re-arm intraday. P1 fix = rolling local-swing anchor, not
the day's one HOD. (Deliberately NOT widening hold_frac to force n=4 anecdotes green.)
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
