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v0.1.16 - Four-Stage Transformation Pipeline & Proportional Position Sizing

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@stabilefrisur stabilefrisur released this 13 Dec 23:36
· 76 commits to master since this release
v0.1.16
d529476

Major Features

Four-Stage Transformation Pipeline - Complete signal composition architecture with explicit transformation stages (Security → Indicator → Score → Signal). Includes new signal_transformation.json catalog, stage inspection functions, and three-stage runtime overrides for flexible signal development.

Proportional Position Sizing - Signal-proportional position sizing (position = signal × position_size_mm) with linear scaling for nuanced risk exposure. Now the default sizing mode with proper transaction costs, P&L calculation, and risk management integration.

Added

  • Four-Stage Transformation Pipeline (004-four-stage-transform)
    • New signal_transformation.json catalog for trading rules (floor, cap, neutral_range, scaling)
    • SignalTransformationRegistry for signal transformation metadata management
    • apply_signal_transformation() function for trading rule application
    • Stage inspection functions: compute_indicator_stage(), compute_score_stage(), compute_signal_stage()
    • Runtime overrides: indicator_transformation_override, score_transformation_override, signal_transformation_override
    • include_intermediates parameter in compose_signal() for debugging intermediate stages
    • CLI list support for score-transformations and signal-transformations categories
    • CatalogValidationError for structured error messages across all registries
  • Proportional Position Sizing Mode (006-proportional-position-sizing)
    • Signal-proportional position sizing: position = signal × position_size_mm
    • Linear position scaling with signal magnitude for nuanced risk exposure
    • Transaction costs proportional to position change delta
    • Daily P&L calculation using prior day's actual notional
    • Risk management (stop-loss/take-profit) evaluated against current notional
    • Correct trade tracking and metadata for variable position sizes
    • NaN/Infinity handling with warning logs for invalid signals
    • Proportional sizing now the default mode (binary available via override)
  • Package Distribution Enhancements
    • Included all transformation JSON files in package distribution
    • Added synthetic_params.json to package data
    • Complete four-stage pipeline fully accessible in installed package

Changed

  • Signal Composition Architecture (Breaking)
    • Refactored compose_signal() for explicit 4-stage pipeline: Security → Indicator → Score → Signal
    • Signal catalog structure changed: indicator_dependencies/transformations → indicator_transformation/score_transformation/signal_transformation
    • All 3 signals migrated to new structure (cdx_etf_basis, cdx_vix_gap, spread_momentum)
    • Renamed indicator_catalog.json → indicator_transformation.json
    • Renamed transformation_catalog.json → score_transformation.json
    • Split TransformationRegistry into ScoreTransformationRegistry and SignalTransformationRegistry
  • Backtest Strategy System (Breaking) (005-backtest-strategy-cleanup)
    • Removed threshold-based position entry/exit in favor of signal-based triggers
    • Non-zero signal = enter position, zero signal = exit position
    • Removed entry_threshold, exit_threshold, position_size from BacktestConfig
    • Added position_size_mm, sizing_mode, stop_loss_pct, take_profit_pct, max_holding_days
    • Implemented PositionState enum (NO_POSITION, IN_POSITION, COOLDOWN) for state management
    • Added exit_reason tracking (signal, stop_loss, take_profit, max_holding_days, reversal)
    • Cumulative P&L tracking per position for risk threshold calculation
    • Cooldown state after PnL-based exits (prevents re-entry until signal resets)
    • Signal sign reversal without cooldown enables responsive trading
    • Migrated all 4 strategies to new schema (conservative, balanced, aggressive, experimental)
    • Proportional sizing is now the default (changed from binary)
    • Removed 4 _proportional strategy variants (8 → 4 strategies)
    • Binary sizing available via sizing_mode_override='binary'
  • Data Provider Interface (Breaking)
    • Unified FileSource and BloombergSource interfaces for interchangeability
    • FileSource now uses base_dir + registry.json instead of single file path
    • Auto-load security_mapping from registry.json in FileSource.__post_init__
    • File provider signature unified: (source, ticker, instrument, security, ...)
    • Security column enrichment for multi-security instruments
    • Removed bloomberg_ticker parameter from fetch_cdx() and fetch_etf()
    • All Bloomberg ticker resolution via get_bloomberg_ticker(security)
    • Removed obsolete find_raw_file() and concat_multi_security() functions

Fixed

  • Type Safety
    • Fixed type cast for iterrows() date parameter in backtest engine (mypy compliance)
    • Added Any import to backtest protocols for proper type hints
    • Enhanced date handling in position tracking logic
  • Error Handling
    • Suppress division by zero warnings in Sharpe ratio calculation (zero std edge case)
    • Wrap quantstats metric calls to suppress expected RuntimeWarnings
  • Data Flow
    • Fixed SuitabilityStep and BacktestStep to get spread data from workflow context
    • Resolved fresh registry data flow issue (no longer reloads from DataRegistry)
    • Removed dead code in loaders.py (unreachable block after return)

Breaking Changes

  • Signal catalog schema changed - signals now require indicator_transformation, score_transformation, and signal_transformation fields
  • compose_signal() signature updated with renamed registries and three override parameters
  • Backtest config schema changed - removed thresholds, added position sizing and risk management fields
  • Strategy catalog schema changed - all strategies migrated to signal-based triggers
  • FileSource now requires base_dir with registry.json instead of single file path
  • fetch_cdx() and fetch_etf() require security parameter (removed bloomberg_ticker)
  • CLI list transformations split into score-transformations and signal-transformations
  • YAML workflow config requires score_transformation and signal_transformation instead of transformation
  • Proportional position sizing is now the default (binary available via override)
  • Report command no longer accepts --output flag

Test Coverage

  • 755 total tests passing (increased from 681)
  • 30+ new backtest tests for signal-based triggers and PnL risk management
  • 59 backtest engine tests (20+ new proportional sizing tests)
  • All governance tests updated for new schema
  • Complete test coverage for four-stage transformation pipeline
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