just a checkpoint
This commit is contained in:
zastian-dev
@@ -1,8 +1,7 @@
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//! Technical indicator calculations.
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use crate::config::{
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IndicatorParams, ADX_RANGE_THRESHOLD, ADX_STRONG, ADX_TREND_THRESHOLD, BB_STD,
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RSI2_OVERBOUGHT, RSI2_OVERSOLD, RSI_OVERBOUGHT, RSI_OVERSOLD, VOLUME_THRESHOLD,
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IndicatorParams, ADX_TREND_THRESHOLD, BB_STD, VOLUME_THRESHOLD,
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};
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use crate::types::{Bar, IndicatorRow, Signal, TradeSignal};
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@@ -423,25 +422,78 @@ pub fn calculate_all_indicators(bars: &[Bar], params: &IndicatorParams) -> Vec<I
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rows
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}
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/// Generate trading signal using regime-adaptive dual strategy.
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/// Determine the broad market regime from SPY indicator data.
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///
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/// REGIME DETECTION (via ADX):
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/// - ADX < 20: Range-bound → use Connors RSI-2 mean reversion
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/// - ADX > 25: Trending → use momentum pullback entries
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/// - 20-25: Transition → require extra confirmation
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/// This is the single most important risk filter in the system. During the
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/// 2020 COVID crash (SPY fell ~34% in 23 trading days) and the 2022 bear
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/// market (SPY fell ~25% over 9 months), SPY spent the majority of those
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/// periods below its 200-day EMA with EMA-50 < EMA-200. This filter would
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/// have prevented most long entries during those drawdowns.
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///
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/// MEAN REVERSION (ranging markets):
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/// - Buy when RSI-2 < 10 AND price above 200 EMA (long-term uptrend filter)
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/// - Sell when RSI-2 > 90 (take profit at mean)
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/// - Bollinger Band extremes add conviction
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/// The three regimes map to position-sizing multipliers:
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/// - Bull (SPY > EMA-200, EMA-50 > EMA-200): full size, normal thresholds
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/// - Caution (SPY < EMA-50, SPY > EMA-200): half size, raised thresholds
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/// - Bear (SPY < EMA-200, EMA-50 < EMA-200): no new longs
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pub fn determine_market_regime(spy_row: &IndicatorRow, spy_ema50: f64, spy_ema200: f64) -> crate::types::MarketRegime {
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use crate::types::MarketRegime;
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let price = spy_row.close;
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// All three EMAs must be valid
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if spy_ema50.is_nan() || spy_ema200.is_nan() || price <= 0.0 {
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// Default to Caution when we lack data (conservative)
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return MarketRegime::Caution;
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}
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// Bear: price below 200 EMA AND 50 EMA below 200 EMA (death cross)
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if price < spy_ema200 && spy_ema50 < spy_ema200 {
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return MarketRegime::Bear;
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}
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// Caution: price below 50 EMA (short-term weakness) but still above 200
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if price < spy_ema50 {
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return MarketRegime::Caution;
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}
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// Bull: price above both, 50 above 200 (golden cross)
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if spy_ema50 > spy_ema200 {
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return MarketRegime::Bull;
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}
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// Edge case: price above both EMAs but 50 still below 200 (recovery)
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// Treat as Caution — the golden cross hasn't confirmed yet
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MarketRegime::Caution
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}
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/// Generate trading signal using hierarchical momentum-with-trend strategy.
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///
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/// TREND FOLLOWING (trending markets):
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/// - Buy pullbacks in uptrends: RSI-14 dips + EMA support + MACD confirming
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/// - Sell when trend breaks: EMA crossover down + momentum loss
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/// - Strong trend bonus for high ADX
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/// This replaces the previous additive "indicator soup" approach. The academic
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/// evidence for momentum is robust (Jegadeesh & Titman 1993, Moskowitz et al.
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/// 2012, Asness et al. 2013 "Value and Momentum Everywhere"). Rather than
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/// netting 8 indicators against each other, we use a hierarchical filter:
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///
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/// LAYER 1 (GATE): Trend confirmation
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/// - Price must be above EMA-trend (Faber 2007 trend filter)
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/// - EMA-short must be above EMA-long (trend alignment)
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/// Without both, no buy signal is generated.
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///
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/// LAYER 2 (ENTRY): Momentum + pullback timing
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/// - Positive momentum (ROC > 0): time-series momentum filter
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/// - RSI-14 pullback (30-50): buy the dip in a confirmed uptrend
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/// This is the only proven single-stock pattern (Levy 1967, confirmed
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/// by DeMiguel et al. 2020)
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///
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/// LAYER 3 (CONVICTION): Supplementary confirmation
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/// - MACD histogram positive: momentum accelerating
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/// - ADX > 25 with DI+ > DI-: strong directional trend
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/// - Volume above average: institutional participation
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///
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/// SELL SIGNALS: Hierarchical exit triggers
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/// - Trend break: price below EMA-trend = immediate sell
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/// - Momentum reversal: ROC turns significantly negative
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/// - EMA death cross: EMA-short crosses below EMA-long
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pub fn generate_signal(symbol: &str, current: &IndicatorRow, previous: &IndicatorRow) -> TradeSignal {
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let rsi = current.rsi;
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let rsi2 = current.rsi_short;
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let macd_hist = current.macd_histogram;
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let momentum = current.momentum;
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let ema_short = current.ema_short;
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@@ -451,166 +503,134 @@ pub fn generate_signal(symbol: &str, current: &IndicatorRow, previous: &Indicato
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// Safe NaN handling
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let trend_bullish = current.trend_bullish;
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let volume_ratio = if current.volume_ratio.is_nan() { 1.0 } else { current.volume_ratio };
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let adx = if current.adx.is_nan() { 22.0 } else { current.adx };
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let adx = if current.adx.is_nan() { 20.0 } else { current.adx };
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let di_plus = if current.di_plus.is_nan() { 25.0 } else { current.di_plus };
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let di_minus = if current.di_minus.is_nan() { 25.0 } else { current.di_minus };
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let bb_pct = if current.bb_pct.is_nan() { 0.5 } else { current.bb_pct };
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let ema_distance = if current.ema_distance.is_nan() { 0.0 } else { current.ema_distance };
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// REGIME DETECTION
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let is_ranging = adx < ADX_RANGE_THRESHOLD;
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let is_trending = adx > ADX_TREND_THRESHOLD;
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let strong_trend = adx > ADX_STRONG;
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let trend_up = di_plus > di_minus;
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// EMA state
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let ema_bullish = !ema_short.is_nan() && !ema_long.is_nan() && ema_short > ema_long;
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let prev_ema_bullish = !previous.ema_short.is_nan()
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&& !previous.ema_long.is_nan()
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&& previous.ema_short > previous.ema_long;
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// MACD crossover detection
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let macd_crossed_up = !previous.macd.is_nan()
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&& !previous.macd_signal.is_nan()
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&& !current.macd.is_nan()
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&& !current.macd_signal.is_nan()
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&& previous.macd < previous.macd_signal
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&& current.macd > current.macd_signal;
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let macd_crossed_down = !previous.macd.is_nan()
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&& !previous.macd_signal.is_nan()
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&& !current.macd.is_nan()
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&& !current.macd_signal.is_nan()
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&& previous.macd > previous.macd_signal
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&& current.macd < current.macd_signal;
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let has_momentum = !momentum.is_nan() && momentum > 0.0;
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let mut buy_score: f64 = 0.0;
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let mut sell_score: f64 = 0.0;
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// ═══════════════════════════════════════════════════════════════
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// REGIME 1: MEAN REVERSION (ranging market, ADX < 20)
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// BUY LOGIC: Hierarchical filter (all gates must pass)
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// ═══════════════════════════════════════════════════════════════
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if is_ranging {
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// Connors RSI-2 mean reversion: buy extreme oversold in uptrend context
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if !rsi2.is_nan() {
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// Buy: RSI-2 extremely oversold + long-term trend intact
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if rsi2 < RSI2_OVERSOLD {
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buy_score += 5.0; // Strong mean reversion signal
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if trend_bullish {
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buy_score += 3.0; // With-trend mean reversion = highest conviction
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}
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if bb_pct < 0.05 {
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buy_score += 2.0; // Price at/below lower BB
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}
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} else if rsi2 < 20.0 {
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buy_score += 2.5;
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if trend_bullish {
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// GATE 1: Trend must be confirmed (price > EMA-trend AND EMA alignment)
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// Without this, no buy signal at all. This is the Faber (2007) filter
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// that alone produces positive risk-adjusted returns.
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if trend_bullish && ema_bullish {
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// GATE 2: Positive time-series momentum (Moskowitz et al. 2012)
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if has_momentum {
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// Base score for being in a confirmed uptrend with positive momentum
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buy_score += 4.0;
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// TIMING: RSI-14 pullback in uptrend (the "buy the dip" pattern)
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// RSI 30-50 means price has pulled back but trend is intact.
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// This is the most robust single-stock entry timing signal.
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if !rsi.is_nan() && rsi >= 30.0 && rsi <= 50.0 {
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buy_score += 3.0;
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}
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// Moderate pullback (RSI 50-60) still gets some credit
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else if !rsi.is_nan() && rsi > 50.0 && rsi <= 60.0 {
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buy_score += 1.0;
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}
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// RSI > 70 = overbought, do not add to buy score (chasing)
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// CONVICTION BOOSTERS (each adds incremental edge)
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// Strong directional trend (ADX > 25, DI+ dominant)
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if adx > ADX_TREND_THRESHOLD && di_plus > di_minus {
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buy_score += 1.5;
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}
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// MACD histogram positive and increasing = accelerating momentum
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if !macd_hist.is_nan() && macd_hist > 0.0 {
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buy_score += 1.0;
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// MACD just crossed up = fresh momentum impulse
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let macd_crossed_up = !previous.macd.is_nan()
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&& !previous.macd_signal.is_nan()
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&& !current.macd.is_nan()
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&& !current.macd_signal.is_nan()
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&& previous.macd < previous.macd_signal
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&& current.macd > current.macd_signal;
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if macd_crossed_up {
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buy_score += 1.5;
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}
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}
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// Sell: RSI-2 overbought = take profit on mean reversion
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if rsi2 > RSI2_OVERBOUGHT {
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sell_score += 4.0;
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if !trend_bullish {
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sell_score += 2.0;
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}
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} else if rsi2 > 80.0 && !trend_bullish {
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sell_score += 2.0;
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// Volume confirmation: above-average volume = institutional interest
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if volume_ratio >= VOLUME_THRESHOLD {
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buy_score += 0.5;
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} else {
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// Low volume = less reliable, reduce score
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buy_score *= 0.7;
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}
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}
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// Bollinger Band extremes in range
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if bb_pct < 0.0 {
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buy_score += 2.0; // Below lower band
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} else if bb_pct > 1.0 {
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sell_score += 2.0; // Above upper band
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}
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}
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// ═══════════════════════════════════════════════════════════════
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// REGIME 2: TREND FOLLOWING (trending market, ADX > 25)
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// ═══════════════════════════════════════════════════════════════
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if is_trending {
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// Trend direction confirmation
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if trend_up && trend_bullish {
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buy_score += 3.0;
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// Pullback entry: price dipped but trend intact
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if !rsi.is_nan() && rsi < 40.0 && rsi > 25.0 {
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buy_score += 3.0; // Pullback in uptrend
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}
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if ema_distance > 0.0 && ema_distance < 0.02 {
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buy_score += 2.0; // Near EMA support
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}
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if strong_trend {
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buy_score += 1.5; // Strong trend bonus
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}
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} else if !trend_up && !trend_bullish {
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sell_score += 3.0;
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if !rsi.is_nan() && rsi > 60.0 && rsi < 75.0 {
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sell_score += 3.0; // Bounce in downtrend
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}
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if ema_distance < 0.0 && ema_distance > -0.02 {
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sell_score += 2.0; // Near EMA resistance
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}
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if strong_trend {
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sell_score += 1.5;
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// Strong momentum bonus (ROC > 10% = strong trend)
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if momentum > 10.0 {
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buy_score += 1.0;
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}
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}
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}
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// ═══════════════════════════════════════════════════════════════
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// UNIVERSAL SIGNALS (both regimes)
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// SELL LOGIC: Exit when trend breaks or momentum reverses
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// ═══════════════════════════════════════════════════════════════
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// RSI-14 extremes (strong conviction regardless of regime)
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if !rsi.is_nan() {
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if rsi < RSI_OVERSOLD && trend_bullish {
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buy_score += 3.0; // Oversold in uptrend = strong buy
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} else if rsi > RSI_OVERBOUGHT && !trend_bullish {
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sell_score += 3.0; // Overbought in downtrend = strong sell
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}
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}
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// CRITICAL SELL: Trend break — price drops below EMA-trend
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// This is the single most important exit signal. When the long-term
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// trend breaks, the position has no structural support.
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if !trend_bullish {
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sell_score += 4.0;
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// MACD crossover
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if macd_crossed_up {
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buy_score += 2.0;
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if is_trending && trend_up {
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buy_score += 1.0; // Trend-confirming crossover
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// If also EMA death cross, very strong sell
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if !ema_bullish {
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sell_score += 2.0;
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}
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} else if macd_crossed_down {
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sell_score += 2.0;
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if is_trending && !trend_up {
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// Momentum confirming the breakdown
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if !momentum.is_nan() && momentum < -5.0 {
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sell_score += 2.0;
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} else if !momentum.is_nan() && momentum < 0.0 {
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sell_score += 1.0;
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}
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}
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// Trend still intact but showing weakness
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else {
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// EMA death cross while still above trend EMA = early warning
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if !ema_bullish && prev_ema_bullish {
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sell_score += 3.0;
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}
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// MACD histogram direction
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if !macd_hist.is_nan() {
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if macd_hist > 0.0 { buy_score += 0.5; }
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else if macd_hist < 0.0 { sell_score += 0.5; }
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}
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// Momentum has reversed significantly (still above EMA-trend though)
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if !momentum.is_nan() && momentum < -10.0 {
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sell_score += 3.0;
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} else if !momentum.is_nan() && momentum < -5.0 {
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sell_score += 1.5;
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}
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// Momentum
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if !momentum.is_nan() {
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if momentum > 5.0 { buy_score += 1.5; }
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else if momentum > 2.0 { buy_score += 0.5; }
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else if momentum < -5.0 { sell_score += 1.5; }
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else if momentum < -2.0 { sell_score += 0.5; }
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}
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// MACD crossed down = momentum decelerating
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let macd_crossed_down = !previous.macd.is_nan()
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&& !previous.macd_signal.is_nan()
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&& !current.macd.is_nan()
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&& !current.macd_signal.is_nan()
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&& previous.macd > previous.macd_signal
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&& current.macd < current.macd_signal;
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if macd_crossed_down {
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sell_score += 2.0;
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}
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// EMA crossover events
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let prev_ema_bullish = !previous.ema_short.is_nan()
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&& !previous.ema_long.is_nan()
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&& previous.ema_short > previous.ema_long;
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if ema_bullish && !prev_ema_bullish {
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buy_score += 2.0;
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} else if !ema_bullish && prev_ema_bullish {
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sell_score += 2.0;
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}
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// Volume gate
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if volume_ratio < VOLUME_THRESHOLD {
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buy_score *= 0.5;
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sell_score *= 0.5;
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// RSI extremely overbought (>80) in deteriorating momentum
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if !rsi.is_nan() && rsi > 80.0 && !momentum.is_nan() && momentum < 5.0 {
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sell_score += 1.5;
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}
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}
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// ═══════════════════════════════════════════════════════════════
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@@ -630,7 +650,9 @@ pub fn generate_signal(symbol: &str, current: &IndicatorRow, previous: &Indicato
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Signal::Hold
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};
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let confidence = (total_score.abs() / 12.0).min(1.0);
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// Confidence now reflects the hierarchical gating: a score of 4.0 from
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// the gated system is worth much more than 4.0 from the old additive system.
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let confidence = (total_score.abs() / 10.0).min(1.0);
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TradeSignal {
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symbol: symbol.to_string(),
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