Wire SOXL dynamic volatility diagnostics (#143)

Author: Pigbibi

application/signal_snapshot.py

@@ -30,6 +30,17 @@
     "trend_rsi14_dynamic_threshold",
     "trend_rsi14_effective_threshold",
     "trend_bb_upper",
+    "blend_gate_volatility_delever_symbol",
+    "blend_gate_volatility_delever_window",
+    "blend_gate_volatility_delever_threshold_mode",
+    "blend_gate_volatility_delever_threshold",
+    "blend_gate_volatility_delever_dynamic_threshold",
+    "blend_gate_volatility_delever_dynamic_sample_count",
+    "blend_gate_volatility_delever_dynamic_lookback",
+    "blend_gate_volatility_delever_dynamic_percentile",
+    "blend_gate_volatility_delever_dynamic_min_periods",
+    "blend_gate_volatility_delever_dynamic_floor",
+    "blend_gate_volatility_delever_dynamic_cap",
     "blend_gate_volatility_delever_metric",
     "blend_gate_volatility_delever_triggered",
 )

decision_mapper.py

@@ -54,6 +54,25 @@
     "dual_drive_volatility_delever_vetoed",
     "dual_drive_volatility_delever_redirect_symbol",
 )
+_SOXL_RISK_CONTROL_EXECUTION_FIELDS = (
+    "blend_gate_volatility_delever_enabled",
+    "blend_gate_volatility_delever_symbol",
+    "blend_gate_volatility_delever_window",
+    "blend_gate_volatility_delever_threshold_mode",
+    "blend_gate_volatility_delever_threshold",
+    "blend_gate_volatility_delever_dynamic_threshold",
+    "blend_gate_volatility_delever_dynamic_sample_count",
+    "blend_gate_volatility_delever_dynamic_lookback",
+    "blend_gate_volatility_delever_dynamic_percentile",
+    "blend_gate_volatility_delever_dynamic_min_periods",
+    "blend_gate_volatility_delever_dynamic_floor",
+    "blend_gate_volatility_delever_dynamic_cap",
+    "blend_gate_volatility_delever_metric",
+    "blend_gate_volatility_delever_triggered",
+    "blend_gate_volatility_delever_retention_ratio",
+    "blend_gate_volatility_delever_redirect_symbol",
+    "blend_gate_volatility_delever_removed_ratio",
+)
 
 
 def _build_portfolio_inputs(
@@ -176,6 +195,27 @@ def _attach_tqqq_risk_control_execution_fields(
             execution[field] = value
 
 
+def _attach_soxl_risk_control_execution_fields(
+    plan: dict[str, Any],
+    *,
+    decision: StrategyDecision,
+    runtime_metadata: Mapping[str, Any] | None,
+) -> None:
+    if _resolve_canonical_profile(str(plan.get("strategy_profile") or "")) != "soxl_soxx_trend_income":
+        return
+    execution = plan.get("execution")
+    if not isinstance(execution, dict):
+        return
+    diagnostics = {**dict(runtime_metadata or {}), **dict(decision.diagnostics)}
+    annotations = diagnostics.get("execution_annotations")
+    if isinstance(annotations, Mapping):
+        diagnostics = {**diagnostics, **dict(annotations)}
+    for field in _SOXL_RISK_CONTROL_EXECUTION_FIELDS:
+        value = diagnostics.get(field)
+        if value not in (None, ""):
+            execution[field] = value
+
+
 def _apply_reserved_cash_policy(
     annotations: ValueTargetExecutionAnnotations,
     *,
@@ -610,4 +650,9 @@ def map_strategy_decision_to_plan(
         decision=normalized_decision,
         runtime_metadata=runtime_metadata,
     )
+    _attach_soxl_risk_control_execution_fields(
+        plan,
+        decision=normalized_decision,
+        runtime_metadata=runtime_metadata,
+    )
     return plan

requirements.txt

@@ -1,8 +1,8 @@
 flask
 gunicorn
-quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@e0f760255232b62481444a8c1d6637546ba2c07e
-us-equity-strategies @ git+https://github.com/QuantStrategyLab/UsEquityStrategies.git@5fe430699e532ee444e6c2370b34da3dc8b01b06
-hk-equity-strategies @ git+https://github.com/QuantStrategyLab/HkEquityStrategies.git@8d539aeef707b3594af4073f4cd4c3b13140b73f
+quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@023641c88506c732624a7329e48b51b9dbbe3c2a
+us-equity-strategies @ git+https://github.com/QuantStrategyLab/UsEquityStrategies.git@7d35772d1125b534d0bcca557cb6dbaf28914719
+hk-equity-strategies @ git+https://github.com/QuantStrategyLab/HkEquityStrategies.git@2e0075004239e7ede7ba256763a3441d4ec4ca73
 pandas
 requests
 pytz

tests/test_decision_mapper.py

@@ -72,6 +72,17 @@ def test_prefers_normalized_execution_annotations_when_present(self):
                     "active_risk_asset": "SOXL",
                     "investable_cash": 9000.0,
                     "current_min_trade": 100.0,
+                    "blend_gate_volatility_delever_threshold_mode": "rolling_percentile",
+                    "blend_gate_volatility_delever_threshold": 0.60,
+                    "blend_gate_volatility_delever_dynamic_threshold": 0.60,
+                    "blend_gate_volatility_delever_dynamic_sample_count": 252,
+                    "blend_gate_volatility_delever_dynamic_lookback": 252,
+                    "blend_gate_volatility_delever_dynamic_percentile": 0.95,
+                    "blend_gate_volatility_delever_dynamic_min_periods": 126,
+                    "blend_gate_volatility_delever_dynamic_floor": 0.50,
+                    "blend_gate_volatility_delever_dynamic_cap": 0.75,
+                    "blend_gate_volatility_delever_metric": 0.61,
+                    "blend_gate_volatility_delever_triggered": True,
                 }
             },
         )
@@ -94,6 +105,13 @@ def test_prefers_normalized_execution_annotations_when_present(self):
         self.assertEqual(plan["execution"]["signal_display"], "signal")
         self.assertEqual(plan["execution"]["dashboard_text"], "strategy dashboard")
         self.assertEqual(plan["execution"]["investable_cash"], 9000.0)
+        self.assertEqual(plan["execution"]["blend_gate_volatility_delever_threshold_mode"], "rolling_percentile")
+        self.assertEqual(plan["execution"]["blend_gate_volatility_delever_threshold"], 0.60)
+        self.assertEqual(plan["execution"]["blend_gate_volatility_delever_dynamic_threshold"], 0.60)
+        self.assertEqual(plan["execution"]["blend_gate_volatility_delever_dynamic_sample_count"], 252)
+        self.assertEqual(plan["execution"]["blend_gate_volatility_delever_dynamic_percentile"], 0.95)
+        self.assertEqual(plan["execution"]["blend_gate_volatility_delever_metric"], 0.61)
+        self.assertIs(plan["execution"]["blend_gate_volatility_delever_triggered"], True)
 
     def test_maps_hybrid_decision_from_snapshot_source(self):
         decision = StrategyDecision(

tests/test_signal_snapshot.py

@@ -90,6 +90,39 @@ def test_uses_price_as_of_as_snapshot_date_fallback(self):
         self.assertEqual(snapshot["price_as_of"], "2026-06-01")
         self.assertEqual(snapshot["universe_as_of"], "2026-05-14")
 
+    def test_includes_soxl_dynamic_volatility_fields(self):
+        snapshot = build_signal_snapshot(
+            platform="longbridge",
+            strategy_profile="soxl_soxx_trend_income",
+            execution={
+                "blend_gate_volatility_delever_threshold_mode": "rolling_percentile",
+                "blend_gate_volatility_delever_threshold": 0.60,
+                "blend_gate_volatility_delever_dynamic_threshold": 0.60,
+                "blend_gate_volatility_delever_dynamic_sample_count": 252,
+                "blend_gate_volatility_delever_dynamic_percentile": 0.95,
+                "blend_gate_volatility_delever_metric": 0.61,
+                "blend_gate_volatility_delever_triggered": True,
+            },
+        )
+
+        self.assertEqual(
+            snapshot["indicators"]["blend_gate_volatility_delever_threshold_mode"],
+            "rolling_percentile",
+        )
+        self.assertEqual(
+            snapshot["indicators"]["blend_gate_volatility_delever_dynamic_threshold"],
+            0.60,
+        )
+        self.assertEqual(
+            snapshot["indicators"][
+                "blend_gate_volatility_delever_dynamic_sample_count"
+            ],
+            252,
+        )
+        self.assertIs(
+            snapshot["indicators"]["blend_gate_volatility_delever_triggered"], True
+        )
+
 
 if __name__ == "__main__":
     unittest.main()