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55 Commits

Author SHA1 Message Date
jgrusewski
f5d0e7f31c docs(paper): A3f compounding equity-accounting fix plan 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 09:58:01 +02:00
jgrusewski
833cec0d6a docs(paper): A3f compounding equity-accounting fix design 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 09:55:49 +02:00
jgrusewski
6c9dc00a54 docs(paper): A3e marginal-gate + cleanup implementation plan 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 09:15:27 +02:00
jgrusewski
a01875b7be docs(paper): A3e marginal-gate + cleanup design 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 09:13:13 +02:00
jgrusewski
638bfde86f docs(paper): A3d vol-target + killswitch implementation plan 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 08:04:52 +02:00
jgrusewski
f52d893163 docs(paper): A3d vol-target leverage + drawdown killswitch design 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 07:56:27 +02:00
jgrusewski
5ed54a5ea4 docs(paper): A3c implementation plan + spec return-fn signature fix 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 23:27:01 +02:00
jgrusewski
fdc721e6d8 docs(paper): A3c spec fixes from critical review (disjoint regime signal, two-sided water-fill, shared return fn, mixed-history rule) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 23:21:29 +02:00
jgrusewski
4bbae5cacc docs(paper): A3c ISV-adaptive sleeve weighting design (state-derived meta-params) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 22:47:07 +02:00
jgrusewski
27accf0458 docs(paper): A3c dynamic inverse-vol sleeve weighting design 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 22:37:42 +02:00
jgrusewski
d726d058c7 docs: plan — equal-weight replayable sleeves + wire unlock to warehouse (Phase 2F-A3b) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 22:17:34 +02:00
jgrusewski
cdcb0f747a docs: spec — paper book equal-weight replayable sleeves + wire unlock to warehouse (Phase 2F-A3b) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 22:15:36 +02:00
jgrusewski
8f7ffd39ba docs: plan — paper replay (paper_nav + backfill + /paper/replay scrubber) Phase 2F-A3 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 21:03:57 +02:00
jgrusewski
a5493d71cd docs: spec — paper replay (backfill + paper_nav + /paper/replay scrubber) Phase 2F-A3 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 21:02:09 +02:00
jgrusewski
6cc9aafae4 docs: plan — paper-snapshot job (current_weights per sleeve + service + dagster asset) Phase 2F-2 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 20:10:44 +02:00
jgrusewski
aad97c2b27 docs: spec — paper-snapshot job feeds /paper real positions (Phase 2F-2) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 20:08:51 +02:00
jgrusewski
d816d2d709 docs: plan — paper-trading cockpit MVP (TDD: persist positions/trades + live MTM view) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 19:21:39 +02:00
jgrusewski
672570e079 docs: spec — paper-trading cockpit live MTM (Phase 2F MVP: persist positions/trades + live view) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 19:19:09 +02:00
jgrusewski
4825866ac6 docs(2E): include alertmanager (useful) — operator brings it up; receivers a follow-up 2026-06-21 18:50:43 +02:00
jgrusewski
df1b3409b5 docs: plan — re-enable observability + expose grafana/dagster (Phase 2E), inline+gated 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 18:46:11 +02:00
jgrusewski
afd07d75d5 docs: spec — re-enable observability (prometheus+grafana) + expose dagster.fxhnt.ai (Phase 2E) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 18:43:23 +02:00
jgrusewski
0867544ada docs: stablecoin-rotation sleeve spec + implementation plan 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 10:12:55 +02:00
jgrusewski
d702f2b081 docs: sync tstrend spec to recalibrated lam=0.20 + dropped last_day/clock 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 01:04:06 +02:00
jgrusewski
33d9bd3d03 docs: crypto TS-trend sleeve spec + implementation plan 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 00:25:31 +02:00
jgrusewski
bad0c6accd docs: edge-discovery sprint plan (crypto XS factors + TS-trend + cross-asset trend, gauntlet-gated) 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-19 19:33:10 +02:00
jgrusewski
e7c9946aac docs(xsfunding): paper-forward track implementation plan 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-19 07:38:51 +02:00
jgrusewski
178ac665c4 docs(xsfunding): spot-perp basis-modeling implementation plan 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-19 00:12:47 +02:00
jgrusewski
549a21f660 docs(xsfunding): cross-sectional funding-dispersion implementation plan (6 tasks → verdict matrix) 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-18 22:58:52 +02:00
jgrusewski
31aa746369 docs(xsfunding): cross-sectional crypto funding-dispersion strategy design (spike PASSED — survivorship-free panel on disk) 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-18 22:53:40 +02:00
jgrusewski
e254ca02ef docs(b3b): walk-forward equity-factor backtest implementation plan 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-17 12:17:39 +02:00
jgrusewski
8d363e14b5 docs(b3): spec — survivorship-free price-only equity-factor backtest (PIT ingest + walk-forward + gauntlet) 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-17 00:05:01 +02:00
jgrusewski
c033607317 docs(b2): implementation plan — equity-factor sleeve (7 tasks) 
Ports → domain (z-score/composite/3 constructions, full code) → Tiingo fundamentals+universe adapters →
3 ForwardStrategy services → registry+assets → deploy. TDD, deterministic domain + fake-port tests.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-16 17:19:08 +02:00
jgrusewski
5f292deb45 docs(b2): spec — equity-factor sleeve (value+quality+momentum, 3 construction variants) 
Cross-sectional multi-factor book on broad liquid US universe (Tiingo fundamentals + 30yr EOD); long-only /
long-short / long-tilt as 3 ForwardStrategy paper-tracks through the gate. Deterministic domain+fake-port
tests. Backtest/DSR layer = separate increment.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-16 10:32:00 +02:00
jgrusewski
5da77b6959 docs(b1): poc ported faithfully WITH torch (real signal_sweep/pit_sweep) — no algo changes to dodge a dep 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-16 06:27:45 +02:00
jgrusewski
3e57f2db01 docs(b1): implementation plan — 6 paper-track strategies as Dagster assets 
10 tasks: generic ForwardTracker + ForwardStrategy port; 5 market-data ports; sixtyforty (template),
multistrat, gd, funding, crossvenue, poc (numpy, no torch); orchestration wiring; deploy + cron retirement.
TDD per task, fakes (no live network), strict-mypy, days-list round-trip through state_reader.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-16 00:13:50 +02:00
jgrusewski
544e47b04d docs(b1): fold poc into scope — paper path is numpy-only (no torch/pit_sweep) 
All 6 remaining strategies in one increment. poc's paper(cfg) path uses numpy xs_weights (residual momentum
top-30 market-neutral) + a Deribit-DVOL VRP sleeve, VRP sizing calibrated from the live lookback window instead
of pit_sweep — so no torch, no warehouse PIT dep, no new state_reader case (emits days-list). Added two data
ports (CryptoPerpBarClient, VolIndexClient) + a poc detail section.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-16 00:04:44 +02:00
jgrusewski
bff1fe2dee docs(b1): spec — 5 paper-track strategies as clean Dagster assets 
Port funding/crossvenue/multistrat/sixtyforty/gd to hexagonal fxhnt services + assets feeding the existing
cockpit_forward ingest; generic ForwardTracker over a ForwardStrategy port (recomputable-series + live-booking
patterns); unify on days-list state shape; retire foxhunt surfer crons. poc deferred to B1b.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-15 23:59:31 +02:00
jgrusewski
83a6ce57dd plan(lifecycle): bite-sized B0 plan — Dagster foundation + combined-book via warehouse 
10 tasks: _panel extract, warehouse read_panel, CombinedBookSource port (Raw/Warehouse,
equivalence test = A->B guarantee), CombinedBook source-injection, config flag+factory,
dagster extra, 4 assets, Definitions+schedule, cluster deploy (webserver+daemon+pg+tailnet)
+ suspend the fxhnt-forward cron. Reversible cutover via FXHNT_COMBINED_BOOK_DATA_SOURCE.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-15 10:57:18 +02:00
jgrusewski
9878207ecd docs(lifecycle): design spec — B0 Dagster foundation + combined-book via warehouse 
Sub-project B increment 0: stand up Dagster on the cluster + migrate the combined-book
paper-forward track end-to-end as an asset graph reading the warehouse SSOT (proves A->B),
replacing the fxhnt-forward cron. CombinedBookSource port (Warehouse/Raw), 4 assets,
cockpit ingest, reversible cutover. B1-B4 (other tracks, gauntlet, promote/live) deferred.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-15 10:40:42 +02:00
jgrusewski
7c5b1bd3e5 plan(data): bite-sized implementation plan — unified data layer / warehouse-SSOT 
9 TDD tasks: config warehouse_path, BarRecord, factor dbn_local (shared adjust),
silver_futures/silver_crypto normalizers, WarehouseIngest, WarehousePriceProvider,
catalog, CLI (warehouse-ingest/catalog + warehouse data source). Increment-1 bars {close,high,low}.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-15 00:15:32 +02:00
jgrusewski
30c82f2a01 docs(data): design spec — unified data layer / warehouse-SSOT (platform sub-project A) 
Increment 1: daily bars (futures+crypto) bronze->silver->gold into the existing
point-in-time FeatureStore, consumed via the DataProvider port (WarehousePriceProvider),
plus a catalog/freshness view. Funding + retiring the other data homes are later increments.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-15 00:09:12 +02:00
jgrusewski
97808688d3 plan(strategies): bite-sized implementation plan — single-market kinds + OHLC contract 
10 TDD tasks: PriceSeries high/low contract, rolling_max/min, 3 kinds
(breakout/seasonality/vol_managed_momentum), registration, 4 adapter high/low
fills (databento/yahoo/dbn_local/duckdb). Pure helpers for network-free adapter tests.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-14 22:55:46 +02:00
jgrusewski
76284d00ce docs(strategies): critical-review fixes to single-market kinds spec 
- HIGH: seasonality must not be shifted (signal is calendar+prior-years, pre-known)
- MED: yahoo None-policy defaults missing high/low to close, not row-drop
- LOW-MED: NaN high/low guard in all adapters (rolling_max/min propagation)
- DOC: vol_managed is de-risk-only (target_vol ceiling), not full vol-targeting
- LOW: add registration + end-to-end run_backtest test
- verified: DuckDB ADD COLUMN IF NOT EXISTS, breakout lookahead, dbn_local roll factor

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-14 22:43:12 +02:00
jgrusewski
0e232d1a1b docs(strategies): design spec — single-market kinds + OHLC contract (sub-project A) 
Adds seasonality / breakout (true Donchian) / vol_managed_momentum kinds (3->6),
extends PriceSeries with high/low filled by all 4 adapters (+ DuckDB migration).
Sub-project B (cross-sectional carry/VRP harness) deferred to its own spec.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-14 22:37:28 +02:00
jgrusewski
652340325d plan(factory): ongoing diversification-aware edge-factory — 13 TDD tasks, 5 milestones 
M1 diversification core (left-tail corr, HRP via scipy to_tree, marginal Sharpe, gate; FST DSR verification)
M2 governance + funnel persistence + diversification-gated promotion/HRP-allocation loop + CLI
M3 domain-analyst fleet (dedup + honest global trial count) M4 cockpit funnel view M5 in-cluster CronJob.
Reuses the existing factory skeleton + gauntlet.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-14 19:40:18 +02:00
jgrusewski
2d07b18525 docs(factory): design spec — ongoing diversification-aware edge-factory 
Research-grounded (Bailey/LdP False Strategy Theorem -> SR* scales with honest global N; Harvey-Liu-Zhu
factor-zoo t>3 discipline; T.RowePrice left-tail correlation; LdP HRP + Raffinot HERC; CFA rolling re-allocation).
Closed loop: analyst-fleet -> gauntlet -> diversification-gate (left-tail ρ + marginal contribution) ->
paper-forward -> autonomous promotion (governance: kill-switch/caps) -> HRP allocation -> edge-decay retirement,
in-cluster daily, cockpit funnel view. 5 milestones; reuses the existing factory skeleton.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-14 19:34:39 +02:00
jgrusewski
d70696e6ad plan(exec): crypto execution layer — 13 TDD tasks, 5 milestones 
M1 port+ccxt-adapter (rate-limit governor, idempotency, testnet) · M2 pure smart router (maker->IOC, caps,
slippage abort) · M3 risk gates + capacity + edge-decay×Kelly · M4 TCA + reconciliation + orchestrator +
cockpit fill persistence + CLI · M5 testnet end-to-end. Research-grounded; intraday slicing deferred (measure
TCA first).

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-14 16:42:00 +02:00
jgrusewski
cd3647f5d9 docs(exec): design spec — live crypto execution layer (Binance USDM perps, ccxt) 
Research-grounded (rate limits 2400wt/1200ord per min + 418 ban risk, clientOrderId idempotency, LOT/PRICE/
MIN_NOTIONAL filters, maker-first+POV slicing saves 50-90bps, ccxt testnet). Hexagonal: crypto_exchange port +
binance_ccxt adapter w/ rate-limit governor, pure smart_router (maker->IOC, slicing, slippage abort), full
risk layer (gross/per-symbol/leverage caps + edge-decay×Kelly scaler + kill-switch + drawdown CB), reconcile +
TCA, testnet-first w/ allow_live gate. 5 milestones.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-14 16:33:27 +02:00
jgrusewski
bce04d0031 plan(fetch): edge-pipeline containerization spec + plan (combined book only) 
Port the two fetchers (Binance crypto / Databento futures) into fxhnt as 'fxhnt fetch' so the combined-book
daily loop runs fully in-cluster: fetch -> forward-track -> ingest -> dashboard. Edge-only scope; funding +
other trackers deferred. 4 TDD tasks (offline-testable fetchers) + CronJob full-loop update.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-14 12:20:32 +02:00
jgrusewski
a39ddf8a3d plan(cockpit): add period-aware rolling mean (raw daily/weekly/monthly, no normalization) 
Per user requirement: dashboard presents per-period data as raw rolling means, no z-scoring/vol-norm.
New Task 9A (periods module) + StrategyDetail.periods + service wiring + strategy.html per-period section.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-14 11:38:45 +02:00