Add fixed-interval rebalance strategy with preset configurations#24
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Add fixed-interval rebalance strategy with preset configurations#24taiiiiiiiiiiii wants to merge 3 commits into
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Adds a research-only `fixed_interval_rebalance` backtesting strategy that rebalances a SPY/BTC/ETH/Stable portfolio to a target on a fixed calendar interval, with optional drift-threshold gating. No DMA/FGI signals — meant as a simple baseline to evaluate rule-based strategies against. Reuses RuleBasedAllocationExecutor for atomic execution. The display name carries the `[RESEARCH] ` prefix so sweep_production_window.py auto-excludes it from the 500-day snapshot; `dma_fgi_portfolio_rules_default` remains the sole production default. Three seed presets: - fixed_interval_balanced_30d (25/25/25/25, monthly) - fixed_interval_conservative_30d (10/10/10/70, monthly) - fixed_interval_aggressive_90d (35/35/30/0, quarterly) COMMANDS.md gains curl/analyze_compare examples for comparing presets and running drift-gated variants via the existing compare API. https://claude.ai/code/session_01PxZjcsQbZsB1ZkPtstMMpy
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Summary
Introduces a new calendar-driven rebalancing strategy (
fixed_interval_rebalance) that rebalances to fixed target weights on a configurable interval, with optional drift-threshold gating. Includes three preset configurations (balanced 30d, conservative 30d, aggressive 90d) and full integration into the strategy registry and composition catalog.Changes
fixed_interval_rebalance.py): Calendar-driven rebalancer supporting fixed target weights (BTC/ETH/SPY/Stable), configurable rebalance intervals, and optional minimum drift percentage gating before executing rebalances.fixed_interval_rebalanceinstrategy_registry.py.FixedIntervalRebalancePublicParams): Validates interval days (1–365), optional drift threshold (0–100%), and target weights that sum to 1.0.strategy_presets.py): Three seed configs—balanced (25/25/25/25, 30d), conservative (10/10/10/70, 30d), and aggressive (35/35/30/0, 90d).fixed_interval_rebalanceto enable saved-config-based instantiation.[RESEARCH]prefix (auto-excluded from 500-day snapshot).COMMANDS.md): Added curl examples for comparing presets and drift-gated variants, plus single-preset diagnostics via existing scripts.Test Plan
pnpm turbo run test --filter=@zapengine/analytics-enginecovers strategy registry, composition catalog, and config store integrationRisk
Blast radius: Analytics-engine backtesting only. No production execution risk (research-only strategy, auto-excluded from 500-day snapshot).
[RESEARCH]in display name.Rollback
Remove or comment out:
FixedIntervalRebalanceStrategyclass and imports infixed_interval_rebalance.py_FIXED_INTERVAL_PRESET_DEFINITIONSand_build_fixed_interval_seed_config()instrategy_presets.pystrategy_registry.py_fixed_interval_benchmark_factory()incomposition_catalog.pyconstants.pytest_strategy_config_store.pyandtest_strategy_presets.pyChecklist
apps/analytics-engine/CLAUDE.mdhttps://claude.ai/code/session_01PxZjcsQbZsB1ZkPtstMMpy