vibe-invest/.claude/agent-memory/quant-rust-strategist/MEMORY.md

Quant-Rust-Strategist Memory

Architecture Overview

• ~100-symbol universe across 14 sectors
• strategy.rs: shared logic between bot.rs and backtester.rs
• Backtester restricts buys to top momentum stocks (TOP_MOMENTUM_COUNT)
• SPY regime filter (EMA-50/200) gates new longs: Bull/Caution/Bear
• Signal thresholds: StrongBuy>=7.0, Buy>=4.0, Sell<=-4.0, StrongSell<=-7.0

Signal Generation (2026-02-13 REWRITE)

• OLD: Additive "indicator soup" -- 8 indicators netted, PF 0.91, no edge
• NEW: Hierarchical momentum-with-trend filter:
  • Gate 1: trend_bullish AND ema_bullish -- MUST pass for any buy
  • Gate 2: positive momentum (ROC > 0) -- time-series momentum
  • Timing: RSI-14 pullback (30-50) in confirmed uptrends
  • Conviction: ADX direction, MACD histogram, volume
  • Sell: trend break (price < EMA-trend) is primary exit signal
• Key insight: hierarchical gating >> additive scoring

Stop/Exit Logic (2026-02-13 FIX)

• Time exit ONLY sells losers (pnl_pct < 0). Old code force-sold winners.
• Trail activation: 1.5x ATR (was 2.0x), trail distance: 2.5x ATR (was 2.0x)
• Max loss: 8% (was 5%), TIME_EXIT_BARS: 60 (was 40)

Equity Curve SMA Stop: REMOVED from backtester

• Created pathological feedback loop with drawdown breaker

Position Sizing (2026-02-13 FIX)

• Confidence scaling: 0.4 + 0.6conf (was 0.7 + 0.3conf)
• RISK_PER_TRADE: 1.0%, MAX_POSITIONS: 10, TOP_MOMENTUM: 10

Current Parameters (config.rs, updated 2026-02-13)

• ATR Stop: 3.0x | Trail: 2.5x distance, 1.5x activation
• Risk: 1.0%/trade, max 25% position, 5% cash reserve, 8% max loss
• Max 10 positions, 2/sector | Time exit: 60 bars (losers only)
• Cooldown: 5 bars | Ramp-up: 15 bars | Slippage: 10bps
• Momentum pool: top 10 (decile)

Bugs Fixed (2026-02-13)

1. calculate_results used self.cash instead of equity curve final value
2. Drawdown circuit breaker cascading re-triggers (peak not reset)
3. PDT blocking sells in backtester (disabled)

Failed Experiments (avoid repeating)

1. Tighter ATR stop (<3.0x): too many stop-outs on hourly
2. Lower buy threshold (3.5): too many weak entries (4.0 is fine)
3. Blocking stop-loss exits for PDT: traps capital in losers
4. Lower volume threshold (0.7): bad trades on IEX. Keep 0.8
5. Shorter hourly lookbacks: catastrophic losses
6. Drawdown halt 12% with non-resetting peak: cascading re-triggers
7. Additive indicator soup: fundamentally has no edge (PF < 1.0)
8. Time exit that dumps winners: destroys win/loss asymmetry
9. Equity curve SMA stop: correlated with drawdown breaker, blocks recovery

Hourly Timeframe: DO NOT CHANGE FROM BASELINE

• momentum=63, ema_trend=200 (long lookbacks filter IEX noise)

IEX Data Stochasticity

• Run 2-3 times and compare ranges before concluding a change helped/hurt

Build Notes

• cargo build --release compiles clean (only dead_code warnings)
• No tests exist