Module engine 

Engine: from measurements to the SD number

This is the file to open if you want to know what the number on the chart means. Everything upstream measures; this file decides.

What the backtests taught us (and why the engine looks like this)

sd_backtest study and sd_backtest grid asked, over 125 symbols and 25 years, trained before 2014 and graded after 2019:

1. Can squeeze + momentum features call direction? Barely. Every feature, alone or learned in combination, lands within a point or two of a coin flip once the market’s upward drift is removed. Classic SD’s +/- calls hit 50.5%, while “always up” hit 54-61%.
2. Can they call the size of the move? Yes. Predicted versus realized move size has a rank correlation of about 0.22 out of sample, and the effect is monotone in squeeze tier, stored energy and squeeze duration in both eras.

So SD v2 is built around the thing it can actually do. The SD number keeps its familiar shape (0 = bearish, 0.5 = nothing, 1 = bullish), but:

• how far SD sits from 0.5 is set by the expected movement (bigger expected move → further from 0.5), and
• which side of 0.5 it sits on is the best direction call the walk-forward search (sd_direction, chapter 8) could find: P(up) from drift plus the market’s weather. That is right about 58% of the time at 21 bars, the same as “always up”, because nothing beat drift. The momentum lean is still reported, but it no longer picks the side.

  SD = 0.5 + 0.5 · side · strength · intensity
       side      ∈ {-1, +1}  sign of P(up) − 0.5
       strength  ∈ [ 0, 1]   time-decay strength of the squeeze
       intensity ∈ [ 0, 1]   where this bar's expected move ranks

Structs

Sd2Model

The frozen, fitted pieces SD v2 needs at run time. Produced by sd_backtest fit and embedded in the binary from sd2_model.json.

Sd2Reading

One SD v2 reading.

Functions

apply_weather

Re-decide a reading’s side with today’s market weather (SPY row from crate::direction::MarketWeather; the first five columns).

reading_at

sd2_latest

Compute SD v2 for the last bar only.

sd2_series

Compute SD v2 for every bar of bars.

sd2_series_market

SD v2 for every bar, with the market’s weather deciding the side.

side_sd

The SD number: side × how much to trust it now × how big the move will be.

time_strength

How much to trust the momentum lean at this point in the squeeze’s life.