momentum devandClaude Opus 4.8
007cd95c79
Snapshot before the DuckDB->PostgreSQL migration. data/, archive/, the 232MB rebuild zip, the Windows .venv, and .env are excluded via .gitignore. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
68 lines
2.0 KiB
Python
68 lines
2.0 KiB
Python
"""Outcome labeling for setups (R-multiple based)."""
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from __future__ import annotations
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from dataclasses import dataclass
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import pandas as pd
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@dataclass
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class OutcomeLabel:
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"""Outcome of a setup given subsequent bars."""
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setup_id: str
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hit_target: bool
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hit_stop: bool
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r_multiple: float
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max_favorable_r: float
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max_adverse_r: float
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bars_to_resolution: int
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label: str # "win" | "loss" | "scratch" | "unresolved"
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def label_outcome(
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setup_id: str,
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entry_price: float,
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stop_price: float,
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bars_after: pd.DataFrame,
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target_r: float = 2.0,
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) -> OutcomeLabel:
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"""Walk forward through bars to see whether target or stop hit first."""
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risk = entry_price - stop_price
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if risk <= 0 or bars_after.empty:
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return OutcomeLabel(setup_id, False, False, 0.0, 0.0, 0.0, 0, "unresolved")
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target_price = entry_price + target_r * risk
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max_fav = 0.0
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max_adv = 0.0
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for i, (_, bar) in enumerate(bars_after.iterrows(), start=1):
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high = float(bar["high"])
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low = float(bar["low"])
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max_fav = max(max_fav, (high - entry_price) / risk)
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max_adv = min(max_adv, (low - entry_price) / risk)
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stop_hit = low <= stop_price
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target_hit = high >= target_price
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if stop_hit and target_hit:
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# Conservative: assume stop hit first within the bar
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return OutcomeLabel(
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setup_id, False, True, -1.0, max_fav, max_adv, i, "loss"
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)
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if stop_hit:
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return OutcomeLabel(
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setup_id, False, True, -1.0, max_fav, max_adv, i, "loss"
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)
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if target_hit:
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return OutcomeLabel(
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setup_id, True, False, target_r, max_fav, max_adv, i, "win"
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)
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final_r = (float(bars_after["close"].iloc[-1]) - entry_price) / risk
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label = "scratch" if abs(final_r) < 0.25 else ("win" if final_r > 0 else "loss")
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return OutcomeLabel(
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setup_id, False, False, round(final_r, 3), max_fav, max_adv,
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len(bars_after), label,
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)
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