- Register trend_rider_v7_vt36 (target_vol=0.36, min_lev=0.75) in
strategy registry, ETF universe map, and bridge metadata.
10y backtest: Ann 60.5%, Sharpe 1.87, MaxDD -29.2%.
- Add hot-reload to monitor: each phase re-imports trader module to
pick up newly registered strategies without restart. New strategies
are logged on detection.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
- DEFAULT_MONITOR_STRATEGIES now includes ALL strategies (stock + ETF)
instead of excluding ETF strategies. The cmd_morning/evening/auto
already route ETF strategies to the correct data pipeline via
strategy_universe() and strategy_data_market().
- Register trend_rider_v7, v7_vt24, v7_vt32 in bridge.py STRATEGY_META
so they appear in the stock-agent frontend via /api/strategies.
- Monitor now runs as a background daemon with logs written to
logs/monitor.log (PYTHONUNBUFFERED=1, no tmux dependency).
PID saved to logs/monitor.pid.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Three-layer strategy for leveraged ETF portfolios:
Layer 1: V3 regime engine (MA150) — SPY technicals for risk-on/off
Layer 2: Vol-target overlay (28%, clip 0.6-1.0) — scale by realized vol
Layer 3: Profit-take with hysteresis (+30% → clear to SHY, restore <20%)
The profit-take exploits a structural property of 3x leveraged ETFs:
after large gains, volatility drag on the inflated base erodes compound
returns. Clearing the position locks in geometric gains before the drag
takes effect — this is rebalancing alpha, not prediction alpha.
10y backtest (2016-2026, 10bps one-way cost):
Ann 54.7%, Sharpe(rf=5%) 1.72, MaxDD -25.7%, Sortino 2.23
Also registers trend_rider_v7, trend_rider_v7_vt24, trend_rider_v7_vt32
in the trader strategy registry and ETF_STRATEGY_UNIVERSES.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Add MARKET_FEES {us: 2, cn: 5} so the monitor and cron (auto) paths
automatically apply the correct local-currency fixed commission without
needing a per-strategy override. CLI --fixed-fee still wins when set
explicitly for auto; monitor now always resolves from the table so its
banner and each strategy sub-call agree.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
cmd_evening (used by the monitor path) only updated the simple daily_equity
dict, so daily_log had gaps on every monitor-driven day. Mirror cmd_auto's
pattern and call record_daily_snapshot so each strategy's NAV is recorded
every trading day, even when no trades execute.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
New FactorComboStrategy class (strategies/factor_combo.py) implements
8 champion factor signals (4 US, 4 CN) discovered through iterative
factor research, each at 4 rebalancing frequencies (daily/weekly/
biweekly/monthly). Registered in trader.py as fc_{signal}_{freq}.
Existing strategies and state files are untouched — safe to git pull
and restart monitor on server.
Also includes factor research scripts (factor_loop.py, factor_research.py,
etc.) used to discover and validate these factors.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
- `trader.py monitor` now handles all markets in one process
(US 9:45/16:35 ET, CN 9:45/15:35 CST) with unified UTC event loop
- Events from different markets/timezones are merged; sleeps until
the globally next event across all markets
- Overlapping events (e.g. US evening + CN morning) fire together
- `trader.py compare` defaults to US, use --market cn for A-shares
- One tmux session handles everything: just `uv run python trader.py monitor`
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
- `trader.py monitor` — runs ALL 9 strategies by default, $10k capital,
$2 fee, integer shares. Just start and forget.
- `trader.py compare` — auto-discovers all state files in data/, no
--strategy needed. Ranks by return with equity curves.
- Monitor defaults: --capital 10000, --fixed-fee 2.0, --integer-shares
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
- Monitor now runs morning (9:45 → signals) and evening (4:35 → execute)
instead of single daily run; falls back to auto if morning missed
- Add --integer-shares flag for whole-share-only trading (no fractional)
- Add daily_log to state: each day records holdings, cash, and operations
- Add 'log' subcommand to view daily snapshots with date range filter
- record_daily_snapshot() called from both simulate and auto commands
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
Backtesting engine supporting 11 strategies across US (S&P 500) and CN (CSI 300)
markets with open-to-close execution, proportional + fixed per-trade fees.
Daily trader (trader.py) with auto/morning/evening/simulate/status commands
and cron-friendly `auto` mode for unattended daily runs on a server.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
