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

Quant-Rust-Strategist Memory

Architecture Overview

• ~100-symbol universe across 14 sectors (expanded from original 50)
• Hybrid momentum + mean-reversion via regime-adaptive dual signal in generate_signal()
• strategy.rs: shared logic between bot.rs and backtester.rs
• Backtester restricts buys to top momentum stocks (TOP_MOMENTUM_COUNT)
• Signal thresholds: StrongBuy>=7.0, Buy>=4.0, Sell<=-4.0, StrongSell<=-7.0

Bugs Fixed (2026-02-13)

1. calculate_results used self.cash instead of equity curve final value

• backtester.rs line ~686: let final_value = self.cash missed open positions
• Fixed: use self.equity_history.last().portfolio_value

2. Drawdown circuit breaker cascading re-triggers

• peak_portfolio_value was never reset after halt, causing immediate re-trigger
• 7+ triggers in 3yr = ~140 bars (19% of backtest) sitting in cash
• Fixed: reset peak to current value on halt resume

3. PDT blocking sells in backtester (disabled)

• PDT sell-blocking removed from backtester; it measures strategy alpha not compliance
• Late-day entry prevention in execute_buy remains for hourly PDT defense
• would_be_day_trade was called AFTER position removal = always false (logic bug)

PDT Implementation (2026-02-12)

• Tracks day trades in rolling 5-business-day window, max 3 allowed
• CRITICAL: Stop-loss exits must NEVER be blocked by PDT (risk mgmt > compliance)
• Late-day entry prevention: On hourly, block buys after 19:00 UTC (~last 2 hours)
• PDT blocking DISABLED in backtester (kept in bot.rs for live trading)

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

• ATR Stop: 3.0x | Trail: 2.0x distance, 2.0x activation
• Risk: 1.2%/trade, max 25% position, 5% cash reserve, 5% max loss
• Max 7 positions, 2/sector | Drawdown halt: 15% (10 bars) | Time exit: 40
• Cooldown: 5 bars | Ramp-up: 15 bars | Slippage: 10bps
• Buy threshold: 4.0 (lowered from 4.5) | Momentum pool: top 20 (widened from 10)
• Daily: momentum=63, ema_trend=50 | Hourly: momentum=63, ema_trend=200
• ADX: range<20, trend>25, strong>40

Hourly Timeframe: DO NOT CHANGE FROM BASELINE

• Hourly IndicatorParams: momentum=63, ema_trend=200 (long lookbacks filter IEX noise)
• Shorter periods (momentum=21, ema_trend=50): CATASTROPHIC -8% loss

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 (but 4.0 is fine)
3. Blocking stop-loss exits for PDT: traps capital in losers, dangerous
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 in multi-year tests

IEX Data Stochasticity

• Backtests have significant run-to-run variation from IEX data timing
• Do NOT panic about minor performance swings between runs
• Always run 2-3 times and compare ranges before concluding a change helped/hurt

Build Notes

• cargo build --release compiles clean (only dead_code warnings for types.rs fields)
• No tests exist