feat(trading-strategies): momentum-rotation strategy (top 5, monthly rebalance) - #1138
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bennycode wants to merge 3 commits into
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feat(trading-strategies): momentum-rotation strategy (top 5, monthly rebalance)#1138bennycode wants to merge 3 commits into
bennycode wants to merge 3 commits into
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A live strategy that holds the top picks from momentum + scorecard and rebalances when momentum changes (monthly, since the 12-1 window is a monthly snapshot). - computeRebalance: pure, equal-weight, low-churn rebalance. Liquidate names that left the target set, buy new entrants at an equal-weight slice (equity / count), and leave unchanged holdings alone, so an unchanged set trades nothing. - MomentumRotation: orchestrator that ranks the S&P 500 by 12-1 momentum, scores the top winners, keeps the best 5, reads Alpaca positions/equity, and either previews the trades (plan(), read-only) or executes them (rebalance()). - Extract the momentum ranking (price fetch + rank) into a shared util so the report and the rotation share one implementation. The scorecard uses current analyst data, so this runs forward only (live/paper), not as a backtest. Verified end to end with a read-only plan() against a live account.
…ation provider-agnostic Lets the momentum rotation run on free TipRanks data instead of paid FMP. - exchange: new TipRanksAPI client. The TipRanks MCP is a stateless HTTP RPC, so a single tools/call POST returns the data (no SDK or session). Two batch calls (getAssetsData + getTechnicalAnalysis) cover the whole scorecard. - TipRanksScorecard: orchestrator that feeds TipRanks data into the existing pure computeTipRanksScorecard, handling nulls. - MomentumRotation now takes a PortfolioScorer (a rank() method) instead of a fixed FMP scorecard, so either provider can drive it. Added a matching rank() to the FMP MomentumScorecard. Trade-off: the TipRanks rubric is backward-looking (no forward P/E, growth, revision, or falling-knife guard) and its quotes can lag, so it trades a weaker basket — free, but not as sharp as FMP. Verified end to end with a read-only plan().
A one-shot entrypoint that runs the momentum rotation from env config. Reads keys from packages/exchange/.env (Alpaca + TipRanks/FMP), builds the rotation, and prints the plan. - Dry-run by default (read-only, no orders). Set ROTATION_EXECUTE=true to place them. - Scorer defaults to the free TipRanks; ROTATION_SCORER=fmp switches to FMP. - ALPACA_USE_PAPER=true targets the paper account. The rebalance is low-churn and idempotent, so it can be cron'd on any cadence (monthly is natural) and only trades when the top picks actually change.
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🟡 Changes recommended
There are a few correctness and contract-alignment issues (paper/live Alpaca credentials selection, scorer interface mismatch, and missing rebalance input validation) that should be fixed before merging.
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Pull request overview
Adds a live “momentum-rotation” strategy to the trading-strategies package: compute S&P 500 12-1 momentum, score the top momentum cohort, select the best 5, then generate/execute a low-churn equal-weight rebalance plan against an Alpaca account. It also extracts shared momentum-ranking logic (so the report and strategy use the same implementation) and introduces a TipRanks MCP-backed scorer as an alternative to FMP.
Changes:
- Introduce
MomentumRotationorchestrator +computeRebalancepure planning core (with tests) for equal-weight, low-churn monthly rotation. - Extract shared
momentumRankingutility and refactorSP500MomentumReportto use it. - Add TipRanks MCP client + schemas in
exchange, and aTipRanksScorecardI/O wrapper intrading-strategies; add a one-shot runner script inmessaging.
File summaries
| File | Description |
|---|---|
| packages/trading-strategies/src/util/momentumRanking.ts | New shared price-fetch + momentum-ranking utility used by report and rotation. |
| packages/trading-strategies/src/scorecard/TipRanksScorecard.ts | New TipRanks-backed scorecard orchestrator that feeds the pure TipRanks rubric. |
| packages/trading-strategies/src/scorecard/MomentumScorecard.ts | Adds a convenience rank() method for callers that only need ticker ordering. |
| packages/trading-strategies/src/scorecard/index.ts | Exports TipRanksScorecard. |
| packages/trading-strategies/src/rotation/MomentumRotation.ts | New live strategy orchestrator: select targets, plan, and execute rebalances via Alpaca. |
| packages/trading-strategies/src/rotation/index.ts | Barrel exports for rotation module. |
| packages/trading-strategies/src/rotation/computeRebalance.ts | New pure rebalance planner (sell dropouts, buy entrants, hold unchanged). |
| packages/trading-strategies/src/rotation/computeRebalance.test.ts | Unit tests covering low-churn/equal-weight rebalance behavior. |
| packages/trading-strategies/src/report-sp500-momentum/SP500MomentumReport.ts | Refactors report to use the shared momentum-ranking utility. |
| packages/trading-strategies/src/index.ts | Exports the new rotation module from package root. |
| packages/messaging/src/runMomentumRotation.ts | New CLI/runner script to plan or execute the rotation with env-driven configuration. |
| packages/messaging/package.json | Adds npm run rotation entrypoint. |
| packages/exchange/src/data/tipranks/TipRanksAPI.ts | New TipRanks MCP HTTP client (JSON-RPC over SSE payload). |
| packages/exchange/src/data/tipranks/schema/TipRanksTechnicalSchema.ts | Zod schema for technical-analysis payload (200-day MA). |
| packages/exchange/src/data/tipranks/schema/TipRanksAssetSchema.ts | Zod schema for asset headline payload (price, consensus, etc.). |
| packages/exchange/src/data/tipranks/index.ts | Barrel exports for TipRanks client + schemas. |
| packages/exchange/src/data/index.ts | Exports the new tipranks module. |
Review details
- Files reviewed: 17/17 changed files
- Comments generated: 3
- Review effort level: Lite
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| const alpaca = new AlpacaAPI({ | ||
| apiKey: required('ALPACA_LIVE_API_KEY'), | ||
| apiSecret: required('ALPACA_LIVE_API_SECRET'), | ||
| usePaperTrading: usePaper, | ||
| }); |
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| const targetSet = new Set(targets); | ||
| const heldSet = new Set(holdings.map(holding => holding.ticker)); | ||
| const perPositionUsd = totalEquityUsd / positionCount; | ||
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| } | ||
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| /** Scores the tickers and returns them ranked best-first. */ | ||
| async rank(tickers: string[]): Promise<string[]> { |
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Builds the live momentum-rotation strategy: hold the top 5 picks from momentum + scorecard, equal-weight, and rebalance monthly (when the 12-1 momentum window rolls).
Design
computeRebalance(pure, tested): equal-weight, low-churn. Sell names that left the target set, buy new entrants atequity / positionCount, hold unchanged names untouched. An unchanged set produces an empty plan (no fees).MomentumRotation(orchestrator): S&P 500 12-1 momentum -> scorecard -> best 5 -> read Alpaca positions/equity -> plan.plan()is read-only (preview/paper);rebalance()places the orders (sells first to free cash, then notional buys).momentumRankingutil: the price-fetch + rank logic is extracted from the report so the report and rotation use one implementation (DRY).Scope / constraint
The scorecard depends on current analyst data (no point-in-time history), so this is live/forward only and cannot be backtested faithfully.
Verification
Read-only
plan()run against a live account produced a correct minimal plan (held the 3 unchanged names, swapped the 2 that changed). Full package suite: 243 tests green.