momentum devandClaude Opus 4.8
31c35f01c1
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>
108 lines
4.9 KiB
Python
108 lines
4.9 KiB
Python
"""VWAP-reclaim continuation detector (P0): binary gates on synthetic first-pullbacks.
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Pure + deterministic. A real-trader-name regression fixture (MIMI/SDOT) is deferred
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to the P2 nightly scorer over real shadow signals."""
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import pandas as pd
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from strategy.evaluation.vwap_reclaim import detect_vwap_reclaim
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COLS = ["open", "high", "low", "close", "volume"]
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def _seg(p0, p1, n, vol=10000):
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"""n bars walking linearly from price p0 to p1 (small symmetric wicks)."""
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rows, span = [], abs(p1 - p0) / n
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for i in range(n):
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o = p0 + (p1 - p0) * i / n
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c = p0 + (p1 - p0) * (i + 1) / n
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rows.append((o, max(o, c) + span * 0.3 + 0.01, min(o, c) - span * 0.3 - 0.01, c, vol))
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return rows
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def _df(rows):
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return pd.DataFrame(rows, columns=COLS)
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# impulse 4.0->6.0, pullback 6.0->5.2 (holds 50% of the run, =5.0), curl 5.2->5.7
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# (a new high above the pullback, still below the 6.0 HOD).
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CLEAN = _df(_seg(4.0, 6.0, 18, 12000) + _seg(6.0, 5.2, 8, 8000) + _seg(5.2, 5.7, 14, 11000))
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def test_clean_vwap_reclaim_fires():
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r = detect_vwap_reclaim(CLEAN)
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assert r.is_valid and r.reason == "vwap_reclaim"
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assert r.target_level == round(CLEAN["high"].max(), 4) # target = HOD
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assert 5.0 < r.stop_level < 5.5 # stop = pullback low
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assert r.breakout_level < r.target_level # entry below HOD (the curl)
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sv = r.signal_values
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assert sv["pullback_held_frac"] >= 0.5 and sv["ema9_ge_ema20"]
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assert sv["dist_from_vwap"] >= 0 # at/above VWAP
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def test_at_hod_rejected():
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# a pure run-up ending at the high -> no pullback to curl from (anti spike-top)
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r = detect_vwap_reclaim(_df(_seg(4.0, 6.0, 30, 11000)))
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assert not r.is_valid and "HOD" in (r.reason or "")
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def test_deep_pullback_rejected():
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# pullback to 4.7 < the 50% hold level (5.0) -> gave the move back
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deep = _df(_seg(4.0, 6.0, 18, 12000) + _seg(6.0, 4.7, 8, 8000) + _seg(4.7, 5.4, 14, 11000))
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r = detect_vwap_reclaim(deep)
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assert not r.is_valid and "hold" in (r.reason or "").lower()
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def test_no_impulse_rejected():
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# flat chop, never ran -> no impulse
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flat = _df([(4.0, 4.03, 3.97, 4.0, 9000) for _ in range(30)])
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r = detect_vwap_reclaim(flat)
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assert not r.is_valid
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def test_insufficient_bars():
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r = detect_vwap_reclaim(_df(_seg(4.0, 6.0, 10)))
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assert not r.is_valid and "need" in (r.reason or "")
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def test_target_rr_and_macd_tag_logged():
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r = detect_vwap_reclaim(CLEAN)
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assert "target_rr" in r.signal_values and "macd_hist" in r.signal_values
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assert r.signal_values["target_rr"] > 0 # HOD is above the entry
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def test_unplaceable_tight_stop_rejected():
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"""P3: a very shallow pullback yields a sub-1.5% R (stop inside the spread). The
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curl is otherwise valid, so the placeability gate must reject it -- and disabling
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the gate must let it fire (proving it's the gate, not another criterion)."""
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# impulse 4.0->6.0, SHALLOW pullback to ~5.80 (held ~90%), curl to ~5.84:
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# entry ~5.84, stop ~5.79 -> R ~0.9% of price -> unplaceable.
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tight = _df(_seg(4.0, 6.0, 18, 12000) + _seg(6.0, 5.80, 8, 8000) + _seg(5.80, 5.84, 14, 11000))
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r = detect_vwap_reclaim(tight)
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assert not r.is_valid and "unplaceable" in (r.reason or "")
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assert r.signal_values["r_frac"] < 0.015 # the diagnosed cause
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off = detect_vwap_reclaim(tight, min_r_frac=0.0, min_r_abs=0.0)
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assert off.is_valid and off.reason == "vwap_reclaim" # gate was the only blocker
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def test_clean_fire_is_placeable():
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r = detect_vwap_reclaim(CLEAN)
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assert r.is_valid and r.signal_values["r_frac"] >= 0.015 # a real, placeable stop
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def test_local_anchor_rearms_after_higher_leg_gave_back():
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"""P1: the whole-session anchor goes permanently blind once the day's single HOD
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deeply gives back, but a name often sets a SECOND leg from a higher base and curls
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off it. leg1 spikes to 7 (low vol so VWAP isn't dragged up) then gives most of it
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back; leg2 runs 4.5->5.8 and curls off a higher-low pullback. Global anchor: the
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leg1 give-back reads as 'broke the hold' forever. Local anchor: re-arms on leg2."""
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data = (_seg(4.0, 7.0, 12, 3000) + _seg(7.0, 4.5, 10, 3000) + _seg(4.5, 5.8, 10, 15000)
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+ _seg(5.8, 5.3, 6, 9000) + _seg(5.3, 5.6, 8, 14000))
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df = _df(data)
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g = detect_vwap_reclaim(df, lookback=None) # legacy whole-session anchor
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l = detect_vwap_reclaim(df, lookback=25) # local-swing anchor
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assert not g.is_valid and "hold" in (g.reason or "").lower() # blocked by leg1's give-back
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assert l.is_valid and l.reason == "vwap_reclaim" # re-armed on leg2
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assert l.target_level < 6.0 # targets leg2's local high, not the 7.0 HOD
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assert l.signal_values["pullback_held_frac"] >= 0.5 # the higher low held locally
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