feat: Strategy auto-approval optimization (#480)#492
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cct08311github merged 8 commits intomainfrom Mar 28, 2026
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March 28, 2026 17:37
Add shadow_approval_logger.py to silently validate the new asymmetric auto-approval logic (buy conf>=0.65, sell conf>=0.50) before going live. - shadow_approval_logger.py: _should_require_human_new_logic(), log_shadow_decision(), backfill_shadow_decisions_eod(), shadow_mode_report() - strategy_committee.py: log shadow decisions, SHADOW_MODE flag controls live switch - eod_ingest.py: call backfill_shadow_decisions_eod() at EOD - tests/test_shadow_approval_logger.py: 19 tests all green Closes #480
…xpands to STRATEGY_DIRECTION - proposal_engine.py: AUTO_APPROVE_CONFIDENCE env var (default 0.60, was 0.85) - proposal_reviewer.py: _REVIEWABLE_RULES now includes STRATEGY_DIRECTION, _strategy_direction_review() for committee proposals, skip non-reviewable rules - 14 new tests all green Closes #480
…s T+5/T+20 - _build_review_context(): pull lm_signal_cache, eod_prices, institution_flows, recent decisions to enrich LLM reviewer prompt context - _REVIEW_PROMPT_TMPL: added signal_score, price_5d_change, institution_net_3d, recent_decisions_summary fields - ensure_proposal_outcomes_table() + backfill_proposal_outcomes(): T+5 and T+20 price/PnL tracking for confidence calibration - confidence_calibration_report(): groups outcomes by confidence bucket + direction - eod_ingest: trigger backfill_proposal_outcomes() nightly - 9 new tests in test_review_context.py (42 total across Phase 0-2) Closes #480
- Sort pending proposals: POSITION_REBALANCE before STRATEGY_DIRECTION, then by confidence DESC within same rule (high-signal proposals reviewed first) - _effective_daily_limit(): 1.5× LLM_DAILY_CALL_LIMIT when pending > 20 (burst capacity for high-backlog days without permanent limit increase) - _sort_key() helper + _HIGH_PENDING_THRESHOLD + _DYNAMIC_LIMIT_MULTIPLIER consts - 10 new tests in test_priority_queue.py (52 total across Phase 0-3) Closes #480
…ed qty - _adaptive_lookback_hours(): shortens STRATEGY_DIRECTION dedup window when avg 3-day amplitude is high (>3%→4h, >2%→8h, else 12h) - _confidence_weighted_qty(): scales sell qty by LLM confidence (≥0.85→100%, 0.70-0.84→75%, <0.70→50%, min 1000 shares) - Concentration proposals (weight≥40%) always execute at full qty — risk priority overrides confidence scaling - 14 new tests in test_phase4_dedup_and_weighting.py (66 total Phase 0-4) Closes #480
- New VolatilityGate guard: blocks buy-direction auto-review under extreme market conditions - Leading indicator: TAIEX (Y9999) daily drop > 2% (VOLATILITY_GATE_TAIEX_DROP) - Lagging indicator: avg unrealized PnL across positions < -5% (VOLATILITY_GATE_PNL_THRESHOLD) - Only affects buy/bullish/offensive direction proposals; sell, defensive, reduce always pass through - check_volatility_gate() convenience fn for proposal_reviewer integration - 16 new tests in test_volatility_guard.py (82 total Phase 0-5) Closes #480
STRATEGY_SHADOW_MODE default changed from 'true' to 'false'. New asymmetric thresholds (buy≥0.65/sell≥0.50) now active. Set STRATEGY_SHADOW_MODE=true to revert (emergency rollback). Closes #480
… alignment
- _confidence_weighted_qty: min(max(scaled, 1000), base_qty) prevents
exceeding base_qty when position is small
- _should_require_human_new_logic: unknown/neutral direction → always
require human (was incorrectly using sell floor for empty direction)
- Updated existing tests:
- test_low_confidence threshold: 0.7→0.5 (matches new 0.60 floor)
- test_auto_review_skips_non_rebalance: use RISK_PARAMETER_CHANGE
(STRATEGY_DIRECTION is now reviewable)
- test_auto_review_uses_live_weight: _gemini_review now takes conn
Closes #480
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Summary
shadow_decisionstable records "would-have-approved" decisions without executing, enabling safe A/B validation before going live (STRATEGY_SHADOW_MODE=truedefault)STRATEGY_DIRECTIONadded to LLM reviewable rules alongsidePOSITION_REBALANCEproposal_outcomestable for T+5/T+20 confidence calibrationPOSITION_REBALANCEbeforeSTRATEGY_DIRECTION, then confidence DESC; dynamic daily limit (1.5× when pending > 20)Test plan
test_shadow_approval_logger.py,test_strategy_auto_approval.py,test_review_context.py,test_priority_queue.py,test_phase4_dedup_and_weighting.py,test_volatility_guard.py)STRATEGY_SHADOW_MODE=true) — no behavior change in production until explicitly disabledCloses #480
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