feat(trading-strategies): momentum-rotation strategy (top 5, monthly rebalance)#1138
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bennycode wants to merge 3 commits into
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feat(trading-strategies): momentum-rotation strategy (top 5, monthly rebalance)#1138bennycode wants to merge 3 commits into
bennycode wants to merge 3 commits into
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A live strategy that holds the top picks from momentum + scorecard and rebalances when momentum changes (monthly, since the 12-1 window is a monthly snapshot). - computeRebalance: pure, equal-weight, low-churn rebalance. Liquidate names that left the target set, buy new entrants at an equal-weight slice (equity / count), and leave unchanged holdings alone, so an unchanged set trades nothing. - MomentumRotation: orchestrator that ranks the S&P 500 by 12-1 momentum, scores the top winners, keeps the best 5, reads Alpaca positions/equity, and either previews the trades (plan(), read-only) or executes them (rebalance()). - Extract the momentum ranking (price fetch + rank) into a shared util so the report and the rotation share one implementation. The scorecard uses current analyst data, so this runs forward only (live/paper), not as a backtest. Verified end to end with a read-only plan() against a live account.
…ation provider-agnostic Lets the momentum rotation run on free TipRanks data instead of paid FMP. - exchange: new TipRanksAPI client. The TipRanks MCP is a stateless HTTP RPC, so a single tools/call POST returns the data (no SDK or session). Two batch calls (getAssetsData + getTechnicalAnalysis) cover the whole scorecard. - TipRanksScorecard: orchestrator that feeds TipRanks data into the existing pure computeTipRanksScorecard, handling nulls. - MomentumRotation now takes a PortfolioScorer (a rank() method) instead of a fixed FMP scorecard, so either provider can drive it. Added a matching rank() to the FMP MomentumScorecard. Trade-off: the TipRanks rubric is backward-looking (no forward P/E, growth, revision, or falling-knife guard) and its quotes can lag, so it trades a weaker basket — free, but not as sharp as FMP. Verified end to end with a read-only plan().
A one-shot entrypoint that runs the momentum rotation from env config. Reads keys from packages/exchange/.env (Alpaca + TipRanks/FMP), builds the rotation, and prints the plan. - Dry-run by default (read-only, no orders). Set ROTATION_EXECUTE=true to place them. - Scorer defaults to the free TipRanks; ROTATION_SCORER=fmp switches to FMP. - ALPACA_USE_PAPER=true targets the paper account. The rebalance is low-churn and idempotent, so it can be cron'd on any cadence (monthly is natural) and only trades when the top picks actually change.
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Builds the live momentum-rotation strategy: hold the top 5 picks from momentum + scorecard, equal-weight, and rebalance monthly (when the 12-1 momentum window rolls).
Design
computeRebalance(pure, tested): equal-weight, low-churn. Sell names that left the target set, buy new entrants atequity / positionCount, hold unchanged names untouched. An unchanged set produces an empty plan (no fees).MomentumRotation(orchestrator): S&P 500 12-1 momentum -> scorecard -> best 5 -> read Alpaca positions/equity -> plan.plan()is read-only (preview/paper);rebalance()places the orders (sells first to free cash, then notional buys).momentumRankingutil: the price-fetch + rank logic is extracted from the report so the report and rotation use one implementation (DRY).Scope / constraint
The scorecard depends on current analyst data (no point-in-time history), so this is live/forward only and cannot be backtested faithfully.
Verification
Read-only
plan()run against a live account produced a correct minimal plan (held the 3 unchanged names, swapped the 2 that changed). Full package suite: 243 tests green.