fix(universe_returns): use NYSE trading-day arithmetic for forward windows#96
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…ndows Replace _add_business_days (Mon-Fri, no holiday awareness) with _add_trading_days using alpha_engine_lib.trading_calendar.next_trading_day. The pre-fix helper silently mis-labeled forward returns when the window crossed a NYSE holiday — e.g. eval_date=2026-04-02 + 5 BD returned 2026-04-09 (counting Good Friday as a BD), so return_5d was actually a 4-trading-day return. Now lands on 2026-04-10 as intended. Also enumerates trading days only via existing is_trading_day check, so holidays never become eval_dates either. 14 new tests in test_universe_returns_trading_day.py covering the helper + _trading_days_to_process eligibility filter. 223/223 full suite pass. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
Replace local helper with lib import — same logic, single source of truth across the three repos that need trading-day arithmetic. Trim duplicate arithmetic tests (those are locked in alpha-engine-lib's test_trading_calendar.py now); keep data-specific eligibility-filter tests. Requires alpha-engine-lib >= 0.2.1 (alpha-engine-data is pinned @main, so auto-picks up after lib PR #8 merges). Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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PR 4c's setup_eval_quality_alarm.sh used a SEARCH expression to reduce across (judged_agent_id, criterion, judge_model) combos at alarm-evaluation time. Caught at deploy: ValidationError: SEARCH is not supported on Metric Alarms. CloudWatch dashboards support SEARCH; alarms don't. Switched to a simple metric alarm against the new agent_quality_score_4w_mean_min floor metric that the rolling-mean Lambda emits (alpha-engine-research PR #96). --namespace AlphaEngine/Eval --metric-name agent_quality_score_4w_mean_min --statistic Minimum --period 86400 --evaluation-periods 1 --threshold 3.0 --comparison-operator LessThanThreshold Operator workflow unchanged: alarm fires → operator clicks dashboard quality-trend page to identify which combo triggered. The SEARCH design wouldn't have surfaced per-combo identity in the alarm body either. bash -n syntax-clean. Tests 433 still pass (no test logic affected). Deploy after merge: ./infrastructure/setup_eval_quality_alarm.sh (idempotent — overwrites the alarm in place). Co-authored-by: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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Summary
collectors/universe_returns.pynow importsadd_trading_daysfromalpha_engine_lib.trading_calendar(lib v0.2.1, PR fix: holiday check false positives on trading days #8) — single source of truth across data + executor + future consumers_add_business_days(calendar Mon-Fri, no holiday awareness) which silently mis-labeled forward returns crossing NYSE holidays (e.g.eval_date=2026-04-02 + 5 BDreturned 4/9, but the actual 5th trading day is 4/10 — Good Friday was wrongly counted)Sequencing
Requires alpha-engine-lib PR #8 merged first (adds
add_trading_daysetc.). alpha-engine-data is pinned@mainfor lib, so this picks up the new symbol on the next ae-trading boot-pull or localpip install -Uafter the lib merge.Changes
collectors/universe_returns.py: drop local_add_business_days, import lib'sadd_trading_days(aliased as_add_trading_daysto keep the 4 call sites unchanged)tests/test_universe_returns_trading_day.py: 6 tests covering data-specific eligibility filter (_trading_days_to_process). Arithmetic tests (Good Friday, Thanksgiving, etc.) live in lib'stest_trading_calendar.py— no duplication.Test plan
eval_date=2026-04-17cleanly🤖 Generated with Claude Code