feat(phase6): per-feature signal attribution in log-odds space

Adds feat_fg_lo / feat_mom_lo / feat_news_lo / feat_mfld_lo / feat_btc_dom_lo to every trade, all normalized to log-odds contribution for direct comparability. - fg / mom / btc_dom: raw probability-delta × 2 → log-odds - news / mfld: already log-odds (LOGODDS_WEIGHT already applied), no scaling - btc_dom tracked separately in bayesian.py instead of bundled in total_adj - reasoning string updated to fg_lo= / mom_lo= notation for self-documentation Schema: 5 new DOUBLE PRECISION columns + 2 partial indexes Stack: TradingSignal → Order → Trade → save_trade all carry feat fields Startup: backfill_feature_columns() recovers fg/mom/news/mfld from old reasoning strings (×2 applied to fg/mom); btc_dom_lo stays NULL for legacy API: /api/metrics/features — triggered/material split per feature with two-level thresholds (0.05 for fg/mom/btc_dom, 0.10 for news/mfld) API: /api/trades/legacy — exposes pre-Phase-1 trades (edge_net IS NULL) API: _enrich_trade backward-compat: reads DB columns first, falls back to reasoning regex with unit conversion for pre-Phase-6 trades Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
2026-04-22 07:04:53 +00:00
parent 9a5be27532
commit 8479a63174
7 changed files with 343 additions and 20 deletions
@@ -121,6 +121,53 @@ CREATE INDEX IF NOT EXISTS idx_trades_closed ON trades(closed_at) WHERE closed_a
 ALTER TABLE trades ADD COLUMN IF NOT EXISTS close_pnl  DOUBLE PRECISION;
 ALTER TABLE trades ADD COLUMN IF NOT EXISTS resolution DOUBLE PRECISION;

+-- ─────────────────────────────────────────────────────────────────────────────
+-- Phase 6: per-feature signal attribution — all values in log-odds space
+--
+-- All four primary features share a common unit (log-odds contribution to
+-- the posterior estimate) so they can be compared directly:
+--
+--   feat_fg_lo      = _fg_contribution × 2
+--                     Fear & Greed direction-adjusted delta, ×2 to log-odds.
+--                     Non-zero for every trade. Range ≈ ±0.12.
+--                     Materiality threshold: |lo| ≥ 0.05.
+--
+--   feat_mom_lo     = _momentum_contribution × 2
+--                     Momentum delta (direction-adjusted), ×2 to log-odds.
+--                     Zero when |btc_change_24h| ≤ 2 %. Range ≈ ±0.15.
+--                     Materiality threshold: |lo| ≥ 0.05.
+--
+--   feat_news_lo    = news_log_adj   (already in log-odds, no scaling)
+--                     GNews sentiment × NEWS_LOGODDS_WEIGHT (1.5).
+--                     Zero for non-politics or when GNews budget exhausted.
+--                     Range ≈ ±1.5.  Materiality threshold: |lo| ≥ 0.10.
+--
+--   feat_mfld_lo    = manifold_log_adj  (already in log-odds, no scaling)
+--                     Manifold divergence × MANIFOLD_LOGODDS_WEIGHT (0.6).
+--                     Zero when Manifold returned no result.
+--                     Range ≈ ±0.6.  Materiality threshold: |lo| ≥ 0.10.
+--
+--   feat_btc_dom_lo = _btc_dom_contribution × 2
+--                     BTC-dominance alt-pressure delta, ×2 to log-odds.
+--                     Only fires for ETH / altcoin / general-crypto markets
+--                     when btc_dominance > 55 % or < 45 %.
+--                     Values: { −0.06, 0.0, +0.06 }.
+--                     Materiality threshold: |lo| ≥ 0.05.
+--
+-- NULL for pre-Phase-6 trades.  Backfilled at startup via
+-- Database.backfill_feature_columns() using reasoning-string regex
+-- (fg_lo/mom_lo multiplied by 2 from raw; news_lo/mfld_lo taken directly;
+-- btc_dom_lo cannot be backfilled and remains NULL for legacy trades).
+-- ─────────────────────────────────────────────────────────────────────────────
+ALTER TABLE trades ADD COLUMN IF NOT EXISTS feat_fg_lo      DOUBLE PRECISION;
+ALTER TABLE trades ADD COLUMN IF NOT EXISTS feat_mom_lo     DOUBLE PRECISION;
+ALTER TABLE trades ADD COLUMN IF NOT EXISTS feat_news_lo    DOUBLE PRECISION;
+ALTER TABLE trades ADD COLUMN IF NOT EXISTS feat_mfld_lo    DOUBLE PRECISION;
+ALTER TABLE trades ADD COLUMN IF NOT EXISTS feat_btc_dom_lo DOUBLE PRECISION;
+
+CREATE INDEX IF NOT EXISTS idx_trades_feat_fg   ON trades(feat_fg_lo)  WHERE feat_fg_lo IS NOT NULL;
+CREATE INDEX IF NOT EXISTS idx_trades_feat_mfld ON trades(feat_mfld_lo) WHERE feat_mfld_lo IS NOT NULL;
+
 -- ─────────────────────────────────────────────────────────────────────────────
 -- Fix 3: extended metrics_daily columns for DB-computed metrics
 --