295 lines
12 KiB
Markdown
295 lines
12 KiB
Markdown
# Consistency Auditor Memory
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## Last Audit: 2026-02-12 (PDT Protection)
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### AUDIT RESULT: ⚠️ 1 CRITICAL BUG FOUND
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**PDT (Pattern Day Trading) protection data type mismatch:**
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- bot.rs uses `Vec<String>` for day_trades (line 56)
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- backtester.rs uses `Vec<NaiveDate>` for day_trades (line 42)
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- **Impact**: String parsing on every PDT check, silent failures on malformed dates, performance degradation
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- **Fix required**: Change bot.rs to use `Vec<NaiveDate>` internally (see detailed fix below)
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---
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## Previous Audit: 2026-02-12 (Regime-Adaptive Dual Strategy Update)
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The refactor to extract shared logic into `strategy.rs` has **eliminated all previous consistency issues**. Bot and backtester now share identical implementations for all critical trading logic.
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---
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## VERIFIED CONSISTENT (2026-02-12)
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### Core Trading Logic ✅
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- **Signal generation**: Both use shared `indicators::generate_signal()` (indicators.rs:442-650)
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- **Position sizing**: Both use shared `Strategy::calculate_position_size()` (strategy.rs:29-55)
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- Volatility-adjusted via ATR
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- Confidence scaling: 0.7 + 0.3 * confidence
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- Max position size cap: 25%
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- Cash reserve: 5%
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- **Stop-loss/trailing/time exit**: Both use shared `Strategy::check_stop_loss_take_profit()` (strategy.rs:57-128)
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- Hard max loss cap: 5%
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- ATR-based stop: 3.0x ATR below entry
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- Fixed fallback stop: 2.5%
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- Trailing stop: 2.0x ATR after 2.0x ATR gain
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- Time exit: 40 bars if below trailing activation threshold
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### Portfolio Controls ✅
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- **Cooldown timers**: Both implement 5-bar cooldown after stop-loss (bot:395-406,521-533; bt:133-138,242-247)
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- **Ramp-up period**: Both limit to 1 new position per bar for first 15 bars (bot:433-441; bt:158-161)
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- **Drawdown circuit breaker**: Both halt for 20 bars at 12% drawdown (bot:244-268; bt:83-118)
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- **Sector limits**: Both enforce max 2 per sector (bot:423-430; bt:149-156)
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- **Max concurrent positions**: Both enforce max 7 (bot:414-421; bt:145-147)
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- **Momentum ranking**: Both filter to top 10 momentum stocks (bot:669-690; bt:438-449)
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- **bars_held increment**: Both increment at START of trading cycle/bar (bot:614-617; bt:433-436)
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### Warmup Requirements ✅
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**Daily mode**: `max(35 MACD, 15 RSI, 50 EMA, 28 ADX, 20 BB, 63 momentum) + 5 = 68 bars`
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**Hourly mode**: `max(35 MACD, 15 RSI, 200 EMA, 28 ADX, 20 BB, 63 momentum) + 5 = 205 bars`
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Calculation in `config.rs:169-183` (`IndicatorParams::min_bars()`)
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- RSI-2/3 warmup covered by RSI-14 requirement (15 > 3)
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- MACD needs slow + signal periods (26 + 9 = 35)
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- ADX needs 2x period for smoothing (14 * 2 = 28)
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- Hourly EMA-200 dominates warmup requirement
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Both bot.rs and backtester.rs fetch sufficient historical data and validate bar count before trading.
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---
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## INTENTIONAL DIFFERENCES (Not Bugs) ✅
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### 1. Slippage Modeling
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- **Backtester**: Applies 10 bps on both entry and exit (backtester.rs:63-71)
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- **Live bot**: Uses actual fill prices from Alpaca API (bot.rs:456-460)
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- **Verdict**: Expected difference. Backtester simulates realistic costs; live bot gets market fills.
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### 2. RSI Short Period Scaling
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- **Daily mode**: `rsi_short_period: 2` (Connors RSI-2 for mean reversion)
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- **Hourly mode**: `rsi_short_period: 3` (adjusted for intraday noise)
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- **Verdict**: Intentional design choice per comment "Slightly longer for hourly noise"
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### 3. EMA Trend Period Scaling
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- **Daily mode**: `ema_trend: 50` (50-day trend filter)
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- **Hourly mode**: `ema_trend: 200` (200-hour ≈ 28.5-day trend filter)
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- **Verdict**: Hourly uses 4x scaling (not 7x like other indicators) for longer-term trend context. Appears intentional.
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---
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## STRATEGY ARCHITECTURE (2026-02-12)
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### Regime-Adaptive Dual Signal
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The new strategy uses **ADX for regime detection** and switches between two modes:
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#### RANGE-BOUND (ADX < 20): Mean Reversion
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- **Entry**: Connors RSI-2 extreme oversold (RSI-2 < 10) + price above 200 EMA
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- **Exit**: RSI-2 extreme overbought (RSI-2 > 90) or standard exits
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- **Conviction boosters**: Bollinger Band extremes, volume confirmation
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- **Logic**: indicators.rs:490-526
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#### TRENDING (ADX > 25): Momentum Pullback
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- **Entry**: Pullbacks in strong trends (RSI-14 dips 25-40, price near EMA support, MACD confirming)
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- **Exit**: Trend break (EMA crossover down) or standard exits
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- **Conviction boosters**: Strong trend (ADX > 40), DI+/DI- alignment
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- **Logic**: indicators.rs:531-557
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#### UNIVERSAL SIGNALS (Both Regimes)
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- RSI-14 extremes in trending context (indicators.rs:564-570)
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- MACD crossovers (indicators.rs:573-583)
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- EMA crossovers (indicators.rs:599-608)
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- Volume gate (reduces scores 50% if volume < 80% of 20-period MA) (indicators.rs:611-614)
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### Signal Thresholds
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- **StrongBuy**: total_score >= 7.0
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- **Buy**: total_score >= 4.5
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- **StrongSell**: total_score <= -7.0
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- **Sell**: total_score <= -4.0
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- **Hold**: everything else
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Confidence: `(total_score.abs() / 12.0).min(1.0)`
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---
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## CONFIG PARAMETERS (2026-02-12)
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### Indicator Periods
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- RSI: 14 (standard), RSI-2 (daily) / RSI-3 (hourly) for mean reversion
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- MACD: 12/26/9 (standard)
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- Momentum: 63 bars
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- EMA: 9/21/50 (daily), 9/21/200 (hourly)
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- ADX: 14, thresholds: 20 (range), 25 (trend), 40 (strong)
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- Bollinger Bands: 20-period, 2 std dev
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- ATR: 14-period
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- Volume MA: 20-period, threshold: 0.8x
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### Risk Management
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- **Position sizing**: 1.2% risk per trade (RISK_PER_TRADE)
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- **ATR stop**: 3.0x ATR below entry (was 2.5x)
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- **ATR trailing stop**: 2.0x ATR distance, activates after 2.0x ATR gain (was 1.5x/1.5x)
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- **Max position size**: 25% (was 22%)
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- **Max loss cap**: 5% (was 4%)
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- **Stop loss fallback**: 2.5% (when ATR unavailable)
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- **Time exit**: 40 bars (was 30)
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- **Cash reserve**: 5%
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### Portfolio Limits
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- **Max concurrent positions**: 7 (was 5)
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- **Max per sector**: 2 (unchanged)
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- **Momentum ranking**: Top 10 stocks (was 4)
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- **Drawdown halt**: 12% triggers 20-bar cooldown (was 35 bars)
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- **Reentry cooldown**: 5 bars after stop-loss (was 7)
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- **Ramp-up period**: 15 bars, 1 new position per bar (was 30 bars)
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- **PDT protection**: Max 3 day trades in rolling 5-business-day window (bot:34-36; bt:279-280)
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### Backtester
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- **Slippage**: 10 bps per trade
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- **Risk-free rate**: 5% annually for Sharpe/Sortino
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---
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## KEY LESSONS
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### 1. Shared Logic Eliminates Drift
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Extracting common logic into `strategy.rs` ensures bot and backtester CANNOT diverge. Previously, duplicate implementations led to subtle differences (partial exits, bars_held increment timing, cooldown logic).
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### 2. Warmup Must Account for Longest Chain
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For hourly mode, EMA-200 dominates warmup (205 bars). ADX also needs 2x period (28 bars) for proper smoothing. The `+ 5` safety margin is critical.
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### 3. NaN Handling is Critical
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Indicators can produce NaN during warmup or with insufficient data. The signal generator uses safe defaults (e.g., `if adx.is_nan() { 22.0 }`) to prevent scoring errors.
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### 4. ATR Fallbacks Prevent Edge Cases
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When ATR is zero/unavailable (e.g., low volatility or warmup), code falls back to fixed percentage stops. Without this, position sizing could explode or stops could fail.
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### 5. Slippage Modeling is Non-Negotiable
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The backtester applies 10 bps slippage on both sides (20 bps round-trip) to simulate realistic fills. This prevents overfitting to unrealistic backtest performance.
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### 6. Data Type Consistency Matters for PDT Protection
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**CRITICAL**: bot.rs and backtester.rs must use the SAME data type for day_trades tracking. Using `Vec<String>` in bot.rs vs `Vec<NaiveDate>` in backtester.rs creates:
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- String parsing overhead on every PDT check
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- Silent failures if malformed dates enter the system (parse errors return false)
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- Inconsistent error handling between live and backtest
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- **Fix**: Change bot.rs to store `Vec<NaiveDate>` internally, parse once on load, serialize to JSON as strings
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---
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## AUDIT CHECKLIST (For Future Audits)
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When new changes are made, verify:
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1. **Signal generation**: Still using shared `indicators::generate_signal()`?
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2. **Position sizing**: Still using shared `Strategy::calculate_position_size()`?
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3. **Risk management**: Still using shared `Strategy::check_stop_loss_take_profit()`?
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4. **Cooldown timers**: Identical logic in both files?
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5. **Ramp-up period**: Identical logic in both files?
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6. **Drawdown halt**: Identical trigger and resume logic?
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7. **Sector limits**: Same `MAX_SECTOR_POSITIONS` constant?
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8. **Max positions**: Same `MAX_CONCURRENT_POSITIONS` constant?
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9. **Momentum ranking**: Same `TOP_MOMENTUM_COUNT` constant?
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10. **bars_held increment**: Both increment at START of cycle/bar?
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11. **Warmup calculation**: Does `min_bars()` cover all indicators?
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12. **Config propagation**: Are new constants used consistently?
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13. **NaN handling**: Safe defaults for all indicator checks?
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14. **ATR guards**: Checks for `> 0.0` before division?
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15. **PDT protection**: Same constants, logic, and DATA TYPES in both files?
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---
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## FILES AUDITED (2026-02-12 PDT Audit)
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- `/home/work/Documents/rust/invest-bot/src/bot.rs` (921 lines)
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- `/home/work/Documents/rust/invest-bot/src/backtester.rs` (907 lines)
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- `/home/work/Documents/rust/invest-bot/src/types.rs` (234 lines)
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- `/home/work/Documents/rust/invest-bot/src/paths.rs` (68 lines)
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**Total**: 2,130 lines audited
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**Issues found**: 1 critical (data type mismatch), 0 medium, 0 low
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**Status**: ⚠️ FIX REQUIRED BEFORE PRODUCTION
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---
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## CRITICAL FIX REQUIRED: PDT Data Type Mismatch
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**Problem**: bot.rs stores day_trades as `Vec<String>`, backtester.rs stores as `Vec<NaiveDate>`
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**Required Changes to bot.rs:**
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1. Line 56: Change field type
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```rust
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day_trades: Vec<NaiveDate>, // was Vec<String>
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```
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2. Lines 197-218: Load with parse-once strategy
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```rust
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fn load_day_trades(&mut self) {
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if LIVE_DAY_TRADES_FILE.exists() {
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match std::fs::read_to_string(&*LIVE_DAY_TRADES_FILE) {
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Ok(content) if !content.is_empty() => {
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match serde_json::from_str::<Vec<String>>(&content) {
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Ok(date_strings) => {
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self.day_trades = date_strings
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.iter()
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.filter_map(|s| NaiveDate::parse_from_str(s, "%Y-%m-%d").ok())
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.collect();
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self.prune_old_day_trades();
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if !self.day_trades.is_empty() {
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tracing::info!("Loaded {} day trades in rolling window.", self.day_trades.len());
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}
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}
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Err(e) => tracing::error!("Error parsing day trades file: {}", e),
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}
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}
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_ => {}
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}
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}
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}
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```
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3. Lines 220-229: Serialize to JSON as strings
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```rust
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fn save_day_trades(&self) {
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let date_strings: Vec<String> = self.day_trades
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.iter()
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.map(|d| d.format("%Y-%m-%d").to_string())
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.collect();
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match serde_json::to_string_pretty(&date_strings) {
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Ok(json) => {
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if let Err(e) = std::fs::write(&*LIVE_DAY_TRADES_FILE, json) {
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tracing::error!("Error saving day trades file: {}", e);
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}
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}
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Err(e) => tracing::error!("Error serializing day trades: {}", e),
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}
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}
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```
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4. Lines 231-239: Use native date comparison
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```rust
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fn prune_old_day_trades(&mut self) {
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let cutoff = self.business_days_ago(PDT_ROLLING_BUSINESS_DAYS);
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self.day_trades.retain(|&d| d >= cutoff);
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}
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```
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5. Lines 256-267: Use native date comparison
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```rust
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fn day_trades_in_window(&self) -> usize {
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let cutoff = self.business_days_ago(PDT_ROLLING_BUSINESS_DAYS);
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self.day_trades.iter().filter(|&&d| d >= cutoff).count()
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}
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```
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6. Lines 284-289: Push NaiveDate
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```rust
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fn record_day_trade(&mut self) {
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let today = Utc::now().date_naive();
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self.day_trades.push(today);
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self.save_day_trades();
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}
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```
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**Benefits of fix:**
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- Type safety: malformed dates cannot enter the vec
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- Performance: native date comparison vs string parsing on every check
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- Consistency: matches backtester implementation exactly
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- Reliability: no silent failures from parse errors
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