Files
quant-trading/research/tr9_lab.py
Gahow Wang 36cb125719 live: commit the TrendRider V9/V10 registrations the monitor already runs
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>
2026-10-09 22:20:28 -07:00

655 lines
26 KiB
Python

"""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