gahow/quant-trading
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

live: commit the TrendRider V9/V10 registrations the monitor already runs

Browse Source 
trader.py registers trend_rider_v9 (+ vt24/vt32/vt36) and trend_rider_v10
(+ vt32/vt36) from strategies/trend_rider_v9.py, and bridge.py labels them.
These were left uncommitted by the 2026-10-07 research session while the
monitor ran them from the working tree (state files data/trader_us_trend_rider_v9*/v10*).
research/tr9_*.py is the research trail CLAUDE.md cites.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
Gahow Wang
2026-10-09 22:20:28 -07:00
parent 92a2a585e1
commit 36cb125719
8 changed files with 1576 additions and 1 deletions
Download Patch File Download Diff File Expand all files Collapse all files

44
bridge.py
View File

@@ -386,7 +386,49 @@ STRATEGY_META = {
"markets": ["us"], "markets": ["us"],
}, },
"trend_rider_v7_vt36": { "trend_rider_v7_vt36": {
"label": "Trend Rider V7 (VT36% + PT30) ★ SOTA", "label": "Trend Rider V7 (VT36% + PT30)",
"category": "tactical_allocation",
"params": {},
"markets": ["us"],
},
"trend_rider_v9": {
"label": "Trend Rider V9 (VT34% + PT30 + trail20)",
"category": "tactical_allocation",
"params": {},
"markets": ["us"],
},
"trend_rider_v9_vt24": {
"label": "Trend Rider V9 (VT24% + PT30 + trail20)",
"category": "tactical_allocation",
"params": {},
"markets": ["us"],
},
"trend_rider_v9_vt32": {
"label": "Trend Rider V9 (VT32% + PT30 + trail20)",
"category": "tactical_allocation",
"params": {},
"markets": ["us"],
},
"trend_rider_v9_vt36": {
"label": "Trend Rider V9 (VT36% + PT30 + trail20)",
"category": "tactical_allocation",
"params": {},
"markets": ["us"],
},
"trend_rider_v10": {
"label": "Trend Rider V10 (VT34% + PT28/8pp/lock10 + trail20) ★ SOTA",
"category": "tactical_allocation",
"params": {},
"markets": ["us"],
},
"trend_rider_v10_vt32": {
"label": "Trend Rider V10 (VT32% + PT28/8pp/lock10 + trail20)",
"category": "tactical_allocation",
"params": {},
"markets": ["us"],
},
"trend_rider_v10_vt36": {
"label": "Trend Rider V10 (VT36% + PT28/8pp/lock10 + trail20)",
"category": "tactical_allocation", "category": "tactical_allocation",
"params": {}, "params": {},
"markets": ["us"], "markets": ["us"],

69
research/tr9_audit.py Normal file
View File

@@ -0,0 +1,69 @@
"""Full-window audit: every registered US strategy vs TrendRider V9.
Runs the official engine path (run_market, same params as precompute) over
the current 10y common window and writes the comparison table plus the
head-to-head verdict (does V9 beat every other strategy on BOTH CAGR and
Sharpe?) to data/research/results/tr9_full_comparison.json.
PYTHONPATH=. uv run python -m research.tr9_audit
"""
from __future__ import annotations
import json
import os
import pandas as pd
from trader import (AGENT_REVIEW_STRATEGIES, STRATEGY_REGISTRY,
strategy_supports_market)
import research.tr9_lab as lab
OUT = os.path.join("data", "research", "results", "tr9_full_comparison.json")
V9_NAMES = ["trend_rider_v9", "trend_rider_v9_vt24", "trend_rider_v9_vt32", "trend_rider_v9_vt36",
"trend_rider_v10", "trend_rider_v10_vt32", "trend_rider_v10_vt36"]
NEW_NAMES = [n for n in V9_NAMES if "v10" in n]
def main() -> None:
us_names = [n for n in STRATEGY_REGISTRY
if strategy_supports_market(n, "us") and n not in AGENT_REVIEW_STRATEGIES
and not n.startswith("sim_")]
end = "2026-10-07"
print(f"auditing {len(us_names)} US strategies (window ...{end})")
curves = lab.run(us_names, start="2017-12-26", end=end)
rows = []
for name, eq in curves.items():
m = lab.metrics(eq)
rows.append({"name": name, **m})
df = pd.DataFrame(rows).sort_values("cagr", ascending=False)
pd.set_option("display.width", 200)
print(f"{'name':44s} {'CAGR':>8s} {'vol':>7s} {'Sharpe':>7s} {'MDD':>7s}")
for _, r in df.iterrows():
print(f"{r['name']:44s} {r['cagr']*100:7.1f}% {r['vol']*100:6.1f}% "
f"{r['sharpe']:7.2f} {r['mdd']*100:6.1f}%")
others = df[~df["name"].isin(NEW_NAMES)]
best_cagr = others.loc[others["cagr"].idxmax()]
best_sharpe = others.loc[others["sharpe"].idxmax()]
print(f"\nexisting best CAGR : {best_cagr['name']} {best_cagr['cagr']*100:.1f}%")
print(f"existing best Sharpe : {best_sharpe['name']} {best_sharpe['sharpe']:.2f}")
verdict = {}
for v9 in NEW_NAMES:
row = df[df["name"] == v9].iloc[0]
beat_cagr = bool((others["cagr"] < row["cagr"]).all())
beat_sharpe = bool((others["sharpe"] < row["sharpe"]).all())
verdict[v9] = {"cagr": float(row["cagr"]), "sharpe": float(row["sharpe"]),
"mdd": float(row["mdd"]),
"beats_all_cagr": beat_cagr, "beats_all_sharpe": beat_sharpe,
"beats_all_both": beat_cagr and beat_sharpe}
print(f"{v9}: CAGR {row['cagr']*100:.1f}% (beats all: {beat_cagr}), "
f"Sharpe {row['sharpe']:.2f} (beats all: {beat_sharpe})")
with open(OUT, "w") as fh:
json.dump({"window": {"start": "2017-12-26", "end": end},
"rows": rows, "verdict": verdict}, fh, indent=1)
print("wrote", OUT)
if __name__ == "__main__":
main()

654
research/tr9_lab.py Normal file
View File

@@ -0,0 +1,654 @@
"""TrendRider V9 research lab.
Scratch harness for the goal "beat every registered US strategy on the past
10y CAGR *and* Sharpe under strict PIT". Runs candidates through the same
official path as precompute_backtest.py (run_market -> cash ledger, $10k,
0.1% cost + $2/order, next-session close fills via session_targets).
Only ETF strategies are used here (fast, no stock panel needed).
"""
from __future__ import annotations
import numpy as np
import pandas as pd
import trader
from strategies.base import Strategy
from trader import ETF_STRATEGY_UNIVERSES, STRATEGY_REGISTRY
V9_UNIVERSE = [
"SPY", "QQQ", "TQQQ", "UPRO", "SOXL", "TECL", "TNA", "FAS", "SPXL",
"SSO", "QLD", "GLD", "DBC", "TMF", "TLT", "SHY", "IEF", "SQQQ", "LABU",
]
def _above_ma(closes: np.ndarray, w: int) -> bool:
return closes.size >= w and float(closes[-1]) > float(closes[-w:].mean())
def _vol(closes: np.ndarray, w: int) -> float:
if closes.size < w + 1:
return float("nan")
rets = np.diff(closes[-w - 1:]) / np.maximum(closes[-w - 1:-1], 1e-12)
return float(rets.std(ddof=1) * np.sqrt(252))
def _total_return(closes: np.ndarray, w: int) -> float:
if closes.size < w + 1 or closes[-w - 1] <= 0:
return float("nan")
return float(closes[-1] / closes[-w - 1] - 1.0)
class TrendRiderV9(Strategy):
"""V7 architecture (V3 regime + vol target + profit take) with:
- extended risk-on basket (TECL/SOXL/... momentum leader pick)
- gated risk-off additions: TMF (TLT>MA200 gate), SQQQ (QQQ 20d drop gate)
- optional asset-level vol targeting or EWMA vol
- optional momentum/vol pick ranking
- laddered profit-taking; park bucket configurable (SHY/QQQ mix)
PIT convention identical to TrendRiderV3/V7: decisions at raw row t use
bars through t-1; the V3-style loop then shifts the output by one extra
day before the V7 layers, and the engine applies the final -1 shift.
"""
def __init__(
self,
*,
# V3 regime core
signal: str = "SPY",
risk_on: tuple[str, ...] = ("TQQQ", "UPRO"),
risk_off: tuple[str, ...] = ("GLD", "DBC"),
ma_long: int = 150,
ma_short: int = 50,
vol_window: int = 20,
vol_enter: float = 0.14,
vol_exit: float = 0.20,
dd_window: int = 40,
dd_stop: float = 0.05,
peak_window: int = 20,
peak_enter: float = 0.02,
peak_exit: float = 0.05,
regime_min_hold: int = 15,
instrument_min_hold: int = 30,
confirm_days: int = 3,
stop_loss_pct: float = 0.15,
cooloff_days: int = 20,
mom_lookback: int = 63,
# extensions
tmf: str | None = None,
tlt_ma_window: int = 200,
sqqq: str | None = None,
sqqq_trigger: float = 0.08,
ro_stop_loss: float | None = None,
mom_pick_divisor: bool = False,
trail_pct: float | None = None,
trail_window: int = 30,
trail_reentry_days: int = 0,
instma_exit: int | None = None,
fast_reentry_days: int | None = None,
breadth_ma: int | None = None,
# vol target
target_vol: float = 0.28,
vt_window: int = 60,
min_lev: float = 0.6,
max_lev: float = 1.0,
vt_mode: str = "strategy",
vt_ewma: float = 0.0,
# profit take
pt_mode: str = "binary",
pt_threshold: float = 0.30,
pt_band: float = 0.10,
pt_park: str = "SHY",
pt_park_mix: dict | None = None,
pt_ladder: tuple = ((0.30, 0.5), (0.60, 1.0)),
pt_min_hold: int = 0,
pt_only: tuple[str, ...] | None = None,
# macro throttle (free-data overlays: VIX term structure, credit)
throttle_factor: float = 0.6,
throttle_vix_inv: bool = False,
vix_inv_thresh: float = 0.0,
throttle_vix_spike: bool = False,
vix_spike_5d: float = 0.5,
throttle_credit: bool = False,
credit_ma: int = 50,
throttle_recover_days: int = 5,
) -> None:
self.signal = signal
self.risk_on = tuple(risk_on)
self.risk_off = tuple(risk_off)
self.ma_long = ma_long
self.ma_short = ma_short
self.vol_window = vol_window
self.vol_enter = vol_enter
self.vol_exit = vol_exit
self.dd_window = dd_window
self.dd_stop = dd_stop
self.peak_window = peak_window
self.peak_enter = peak_enter
self.peak_exit = peak_exit
self.regime_min_hold = regime_min_hold
self.instrument_min_hold = instrument_min_hold
self.confirm_days = confirm_days
self.stop_loss_pct = stop_loss_pct
self.cooloff_days = cooloff_days
self.mom_lookback = mom_lookback
self.tmf = tmf
self.tlt_ma_window = tlt_ma_window
self.sqqq = sqqq
self.sqqq_trigger = sqqq_trigger
self.ro_stop_loss = ro_stop_loss
self.mom_pick_divisor = mom_pick_divisor
self.trail_pct = trail_pct
self.trail_window = trail_window
self.trail_reentry_days = trail_reentry_days
self.instma_exit = instma_exit
self.fast_reentry_days = fast_reentry_days
self.breadth_ma = breadth_ma
self.target_vol = target_vol
self.vt_window = vt_window
self.min_lev = min_lev
self.max_lev = max_lev
self.vt_mode = vt_mode
self.vt_ewma = vt_ewma
self.pt_mode = pt_mode
self.pt_threshold = pt_threshold
self.pt_band = pt_band
self.pt_park = pt_park
self.pt_park_mix = pt_park_mix
self.pt_ladder = tuple(pt_ladder)
self.pt_min_hold = pt_min_hold
self.pt_only = set(pt_only) if pt_only else None
self.throttle_factor = throttle_factor
self.throttle_vix_inv = throttle_vix_inv
self.vix_inv_thresh = vix_inv_thresh
self.throttle_vix_spike = throttle_vix_spike
self.vix_spike_5d = vix_spike_5d
self.throttle_credit = throttle_credit
self.credit_ma = credit_ma
self.throttle_recover_days = throttle_recover_days
# ---- regime helpers (same rules as TrendRiderV3) ----
def _desired_regime(self, closes: np.ndarray, current: str | None) -> str:
window_dd = closes[-self.dd_window:]
if closes[-1] / window_dd.max() - 1.0 <= -self.dd_stop:
return "risk_off"
if not _above_ma(closes, self.ma_long):
return "risk_off"
v = _vol(closes, self.vol_window)
if v != v:
v = 1.0
peak_ratio = closes[-1] / closes[-self.peak_window:].max()
if current == "risk_on":
if (_above_ma(closes, self.ma_short) and v < self.vol_exit
and peak_ratio >= 1.0 - self.peak_exit):
return "risk_on"
return "risk_off"
if (_above_ma(closes, self.ma_short) and v < self.vol_enter
and peak_ratio >= 1.0 - self.peak_enter):
return "risk_on"
return "risk_off"
def _macro_scale(self, data: pd.DataFrame) -> pd.Series | None:
"""PIT macro throttle: VIX term inversion / VIX spike / credit stress
each multiply exposure by `throttle_factor` (enter fast, exit after
`throttle_recover_days` consecutive clean sessions)."""
conds: list[tuple[pd.Series, float]] = []
if self.throttle_vix_inv and "^VIX9D" in data.columns and "^VIX3M" in data.columns:
ratio = data["^VIX9D"] / data["^VIX3M"].replace(0.0, np.nan)
conds.append(((ratio - 1.0) >= self.vix_inv_thresh, self.throttle_factor))
if self.throttle_vix_spike and "^VIX" in data.columns:
vix = data["^VIX"]
conds.append((vix / vix.shift(5).replace(0.0, np.nan) - 1.0 >= self.vix_spike_5d,
self.throttle_factor))
if self.throttle_credit and "HYG" in data.columns:
hyg = data["HYG"]
conds.append((hyg < hyg.rolling(self.credit_ma).mean(), self.throttle_factor))
if not conds:
return None
out = pd.Series(1.0, index=data.index)
for cond, factor in conds:
cond = cond.fillna(False).to_numpy()
state, clean, vals = False, 0, np.ones(len(cond))
for i, c in enumerate(cond):
if c:
state, clean = True, 0
elif state:
clean += 1
if clean >= self.throttle_recover_days:
state = False
if state:
vals[i] = factor
out = out * pd.Series(vals, index=data.index)
return out
def _pick_top(self, basket: list[int], cps: dict[int, np.ndarray]) -> int | None:
best_i, best_r = None, -np.inf
for ix in basket:
closes = cps[ix]
r = _total_return(closes, self.mom_lookback)
if r != r:
continue
if self.mom_pick_divisor:
sigma = _vol(closes, self.mom_lookback)
r = r / sigma if sigma == sigma and sigma > 1e-9 else -np.inf
if r > best_r:
best_r, best_i = r, ix
return best_i
def generate_signals(self, data: pd.DataFrame) -> pd.DataFrame:
gate_refs = []
if self.tmf:
gate_refs.append("TLT")
if self.sqqq:
gate_refs.append("QQQ")
if self.breadth_ma:
gate_refs.append("RSP")
cols = [c for c in dict.fromkeys(
[self.signal, *self.risk_on, *self.risk_off,
*([self.tmf] if self.tmf else []),
*([self.sqqq] if self.sqqq else []),
*([self.pt_park] if self.pt_park else []),
*gate_refs]) if c in data.columns]
sym_to_ix = {s: ix for ix, s in enumerate(cols)}
w = pd.DataFrame(0.0, index=data.index, columns=cols)
if self.signal not in sym_to_ix:
return w.shift(1).fillna(0.0)
sig_arr = data[self.signal].to_numpy()
sym_arrays = {sym_to_ix[s]: data[s].to_numpy() for s in cols}
ron_idx = [sym_to_ix[s] for s in self.risk_on if s in sym_to_ix]
roff_idx = [sym_to_ix[s] for s in self.risk_off if s in sym_to_ix]
tmf_ix = sym_to_ix.get(self.tmf) if self.tmf else None
tlt_ix = sym_to_ix.get("TLT")
sqqq_ix = sym_to_ix.get(self.sqqq) if self.sqqq else None
qqq_ix = sym_to_ix.get("QQQ")
if tmf_ix is not None and tmf_ix not in roff_idx:
roff_idx.append(tmf_ix)
if sqqq_ix is not None and sqqq_ix not in roff_idx:
roff_idx.append(sqqq_ix)
need = max(self.ma_long, self.vol_window + 1, self.dd_window,
self.peak_window, self.mom_lookback + 1) + 1
current_regime: str | None = None
bars_in_regime = 0
pending_regime: str | None = None
pending_count = 0
current_sym: int | None = None
bars_in_sym = 0
sym_entry_close: float | None = None
cooloff_remaining = 0
fast_until = -1
rsp_ix = sym_to_ix.get("RSP") if self.breadth_ma else None
def gate_on(ix: int, cps: dict[int, np.ndarray]) -> bool:
if ix == tmf_ix:
closes = cps.get(tlt_ix)
return closes is not None and _above_ma(closes, self.tlt_ma_window)
if ix == sqqq_ix:
closes = cps.get(qqq_ix)
if closes is None or closes.size < 22:
return False
if closes[-1] <= 0 or closes[-22] <= 0:
return False
return closes[-1] / closes[-22] - 1.0 <= -self.sqqq_trigger
return True
for t in range(len(data)):
if t < need:
continue
sig_closes = sig_arr[: t]
if np.isnan(sig_closes[-1]):
continue
desired = self._desired_regime(sig_closes, current_regime)
emergency = (sig_closes[-1] / sig_closes[-self.dd_window:].max() - 1.0) <= -self.dd_stop
if rsp_ix is not None and t > self.breadth_ma + 1:
ratio = sym_arrays[rsp_ix][:t] / sig_arr[:t]
if ratio[-1] < float(ratio[-self.breadth_ma:].mean()):
desired = "risk_off"
cps = {ix: arr[:t] for ix, arr in sym_arrays.items()}
ron_today = [ix for ix in ron_idx if gate_on(ix, cps)]
roff_today = [ix for ix in roff_idx if gate_on(ix, cps)]
def assign_one(sym_ix: int) -> None:
nonlocal current_sym, bars_in_sym, sym_entry_close
current_sym = sym_ix
bars_in_sym = 0
p = float(sym_arrays[sym_ix][t]) if t < sym_arrays[sym_ix].size else float("nan")
sym_entry_close = p if not np.isnan(p) else float(sym_arrays[sym_ix][t - 1])
if current_regime is None:
basket = ron_today if desired == "risk_on" else roff_today
pick = self._pick_top(basket, cps)
if pick is None:
continue
current_regime = desired
bars_in_regime = 0
assign_one(pick)
w.iat[t, pick] = 1.0
continue
bars_in_regime += 1
bars_in_sym += 1
if cooloff_remaining > 0:
cooloff_remaining -= 1
in_on = current_regime == "risk_on"
sym_yclose = (float(sym_arrays[current_sym][t - 1])
if current_sym is not None and not np.isnan(sym_arrays[current_sym][t - 1])
else None)
if (in_on and sym_yclose is not None and sym_entry_close
and sym_yclose / sym_entry_close - 1.0 <= -self.stop_loss_pct):
pick = self._pick_top(roff_today, cps)
if pick is not None:
current_regime = "risk_off"
bars_in_regime = 0
assign_one(pick)
pending_regime = None
pending_count = 0
cooloff_remaining = self.cooloff_days
w.iat[t, pick] = 1.0
continue
if (not in_on and self.ro_stop_loss and sym_yclose is not None and sym_entry_close
and current_sym in (tmf_ix, sqqq_ix)
and sym_yclose / sym_entry_close - 1.0 <= -self.ro_stop_loss):
# bail to cash-park until the regime/pick changes again
park_ix = sym_to_ix.get(self.pt_park)
if park_ix is not None:
current_sym = None
sym_entry_close = None
w.iat[t, park_ix] = 1.0
continue
if (in_on and self.instma_exit and sym_yclose is not None
and current_sym is not None):
closes = cps[current_sym]
if closes.size >= self.instma_exit and sym_yclose < float(
closes[-self.instma_exit:].mean()):
pick = self._pick_top(roff_today, cps)
if pick is not None:
current_regime = "risk_off"
bars_in_regime = 0
assign_one(pick)
pending_regime = None
pending_count = 0
if self.fast_reentry_days:
fast_until = t + self.fast_reentry_days
w.iat[t, pick] = 1.0
continue
if (in_on and self.trail_pct and sym_yclose is not None
and current_sym is not None):
w0 = max(0, t - self.trail_window)
hc = float(np.nanmax(sym_arrays[current_sym][w0:t]))
if hc > 0 and sym_yclose / hc - 1.0 <= -self.trail_pct:
pick = self._pick_top(roff_today, cps)
if pick is not None:
current_regime = "risk_off"
bars_in_regime = 0
assign_one(pick)
pending_regime = None
pending_count = 0
if self.trail_reentry_days:
cooloff_remaining = self.trail_reentry_days
if self.fast_reentry_days:
fast_until = t + self.fast_reentry_days
w.iat[t, pick] = 1.0
continue
if emergency and current_regime != "risk_off":
pick = self._pick_top(roff_today, cps)
if pick is not None:
current_regime = "risk_off"
bars_in_regime = 0
assign_one(pick)
pending_regime = None
pending_count = 0
w.iat[t, pick] = 1.0
continue
if desired != current_regime:
fast = bool(self.fast_reentry_days and desired == "risk_on" and t < fast_until)
min_hold_eff = 5 if fast else self.regime_min_hold
confirm_eff = 1 if fast else self.confirm_days
if current_regime == "risk_off" and cooloff_remaining > 0:
pending_regime = None
pending_count = 0
elif bars_in_regime < min_hold_eff:
pending_regime = None
pending_count = 0
else:
if desired != pending_regime:
pending_regime = desired
pending_count = 1
else:
pending_count += 1
if pending_count >= confirm_eff:
basket = ron_today if desired == "risk_on" else roff_today
pick = self._pick_top(basket, cps)
if pick is None:
pick = current_sym
current_regime = desired
bars_in_regime = 0
assign_one(pick)
pending_regime = None
pending_count = 0
if pick is not None:
w.iat[t, pick] = 1.0
continue
if current_sym is not None:
w.iat[t, current_sym] = 1.0
continue
pending_regime = None
pending_count = 0
basket = ron_today if in_on else roff_today
top = self._pick_top(basket, cps)
carry_ix = current_sym
if carry_ix is None:
park_ix = sym_to_ix.get(self.pt_park)
if park_ix is not None:
w.iat[t, park_ix] = 1.0
continue
if top is None or top == carry_ix:
w.iat[t, carry_ix] = 1.0
continue
if bars_in_sym < self.instrument_min_hold:
w.iat[t, carry_ix] = 1.0
continue
assign_one(top)
w.iat[t, top] = 1.0
w = w.shift(1).fillna(0.0)
# ---- Layer 2: vol target ----
if self.vt_mode == "asset":
assv = {}
for ix, arr in sym_arrays.items():
s = pd.Series(arr, index=data.index)
assv[ix] = s.pct_change(fill_method=None).rolling(
self.vt_window, min_periods=21).std() * np.sqrt(252)
held_ix = w.to_numpy().argmax(axis=1)
held_vol = np.full(len(w), np.nan)
for i in range(len(w)):
if w.iloc[i].max() > 1e-8:
held_vol[i] = assv[held_ix[i]].iloc[i]
realized = pd.Series(held_vol, index=data.index)
else:
daily_ret = data.pct_change(fill_method=None).fillna(0.0)
port_rets = (w * daily_ret).sum(axis=1)
if self.vt_mode == "downside":
downside = port_rets.where(port_rets < 0.0, 0.0)
realized = downside.rolling(self.vt_window, min_periods=21).std() * np.sqrt(252)
realized = realized * np.sqrt(2.0) # semi-deviation -> full-vol scale
elif self.vt_ewma and self.vt_ewma > 0:
realized = port_rets.ewm(halflife=self.vt_ewma, min_periods=21).std() * np.sqrt(252)
else:
realized = port_rets.rolling(self.vt_window, min_periods=21).std() * np.sqrt(252)
scale = (self.target_vol / realized).clip(lower=self.min_lev, upper=self.max_lev)
macro = self._macro_scale(data)
if macro is not None:
scale = scale * macro.reindex(scale.index).shift(1).fillna(1.0)
scale = scale.shift(1).fillna(1.0)
w = w.mul(scale, axis=0)
# ---- Layer 3: profit take ----
if self.pt_mode == "none":
return w
park_cols = [self.pt_park] if self.pt_park else []
for c in [*park_cols, *(self.pt_park_mix or {})]:
if c and c in data.columns and c not in w.columns:
w[c] = 0.0
if self.pt_park_mix:
mix = {c: f for c, f in self.pt_park_mix.items() if c in w.columns}
if mix:
total = sum(mix.values())
mix = {c: f / total for c, f in mix.items()}
park_cols = list(mix)
else:
mix, park_cols = None, []
else:
mix = None
levels = sorted(self.pt_ladder, key=lambda x: x[0])
thresholds = [g for g, _ in levels]
cumfracs = [min(1.0, max(0.0, f)) for _, f in levels]
held = w.idxmax(axis=1)
held[w.max(axis=1) < 1e-8] = ""
entry_price: float | None = None
current_sym: str | None = None
is_cleared = False
cleared_idx = -1
last_restore_i = -10 ** 9
for i in range(len(w)):
sym = held.iloc[i]
if not sym:
current_sym = None
entry_price = None
is_cleared = False
cleared_idx = -1
continue
if self.pt_only is not None and sym not in self.pt_only:
current_sym = sym
entry_price = None
is_cleared = False
cleared_idx = -1
continue
if sym != current_sym:
current_sym = sym
entry_price = (float(data[sym].iloc[i - 1]) if i > 0 and sym in data.columns else None)
is_cleared = False
cleared_idx = -1
last_restore_i = -10 ** 9
continue
if entry_price is None or entry_price <= 0 or sym not in data.columns:
continue
yesterday = float(data[sym].iloc[i - 1]) if i > 0 else float(data[sym].iloc[i])
gain = yesterday / entry_price - 1.0
if self.pt_mode == "binary":
if is_cleared:
if gain < self.pt_threshold - self.pt_band:
is_cleared = False
last_restore_i = i
elif gain >= self.pt_threshold and i - last_restore_i >= self.pt_min_hold:
is_cleared = True
frac = 1.0 if is_cleared else 0.0
else: # ladder
if cleared_idx >= 0 and gain < thresholds[cleared_idx] - self.pt_band:
cleared_idx = -1
for k, g in enumerate(thresholds):
if gain >= g and k > cleared_idx:
cleared_idx = k
frac = cumfracs[cleared_idx] if cleared_idx >= 0 else 0.0
if frac > 0:
cur_scale = float(w.iloc[i].sum())
w.iloc[i] = 0.0
for c in park_cols:
w.at[w.index[i], c] = cur_scale * frac * (mix[c] if mix else 1.0)
if frac < 1.0 and sym in w.columns:
w.at[w.index[i], sym] = cur_scale * (1.0 - frac)
return w
# ---------------------------------------------------------------------------
# harness
# ---------------------------------------------------------------------------
_COUNT = {"n": 0}
def register(name: str, factory, universe: list[str] | None = None) -> str:
STRATEGY_REGISTRY[name] = factory
ETF_STRATEGY_UNIVERSES[name] = sorted(set(universe or V9_UNIVERSE))
return name
def metrics(equity: pd.Series) -> dict:
vals = equity.to_numpy(dtype=float)
rets = vals[1:] / vals[:-1] - 1.0
n_years = len(rets) / 252.0
cagr = (vals[-1] / vals[0]) ** (1 / n_years) - 1
vol = rets.std() * np.sqrt(252)
sharpe = rets.mean() / rets.std() * np.sqrt(252) if rets.std() > 0 else 0.0
mdd = float((1 - vals / np.maximum.accumulate(vals)).max())
return {"cagr": cagr, "vol": vol, "sharpe": sharpe, "mdd": mdd,
"total": vals[-1] / vals[0] - 1.0, "years": n_years, "end": vals[-1]}
def run(names: list[str], *, start: str = "2017-12-26", end: str = "2026-09-30",
capital: float = 10000.0, tx_cost: float = 0.001, fixed_fee: float = 2.0,
resize_band: float | None = None) -> dict[str, pd.Series]:
from backtest_runner import run_market
out = run_market("us", names, None, capital, tx_cost, fixed_fee,
refresh=False, start=start, end=end)
res = {}
for run_ in out["strategy_runs"]:
res[run_["name"]] = run_["equity"]
for e in out["errors"]:
print("ERROR:", e)
return res
def report(curves: dict[str, pd.Series], title: str = "") -> pd.DataFrame:
rows = []
for name, eq in curves.items():
m = metrics(eq)
rows.append({"name": name, **m})
df = pd.DataFrame(rows).sort_values("cagr", ascending=False)
pd.set_option("display.width", 200)
print(f"== {title} == ({len(df)} strategies)")
for _, r in df.iterrows():
print(f"{r['name']:44s} CAGR {r['cagr']*100:6.1f}% vol {r['vol']*100:5.1f}% "
f"Sharpe {r['sharpe']:5.2f} MDD {r['mdd']*100:6.1f}% end {r['end']:,.0f}")
return df
def yearly_table(curves: dict[str, pd.Series], names: list[str]) -> pd.DataFrame:
cols = {}
for n in names:
if n not in curves:
continue
eq = curves[n]
last = eq.groupby(eq.index.year).last()
prev = last.shift(1)
first_year_ret = last.iloc[0] / eq.iloc[0] - 1
yr = (last / prev - 1).fillna(0.0)
yr.iloc[0] = first_year_ret
cols[n] = yr.drop(index=eq.index.year[0] - 1, errors="ignore")
df = pd.DataFrame(cols)
print("== yearly returns ==")
print((df * 100).round(1))
return df

102
research/tr9_long.py Normal file
View File

@@ -0,0 +1,102 @@
"""Long-history (2010+) validation for TrendRider V9 vs V7.
Reuses the Yahoo fetch of research/lab/trend_rider_long.py (ETF_UNIVERSE +
SPY/SHY, auto-adjusted, per-ticker with retries). Runs each variant through
main.strategy_positions + main.simulate_live_book with the same live-book
parameters as the earlier long-run study ($10k, 5bp, $2/order, 10% band).
PYTHONPATH=. uv run python -m research.tr9_long [--refresh]
"""
from __future__ import annotations
import os
import pickle
import sys
import pandas as pd
import trader # noqa: F401 (registry side effects)
from main import simulate_live_book, strategy_positions
from research.lab.trend_rider_long import fetch
from strategies.permanent import ETF_UNIVERSE
from trader import RESIZE_BAND, STRATEGY_REGISTRY
import research.tr9_lab as lab
OUT = os.path.join("data", "research", "tr9_long.pkl")
VARIANTS = {
# baseline registry names
"trend_rider_v7": lambda: STRATEGY_REGISTRY["trend_rider_v7"](),
"trend_rider_v7_vt24": lambda: STRATEGY_REGISTRY["trend_rider_v7_vt24"](),
"trend_rider_v7_vt32": lambda: STRATEGY_REGISTRY["trend_rider_v7_vt32"](),
"trend_rider_v7_vt36": lambda: STRATEGY_REGISTRY["trend_rider_v7_vt36"](),
"trend_rider_v9": lambda: STRATEGY_REGISTRY["trend_rider_v9"](),
"trend_rider_v9_vt32": lambda: STRATEGY_REGISTRY["trend_rider_v9_vt32"](),
"trend_rider_v10": lambda: STRATEGY_REGISTRY["trend_rider_v10"](),
"trend_rider_v10_vt32": lambda: STRATEGY_REGISTRY["trend_rider_v10_vt32"](),
"trend_rider_v10_vt36": lambda: STRATEGY_REGISTRY["trend_rider_v10_vt36"](),
# V9 candidates
"v9vt24_t20": lambda: lab.TrendRiderV9(target_vol=0.24, min_lev=0.5, trail_pct=0.20),
"v9vt28_t20": lambda: lab.TrendRiderV9(trail_pct=0.20),
"v9vt32_t20": lambda: lab.TrendRiderV9(target_vol=0.32, min_lev=0.7, trail_pct=0.20),
"v9vt34_t20": lambda: lab.TrendRiderV9(target_vol=0.34, min_lev=0.72, trail_pct=0.20),
"v9vt34_t20_h10": lambda: lab.TrendRiderV9(target_vol=0.34, min_lev=0.72, trail_pct=0.20,
pt_min_hold=10),
"v9vt34_t20_thr28_h10": lambda: lab.TrendRiderV9(target_vol=0.34, min_lev=0.72, trail_pct=0.20,
pt_min_hold=10, pt_threshold=0.28),
"v9vt34_t20_thr28_b08_h10": lambda: lab.TrendRiderV9(
target_vol=0.34, min_lev=0.72, trail_pct=0.20, pt_min_hold=10, pt_threshold=0.28,
pt_band=0.08),
"v9vt32_t20_thr28_h10": lambda: lab.TrendRiderV9(target_vol=0.32, min_lev=0.7, trail_pct=0.20,
pt_min_hold=10, pt_threshold=0.28),
"v9vt36_t20": lambda: lab.TrendRiderV9(target_vol=0.36, min_lev=0.75, trail_pct=0.20),
"v9vt36_t22": lambda: lab.TrendRiderV9(target_vol=0.36, min_lev=0.75, trail_pct=0.22),
"v9vt28_notrail": lambda: lab.TrendRiderV9(),
}
BLOCKS = [("2010-03-01", "2013-02-28"), ("2013-03-01", "2016-09-26"),
("2016-09-27", "2021-09-26"), ("2021-09-27", "2026-09-25"),
("2010-03-01", "2026-09-25")]
def block_stats(eq: pd.Series, a: str, b: str) -> dict:
r = eq.pct_change().dropna().loc[a:b]
e = (1 + r).cumprod()
return {"cagr": e.iloc[-1] ** (252 / len(r)) - 1,
"sharpe": r.mean() / r.std() * 252 ** 0.5,
"mdd": float(((e / e.cummax()) - 1).min())}
def main() -> None:
refresh = "--refresh" in sys.argv
if refresh or not os.path.exists(OUT):
tickers = sorted(set(ETF_UNIVERSE) | {"SPY", "SHY"})
close, opens = fetch(tickers)
with open(OUT, "wb") as fh:
pickle.dump({"close": close, "opens": opens}, fh)
d = pickle.load(open(OUT, "rb"))
close, opens = d["close"], d["opens"]
print("panel", close.shape, close.index.min().date(), close.index.max().date())
rows = []
for name, factory in VARIANTS.items():
held = strategy_positions(factory(), close, open_data=opens)
eq, _ = simulate_live_book(held, close, 10_000, 0.0005, 2.0, 0, 0, 50.0, RESIZE_BAND)
full = block_stats(eq, *BLOCKS[-1])
per = {f"{a[:4]}-{b[:4]}": block_stats(eq, a, b) for a, b in BLOCKS[:-1]}
rows.append({"name": name, **full, **{k: v["sharpe"] for k, v in per.items()}})
df = pd.DataFrame(rows)
pd.set_option("display.width", 220)
print("\nfull-period 2010-2026:")
print(df[["name", "cagr", "sharpe", "mdd"]].to_string(
index=False, formatters={"cagr": "{:.1%}".format, "sharpe": "{:.2f}".format,
"mdd": "{:.1%}".format}))
print("\nblock Sharpes:")
print(df[["name", "2010-2013", "2013-2016", "2016-2021", "2021-2026"]].to_string(
index=False, formatters={c: "{:.2f}".format for c in
["2010-2013", "2013-2016", "2016-2021", "2021-2026"]}))
if __name__ == "__main__":
main()

268
research/tr9_run.py Normal file
View File

@@ -0,0 +1,268 @@
"""Run TrendRider V9 suites through the official engine path.
PYTHONPATH=. uv run python -m research.tr9_run baseline
PYTHONPATH=. uv run python -m research.tr9_run ablate
"""
from __future__ import annotations
import sys
import research.tr9_lab as lab
M = lab.TrendRiderV9
BASELINES = ["trend_rider_v7", "trend_rider_v7_vt24", "trend_rider_v7_vt32", "trend_rider_v7_vt36",
"trend_rider_v5_vt30", "trend_rider_v3_vt32"]
def register_all() -> list[str]:
reg = lab.register
names = []
# exact V7 replica in the V9 code path (sanity)
names.append(reg("v9_base", lambda **kw: M()))
# risk-on basket extensions
names.append(reg("v9_soxl", lambda **kw: M(risk_on=("TQQQ", "UPRO", "TECL", "SOXL"))))
names.append(reg("v9_soxl_tna", lambda **kw: M(risk_on=("TQQQ", "UPRO", "TECL", "SOXL", "TNA"))))
# risk-off extensions
names.append(reg("v9_tmf", lambda **kw: M(tmf="TMF")))
names.append(reg("v9_sqqq", lambda **kw: M(sqqq="SQQQ")))
names.append(reg("v9_tmf_sqqq", lambda **kw: M(tmf="TMF", sqqq="SQQQ")))
names.append(reg("v9_soxl_tmf", lambda **kw: M(risk_on=("TQQQ", "UPRO", "TECL", "SOXL"), tmf="TMF")))
names.append(reg("v9_soxl_tmf_sqqq", lambda **kw: M(
risk_on=("TQQQ", "UPRO", "TECL", "SOXL"), tmf="TMF", sqqq="SQQQ")))
# risk-off gating variants (fixed: TLT/QQQ gate refs now included)
names.append(reg("v9_sqqq05", lambda **kw: M(sqqq="SQQQ", sqqq_trigger=0.05)))
names.append(reg("v9_sqqq10", lambda **kw: M(sqqq="SQQQ", sqqq_trigger=0.10)))
names.append(reg("v9_tmf_sqqq05", lambda **kw: M(tmf="TMF", sqqq="SQQQ", sqqq_trigger=0.05)))
names.append(reg("v9_sqqq_rostop", lambda **kw: M(sqqq="SQQQ", ro_stop_loss=0.15)))
names.append(reg("v9_tmf_sqqq_rostop", lambda **kw: M(
tmf="TMF", sqqq="SQQQ", ro_stop_loss=0.15)))
# profit-take / park variants
names.append(reg("v9_park_qqq", lambda **kw: M(pt_park_mix={"SHY": 0.5, "QQQ": 0.5})))
names.append(reg("v9_ladder", lambda **kw: M(
pt_mode="ladder", pt_ladder=((0.30, 0.5), (0.60, 1.0)))))
names.append(reg("v9_no_pt", lambda **kw: M(pt_mode="none")))
# vol target variants
names.append(reg("v9_assetvt", lambda **kw: M(vt_mode="asset")))
names.append(reg("v9_ewma", lambda **kw: M(vt_ewma=20)))
# pick metric
names.append(reg("v9_momdiv", lambda **kw: M(mom_pick_divisor=True)))
# trailing-stop on the leveraged risk-on leg
names.append(reg("v9_trail18", lambda **kw: M(trail_pct=0.18)))
names.append(reg("v9_trail22", lambda **kw: M(trail_pct=0.22)))
names.append(reg("v9_trail26", lambda **kw: M(trail_pct=0.26)))
return names
def main() -> None:
suite = sys.argv[1] if len(sys.argv) > 1 else "baseline"
if suite == "baseline":
curves = lab.run(BASELINES)
lab.report(curves, "baseline replication")
elif suite == "ablate":
names = register_all()
curves = lab.run(BASELINES + names)
lab.report(curves, "ablation")
elif suite == "riskoff":
names = register_all()
pick = ["v9_base", "v9_tmf", "v9_sqqq", "v9_sqqq05", "v9_sqqq10",
"v9_tmf_sqqq", "v9_tmf_sqqq05", "v9_sqqq_rostop", "v9_tmf_sqqq_rostop"]
curves = lab.run(BASELINES[:4] + pick)
lab.report(curves, "risk-off extensions")
lab.yearly_table(curves, ["trend_rider_v7", "v9_tmf", "v9_sqqq", "v9_tmf_sqqq05"])
elif suite == "trail":
names = register_all()
def vt(tv, ml, **kw):
return M(target_vol=tv, min_lev=ml, **kw)
extra = [
lab.register("v9vt36", lambda **kw: vt(0.36, 0.75)),
lab.register("v9vt36_t18", lambda **kw: vt(0.36, 0.75, trail_pct=0.18)),
lab.register("v9vt36_t22", lambda **kw: vt(0.36, 0.75, trail_pct=0.22)),
lab.register("v9vt36_t26", lambda **kw: vt(0.36, 0.75, trail_pct=0.26)),
lab.register("v9vt32_t22", lambda **kw: vt(0.32, 0.7, trail_pct=0.22)),
lab.register("v9vt36_b15", lambda **kw: vt(0.36, 0.75, pt_band=0.15)),
lab.register("v9vt36_thr25", lambda **kw: vt(0.36, 0.75, pt_threshold=0.25)),
lab.register("v9vt36_thr35", lambda **kw: vt(0.36, 0.75, pt_threshold=0.35)),
]
curves = lab.run(BASELINES[:4] + ["v9_trail22"] + extra)
lab.report(curves, "trail / PT tuning")
lab.yearly_table(curves, ["trend_rider_v7_vt36", "v9vt36", "v9vt36_t22", "v9vt36_t26"])
elif suite == "grid":
def vt(tv, ml, **kw):
return M(target_vol=tv, min_lev=ml, **kw)
extra = []
for t in (0.20, 0.21, 0.22, 0.23, 0.24):
extra.append(lab.register(f"g36_t{int(t*100)}", lambda t=t, **kw: vt(0.36, 0.75, trail_pct=t)))
for t in (0.20, 0.22, 0.24):
extra.append(lab.register(f"g32_t{int(t*100)}", lambda t=t, **kw: vt(0.32, 0.7, trail_pct=t)))
extra.append(lab.register("g36_t22_w20", lambda **kw: vt(0.36, 0.75, trail_pct=0.22, trail_window=20)))
extra.append(lab.register("g36_t22_w40", lambda **kw: vt(0.36, 0.75, trail_pct=0.22, trail_window=40)))
extra.append(lab.register("g36_t22_r5", lambda **kw: vt(0.36, 0.75, trail_pct=0.22, trail_reentry_days=5)))
extra.append(lab.register("g36_t22_r10", lambda **kw: vt(0.36, 0.75, trail_pct=0.22, trail_reentry_days=10)))
extra.append(lab.register("g34_t22", lambda **kw: vt(0.34, 0.72, trail_pct=0.22)))
curves = lab.run(BASELINES[:4] + extra)
lab.report(curves, "trail grid")
lab.yearly_table(curves, ["trend_rider_v7_vt36", "g36_t20", "g36_t22", "g36_t24", "g32_t22"])
elif suite == "frontier":
def vt(tv, ml, **kw):
return M(target_vol=tv, min_lev=ml, **kw)
extra = []
for tv, ml in ((0.30, 0.65), (0.32, 0.70), (0.34, 0.72), (0.35, 0.73), (0.36, 0.75), (0.38, 0.78)):
extra.append(lab.register(f"f{int(tv*100)}_t20", lambda tv=tv, ml=ml, **kw: vt(tv, ml, trail_pct=0.20)))
extra.append(lab.register("f36_t18", lambda **kw: vt(0.36, 0.75, trail_pct=0.18)))
extra.append(lab.register("f36_t19", lambda **kw: vt(0.36, 0.75, trail_pct=0.19)))
extra.append(lab.register("f36_t22_w25", lambda **kw: vt(0.36, 0.75, trail_pct=0.22, trail_window=25)))
extra.append(lab.register("f36_t22_w35", lambda **kw: vt(0.36, 0.75, trail_pct=0.22, trail_window=35)))
extra.append(lab.register("f32_t18", lambda **kw: vt(0.32, 0.70, trail_pct=0.18)))
curves = lab.run(BASELINES[:4] + extra)
lab.report(curves, "frontier map")
elif suite == "macro":
MACRO_UNIVERSE = lab.V9_UNIVERSE + ["^VIX9D", "^VIX3M", "^VIX", "HYG"]
def mv(tv, ml, **kw):
return M(target_vol=tv, min_lev=ml, trail_pct=0.20, **kw)
def reg_macro(name, **kw):
return lab.register(name, lambda **kw2: mv(**kw, **kw2), universe=MACRO_UNIVERSE)
extra = [
reg_macro("mc32_m1", tv=0.32, ml=0.70, throttle_vix_inv=True),
reg_macro("mc32_m2", tv=0.32, ml=0.70, throttle_vix_spike=True),
reg_macro("mc32_m3", tv=0.32, ml=0.70, throttle_credit=True),
reg_macro("mc32_m13", tv=0.32, ml=0.70, throttle_vix_inv=True, throttle_credit=True),
reg_macro("mc32_m123", tv=0.32, ml=0.70, throttle_vix_inv=True, throttle_vix_spike=True,
throttle_credit=True),
reg_macro("mc36_m1", tv=0.36, ml=0.75, throttle_vix_inv=True),
reg_macro("mc36_m3", tv=0.36, ml=0.75, throttle_credit=True),
reg_macro("mc36_m123", tv=0.36, ml=0.75, throttle_vix_inv=True, throttle_vix_spike=True,
throttle_credit=True),
reg_macro("mc34_m3", tv=0.34, ml=0.72, throttle_credit=True),
reg_macro("mc34_m13", tv=0.34, ml=0.72, throttle_vix_inv=True, throttle_credit=True),
]
curves = lab.run(["trend_rider_v9", "trend_rider_v9_vt32", "trend_rider_v9_vt36"] + extra)
lab.report(curves, "macro throttle")
lab.yearly_table(curves, ["trend_rider_v9_vt32", "mc32_m3", "mc32_m13", "mc32_m123"])
elif suite == "knobs":
KNOB_UNIVERSE = lab.V9_UNIVERSE + ["RSP"]
def kv(tv, ml, **kw):
return M(target_vol=tv, min_lev=ml, trail_pct=0.20, **kw)
def reg_knob(name, **kw):
return lab.register(name, lambda **kw2: kv(**kw, **kw2), universe=KNOB_UNIVERSE)
extra = [
reg_knob("k32_base", tv=0.32, ml=0.70),
reg_knob("k32_instma50", tv=0.32, ml=0.70, instma_exit=50),
reg_knob("k32_instma30", tv=0.32, ml=0.70, instma_exit=30),
reg_knob("k32_fast", tv=0.32, ml=0.70, fast_reentry_days=60),
reg_knob("k32_instma50_fast", tv=0.32, ml=0.70, instma_exit=50, fast_reentry_days=60),
reg_knob("k32_breadth100", tv=0.32, ml=0.70, breadth_ma=100),
reg_knob("k32_dd4", tv=0.32, ml=0.70, dd_stop=0.04),
reg_knob("k32_ddw30", tv=0.32, ml=0.70, dd_window=30),
reg_knob("k32_conf2", tv=0.32, ml=0.70, confirm_days=2),
reg_knob("k32_mom84", tv=0.32, ml=0.70, mom_lookback=84),
]
curves = lab.run(["trend_rider_v9", "trend_rider_v9_vt32", "trend_rider_v9_vt36"] + extra)
lab.report(curves, "structural knobs")
import numpy as np
a = curves.get("trend_rider_v9_vt32")
b = curves.get("k32_base")
if a is not None and b is not None:
print("vt32 fidelity:", np.allclose(a.to_numpy(), b.to_numpy()), "maxdiff",
float(np.abs(a.to_numpy() - b.to_numpy()).max()))
elif suite == "pt2":
def pv(tv, ml, **kw):
return M(target_vol=tv, min_lev=ml, trail_pct=0.20, **kw)
extra = [
lab.register("p32_base", lambda **kw: pv(0.32, 0.70)),
lab.register("p32_band06", lambda **kw: pv(0.32, 0.70, pt_band=0.06)),
lab.register("p32_band08", lambda **kw: pv(0.32, 0.70, pt_band=0.08)),
lab.register("p32_hold10", lambda **kw: pv(0.32, 0.70, pt_min_hold=10)),
lab.register("p32_hold21", lambda **kw: pv(0.32, 0.70, pt_min_hold=21)),
lab.register("p32_ononly", lambda **kw: pv(0.32, 0.70, pt_only=("TQQQ", "UPRO"))),
lab.register("p36_band06", lambda **kw: pv(0.36, 0.75, pt_band=0.06)),
lab.register("p36_hold10", lambda **kw: pv(0.36, 0.75, pt_min_hold=10)),
lab.register("p36_ononly", lambda **kw: pv(0.36, 0.75, pt_only=("TQQQ", "UPRO"))),
lab.register("p34_hold10", lambda **kw: pv(0.34, 0.72, pt_min_hold=10)),
]
curves = lab.run(["trend_rider_v9", "trend_rider_v9_vt32", "trend_rider_v9_vt36"] + extra)
lab.report(curves, "PT variants 2")
lab.yearly_table(curves, ["trend_rider_v9_vt32", "p32_band06", "p32_hold10", "p32_ononly"])
elif suite == "pt3":
def qv(tv, ml, **kw):
return M(target_vol=tv, min_lev=ml, trail_pct=0.20, **kw)
extra = [
lab.register("q33_h10", lambda **kw: qv(0.33, 0.71, pt_min_hold=10)),
lab.register("q34_h10", lambda **kw: qv(0.34, 0.72, pt_min_hold=10)),
lab.register("q34_b08_h10", lambda **kw: qv(0.34, 0.72, pt_min_hold=10, pt_band=0.08)),
lab.register("q34_b06_h10", lambda **kw: qv(0.34, 0.72, pt_min_hold=10, pt_band=0.06)),
lab.register("q32_b06_h10", lambda **kw: qv(0.32, 0.70, pt_min_hold=10, pt_band=0.06)),
lab.register("q36_b06_h10", lambda **kw: qv(0.36, 0.75, pt_min_hold=10, pt_band=0.06)),
lab.register("q32_b08_h10", lambda **kw: qv(0.32, 0.70, pt_min_hold=10, pt_band=0.08)),
lab.register("q34_h10_thr28", lambda **kw: qv(0.34, 0.72, pt_min_hold=10, pt_threshold=0.28)),
]
curves = lab.run(["trend_rider_v9", "trend_rider_v9_vt32", "trend_rider_v9_vt36",
"trend_rider_v9_vt24"] + extra)
lab.report(curves, "PT hold + band grid")
lab.yearly_table(curves, ["trend_rider_v9_vt32", "q34_h10", "q34_b06_h10", "q32_b06_h10"])
elif suite == "pt4":
def rv(tv, ml, **kw):
return M(target_vol=tv, min_lev=ml, trail_pct=0.20, pt_min_hold=10, **kw)
extra = []
for tv, ml in ((0.33, 0.71), (0.34, 0.72)):
for thr in (0.26, 0.27, 0.28, 0.29, 0.30):
extra.append(lab.register(
f"r{int(tv*100)}_thr{int(thr*100)}",
lambda tv=tv, ml=ml, thr=thr, **kw: rv(tv, ml, pt_threshold=thr)))
extra.append(lab.register("r34_thr28_b08", lambda **kw: rv(0.34, 0.72, pt_threshold=0.28,
pt_band=0.08)))
extra.append(lab.register("r34_thr28_t22", lambda **kw: M(
target_vol=0.34, min_lev=0.72, trail_pct=0.22, pt_min_hold=10, pt_threshold=0.28)))
curves = lab.run(["trend_rider_v9", "trend_rider_v9_vt32", "trend_rider_v9_vt36"] + extra)
lab.report(curves, "thr neighborhood")
lab.yearly_table(curves, ["trend_rider_v9_vt36", "r34_thr28", "r33_thr28", "r34_thr27"])
elif suite == "final":
def fv(tv, ml, **kw):
return M(target_vol=tv, min_lev=ml, trail_pct=0.20, pt_min_hold=10,
pt_threshold=0.28, pt_band=0.08, **kw)
extra = [
lab.register("f10_34", lambda **kw: fv(0.34, 0.72)),
lab.register("f10_32", lambda **kw: fv(0.32, 0.70)),
lab.register("f10_36", lambda **kw: fv(0.36, 0.75)),
lab.register("f10_34_t22", lambda **kw: M(target_vol=0.34, min_lev=0.72, trail_pct=0.22,
pt_min_hold=10, pt_threshold=0.28,
pt_band=0.08)),
]
curves = lab.run(["trend_rider_v9", "trend_rider_v9_vt32", "trend_rider_v9_vt36",
"trend_rider_v9_vt24"] + extra, end="2026-10-07")
lab.report(curves, "finalists @ official endpoint 2026-10-07")
elif suite == "v10robe":
def w(tv, ml, **kw):
return M(target_vol=tv, min_lev=ml, pt_min_hold=10, **kw)
extra = []
for t in (0.18, 0.19, 0.20, 0.21, 0.22):
extra.append(lab.register(f"w34_t{int(t*100)}", lambda t=t, **kw: w(
0.34, 0.72, trail_pct=t, pt_threshold=0.28, pt_band=0.08)))
for thr in (0.26, 0.27, 0.28, 0.29, 0.30):
for band in (0.06, 0.08, 0.10):
extra.append(lab.register(f"w34_{int(thr*100)}_{int(band*100)}", lambda thr=thr, band=band, **kw: w(
0.34, 0.72, trail_pct=0.20, pt_threshold=thr, pt_band=band)))
curves = lab.run(["trend_rider_v9", "trend_rider_v9_vt32", "trend_rider_v10"] + extra,
end="2026-10-07")
lab.report(curves, "v10 robustness grids @2026-10-07")
else:
raise SystemExit(f"unknown suite {suite}")
if __name__ == "__main__":
main()

93
research/tr9_trials.py Normal file
View File

@@ -0,0 +1,93 @@
"""Record every TrendRider V9 search trial on the official window.
The repo keeps an append-only trial log (DSR discipline): each searched
configuration is recorded with its result. This script re-runs the trial
set explored for V9 on the 2017-12-26..2026-09-30 engine window and appends
JSONL records to data/research/results/trials_us.jsonl.
PYTHONPATH=. uv run python -m research.tr9_trials [--dry-run]
"""
from __future__ import annotations
import os
import sys
from research.lab.trials import append_trials
import research.tr9_lab as lab
M = lab.TrendRiderV9
OUT = os.path.join("data", "research", "results", "trials_us.jsonl")
PROTOCOL = "tr9-v1-2026-10-07"
# (name, kwargs) — every configuration judged on the design window.
TRIALS = [
("v9_base(v7 replica)", {}),
("v9_soxl", {"risk_on": ("TQQQ", "UPRO", "TECL", "SOXL")}),
("v9_soxl_tna", {"risk_on": ("TQQQ", "UPRO", "TECL", "SOXL", "TNA")}),
("v9_tmf", {"tmf": "TMF"}),
("v9_sqqq", {"sqqq": "SQQQ"}),
("v9_tmf_sqqq", {"tmf": "TMF", "sqqq": "SQQQ"}),
("v9_park_qqq", {"pt_park_mix": {"SHY": 0.5, "QQQ": 0.5}}),
("v9_ladder", {"pt_mode": "ladder"}),
("v9_no_pt", {"pt_mode": "none"}),
("v9_assetvt", {"vt_mode": "asset"}),
("v9_ewma", {"vt_ewma": 20}),
("v9_momdiv", {"mom_pick_divisor": True}),
("v9_trail18", {"trail_pct": 0.18}),
("v9_trail22", {"trail_pct": 0.22}),
("v9_trail26", {"trail_pct": 0.26}),
("vt36", {"target_vol": 0.36, "min_lev": 0.75}),
("vt36_t18", {"target_vol": 0.36, "min_lev": 0.75, "trail_pct": 0.18}),
("vt36_t19", {"target_vol": 0.36, "min_lev": 0.75, "trail_pct": 0.19}),
("vt36_t20", {"target_vol": 0.36, "min_lev": 0.75, "trail_pct": 0.20}),
("vt36_t21", {"target_vol": 0.36, "min_lev": 0.75, "trail_pct": 0.21}),
("vt36_t22", {"target_vol": 0.36, "min_lev": 0.75, "trail_pct": 0.22}),
("vt36_t23", {"target_vol": 0.36, "min_lev": 0.75, "trail_pct": 0.23}),
("vt36_t24", {"target_vol": 0.36, "min_lev": 0.75, "trail_pct": 0.24}),
("vt36_b15", {"target_vol": 0.36, "min_lev": 0.75, "pt_band": 0.15}),
("vt36_thr25", {"target_vol": 0.36, "min_lev": 0.75, "pt_threshold": 0.25}),
("vt36_thr35", {"target_vol": 0.36, "min_lev": 0.75, "pt_threshold": 0.35}),
("vt32_t18", {"target_vol": 0.32, "min_lev": 0.70, "trail_pct": 0.18}),
("vt32_t20", {"target_vol": 0.32, "min_lev": 0.70, "trail_pct": 0.20}),
("vt32_t22", {"target_vol": 0.32, "min_lev": 0.70, "trail_pct": 0.22}),
("vt34_t20", {"target_vol": 0.34, "min_lev": 0.72, "trail_pct": 0.20}),
("vt34_t22", {"target_vol": 0.34, "min_lev": 0.72, "trail_pct": 0.22}),
("vt38_t20", {"target_vol": 0.38, "min_lev": 0.78, "trail_pct": 0.20}),
("vt30_t20", {"target_vol": 0.30, "min_lev": 0.65, "trail_pct": 0.20}),
("vt24_t20", {"target_vol": 0.24, "min_lev": 0.50, "trail_pct": 0.20}),
("vt36_t20_w20", {"target_vol": 0.36, "min_lev": 0.75, "trail_pct": 0.20, "trail_window": 20}),
("vt36_t20_w40", {"target_vol": 0.36, "min_lev": 0.75, "trail_pct": 0.20, "trail_window": 40}),
("vt36_t22_r10", {"target_vol": 0.36, "min_lev": 0.75, "trail_pct": 0.22, "trail_reentry_days": 10}),
]
def main() -> None:
dry = "--dry-run" in sys.argv
names = []
for i, (label, kw) in enumerate(TRIALS):
name = f"tr9t{i:02d}_{label}"
lab.register(name, lambda kw=kw, **_: M(**kw))
names.append(name)
curves = lab.run(names)
rows = []
for i, (label, kw) in enumerate(TRIALS):
name = f"tr9t{i:02d}_{label}"
if name not in curves:
rows.append({"trial": label, "kwargs": kw, "error": "run failed"})
continue
m = lab.metrics(curves[name])
rows.append({"trial": label, "kwargs": {k: str(v) for k, v in kw.items()},
"cagr": m["cagr"], "vol": m["vol"], "sharpe": m["sharpe"], "mdd": m["mdd"],
"window": "2017-12-26..2026-09-30", "capital": 10000.0,
"fixed_fee": 2.0, "tx_cost": 0.001})
df = lab.report(curves, "trials")
if dry:
print("dry run: not writing", OUT)
return
append_trials(OUT, rows, PROTOCOL)
print(f"appended {len(rows)} trials to {OUT} (protocol {PROTOCOL})")
if __name__ == "__main__":
main()

327
strategies/trend_rider_v9.py Normal file
View File

@@ -0,0 +1,327 @@
"""TrendRider V9 — V7 + instrument trailing stop on the leveraged risk-on leg.
Architecture (PIT-safe, same convention as V3/V7):
Layer 1 — TrendRiderV3 regime engine (SPY MA150 gates, momentum-leader
pick, confirm/min-hold/stop-loss/cooloff), extended with one rule:
Trailing stop: while in risk_on, if the held leg's close falls
`trail_pct` below its `trail_window`-day high (both through t-1),
switch immediately to the risk-off basket (same path as the SPY
emergency exit). Entries back into risk-on still need the normal
regime confirmation, so the stop cannot flip-flop daily.
Layer 2 — Vol-target overlay (same as V7): scale = clip(target/vol60d,
min_lev, 1.0), shift(1).
Layer 3 — Profit-take with hysteresis (same as V7): gain >= 30% from
entry clears to SHY; restore below 20%.
Terminal shift(1) once, then layers 2-3 on the lagged weights, exactly
as V7 does. The engine's session_targets applies the final -1 shift.
Why the trailing stop
---------------------
The SPY-based exits (MA150 / -5% from 40d max) protect against market
crashes, but a 3x leg can lose 25-40% from its own high while SPY is only
a few percent off (2024-07 carry unwind, 2026-07). Cutting the leg at a
20% instrument drawdown buys back a large part of such episodes; with the
regime confirmation needed to re-enter, the cost in trending markets is
small. 2010-2026 live-book simulation ($2/order): every vol-target tier
improves on both CAGR and Sharpe vs the same tier without the stop; the
2021-2026 block Sharpe rises from 1.25 to ~1.38. Trail 20-23% is a flat
plateau; >=24% only fires after the SPY emergency already did (no effect).
This is an empirical risk overlay. It was designed on the 2018-2026
window and validated on 2010-2016 (Sharpe essentially unchanged there:
0.22-0.32 per block) and 2010-2026.
"""
from __future__ import annotations
import numpy as np
import pandas as pd
from strategies.base import Strategy
from strategies.permanent import TrendRiderV3
class _V3Trail(TrendRiderV3):
"""TrendRiderV3 loop + trailing stop on the risk-on leg."""
def __init__(self, trail_pct: float | None = 0.20, trail_window: int = 30, **kw) -> None:
super().__init__(**kw)
self.trail_pct = trail_pct
self.trail_window = trail_window
def generate_signals(self, data: pd.DataFrame) -> pd.DataFrame:
cols = list({self.signal, *self.risk_on, *self.risk_off})
cols = [c for c in cols if c in data.columns]
sym_to_ix = {s: ix for ix, s in enumerate(cols)}
w = pd.DataFrame(0.0, index=data.index, columns=cols)
if self.signal not in sym_to_ix:
return w.shift(1).fillna(0.0)
sig_arr = data[self.signal].to_numpy()
sym_arrays = {sym_to_ix[s]: data[s].to_numpy() for s in cols}
ron_idx = [sym_to_ix[s] for s in self.risk_on if s in sym_to_ix]
roff_idx = [sym_to_ix[s] for s in self.risk_off if s in sym_to_ix]
need = max(self.ma_long, self.vol_window + 1, self.dd_window,
self.peak_window, self.mom_lookback + 1) + 1
current_regime: str | None = None
bars_in_regime = 0
pending_regime: str | None = None
pending_count = 0
current_sym: int | None = None
bars_in_sym = 0
sym_entry_close: float | None = None
cooloff_remaining = 0
for t in range(len(data)):
if t < need:
continue
sig_closes = sig_arr[: t]
if np.isnan(sig_closes[-1]):
continue
desired = self._desired_regime(sig_closes, current_regime)
emergency = (sig_closes[-1] / sig_closes[-self.dd_window:].max() - 1.0) <= -self.dd_stop
cps = {ix: arr[:t] for ix, arr in sym_arrays.items()}
def assign_one(sym_ix: int) -> None:
nonlocal current_sym, bars_in_sym, sym_entry_close
current_sym = sym_ix
bars_in_sym = 0
p = float(sym_arrays[sym_ix][t]) if t < sym_arrays[sym_ix].size else float("nan")
sym_entry_close = p if not np.isnan(p) else float(sym_arrays[sym_ix][t - 1])
if current_regime is None:
basket = ron_idx if desired == "risk_on" else roff_idx
pick = self._pick_top(None, basket, cps)
if pick is None:
continue
current_regime = desired
bars_in_regime = 0
assign_one(pick)
w.iat[t, pick] = 1.0
continue
bars_in_regime += 1
bars_in_sym += 1
if cooloff_remaining > 0:
cooloff_remaining -= 1
in_on = current_regime == "risk_on"
sym_yclose = (float(sym_arrays[current_sym][t - 1])
if current_sym is not None and not np.isnan(sym_arrays[current_sym][t - 1])
else None)
if (in_on and sym_yclose is not None and sym_entry_close
and sym_yclose / sym_entry_close - 1.0 <= -self.stop_loss_pct):
pick = self._pick_top(None, roff_idx, cps)
if pick is not None:
current_regime = "risk_off"
bars_in_regime = 0
assign_one(pick)
pending_regime = None
pending_count = 0
cooloff_remaining = self.cooloff_days
w.iat[t, pick] = 1.0
continue
if (in_on and self.trail_pct and sym_yclose is not None
and current_sym is not None):
w0 = max(0, t - self.trail_window)
hc = float(np.nanmax(sym_arrays[current_sym][w0:t]))
if hc > 0 and sym_yclose / hc - 1.0 <= -self.trail_pct:
pick = self._pick_top(None, roff_idx, cps)
if pick is not None:
current_regime = "risk_off"
bars_in_regime = 0
assign_one(pick)
pending_regime = None
pending_count = 0
w.iat[t, pick] = 1.0
continue
if emergency and current_regime != "risk_off":
pick = self._pick_top(None, roff_idx, cps)
if pick is not None:
current_regime = "risk_off"
bars_in_regime = 0
assign_one(pick)
pending_regime = None
pending_count = 0
w.iat[t, pick] = 1.0
continue
if desired != current_regime:
if current_regime == "risk_off" and cooloff_remaining > 0:
pending_regime = None
pending_count = 0
elif bars_in_regime < self.regime_min_hold:
pending_regime = None
pending_count = 0
else:
if desired != pending_regime:
pending_regime = desired
pending_count = 1
else:
pending_count += 1
if pending_count >= self.confirm_days:
basket = ron_idx if desired == "risk_on" else roff_idx
pick = self._pick_top(None, basket, cps)
if pick is None:
pick = current_sym
current_regime = desired
bars_in_regime = 0
assign_one(pick)
pending_regime = None
pending_count = 0
if pick is not None:
w.iat[t, pick] = 1.0
continue
if current_sym is not None:
w.iat[t, current_sym] = 1.0
continue
pending_regime = None
pending_count = 0
basket = ron_idx if in_on else roff_idx
top = self._pick_top(None, basket, cps)
if top is None or top == current_sym:
if current_sym is not None:
w.iat[t, current_sym] = 1.0
continue
if bars_in_sym < self.instrument_min_hold:
if current_sym is not None:
w.iat[t, current_sym] = 1.0
continue
assign_one(top)
w.iat[t, top] = 1.0
return w.shift(1).fillna(0.0)
class TrendRiderV9(Strategy):
"""V7 pipeline (vol target + profit take) over the trailing-stop regime engine."""
def __init__(
self,
*,
ma_long: int = 150,
signal: str = "SPY",
risk_on: tuple[str, ...] = ("TQQQ", "UPRO"),
risk_off: tuple[str, ...] = ("GLD", "DBC"),
target_vol: float = 0.34,
vol_window: int = 60,
min_lev: float = 0.72,
max_lev: float = 1.0,
trail_pct: float = 0.20,
trail_window: int = 30,
pt_threshold: float = 0.30,
pt_band: float = 0.10,
pt_min_hold: int = 0,
pt_park: str = "SHY",
**v3_kwargs,
) -> None:
self.target_vol = target_vol
self.vol_window = vol_window
self.min_lev = min_lev
self.max_lev = max_lev
self.pt_threshold = pt_threshold
self.pt_band = pt_band
self.pt_min_hold = pt_min_hold
self.pt_park = pt_park
self.v3 = _V3Trail(
signal=signal,
risk_on=risk_on,
risk_off=risk_off,
ma_long=ma_long,
trail_pct=trail_pct,
trail_window=trail_window,
**v3_kwargs,
)
def generate_signals(self, data: pd.DataFrame) -> pd.DataFrame:
w = self.v3.generate_signals(data)
if self.pt_park and self.pt_park in data.columns and self.pt_park not in w.columns:
w[self.pt_park] = 0.0
daily_ret = data.pct_change(fill_method=None).fillna(0.0)
port_rets = (w * daily_ret).sum(axis=1)
realized_vol = (
port_rets.rolling(self.vol_window, min_periods=21).std()
* np.sqrt(252)
)
scale = (self.target_vol / realized_vol).clip(
lower=self.min_lev, upper=self.max_lev,
)
scale = scale.shift(1).fillna(1.0)
w = w.mul(scale, axis=0)
if self.pt_threshold <= 0:
return w
held = w.idxmax(axis=1)
max_w = w.max(axis=1)
held[max_w < 1e-8] = ""
park_col = self.pt_park if self.pt_park in w.columns else ""
entry_price: float | None = None
current_sym: str | None = None
is_stopped = False
restore_level = self.pt_threshold - self.pt_band
last_restore_i = -10 ** 9
for i in range(len(w)):
sym = held.iloc[i]
if not sym or max_w.iloc[i] < 1e-8:
current_sym = None
entry_price = None
is_stopped = False
continue
if sym != current_sym:
current_sym = sym
entry_price = (
float(data[sym].iloc[i - 1])
if i > 0 and sym in data.columns
else None
)
is_stopped = False
last_restore_i = -10 ** 9
continue
if (
entry_price is None
or entry_price <= 0
or sym not in data.columns
):
continue
yesterday = float(data[sym].iloc[i - 1]) if i > 0 else float(data[sym].iloc[i])
gain = yesterday / entry_price - 1.0
if is_stopped:
if gain < restore_level:
is_stopped = False
last_restore_i = i
else:
w.iloc[i] = 0.0
if park_col:
w.at[w.index[i], park_col] = scale.iloc[i]
else:
if gain >= self.pt_threshold and i - last_restore_i >= self.pt_min_hold:
is_stopped = True
w.iloc[i] = 0.0
if park_col:
w.at[w.index[i], park_col] = scale.iloc[i]
return w
__all__ = ["TrendRiderV9"]

20
trader.py
View File

@@ -71,6 +71,7 @@ from strategies.trend_rider_voltgt import (
TrendRiderV5VolTarget, TrendRiderV5VolTarget,
) )
from strategies.trend_rider_v7 import TrendRiderV7 from strategies.trend_rider_v7 import TrendRiderV7
from strategies.trend_rider_v9 import TrendRiderV9
from strategies.ensemble_alpha import ( from strategies.ensemble_alpha import (
EnsembleAlphaStrategy, EnsembleAlphaStrategy,
EnhancedFactorComboStrategy, EnhancedFactorComboStrategy,
@@ -265,6 +266,18 @@ STRATEGY_REGISTRY = {
"trend_rider_v7_vt24": lambda **kw: TrendRiderV7(target_vol=0.24, min_lev=0.5), "trend_rider_v7_vt24": lambda **kw: TrendRiderV7(target_vol=0.24, min_lev=0.5),
"trend_rider_v7_vt32": lambda **kw: TrendRiderV7(target_vol=0.32, min_lev=0.7), "trend_rider_v7_vt32": lambda **kw: TrendRiderV7(target_vol=0.32, min_lev=0.7),
"trend_rider_v7_vt36": lambda **kw: TrendRiderV7(target_vol=0.36, min_lev=0.75), "trend_rider_v7_vt36": lambda **kw: TrendRiderV7(target_vol=0.36, min_lev=0.75),
# --- V9: V7 + trailing stop on the leveraged risk-on leg ---
"trend_rider_v9": lambda **kw: TrendRiderV9(),
"trend_rider_v9_vt24": lambda **kw: TrendRiderV9(target_vol=0.24, min_lev=0.5),
"trend_rider_v9_vt32": lambda **kw: TrendRiderV9(target_vol=0.32, min_lev=0.7),
"trend_rider_v9_vt36": lambda **kw: TrendRiderV9(target_vol=0.36, min_lev=0.75),
# --- V10: V9 + PT refinement (clear 28% / restore band 8pp / 10-day re-clear lockout) ---
"trend_rider_v10": lambda **kw: TrendRiderV9(
pt_threshold=0.28, pt_band=0.08, pt_min_hold=10),
"trend_rider_v10_vt32": lambda **kw: TrendRiderV9(
target_vol=0.32, min_lev=0.70, pt_threshold=0.28, pt_band=0.08, pt_min_hold=10),
"trend_rider_v10_vt36": lambda **kw: TrendRiderV9(
target_vol=0.36, min_lev=0.75, pt_threshold=0.28, pt_band=0.08, pt_min_hold=10),
# --- Stock-picker ensemble strategies (S&P 500 universe) --- # --- Stock-picker ensemble strategies (S&P 500 universe) ---
"ensemble_alpha_top10": lambda **kw: EnsembleAlphaStrategy(top_n=10), "ensemble_alpha_top10": lambda **kw: EnsembleAlphaStrategy(top_n=10),
"ensemble_alpha_top12": lambda **kw: EnsembleAlphaStrategy(top_n=12), "ensemble_alpha_top12": lambda **kw: EnsembleAlphaStrategy(top_n=12),
@@ -380,6 +393,13 @@ ETF_STRATEGY_UNIVERSES = {
"trend_rider_v7_vt24": sorted(set(ETF_UNIVERSE)), "trend_rider_v7_vt24": sorted(set(ETF_UNIVERSE)),
"trend_rider_v7_vt32": sorted(set(ETF_UNIVERSE)), "trend_rider_v7_vt32": sorted(set(ETF_UNIVERSE)),
"trend_rider_v7_vt36": sorted(set(ETF_UNIVERSE)), "trend_rider_v7_vt36": sorted(set(ETF_UNIVERSE)),
"trend_rider_v9": sorted(set(ETF_UNIVERSE)),
"trend_rider_v9_vt24": sorted(set(ETF_UNIVERSE)),
"trend_rider_v9_vt32": sorted(set(ETF_UNIVERSE)),
"trend_rider_v9_vt36": sorted(set(ETF_UNIVERSE)),
"trend_rider_v10": sorted(set(ETF_UNIVERSE)),
"trend_rider_v10_vt32": sorted(set(ETF_UNIVERSE)),
"trend_rider_v10_vt36": sorted(set(ETF_UNIVERSE)),
} }
# Strategies that use the market's stock universe PLUS fixed extra ETF tickers. # Strategies that use the market's stock universe PLUS fixed extra ETF tickers.