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Merged
Pigbibi merged 1 commit into from
Jun 12, 2026
Merged

[codex] Sync TQQQ risk diagnostics #153

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66 changes: 66 additions & 0 deletions application/signal_snapshot.py
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Original file line number Diff line number Diff line change
Expand Up @@ -43,6 +43,72 @@
"blend_gate_volatility_delever_dynamic_cap",
"blend_gate_volatility_delever_metric",
"blend_gate_volatility_delever_triggered",
"blend_gate_volatility_delever_retention_ratio",
"blend_gate_volatility_delever_redirect_symbol",
"blend_gate_volatility_delever_removed_ratio",
"dual_drive_volatility_delever_enabled",
"dual_drive_volatility_delever_window",
"dual_drive_volatility_delever_threshold_mode",
"dual_drive_volatility_delever_threshold",
"dual_drive_volatility_delever_exit_threshold",
"dual_drive_volatility_delever_dynamic_threshold",
"dual_drive_volatility_delever_dynamic_sample_count",
"dual_drive_volatility_delever_dynamic_lookback",
"dual_drive_volatility_delever_dynamic_percentile",
"dual_drive_volatility_delever_dynamic_min_periods",
"dual_drive_volatility_delever_dynamic_floor",
"dual_drive_volatility_delever_dynamic_cap",
"dual_drive_volatility_delever_metric",
"dual_drive_volatility_delever_triggered",
"dual_drive_volatility_delever_entry_triggered",
"dual_drive_volatility_delever_hysteresis_triggered",
"dual_drive_volatility_delever_trigger_reason",
"dual_drive_volatility_delever_applied",
"dual_drive_volatility_delever_vetoed",
"dual_drive_volatility_delever_veto_reason",
"dual_drive_volatility_delever_taco_veto_enabled",
"dual_drive_volatility_delever_taco_rebound_context_active",
"dual_drive_volatility_delever_true_crisis_active",
"dual_drive_volatility_delever_redirect_symbol",
"dual_drive_volatility_delever_removed_value",
"dual_drive_macro_risk_governor_enabled",
"dual_drive_macro_risk_governor_found",
"dual_drive_macro_risk_governor_route",
"dual_drive_macro_risk_governor_active",
"dual_drive_macro_risk_governor_applied",
"dual_drive_macro_risk_governor_leverage_scalar",
"dual_drive_macro_risk_governor_risk_asset_scalar",
"dual_drive_macro_risk_governor_removed_value",
"dual_drive_macro_risk_governor_redirected_to_unlevered",
"dual_drive_crisis_defense_enabled",
"dual_drive_crisis_defense_triggered",
"dual_drive_crisis_defense_applied",
"dual_drive_crisis_defense_destination",
"dual_drive_crisis_defense_removed_value",
"market_regime_control_enabled",
"market_regime_control_found",
"market_regime_control_source",
"market_regime_control_schema_version",
"market_regime_control_route",
"market_regime_control_route_source",
"market_regime_control_active",
"market_regime_control_applied",
"market_regime_control_route_allowed",
"market_regime_control_risk_scalar",
"market_regime_control_risk_budget_scalar",
"market_regime_control_leverage_scalar",
"market_regime_control_risk_asset_scalar",
"market_regime_control_taco_allowed",
"market_regime_control_local_delever_veto_allowed",
"market_regime_control_crisis_defense_required",
"market_regime_control_blocked_actions",
"market_regime_control_vetoes",
"market_regime_control_reason_codes",
"market_regime_control_removed_weight",
"market_regime_control_removed_ratio",
"market_regime_control_redirected_to_unlevered_ratio",
"market_regime_control_safe_haven",
"market_regime_control_risk_symbols",
)


Expand Down
69 changes: 69 additions & 0 deletions decision_mapper.py
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Original file line number Diff line number Diff line change
Expand Up @@ -52,7 +52,26 @@
"dual_drive_volatility_delever_trigger_reason",
"dual_drive_volatility_delever_applied",
"dual_drive_volatility_delever_vetoed",
"dual_drive_volatility_delever_veto_reason",
"dual_drive_volatility_delever_taco_veto_enabled",
"dual_drive_volatility_delever_taco_rebound_context_active",
"dual_drive_volatility_delever_true_crisis_active",
"dual_drive_volatility_delever_redirect_symbol",
"dual_drive_volatility_delever_removed_value",
"dual_drive_macro_risk_governor_enabled",
"dual_drive_macro_risk_governor_found",
"dual_drive_macro_risk_governor_route",
"dual_drive_macro_risk_governor_active",
"dual_drive_macro_risk_governor_applied",
"dual_drive_macro_risk_governor_leverage_scalar",
"dual_drive_macro_risk_governor_risk_asset_scalar",
"dual_drive_macro_risk_governor_removed_value",
"dual_drive_macro_risk_governor_redirected_to_unlevered",
"dual_drive_crisis_defense_enabled",
"dual_drive_crisis_defense_triggered",
"dual_drive_crisis_defense_applied",
"dual_drive_crisis_defense_destination",
"dual_drive_crisis_defense_removed_value",
)
_SOXL_RISK_CONTROL_EXECUTION_FIELDS = (
"blend_gate_volatility_delever_enabled",
Expand All @@ -73,6 +92,32 @@
"blend_gate_volatility_delever_redirect_symbol",
"blend_gate_volatility_delever_removed_ratio",
)
_MARKET_REGIME_CONTROL_EXECUTION_FIELDS = (
"market_regime_control_enabled",
"market_regime_control_found",
"market_regime_control_source",
"market_regime_control_schema_version",
"market_regime_control_route",
"market_regime_control_route_source",
"market_regime_control_active",
"market_regime_control_applied",
"market_regime_control_route_allowed",
"market_regime_control_risk_scalar",
"market_regime_control_risk_budget_scalar",
"market_regime_control_leverage_scalar",
"market_regime_control_risk_asset_scalar",
"market_regime_control_taco_allowed",
"market_regime_control_local_delever_veto_allowed",
"market_regime_control_crisis_defense_required",
"market_regime_control_blocked_actions",
"market_regime_control_vetoes",
"market_regime_control_reason_codes",
"market_regime_control_removed_weight",
"market_regime_control_removed_ratio",
"market_regime_control_redirected_to_unlevered_ratio",
"market_regime_control_safe_haven",
"market_regime_control_risk_symbols",
)


def _build_portfolio_inputs(
Expand Down Expand Up @@ -195,6 +240,25 @@ def _attach_tqqq_risk_control_execution_fields(
execution[field] = value


def _attach_market_regime_control_execution_fields(
plan: dict[str, Any],
*,
decision: StrategyDecision,
runtime_metadata: Mapping[str, Any] | None,
) -> None:
execution = plan.get("execution")
if not isinstance(execution, dict):
return
diagnostics = {**dict(runtime_metadata or {}), **dict(decision.diagnostics)}
annotations = diagnostics.get("execution_annotations")
if isinstance(annotations, Mapping):
diagnostics = {**diagnostics, **dict(annotations)}
for field in _MARKET_REGIME_CONTROL_EXECUTION_FIELDS:
value = diagnostics.get(field)
if value not in (None, ""):
execution[field] = value


def _attach_soxl_risk_control_execution_fields(
plan: dict[str, Any],
*,
Expand Down Expand Up @@ -645,6 +709,11 @@ def map_strategy_decision_to_plan(
decision=normalized_decision,
runtime_metadata=runtime_metadata,
)
_attach_market_regime_control_execution_fields(
plan,
decision=normalized_decision,
runtime_metadata=runtime_metadata,
)
_attach_tqqq_risk_control_execution_fields(
plan,
decision=normalized_decision,
Expand Down
50 changes: 50 additions & 0 deletions tests/test_decision_mapper.py
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Expand Up @@ -144,7 +144,32 @@ def test_maps_hybrid_decision_from_snapshot_source(self):
"dual_drive_volatility_delever_dynamic_floor": 0.24,
"dual_drive_volatility_delever_dynamic_cap": 0.36,
"dual_drive_volatility_delever_trigger_reason": "entry_threshold",
"dual_drive_volatility_delever_veto_reason": "taco_rebound_context",
"dual_drive_volatility_delever_taco_veto_enabled": True,
"dual_drive_volatility_delever_taco_rebound_context_active": False,
"dual_drive_volatility_delever_true_crisis_active": False,
"dual_drive_volatility_delever_redirect_symbol": "QQQ",
"dual_drive_volatility_delever_removed_value": 4500.0,
"dual_drive_macro_risk_governor_enabled": True,
"dual_drive_macro_risk_governor_found": True,
"dual_drive_macro_risk_governor_route": "risk_reduced",
"dual_drive_macro_risk_governor_active": True,
"dual_drive_macro_risk_governor_applied": True,
"dual_drive_macro_risk_governor_leverage_scalar": 0.5,
"dual_drive_macro_risk_governor_risk_asset_scalar": 0.75,
"dual_drive_macro_risk_governor_removed_value": 2500.0,
"dual_drive_macro_risk_governor_redirected_to_unlevered": 1500.0,
"dual_drive_crisis_defense_enabled": True,
"dual_drive_crisis_defense_triggered": True,
"dual_drive_crisis_defense_applied": False,
"dual_drive_crisis_defense_destination": "BOXX",
"dual_drive_crisis_defense_removed_value": 0.0,
"market_regime_control_enabled": True,
"market_regime_control_found": True,
"market_regime_control_route": "risk_reduced",
"market_regime_control_active": True,
"market_regime_control_risk_budget_scalar": 0.5,
"market_regime_control_reason_codes": ("macro:vix_crisis_level",),
}
},
)
Expand Down Expand Up @@ -186,7 +211,32 @@ def test_maps_hybrid_decision_from_snapshot_source(self):
self.assertEqual(plan["execution"]["dual_drive_volatility_delever_dynamic_floor"], 0.24)
self.assertEqual(plan["execution"]["dual_drive_volatility_delever_dynamic_cap"], 0.36)
self.assertEqual(plan["execution"]["dual_drive_volatility_delever_trigger_reason"], "entry_threshold")
self.assertEqual(plan["execution"]["dual_drive_volatility_delever_veto_reason"], "taco_rebound_context")
self.assertIs(plan["execution"]["dual_drive_volatility_delever_taco_veto_enabled"], True)
self.assertIs(plan["execution"]["dual_drive_volatility_delever_taco_rebound_context_active"], False)
self.assertIs(plan["execution"]["dual_drive_volatility_delever_true_crisis_active"], False)
self.assertEqual(plan["execution"]["dual_drive_volatility_delever_redirect_symbol"], "QQQ")
self.assertEqual(plan["execution"]["dual_drive_volatility_delever_removed_value"], 4500.0)
self.assertIs(plan["execution"]["dual_drive_macro_risk_governor_enabled"], True)
self.assertIs(plan["execution"]["dual_drive_macro_risk_governor_found"], True)
self.assertEqual(plan["execution"]["dual_drive_macro_risk_governor_route"], "risk_reduced")
self.assertIs(plan["execution"]["dual_drive_macro_risk_governor_active"], True)
self.assertIs(plan["execution"]["dual_drive_macro_risk_governor_applied"], True)
self.assertEqual(plan["execution"]["dual_drive_macro_risk_governor_leverage_scalar"], 0.5)
self.assertEqual(plan["execution"]["dual_drive_macro_risk_governor_risk_asset_scalar"], 0.75)
self.assertEqual(plan["execution"]["dual_drive_macro_risk_governor_removed_value"], 2500.0)
self.assertEqual(plan["execution"]["dual_drive_macro_risk_governor_redirected_to_unlevered"], 1500.0)
self.assertIs(plan["execution"]["dual_drive_crisis_defense_enabled"], True)
self.assertIs(plan["execution"]["dual_drive_crisis_defense_triggered"], True)
self.assertIs(plan["execution"]["dual_drive_crisis_defense_applied"], False)
self.assertEqual(plan["execution"]["dual_drive_crisis_defense_destination"], "BOXX")
self.assertEqual(plan["execution"]["dual_drive_crisis_defense_removed_value"], 0.0)
self.assertIs(plan["execution"]["market_regime_control_enabled"], True)
self.assertIs(plan["execution"]["market_regime_control_found"], True)
self.assertEqual(plan["execution"]["market_regime_control_route"], "risk_reduced")
self.assertIs(plan["execution"]["market_regime_control_active"], True)
self.assertEqual(plan["execution"]["market_regime_control_risk_budget_scalar"], 0.5)
self.assertEqual(plan["execution"]["market_regime_control_reason_codes"], ("macro:vix_crisis_level",))
self.assertEqual(plan["portfolio"]["market_values"]["TQQQ"], 5000.0)

def test_translates_weight_decision_for_snapshot_strategy(self):
Expand Down
39 changes: 39 additions & 0 deletions tests/test_signal_snapshot.py
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Expand Up @@ -123,6 +123,45 @@ def test_includes_soxl_dynamic_volatility_fields(self):
snapshot["indicators"]["blend_gate_volatility_delever_triggered"], True
)

def test_includes_tqqq_extended_risk_control_fields(self):
snapshot = build_signal_snapshot(
platform="longbridge",
strategy_profile="tqqq_growth_income",
execution={
"dual_drive_volatility_delever_threshold_mode": "rolling_percentile",
"dual_drive_volatility_delever_threshold": 0.28,
"dual_drive_volatility_delever_exit_threshold": 0.24,
"dual_drive_volatility_delever_dynamic_threshold": 0.30,
"dual_drive_volatility_delever_dynamic_sample_count": 252,
"dual_drive_volatility_delever_dynamic_percentile": 0.90,
"dual_drive_volatility_delever_metric": 0.312,
"dual_drive_volatility_delever_applied": True,
"dual_drive_volatility_delever_veto_reason": "taco_rebound_context",
"dual_drive_volatility_delever_taco_veto_enabled": True,
"dual_drive_volatility_delever_removed_value": 4500.0,
"dual_drive_macro_risk_governor_applied": True,
"dual_drive_macro_risk_governor_route": "risk_reduced",
"dual_drive_crisis_defense_destination": "BOXX",
"market_regime_control_route": "risk_reduced",
"market_regime_control_reason_codes": ("macro:vix_crisis_level",),
"dual_drive_volatility_delever_redirect_symbol": "QQQM",
},
)

indicators = snapshot["indicators"]
self.assertEqual(indicators["dual_drive_volatility_delever_threshold_mode"], "rolling_percentile")
self.assertEqual(indicators["dual_drive_volatility_delever_dynamic_threshold"], 0.30)
self.assertIs(indicators["dual_drive_volatility_delever_applied"], True)
self.assertEqual(indicators["dual_drive_volatility_delever_veto_reason"], "taco_rebound_context")
self.assertIs(indicators["dual_drive_volatility_delever_taco_veto_enabled"], True)
self.assertEqual(indicators["dual_drive_volatility_delever_removed_value"], 4500.0)
self.assertIs(indicators["dual_drive_macro_risk_governor_applied"], True)
self.assertEqual(indicators["dual_drive_macro_risk_governor_route"], "risk_reduced")
self.assertEqual(indicators["dual_drive_crisis_defense_destination"], "BOXX")
self.assertEqual(indicators["market_regime_control_route"], "risk_reduced")
self.assertEqual(indicators["market_regime_control_reason_codes"], ["macro:vix_crisis_level"])
self.assertEqual(indicators["dual_drive_volatility_delever_redirect_symbol"], "QQQM")


if __name__ == "__main__":
unittest.main()