,]jVUdZddlmZddlZddlZddlZddlZddlZddlm Z ddl m Z ddl Z ddlZej j#ej j%ej j'eddZeej vrej j-deddlmZddlmZdd lmZmZdd lmZdd l m!Z!d Z"d e#d<d@dAdZ$dBdZ%ddddddddddddddddd dCdZ&dd dDd!Z' dEd"Z(d#d$dFd%Z)d#d$dGd&Z*d#d$dHd'Z+dId(Z,dJd)Z-dKd*Z. dLd+Z/dMd,Z0d-d. dNd/Z1dOd0Z2 dPd1Z3dQd2Z4dRd3Z5dSd4Z6dSd5Z7dSd6Z8dTd7Z9dd8d9 dUd:Z:dVd;Z;dWd<Z< dXd=Z=dYd>Z>e?d?k(re>yy)Zu1 Tie together DataLoader, MomentumFilter, StatArbEngine, and StrategyOrchestrator. Fetches: * Daily data for regime asset (default SPY) * Intraday data for traded asset (default QQQ or AAPL) Backtest (vectorized, close-to-close on each bar): * ``standalone_ret`` = lagged ``micro_position`` * bar return * ``filtered_ret`` = lagged ``orchestrated_position`` * bar return Pair mode (``--hedge-ticker``): causal OLS hedge, z-score on causal spread; bar return is ``basket_ret`` (Y return minus lagged β times X return). Plots cumulative compounded returns for both (requires matplotlib). Run from repository root:: .venv/bin/python RenTech/strategy_stack/main.py .venv/bin/python RenTech/strategy_stack/main.py --trade-ticker AAPL --regime-ticker SPY .venv/bin/python RenTech/strategy_stack/main.py --trade-ticker QQQ --hedge-ticker SPY .venv/bin/python RenTech/strategy_stack/main.py --mode hourly-swing-breakout --intraday-period 730d # default: macro ETFs (GLD, USO, TLT, DBC, UUP, …); use --hourly-swing-universe sp100 for equities ) annotationsN)Path)Anyz..) DataLoader)MomentumFilter)PairStatArbEngine StatArbEngine)StrategyOrchestrator) SwingEngine)GLDIAUSLVUSOBNOTLTIEFSHYDBCGSGUUPFXEFXYVXXSVXYztuple[str, ...]HOURLY_SWING_MACRO_ETF_TICKERSc||jdjdjtj||jtjzS)z3pos_{t-1} * ret_t (no lookahead on same bar close).r)shiftfillnaastypenpfloat64)dfpos_colret_cols 7/opt/rentech/trading_bot/RenTech/strategy_stack/main.pyvectorized_strategy_returnsr'HsL g;  Q  & &q ) 0 0 r?r@rArBrCrDrErFrGrHrIrJrKloaderdailymf daily_regimeivintra_yintra_xhwpengintraarhmodeengorchs r& run_pipeliner}Ss&\F   }\  BE {{/ ?@@ :LS[ \B<<g/L#}4:KB##L2o#VG}}2<.@cdee**73G'' r/'Z ==!<\NKL L..w7!Q&TL '  w0 __!z " r> (|M?K!(|C00@H\A]@^` \*e 8WVL g&W~002e 6K LD   |L  QE9%AQRE 7?VWE. Lr( save_pathc ddlm}t |d}t |d}|jd\}}|j|j|jdd |j|j|jd d |jd d d|j||jd|jd|jdd|j!|r"|j#|dtd|y|j%y#t$rtdtj YywxYw)Nrz;matplotlib not installed; skip plot. pip install matplotlib)filerarc) )figsizezStandalone mean-reversiong333333?)label linewidthzMomentum-filteredr*gray?)colorrzCumulative return (compounded)best)locTg333333?)alpha)dpiu💾 Saved plot → )matplotlib.pyplotpyplot ImportErrorrksysstderrr/subplotsplotindexvaluesaxhline set_title set_ylabellegendgrid tight_layoutsavefigshow)rxtitlerpltstafltfigaxs r& plot_curvesrs!' u-. /C u^, -Cll7l+GCGGCIIszz)DPSGTGGCIIszz)<GLJJs&CJ0LLMM23II&IGGDG I3 ' $YK01  )  KRUR\R\]sD++$EEc ddddddfddddddfd dd d d dfd ddd ddfg}|D]*\}}|j|fi|}|jr&||fcStjdfS)u Universe scan often returns zero rows: Holm–Bonferroni across ~5k pairs is strict, and Hurst / half-life filters remove many survivors. Retry with looser thresholds. u,p<0.05 (Holm), Hurst<0.45, half-life 1–15dg?g?r+g.@)p_value_threshold hurst_max half_life_min half_life_maxzp<0.10 (Holm), same tradabilityg?u'p<0.10, Hurst<0.55, half-life 0.5–40dg?rgD@u(p<0.20, Hurst<0.60, half-life 0.5–120dg?g333333?g^@N)find_cointegrated_pairsrepd DataFrame)us data_dictattemptsrkwpairss r&%find_cointegrated_pairs_with_fallbackrs ;%)!!$!%    .%)!!$!%    6%)!!$!%    7%)!!$!&   9%2HL r***9;;{{%<   <<>4 r(o@ bars_per_yearc (|jdjtj}t |dks|j ddkrt d|dt |dy t|j}t|j d}|d kDr$||z tjt|zn td }td |zjd z }t d|d |dd|dd|dd|d y )z Simple mean/std Sharpe on a return series. Use ``bars_per_year=252`` for daily returns (default). For ~hourly intraday bars, pass e.g. ``252 * 6`` as a rough annualization factor. r*rddof-q= z: n=z (insufficient for Sharpe)Nrnanr+z : mean_bar=z.6fz std=z approx_sharpe*=.3fz cum=rZ) rr r!r"lenstdrkfloatmeansqrtprod)namer.rmusdsharpecums r& summarizers  RZZ(A 1vzQUUU]U* 4&SVH$>?@ qvvxB quu!u} B8:QR"Wrwwu]34 4E%LF q 3& 'C BtfK3xvbX5FvclRXY\]`Xa bcr(c ,|jtj}|jrt d|dyt |j d}d|zjjdjtj}tt|}|jtj}||dkD}||dk}|rt |dkDjn t d } |jrt |jn t d } |jrt |jn t d } |rt |jn t d } |d kDrt |jd n t d } | d kDr$| | z tjt |zn t d }tj d|z}tj"j%|}||z dz }t|rt |j'n t d }t d|d |dd|dd|dzdd t d|d| dzdd| dzdd| dzdd y)z Stats from a compounded cumulative return column (e.g. ensemble_df['macro_cumulative_ret']). Daily returns are implied via pct_change of (1+cum). Discrete trade counts are not defined. rz: empty seriesNr+r*dtyperrrrrz : final_cum=rZ approx_sharpe=rz max_drawdown=d.2f%z trading_days=z daily_win_rate=z% avg_win_day=z% avg_loss_day=)r r!r"rerkrilocrmrintrto_numpyrsizerrr,maximum accumulatemin)rrr final_cumrpnarrpos_daysneg_dayswrawalrrreqpeakddmdds r&#_print_cumulative_curve_diagnosticsrs* **RZZ C yy 4&'(chhrl#I 3Y " " $ + +C 0 7 7 CE CJA ..rzz. *C37|H37|H$%a~~ 5gY@)r r!r"rercopyrrisfinitermrrrrrrr,rrrround)rrrerrprrrrrrrrryearsannann_vs r&_cumulative_series_metrics_dictrs!!%  E **RZZ C yyCHqLzz|chhrl#I ;;y !zz| 3Y " " $ + +C 0 7 7 CE CJA ..rzz. *C uzz| B%&Uuyyay !e B8:U R"Wrwwu]34 4e F C#I B ::  $D dSB /C m$ $EC t| D( /sU{3c9UB kk%0eEld!)e"3Q725/sAt46KK4GuV}a0T57[[5EE#+q1  LP  r(cvd|i}|s|jddddd|S|jt||S)Nrr)updater)rrenabledrows r&_investor_metrics_rowrFsI!4.C  $()-!%$(    JJ.s34 Jr(c ddddddd}|jtj}|jst |dkr|j Sd|zj jdjtj}tt |}|dk(r|j S|jtj}ttjtj|dkD}||dkD}||dk}|jrt|jd zn td }|jrt|jd zn td } |||rtd |z|z dnddtj |r t|d ndtj | rt| d dSddS) zKDaily PnL-style stats from a cumulative return leg (unweighted or blended).N) trading_days days_in_tradepct_time_in_trade_pct num_tradesavg_win_day_pctavg_loss_day_pctrr+r*rrg|=rrr)r r!r"rerrrmrrrsumabsrrrrr) rrerprrnonzeroposnegrrs r&_leg_activity_from_cumrVs!%  E **RZZ C yyCHqLzz| 3Y " " $ + +C 0 7 7 CE CJAAvzz| ..rzz. *C"&&u,-.G cAg,C cAg,C&)hhsxxz U "E%LB&)hhsxxz U "E%LB BCuw':A!>+-;;r?5Q<,.KKOE"aL   BF  r(cFd|jtjjdzj }|j dk(rytj j|}||dz k}dx}}|D]}|r|dz }t||}d}t|S)zSLongest streak of closes below the running high-water mark (approx. drawdown pain).r+r*rrr) r r!r"rrrrrmaxr)rxr underwater max_streakstreakus r& _longest_underwater_trading_daysrws szz"**%,,S1 1;;=Avv{ ::  #DTE\!JJ  aKFZ0JF  z?r(c  |jtjjd}|jtjj |j jd}t t|}|dkDrt|jdn td}tj|r$t|tjdzdzn td}|rt|jn td} |dkDr9tj|r$t| |z tjdzn td} |jtj} |rt| d kDjdzn td} tj|j } tj | | j#}d |zj%d j'd z }t|rt|d kDjdzn td}t+|}|j-d }|j-d}|j-d}t/|}t1dt t3|dz }|d}|rd }d }nE|jtj}|jtj}|dkDrWtj|ddkDr=tj|ddkDr#ttj4||d}n td}|d k}t tj6|dkDrm||}||}tj|ddkDr=tj|ddkDr#ttj4||d}ntd}n td}| t3|dndtj|r t3|dndtj| r t3| dndtj|r t3|dndtj|r t3|dnd||tj| r t3| d nddtj|rt3|d |d Sd|d S#t($rtd}YwxYw)zMOne column of 'Strategy statistics' (blended or SPY) for investor HTML table.r*rrrrrrrr)rr+MErrrg5@z Monthsr)rrrN) average_annual_return_pctstandard_deviation_pct sharpe_ratiocorrelation_sp500down_correlation_sp500biggest_drawdown_pctbiggest_drawdown_duration win_rate_pctshort_long_vol_breakdownpct_positive_monthsr)r r!r"rreindexrrrrrrrrrr to_datetimeSeries sort_indexresampler Exceptionrrlrr rcorrcoefr)rpr spy_daily is_benchmarkdspy_brr ann_vol_pctrrrwin_ratedis_mmonthlypos_mfinrrtotalu_daysdur_mdd_durcorrdcorrabmaskaabbs r&_strategy_stat_sider:s  RZZ '',A   RZZ ( 0 0 9 @ @ EE CF A!"Qquu!u} E%LB8: B%RWWU^+e34USX\Kqvvx5?uU<?3e;Q?@  3w ? NN4 !#*% r(c2t|tr6|jDcic]\}}t|t |c}}St|t r|Dcgc] }t |c}St|t r ||k7s|t dt dfvry|St|tjfr+t |}||k7s|t dt dfvry|St|tjfr t|S|Scc}}wcc}w)z8Make structure safe for json.dump(..., allow_nan=False).infz-infN) r@rAitemsstr_json_sanitizelistrr!floatingintegerr)objkvr s r&rcrcs#t69iikBdaAq))BB#t+./aq!//#u #:uuV} == # ~& #J 6Q5<v77# }%3x JC/s DDc|j} tj| d} tj| d} | jd} | jdd| jddt | d} t d |d d t d |dd t d|dd t d|d| t d|d| g}|r |jt d|dd t|j}t|j}|rt|jnd}|rt|jnd}|rt|jnd}||z|z|z|z}|dkDr|nd}d|||||dtd|z|z dtd|z|z dtd|z|z dtd|z|z dtd|z|z ddd}dd d!dd"|fdd#|fg}|r|jd$t|D]n\}}|t |k\rnZ||\}}}||j vr<||j#t$j&}|j)t+||dk(r d%|d&<d%|d'<n3|r1|rtt|d(|d)nd%|d&<|r|d'|nd%|d'<|dk(st-|t.s|j1d*d+k(s|j1d,}|j1d-}|!|t3|t3|z|d.<d/|d0<|j1d1}|j1d2} t-|t2sSt-| t2se||d1<| |d2<q|d j#t$j&j5}!|Dt |t |k(r-|j#t$j&j5nd%}"t7|j|!|"}#d%}$ |ot |jt |jk(rC|d j#t$j&}%d|%zj9j;dj#t$j&}&|j#t$j&}'d|'zj9j;dj#t$j&}(|(j=|&jj;dj#t$j&}(t?|&|%|(d34})t?|(|'|(d 4}*tA|}+|+r |+|)d5<d6|)d7<| d8d9|)|*d:}$|t |dk\r tC|nd%d%d%d%d;},|dj1d<}-|,j1d<}.d%}/t-|-t2tfr7t-|.t2tfr!tt|-t|.z d)}/tEtG|d=d>xsd>jI}0|0sd?}0d@|0| | dA|/||#|$|dBdC|,d<|,dD|,dE|,dFdGdHdI|jJdJ|jLdK|jNdLdMdNdOdPgdQ }1tQ|jS}2|2jTjWd d RtY|1}3|2j[dSdTU5}4t]j^|3|4dd3V|4jadWd%d%d%tcdX|2y%#t $rd} d} YwxYw#t $rd%}$YwxYw#1swY>xYw)YzMWrite investor_metrics JSON for HTML/PDF reports (curves, weights, activity).rrz %B %d, %YrNu — z (z trading days)u—z Blended strategy (full ensemble)ensemble_cumulative_retT)rz&Tactical All Weather core (macro book)macro_cumulative_retz%Market-neutral equity momentum sleevels_cumulative_retz*Defensive Treasury tilt (risk-off overlay)defensive_cumulative_retzSector rotation sleevesector_cumulative_ret#Buy-the-dip sleeve (unweighted leg)ls_short_cumulative_retr*rr+zModel weights multiply each sleeve's daily return before summing to the blended ensemble. Shares sum to 100% of the weight budget shown (gross exposure can exceed 100% capital).) macro_bookls_alpha defensive_tltsector_rotation buy_the_diprr) description weights_rawweight_share_pct)rkNT)rlrrT)rmrsTrtru)rqrvTN model_weightryrxrr<r=approx_long_leg_tradesapprox_short_leg_tradesrzOAQR L/S: sum of approx. completed round-turns per leg; not broker ticket count.num_trades_noter>r?F)r%rz{Share of days with long vs short exposure on the L/S sleeve (illustrative); not a true short/long volatility decomposition.short_long_vol_breakdown_notezBlended strategyz S&P 500 (SPY)) period_bannerblended_column_labelbenchmark_column_labelblended benchmarkrrinvestor_strategy_title ls_universeensemble_ls_enginer expanduserparentmkdirrcopenjsondumpwriterk)5out_path ensemble_dfuse_sector_sleeveuse_def_sleeveuse_dip_sleeve spy_bnh_cumargsensemble_managerls_diagnosticsrVi0i1r period_lblrwmwawdwswlsw_sumr cum_specsr]rcolwkey sleeve_oncum_sltstrCrDens_arrspy_arrr/r ens_cum_sens_dspy_c_sspy_d strat_side bench_sideslbm_statsens_trb_trexcessrpayloadpathsafefs5 r&&_export_ensemble_investor_metrics_jsonrs   C \\#a& ! \\#b' " K( J/0bkk*6M5NbQTUXQYPZZhi  . 1 2  4 . /  3 + ,  8 2 3"  $ / 0% +"D6 !556   ,, -B ,, -B5C00 1B2C-- .B5C% 00 1C GbL2  #EU]EE f!    U 2A6ebj50!4"52:#5q9$URZ%%7; u!4a8  O, 04/ #_nE "35FG 5IIJD/93 I  (|T9 +%% %$++BJJ7E JJ-e4 5 6"&C &*C" # [d%om.LT.R(SUV"WjnC =F 23D9D " # 6j6!!(+/II#''(@A#''(AB>bn(+B#b'(9C %i)*$''(AB#''(BCb#&:b#+>57C1268C2399<34;;BJJGPPRG  "s;'73{;K'K 2::&//1  ,K,=,=wPL15#  "s;+<+<'=[EVEVAW'W#$=>EEbjjQI9_00299#>EEbjjQE!((4G7]..077<CCBJJOEMM%++.55c:AA"**ME,UIuSXYJ,UGUQUVJ-n=B9; 56F:; ",(:*9%' #   "s;'71'< ( 4!%%)! $   !W[[+ ,F <<* +DF&3,'Jtc5\,JuV}uT{2A6 7<B C I I KE N L %#28*$20;!)); <%-.E%F%o6 (); <c ;4;L;L:MN ,,-Yt7N7N6Oq R s _ O D  ;%GN > $ $ &DKKdT2 ' "D 3 )Q $!u5   0 78c  Z #"#Bs1A3\,E2]*+], \=<\= ]]]ctj|jtjdj }|j rytj|j|_|jj |jjd|_|j}d|zjdjdz }|j rytj|jtj|jj |jj"d}|j%dd d d }|j't)t+d d}t+d dDcgc]}t,j.|c}|_|dz}t3d|dt3|j5ddycc}w)uX Print calendar-month compound returns (%) in a year × month grid (Jan–Dec). T)rNr+rr)r]yearmonthrrr]first)rrraggfuncr rrru — monthly returns by year (%)u — c |dS)Nz7.2f)r s r&z0_print_monthly_returns_by_year..s QtHr()na_rep float_format)rrr r!r"dropnarerrtz tz_localizer r!rrrrr pivot_tablerrdrangecalendar month_abbrrrk to_string) daily_retrr.r,r#pivotm pivot_pcts r&_print_monthly_returns_by_yearrsx )""2::.T:AACAwwnnQWW%AGwwzz''%%d+ AQw  &++-3G}} ##"**#5MM&&]]((  B NNPWN XE MM$uQ|"4M 5E5:1b\BX((+BEM I Bug5 67 )  \@U  VW CsG'ct|jj}|dvry|jdr t |ddSy#t $rYywxYw)zIInterpret e.g. '5y', '10y', 'max' as lookback years for universe_scanner.)r rallg>@yNr$@)rbrlowerendswithrr")rNss r&_parse_daily_period_yearsrsb F !!#A %%zz# 3B=    s A AAc|jr|Sd|jvrdnd|jvrdnd}|s!tdt|j||j t j }|j}d|jvr||d<|j|d<|jddj|d<|jd |jd z d z |d <|S) zFNormalize close, ret, sma_200, aqr_mom for ensemble / ls-equity modes.rPCloserz)Expected 'close' or 'Close' column, got: r]r5rU min_periodssma_200r8r7r+aqr_mom) rerKeyErrorrdr r!r"rrmrollingrr)r# price_colrPouts r& _compute_daily_backtest_featuresr&s xx "bjj0'RZZBWw]_I B4 CSBTUVV yM  ,E '')Cckk!G !!#CJ]]#3]?DDFC N[[_u{{3'77#=C N Jr(cd|jvr td|j}d|jvr3|djtj j |d<|S)zfEnsure ``ret`` for :class:`BuyTheDipSleeve` on ML OHLCV panels (trend SMA built from close in-engine).rPzclose requiredr])rrrr r!r"rm)r#rs r&_ensure_ml_panel_for_dipr7s[bjj '(( '')C CKK\((4??AE Jr(c `|j}t|jtjr |jj d|_|j |jDcic]}|t|jc}}d|jvr%|djtj|d<d|jvr tddD]}||jvstd|d|gd jtjScc}w) zELowercase OHLCV; ``close`` prefers Adj Close when present (yfinance).rrz adj closerPz&ML path requires Close/close in OHLCV.)highvolumezML path requires z in OHLCV.)rPrr) rr@rr MultiIndex droplevelrenamerbrr r!r"r)r#rcs r&_normalize_ohlcv_for_mlr As '')C#++r}}-kk++A. **EAaQ/E* FCckk!;'..rzz:G ckk!?@@ > CKK .qc<= => * + 2 22:: >>Fs.!D+cddlm}ddl}|}|djtj }|r|dkDr|dt |}||djtj|}tt|djt|djt}|D]}|j|dt|} tdt|d|j|d | } i} | jD]#\}} | | j r t#| | |<%| |fS#t$$rY5wxYw) zTDownload S&P 500 (Wikipedia) daily OHLCV + sector map for :mod:`ml_momentum_engine`.r%fetch_sp500_constituents_with_sectorsNtickersectorUnknown🔍 Downloading u S&P 500 names (daily OHLCV) …1d timeframelookback_years))RenTech.strategy_stack.ml_momentum_engineruniverse_scannerr rbtolistrisinrAzip setdefaultrrkrdownload_and_cache_datararer r") r> max_tickersrrtabtickerssub sector_maptrraw equity_dictr#s r&_load_sp500_ml_panelr'Qs]_! / 1C(m""3'..0G{Q,C ,- c(m""3',,W5 6Cc#h-..s3S]5I5I#5NOPJ ,a+, &l 3E c'l^+K LM $ $ % C ,.K2 :  4R8KN   ""   s0E EEF)r refresh_cachecddl}t|}|dk(r|jd}d}n^|dk(rKddlm}|} | dj t j}|r|dkDr|dt|}d }ntd |td |d t|d |j|d||rdnd} i} | jD]u\} } | | jr| j}t!j"|j$j'd|_|j)}t+|| | <w| S)zm Daily panels with ``close``, ``ret``, ``sma_200``, ``aqr_mom`` for :class:`CrossSectionalMomentum`. rNsp100universeS&P 100sp500rrS&P 500z%universe must be sp100 or sp500, got rz equity universe (u names) …rr*g8@)rr max_age_hours)rrget_sp100_tickersrrr rbrr ValueErrorrkrrrarerrrrrr r)r>r,rr(rrr!rrr  equity_rawr&r$r#df2s r&_load_aqr_equity_dictr5rsS" %l 3E7&&&8 W c35h-&&s+224 ;?0K 01G@ MNN eW$6s7|nK PQ++*c ,J ,.K!!#?2 : ggiNN399-99$? nn9#> A ? r(cddlm}|}tt|dj t |dj t }|Dcic]}||j |dc}Scc}w)zRGICS sector labels from Wikipedia S&P 500 table; missing tickers map to 'Unknown'.rrrrr)rrrArr rbrl)r!rr wikir$s r&_wiki_sector_map_for_tickersr8s`_ / 1C CM((-s8}/C/CC/HI JD/6 7!Atxx9% % 77 7sA0cddlm}t}i}|D]>}|j||}|jrt d|dt |||<@|S)za11 SPDR sector ETFs with ``close``, ``ret``, ``sma_200``, ``aqr_mom`` (same as macro/L/S panels).r)SPDR_SECTOR_TICKERSrMzNo daily data for sector ETF z (check period / ticker))-RenTech.strategy_stack.multi_strategy_managerr:rrdrerfr)r>r:rCrr$rps r&_load_sector_etf_dictr<sdQ B#%C 9q6 ;;!>qcAYZ[ [1%8A 9 Jr(c :ddl}|jrN|jdDcgc]1}|js|jj3}}d}nz|dk(rt t }d}nc|dk(r|j d}d }nI|d k(r6dd lm} | } | d jtj}d }ntd||r|dkDr|dt|}|dvrdn|} t} i} td| dt!|d|d|d |D]L} | j#|| |}| |j&r' | j)|}t!|dkrH|| |<N| Scc}w#t$$rYawxYw#t$$rYpwxYw)z Hourly OHLCV panels with ``trade_date`` for :mod:`swing_breakout_hourly`. Yahoo limits intraday history; prefer ``730d`` for 60m bars. rN,z custom list macro-etfszDmacro ETFs (FX, oil, gold/silver, Treasuries, commodities, VXX/SVXY)r*r+r-r.rrr/zNuniverse must be macro-etfs, sp100, sp500, or use --hourly-swing-tickers; got rQrRu🔍 Downloading hourly (z) for z names (z, u) …rS2)rrsplitupperrdrr1rrr rbrr2rrrkrrhr"reri)r?rTr,r tickers_csvrr r!rrr rsrCrr$r%hs r&_load_hourly_swing_universerEs".9.?.?.DR 1779??$RR \ !56V W &&&8 W c35h-&&s+224\]e\h i  {Q,C ,-m+B B#%C %bTG ~XeWBN__d ef   ##A?#KC ;#))  ((-A q6B; A  JQS:       s.E: E:-E?F? 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see --ls-universe), ls-equity-dip (RSI dip in SMA200 uptrend, fixed hold; see --ensemble-dip-*), ml-equity (S&P 500 XGBoost walk-forward L/S only), sector-etfs (SPDR sector ETF momentum rotation only), defensive-mr (SPY return panic z-score → TLT tilt; standalone), ensemble (macro + L/S + optional sleeves; see flags), hourly-swing-breakout (ETFs: fractal swing breakouts on hourly bars; --hourly-swing-blend equal|inv_vol|winners_equal; see --hourly-swing-*).)defaultchoiceshelpz--regime-tickerr0)rSz--trade-tickerr1z--daily-periodr2z--intraday-periodr3z --intervalr4)r4rR15m30m)rSrTz--smar5)typerSz--aqr-lookbackr7z --aqr-skipr8z --z-windowr9z --z-entryr:z--z-exitr*z--regime-shift-daysrzLag regime by N calendar days)rXrSrUz--hedge-tickerrz[If set, pair stat-arb: causal OLS hedge, z on spread, PnL on basket_ret (needs statsmodels))rSrUz--hedge-windowzEHedge refit: 0 = expanding OLS on all past bars; N>0 = rolling N barsz--min-hedge-obsr;z>Minimum prior bars required before first causal spread / hedgez --trend-smazSwingEngine: trend SMA windowz --rsi-windowrzSwingEngine: RSI windowz--rsi-thresholdrz SwingEngine: RSI entry thresholdz --exit-smarzSwingEngine: exit SMA windowz--inverse-sp500-tickerSHzhTickers for --mode swing-sector: inverse S&P 500 ETF to include alongside the sector ETFs (default: SH).z--disable-inverse-sp500 store_truezDDisable inclusion of the inverse S&P 500 ETF in --mode swing-sector.)actionrUz--sector-tickersznComma-separated sector ETF tickers for --mode swing-sector. If empty, uses default 11 SPDR Select Sector ETFs.z--rp-vol-windowxzeRisk parity volatility window (bars) for --mode swing-sector (inverse-vol weights, shifted by 1 bar).z--rp-kill-switch-max-ddgezPer-asset drawdown kill switch max dd threshold for --mode swing-sector. Set very negative to effectively disable (default: -1e9).z --save-plotzPNG path (empty = plt.show())z--export-investor-metrics-jsonzensemble only: append to your full ensemble command (same flags as a normal run); writes metrics JSON for scripts/build_investor_strategy_pdf.py (e.g. docs/investor_metrics.json). The literal word '...' is not valid here.z--investor-strategy-titlerzPensemble: strategy_title in the JSON produced by --export-investor-metrics-json.z--ensemble-ls-engine)aqmlr]uUensemble: L/S sleeve — aq (AQR rank + regime/vol) or ml (XGBoost on S&P 500 OHLCV).)rTrSrUz--ensemble-sector-sleevezcensemble: add SPDR sector ETF sleeve (top-k by 12-1 momentum); weight via --ensemble-sector-weight.z--ensemble-sector-top-kzXensemble + sector-etfs: hold this many sector ETFs each month (equal weight among them).z--ensemble-sector-weightg333333?zfensemble: blend weight on sector rotation daily returns (0 disables even if --ensemble-sector-sleeve).z--ensemble-defensive-mruYensemble: add defensive mean-reversion sleeve (SPY daily-return z → TLT when panicked).z--ensemble-defensive-weightgQ?zbensemble: blend weight on defensive MR daily returns (0 disables even if --ensemble-defensive-mr).z--defensive-z-windowz=defensive-mr / ensemble: rolling days for SPY return z-score.z--defensive-entry-zzXdefensive-mr / ensemble: activate TLT tilt when SPY return z <= -this (positive number).z--defensive-exit-zru`defensive-mr / ensemble: clear tilt when SPY return z >= -this (e.g. 0.5 → exit at z >= -0.5).z--defensive-tlt-weightr+zYdefensive-mr / ensemble: TLT weight within the sleeve when active (remainder cash at rf).z--ensemble-dip-sleevezZensemble: add **buy-the-dip** sleeve (RSI washout in SMA uptrend, ATR-ranked, fixed hold).z--ensemble-dip-weightzXensemble: blend weight on buy-the-dip sleeve (0 disables even if --ensemble-dip-sleeve).z--ensemble-dip-rsi-periodz8ensemble / ls-equity-dip: RSI period (Wilder smoothing).z--ensemble-dip-rsi-maxg4@zJensemble / ls-equity-dip: enter when RSI is strictly below this (e.g. 20).z--ensemble-dip-hold-dayszZensemble / ls-equity-dip: hold each new entry for this many trading days (close-to-close).z--ensemble-dip-atr-periodzWensemble / ls-equity-dip: ATR period for normalized ATR (ATR/price) when ranking picks.z--ensemble-dip-rank-by)atr_normrsir`zXensemble / ls-equity-dip: rank new signals by normalized ATR (desc) or deeper RSI (asc).z--ensemble-dip-trend-smazFensemble / ls-equity-dip: SMA for dip-in-uptrend filter (close > SMA).z --ensemble-dip-no-uptrend-filterzOBuy dips even when close is below the trend SMA (default: require close > SMA).z--ensemble-dip-spy-bull-onlyz@Only hold dip basket when SPY is above its 200d SMA at week-end.z--ensemble-dip-signal-mode)rapct_droprazSensemble / ls-equity-dip: 'rsi' washout or 'pct_drop' (prior-day return threshold).z--ensemble-dip-pct-drop-mingQ?z\ensemble / ls-equity-dip: with pct_drop, enter when prior daily return <= -this (e.g. 0.03).z--ensemble-dip-top-nrzOensemble / ls-equity-dip: max new entries per day (among simultaneous signals).z--ensemble-dip-vol-windowz`ensemble / ls-equity-dip: trailing return vol window for inverse-vol weights among active names.z--ensemble-dip-weighting)equalinv_volrczLensemble / ls-equity-dip: equal weight across picks or inverse trailing vol.z--ml-max-tickerszVml-equity / ensemble+ml: max names from the S&P 500 list (0 = all; smaller is faster).z --ls-universe)r*r.r*zVls-equity / ensemble+aq: cross-sectional universe (S&P 100 or S&P 500 from Wikipedia).z--ls-max-tickerszGWith --ls-universe sp500: cap names (0 = full list). Ignored for sp100.z--hourly-swing-universe)r?r*r.r?zhourly-swing-breakout: universe when --hourly-swing-tickers is empty. macro-etfs = FX/oil/gold/silver/Treasuries/commodities + VXX & inverse ST VIX (SVXY); see HOURLY_SWING_MACRO_ETF_TICKERS in main.py.z--hourly-swing-tickerszShourly-swing-breakout: comma-separated tickers (overrides --hourly-swing-universe).z--hourly-swing-max-tickersz]hourly-swing-breakout: max symbols to load from universe (0 = all; cap for sp500/sp100 only).z--hourly-swing-fractal-leftzThourly-swing-breakout: fractal swing bars to the left of the pivot (Williams-style).z--hourly-swing-fractal-rightzXhourly-swing-breakout: fractal swing bars to the right (confirmation lag; no lookahead).z--hourly-swing-daily-atrz]hourly-swing-breakout: Wilder daily ATR period (from daily OHLC aggregated from hourly bars).z--hourly-swing-min-atr-multu]hourly-swing-breakout: min swing vs prior opposite swing ≥ this × prior-session daily ATR.z--hourly-swing-hold-barszQhourly-swing-breakout: exit after this many hourly bars in the trade (time stop).z--hourly-swing-long-onlyz?hourly-swing-breakout: only trade upside breaks of swing highs.z--hourly-swing-short-onlyz@hourly-swing-breakout: only trade downside breaks of swing lows.z--hourly-swing-close-confirmzOhourly-swing-breakout: require close through the swing level (not only a wick).z--hourly-swing-blend)rcrd winners_equalzZhourly-swing-breakout: portfolio blend (equal | inverse underlying vol | IS winners-only).z--hourly-swing-vol-windowzOhourly-swing-breakout: inv_vol trailing std window on underlying hourly closes.z--hourly-swing-winner-epsilonzahourly-swing-breakout: winners_equal keeps tickers with full-sample strat cum > this (in-sample).z--ls-sector-neutrala[ls-equity / ensemble+aq: split top_n long/short seats across GICS sectors (Wikipedia), ranking by momentum within each sector. Often lowers backtests vs default pool-wide rank because it adds weaker-trend names in sluggish sectors and trims the strongest names in leading sectors (classic momentum is intentionally cross-sectionally concentrated).z --ml-target)rr/rzXML sleeve: train on excess fwd return vs SPY (excess) or total stock fwd return (total).z--ml-weighting)rdrcrdzUML sleeve: within long/short legs use inverse 20d vol (inv_vol) or equal 1/N (equal).z--pair-yzRPipeline only: trade leg ticker; use with --pair-x to skip the cointegration scan.z--pair-xzRPipeline only: hedge leg ticker; use with --pair-y to skip the cointegration scan.z--portfolio-top-kz[Pipeline: number of cointegrated pairs to optimize independently for portfolio aggregation.z--portfolio-vol-windowzPPortfolio sizing: rolling volatility window (bars) used for inverse-vol weights.z--portfolio-max-ddgzLPortfolio kill-switch: max drawdown threshold per pair (e.g. -0.05 for -5%).z--portfolio-save-plotz1PNG path for portfolio plot (empty = plt.show()).u 📥 Loading data (yfinance) …)r<r=r>r?r@rArCrDrErFrGrHrIrJrKu📌 Intraday bars: r>z | mode: z pair spreadz single closeg@z Standalone MRrarFilteredrcz vs  z MR vs momentum(z )-filtered)rrrJu🧭 Loading daily data …rMrO) trend_sma rsi_window rsi_thresholdexit_smarPr]r`)r%zSwing CRSI PullbackzSwing CRSI Pullback (z) | trend_sma=z , rsi_window=z , rsi_thresh=gz , exit_sma=rK) BASE_WEIGHTSPortfolioManagerplot_portfoliou,🧭 Tactical All Weather baseline tickers: rrrg{Gz?)cash_annual_yieldzTactical All Weatherportfolio_bar_ret!static_all_weather_cumulative_retspy_cumulative_retzStatic All Weather (baseline)zSPY buy & holdz%Tactical All Weather (total strategy)z0Tactical All Weather vs Static All Weather + SPYr~rL)CrossSectionalMomentumplot_ls_standalone$print_cross_sectional_ls_diagnosticsu1🚀 Running equity L/S momentum (standalone) …)r,rz4No equity universe data loaded; cannot run ls-equityz8No daily data for SPY (required for L/S regime throttle)z7 L/S: sector-balanced seat allocation (Wikipedia GICS))top_nspy_dfrqr# diagnosticsrrrrrz% L/S equity (standalone): final_cum=rZrrz'L/S equity (standalone, total strategy)rM)BuyTheDipSleevervuK📉 Buy-the-dip sleeve (RSI dip + SMA uptrend, fixed hold, standalone) …z8No equity universe data loaded; cannot run ls-equity-dipz4No daily data for SPY (required for regime throttle)) rsi_periodrsi_max atr_periodhold_trading_days vol_windowsma_trend_window weightingrank_bydip_in_uptrendonly_when_spy_bull signal_mode pct_drop_min)rxryrqz& Buy-the-dip (standalone): final_cum=z(Buy-the-dip (standalone, total strategy)rR)rv)SwingBreakoutHourlyConfiggenerate_portfolio_returnszGUse at most one of --hourly-swing-long-only / --hourly-swing-short-onlyu@📈 Hourly swing breakout (ETF universe, research backtest) …)r,rrCz"Too few tickers with hourly data (zb). Try --hourly-swing-max-tickers, --intraday-period 730d, or --hourly-swing-tickers AAPL,MSFT,...) fractal_left fractal_rightdaily_atr_period min_atr_mult hold_bars long_side short_sideclose_confirms_breakoutT)blendrwinner_epsilonverboseg@z$Hourly swing breakout (equal-weight)z*Hourly swing breakout (compounded monthly)rN)MLMomentumEngineu<🤖 ML momentum (XGB walk-forward) — requires xgboost …r@z"Too few tickers after OHLCV load (z)). Check data or increase --daily-period.) data_period target_moder)r#rqrrrz( ML L/S equity (standalone): final_cum=zML L/S equity (total strategy)rO)SectorETFRotationplot_sector_rotation_standaloneu=📊 Sector ETF rotation (11 SPDR sectors, 12-1 momentum) …)top_krqz, Sector ETF sleeve (standalone): final_cum=z$Sector ETF rotation (total strategy)rP)DefensiveMeanReversionSleeveplot_defensive_mr_standaloneuC🛡 Defensive mean reversion (SPY return z-score → TLT tilt) …rz,Need SPY and TLT daily data for defensive-mr)rErVrWtlt_weight_when_activez' Defensive MR (standalone): final_cum=z$Defensive MR sleeve (total strategy)rQ)r{rEnsembleManagerr plot_ensemblerwu(🚀 Running multi-strategy ensemble …)r0rrr rzNo daily data for macro ticker u9📊 Building sector ETF sleeve (SPDR top-k momentum) …u<🛡 Building defensive MR sleeve (SPY return z → TLT) …)rrrr^zToo few tickers for ML sleeve (z5). Try --ml-max-tickers 150 or longer --daily-period.u4⚖️ Building ML L/S sleeve (XGB walk-forward) …z5No equity universe data loaded; cannot build ensembleuH📉 Building buy-the-dip sleeve (RSI dip + SMA uptrend, fixed hold) …) r|r}r~rrrrrrrz4buy-the-dip sleeve requires a loaded equity universez sector ETFsz defensive MRz buy-the-dipz + u⚖️ Blending macro + L/Su …)r& ls_daily_retsector_daily_retdefensive_daily_retls_short_daily_retzZ L/S sleeve (ML): AQR-style rebalance/trade diagnostics are not produced for this engine.)r#rrrrc|jvrtd|d|jtj}t ||y)NzMissing z in ensemble output)rrr r!r"r)rcum_colrrs r&_print_curve_statsz main.._print_curve_statssIk111'2EFGGg&--bjj9C /c :r(z Macro bookrlzL/S bookrmz"Sector ETF sleeve (unweighted leg)roz$Defensive MR sleeve (unweighted leg)rnrprqEnsemblerkz@ --- Benchmark (same calendar as ensemble): SPY buy & hold ---zSPY (S&P 500 ETF)rruA investor_metrics.json hints — benchmark.total_return_pct ≈ ru? (percent over window); rows[0] ensemble total_return_pct ≈ u; excess vs SPY ≈ z ppexport_investor_metrics_json)rrrrrrrrzEnsemble (total strategy)rHu:🔍 Scanning Universe for Tradable Cointegrated Pairs …g@rz --universez --timeframerz--lookback-yearsz --coint-pz0.05rIu%🚀 Starting End-to-End Pipeline …)rorpz6Pipeline: pass both --pair-y and --pair-x, or neither.u,✅ Using fixed pairs (skip universe scan): z (Y) vs z (X)u>🔍 Step 1: Scanning Universe (S&P 100) … (looking for top z pairs)r+rAdjusted_P_Value) ascendingzUniverse scan returned no tradable pairs (even with relaxed coint + tradability thresholds). Re-run with an explicit pair, e.g. `--pair-y QQQ --pair-x SPY`.z (coint scan: )Ticker_ATicker_BPairspair)descunit_z === Pair z ===u⚙️ Loading bundle …)r<r=rIr>r?r@gffffff?) train_fracF)rr heatmap_path plot_heatmaprCrDrHz$Optimizer returned empty grid result is_sharperFrGstatarb_window mom_windowu%✅ Optimal params (train): z_window=z , z_entry=z , z_exit=z , mom_window=z, hedge_window=z'OOS slice empty or missing filtered_retz OOS Filtered u⚠️ Skipping z due to error: z-No pair results available to build portfolio.uD 🚀 Building portfolio (inverse-vol risk parity + kill switch) …)rmax_dd_thresholdzPortfolio (kill switch)zEqual Weight (no kill switch)equal_weight_bar_retu5📈 Plotting portfolio vs equal weight benchmark …zUnknown --mode: )rrbrrbreturnNone)argparseArgumentParser__doc__ add_argumentrrrb parse_argsoschdir _REPO_ROOTmoderkrIrr}r<r=r>r?rTsmarCrDrErFrGregime_shift_daysrJrKrrr save_plotrrrdrerfr rirjrkrlrgr r!r"rmr'-RenTech.strategy_stack.portfolio_risk_managerrnrorprdkeysrrrrrbuild_portfoliorrr;rurvrwr5rls_max_tickersrls_sector_neutralr8setgenerate_ls_returnsrrrr{ensemble_dip_rsi_periodensemble_dip_rsi_maxensemble_dip_atr_periodensemble_dip_hold_daysensemble_dip_vol_windowensemble_dip_trend_smaensemble_dip_weightingensemble_dip_rank_byboolensemble_dip_no_uptrend_filterensemble_dip_spy_bull_onlyensemble_dip_signal_modeensemble_dip_pct_drop_mingenerate_returnsensemble_dip_top_n,RenTech.strategy_stack.swing_breakout_hourlyrrhourly_swing_long_onlyhourly_swing_short_onlyr2rEhourly_swing_universehourly_swing_max_tickershourly_swing_tickershourly_swing_fractal_lefthourly_swing_fractal_righthourly_swing_daily_atrhourly_swing_min_atr_multhourly_swing_hold_barshourly_swing_close_confirmhourly_swing_blendhourly_swing_vol_windowhourly_swing_winner_epsilonrrr'ml_max_tickers ml_target ml_weightingrrr<ensemble_sector_top_krrdefensive_z_windowdefensive_entry_zdefensive_exit_zdefensive_tlt_weightrrensemble_sector_sleeveensemble_sector_weightensemble_defensive_mrensemble_defensive_weightensemble_dip_sleeveensemble_dip_weightrrarrSjoinbuild_ensemblerlrrr,rrrrrrrr"rargvmain RenTech.strategy_stack.optimizerstrategy_stack optimizerpair_ypair_xtqdmportfolio_top_kr1rr sort_valuesr headiterrowsload_intraday_bundletime_ordered_train_test_splitrtrun_optimizationmin_hedge_obs_for_windowrrportfolio_vol_windowportfolio_max_ddportfolio_save_plot)prhedgerx_hrhtrdaily_inr<rp swing_retrnrorpbaseline_tickersrr$rPr#pm portfolio_dfstatic_bar_ret spy_bar_retrurvrwr&r$ryr# ls_enginerBls_dailyr.rrrrr{dip_eng dip_dailyrrpanelscfgportcountsbars_pyrr{rretf_dictsec_eng sec_dailyrrrCrtlt_dtlt_dfd_engd_dailyrr macro_tickers data_loader macro_dictr sector_retr defensive_retw_secw_defr w_ls_shortens ls_series equity_ml aq_sector_map sector_map_ml ls_short_retspy_meq_dip blend_bits blend_msgrrr spy_panelrVspy_rsp_pctr[ export_jsonens_cum ens_dailyrdpr saved_argvopt pair_y_in pair_x_inr candidatesr!r coint_labelrh pairs_topr pair_resultsskippedrr pair_namebundletrain_ytest_yis_resr z_entry_opt z_exit_opt z_window_optmom_window_opthedge_window_optmin_hedge_obs_opt intra_full test_start intra_oosers @r&rrs&G4ANN   \%:NN$eN4NN#UN3NN#TN2NN&N7NN<7RNSNN7cN2NN##sN;NN]N^NN>Q=VNWNN$5$EgNhNNDHHZ yyE 01!!'')1T,,**** 00"mmxx**]]]]LL;;"&"8"8**,, $ "3u:a. 5-Vd9e f /5)9#:#N*eN33G$tE7^"$$%bT4==/9I$J\J\I]]gh  Udnn6L M  yyG +,<++D,=,=dFWFW+X >>!3D4E4E3FGH Hnn,,]]     *W~,,RZZ8CCEe /7GQVW #, )n'3$D$5$5#67( doo5FG,,Q/{4==/ K    Udnn6L M  yyN"pp 1 1 34 <=M>DByMIaL  )))t)L (,7J*KL -P QQ]]_ffgjk\*>??KKMTTUXY 1>B"K0&|4G'HJqrB  <4>>3IT J  yyK  AB+   %%++ UV VL,,U4;L;L,M ??YZ Z1)<FJE[E[ ([-=-=-?)@ Aae   ! ! 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E ,e` y)( ?1#FG sE3B[$"B[3 B\*B\C7B\ L?B\/TB\>Y9B] bB]uB]+C8B]1D8B^J B^M(B^*N4I(B^0[$ B[0[/B[0[3 B[?[>B[?\ B\\ B\\ B\\B\\ B\,\+B\,\/ B\;\:B\;\> B] ] B] ] B]]B]] B](]'B](]1 B^^B^^B^^ B^'^&B^'^0 B_*^:%B_%_%B_*__main__)r])r# pd.DataFramer$rbr%rbr pd.Series)r-r_rr_)"r<rbr=rbr>rbr?rbr@rbrArrBrrCrrDrrErrFrrGrrHrrI str | NonerJrrKrrr^)rxr^rrbrr`rr)rrrdict[str, pd.DataFrame]rztuple[pd.DataFrame, str | None])rrbr.r_rrrr)rrbrr_rrrr)rr_rrrzdict[str, float | None])rrbrr_rrrdict[str, Any])rr_rrb)rr_rr) rpr_rr_r$r_r%rrrb)rBrbrr`) rVzpd.IndexrWz np.ndarrayrXznp.ndarray | NonerIrrrb)rgrrr)rrbrr^rrrrrrrzpd.Series | Nonerzargparse.Namespacerrrrbrr)rr_rrbrr)rNrbrr)r#r^rr^)r>rbrrrz.tuple[dict[str, pd.DataFrame], dict[str, str]]) r>rbr,rbrrr(rrra)r!zset[str]rzdict[str, str])r>rbrra) r?rbrTrbr,rbrrrCrbrra)rr)@r __future__rrrrrrpathlibrtypingrnumpyr!pandasrrabspathrdirname__file__rinsert"RenTech.strategy_stack.data_loaderr&RenTech.strategy_stack.momentum_filterr%RenTech.strategy_stack.statarb_enginerr ,RenTech.strategy_stack.strategy_orchestratorr #RenTech.strategy_stack.swing_enginer r__annotations__r'r/r}rrrrrrrrr:rHr^rcrrrrrr r'r5r8r<rEr__name__rr(r&rss2# WW__RWW\\"''//(*CT4P Q  SXXHHOOAz"9ARM;3&^ %!!!"##CCC C  C  CCCCCCC CCC !C"#C$%CLMQ42  2 &2 %2 jBGd$^c FOT&R  B"C C CC  C  CL -(      @(d9d9d9 d9  d9  d9"d9 d9d9#d9 d9NX@ " ? #J *** *  *  *Z8 777 7  7  77tV7r$ zFr(