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Merged
Pigbibi merged 1 commit into from
Jul 5, 2026
Merged

Align US strategy lifecycle gates #205

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2 changes: 1 addition & 1 deletion docs/us_equity_strategy_status.md
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Expand Up @@ -37,7 +37,7 @@ See the Chinese handbook for localized positioning text and default parameter ta

| Profile / track | Status | Why not live |
| --- | --- | --- |
| `tecl_xlk_trend_income` | `research_enabled` | Failed promotion versus live TQQQ and SOXL on overlapping windows (2024+ CAGR 24.8%, max drawdown -46.0%). Code and backtest tooling retained. Docs: [`UsEquitySnapshotPipelines/docs/tecl-xlk-optimization-research.md`](../../UsEquitySnapshotPipelines/docs/tecl-xlk-optimization-research.md). |
| `tecl_xlk_trend_income` | `research_backtest_only` | Failed promotion versus live TQQQ and SOXL on overlapping windows (2024+ CAGR 24.8%, max drawdown -46.0%). Code and backtest tooling retained. Docs: [`UsEquitySnapshotPipelines/docs/tecl-xlk-optimization-research.md`](../../UsEquitySnapshotPipelines/docs/tecl-xlk-optimization-research.md). |
| `tech_communication_pullback_enhancement` | research_only | Underperforms `russell_top50_leader_rotation` on return and drawdown. |
| `QQQ` / `SPY` LEAPS growth overlay | research_only | Design: [`research/index_leaps_growth_overlay.md`](./research/index_leaps_growth_overlay.md). Proxy backtest module: `UsEquitySnapshotPipelines/docs/index-leaps-growth-overlay-research.md`. |
| `us_equity_combo_leveraged_shadow_352045` | shadow_candidate | TQQQ 35% / SOXL 20% / BOXX 45% with `hard_defense_risk_exposure=0.0`. Backtest evidence: 22.21% CAGR, -33.88% max drawdown over 2010-01-05 to 2026-07-02 with 5 bps cost. Runtime config: `src/us_equity_strategies/configs/us_equity_combo_leveraged_shadow_352045.json`. |
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2 changes: 1 addition & 1 deletion docs/us_equity_strategy_status.zh-CN.md
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Expand Up @@ -82,7 +82,7 @@ _更新日期：2026-06-28_

| 研究方向 | 当前状态 | 不直接部署的原因 |
| --- | --- | --- |
| `tecl_xlk_trend_income` | `research_enabled` | 重叠窗口未跑赢 live TQQQ / SOXL（2024+ CAGR 24.8%，最大回撤 -46.0%）；保留策略实现与回测入口，不进入 runtime。研究文档见 [`UsEquitySnapshotPipelines/docs/tecl-xlk-optimization-research.zh-CN.md`](../../UsEquitySnapshotPipelines/docs/tecl-xlk-optimization-research.zh-CN.md)。 |
| `tecl_xlk_trend_income` | `research_backtest_only` | 重叠窗口未跑赢 live TQQQ / SOXL（2024+ CAGR 24.8%，最大回撤 -46.0%）；保留策略实现与回测入口，不进入 runtime。研究文档见 [`UsEquitySnapshotPipelines/docs/tecl-xlk-optimization-research.zh-CN.md`](../../UsEquitySnapshotPipelines/docs/tecl-xlk-optimization-research.zh-CN.md)。 |
| `us_equity_combo_leveraged_shadow_352045` | shadow candidate | 组合型杠杆候选：`TQQQ 35% / SOXL 20% / BOXX 45%`，risk-off 归零风险腿转 `BOXX`。当前仅提供受控 runtime_config 与测试保护，不改变默认 live；需要平台 dry-run / shadow 周期证据后才可重新评估 live。 |
| `us_equity_combo_leveraged_shadow_402040` | shadow candidate | 组合型杠杆候选：`TQQQ 40% / SOXL 20% / BOXX 40%`，risk-off 归零风险腿转 `BOXX`。这是 35%-40% 回撤预算下的下一轮 shadow 配置，不直接替换 live。 |
| `crisis_response_shadow` 插件 | 可作为 `tqqq_growth_income` 的 `shadow` 插件候选，只写信号、日志和通知上下文。 | 现在是 defense-only 黑天鹅观察流，不下单、不改 allocation；需要稳定 shadow 日志后再做 evidence review。 |
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10 changes: 5 additions & 5 deletions src/us_equity_strategies/catalog.py
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Expand Up @@ -595,7 +595,7 @@ def _build_strategy_definition(
asset_scope="technology_etf_plus_income",
benchmark="XLK",
role="sector_offensive_income",
status="research_enabled",
status="research_backtest_only",
),
RUSSELL_TOP50_LEADER_ROTATION_PROFILE: StrategyMetadata(
canonical_profile=RUSSELL_TOP50_LEADER_ROTATION_PROFILE,
Expand Down Expand Up @@ -637,15 +637,15 @@ def _build_strategy_definition(
canonical_profile=US_EQUITY_COMBO_PROFILE,
display_name="US Equity Combo",
description=(
"Live US core combo: Russell Top50 leaders (40%) + Nasdaq/S&P ETF "
"Shadow/internal US core combo: Russell Top50 leaders (40%) + Nasdaq/S&P ETF "
"sleeve (40%) + BOXX cash defense (20%), with dynamic defense weights."
),
aliases=(),
cadence="monthly review",
asset_scope="us_equity_combo",
benchmark="SPY",
role="us_equity_combo",
status="runtime_enabled",
status="shadow_candidate",

@chatgpt-codex-connector chatgpt-codex-connector Bot Jul 5, 2026

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P2 Badge Propagate the combo demotion to its runtime manifest

In contexts that load us_equity_combo_entrypoint directly, this catalog demotion is not reflected because the entrypoint is still constructed from combo_manifests.us_equity_combo_manifest, whose description continues to label the profile as live and whose default config has no shadow marker. A manifest-driven platform or operator UI can therefore still surface us_equity_combo as live even though get_runtime_enabled_profiles() now excludes it; please update the combo manifest alongside this status change.

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),
US_EQUITY_COMBO_CORE_PROFILE: StrategyMetadata(
canonical_profile=US_EQUITY_COMBO_CORE_PROFILE,
Expand All @@ -666,15 +666,15 @@ def _build_strategy_definition(
canonical_profile=US_EQUITY_COMBO_LEVERAGED_PROFILE,
display_name="US Equity Combo Leveraged",
description=(
"Leveraged US combo: TQQQ (40%) + SOXL (20%) + BOXX (40%) with "
"Shadow leveraged US combo: TQQQ (40%) + SOXL (20%) + BOXX (40%) with "
"SPY MA200 dynamic risk-off cut."
),
aliases=(),
cadence="daily review",
asset_scope="us_equity_combo_leveraged",
benchmark="SPY",
role="us_equity_combo_leveraged",
status="runtime_enabled",
status="shadow_candidate",
),
}

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17 changes: 17 additions & 0 deletions src/us_equity_strategies/runtime_adapters.py
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Expand Up @@ -108,6 +108,11 @@
available_capabilities=frozenset({"fractional_share_execution"}),
runtime_policy=StrategyRuntimePolicy(signal_effective_after_trading_days=0),
),
}

# Shadow/internal combo profiles remain describable for runtime contract and
# test coverage, but they are not treated as base live adapters.
SHADOW_RUNTIME_ADAPTERS: dict[str, StrategyRuntimeAdapter] = {
US_EQUITY_COMBO_PROFILE: StrategyRuntimeAdapter(
status_icon="\U0001f1fa\U0001f1f8",
available_inputs=frozenset({"russell_snapshot", "current_holdings"}),
Expand Down Expand Up @@ -183,6 +188,18 @@ def _build_platform_runtime_adapter_map(platform_id: str) -> dict[str, StrategyR
profile,
platform_id=normalized_platform,
)
for profile, base_adapter in SHADOW_RUNTIME_ADAPTERS.items():
definition = get_strategy_definition(profile)
if normalized_platform not in definition.supported_platforms:
continue
adapters[profile] = validate_strategy_runtime_adapter(
replace(
base_adapter,
available_inputs=frozenset(base_adapter.available_inputs or definition.required_inputs),
portfolio_input_name=base_adapter.portfolio_input_name
or ("portfolio_snapshot" if "portfolio_snapshot" in definition.required_inputs else None),
Comment on lines +198 to +200

@chatgpt-codex-connector chatgpt-codex-connector Bot Jul 5, 2026

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P2 Badge Add portfolio inputs for value-mode shadow adapters

For the shadow combo profiles on Schwab, Longbridge, and Firstrade, this new adapter path skips the cross-target-mode normalization done in _build_runtime_adapter_for_platform: these profiles emit weight targets while those platforms are value-native, so their adapters used to add portfolio_snapshot and set portfolio_input_name for translation. Because the profiles are still exposed through PLATFORM_RUNTIME_ADAPTERS, get_platform_runtime_adapter("us_equity_combo", platform_id="schwab") now returns an adapter with only russell_snapshot/current_holdings, leaving value-mode runtimes without the portfolio snapshot needed to convert weights into dollar targets.

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)
)
return adapters


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10 changes: 8 additions & 2 deletions tests/test_catalog.py
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Expand Up @@ -264,6 +264,14 @@ def test_metadata_map_exposes_display_names_and_roles(self):
metadata_map[US_EQUITY_COMBO_CORE_PROFILE].status,
"shadow_candidate",
)
self.assertEqual(
metadata_map[US_EQUITY_COMBO_PROFILE].status,
"shadow_candidate",
)
self.assertEqual(
metadata_map[US_EQUITY_COMBO_LEVERAGED_PROFILE].status,
"shadow_candidate",
)

def test_option_overlay_defaults_are_enabled_but_live_gated(self):
live_option_profiles = (
Expand Down Expand Up @@ -514,8 +522,6 @@ def test_runtime_enabled_profiles_are_the_live_catalog(self):
RUSSELL_TOP50_LEADER_ROTATION_PROFILE,
NASDAQ_SP500_SMART_DCA_PROFILE,
IBIT_SMART_DCA_PROFILE,
US_EQUITY_COMBO_PROFILE,
US_EQUITY_COMBO_LEVERAGED_PROFILE,
}
),
)
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3 changes: 2 additions & 1 deletion tests/test_contract_governance.py
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Expand Up @@ -17,6 +17,7 @@
LONGBRIDGE_PLATFORM,
PAPER_SIGNAL_PLATFORM,
PLATFORM_RUNTIME_ADAPTERS,
SHADOW_RUNTIME_ADAPTERS,
SCHWAB_PLATFORM,
FIRSTRADE_PLATFORM,
get_platform_runtime_adapter,
Expand Down Expand Up @@ -155,7 +156,7 @@ def test_runtime_adapter_map_matches_catalog_compatibility(self) -> None:
supported_profiles = frozenset(
profile
for profile, platforms in compatibility_map.items()
if platform_id in platforms and profile in BASE_RUNTIME_ADAPTERS
if platform_id in platforms and profile in (BASE_RUNTIME_ADAPTERS | SHADOW_RUNTIME_ADAPTERS)
)
with self.subTest(platform_id=platform_id):
self.assertEqual(frozenset(adapters), supported_profiles)
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