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fix(filter): deprioritize recent movers instead of dropping, exempt mean_reversion pipeline 

- Change recent_mover_action default from "filter" to "deprioritize" so candidates
  that moved >10% in the past 7 days reach the ranker (with lowered priority + context
  annotation) rather than being silently dropped
- Exempt mean_reversion pipeline candidates (rsi_oversold) from the recent-mover action
  entirely — stocks that pulled back hard are the signal, not a disqualifier

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
Youssef Aitousarrah 2026-04-15 13:27:31 -07:00
parent bab7106d7d
commit 471030facc
2 changed files with 25 additions and 17 deletions
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40
tradingagents/dataflows/discovery/filter.py
View File

@ -478,22 +478,30 @@ class CandidateFilter:
cand["recent_move_status"] = reaction.get("status") cand["recent_move_status"] = reaction.get("status")
if reaction.get("status") == "lagging": if reaction.get("status") == "lagging":
if self.recent_mover_action == "filter": # Mean-reversion candidates are expected to have moved — exempt them
filtered_reasons["recent_moved"] += 1 from tradingagents.dataflows.discovery.scanner_registry import SCANNER_REGISTRY
change_pct = reaction.get("price_change_pct", 0) source = cand.get("source", "")
logger.info( scanner_cls = SCANNER_REGISTRY.scanners.get(source)
f"Filtered {ticker}: Already moved {change_pct:+.1f}% in last " scanner_pipeline = getattr(scanner_cls, "pipeline", None)
f"{self.recent_movement_lookback_days} days" is_mean_reversion = scanner_pipeline == "mean_reversion"
)
continue if not is_mean_reversion:
if self.recent_mover_action == "deprioritize": if self.recent_mover_action == "filter":
cand["priority"] = "low" filtered_reasons["recent_moved"] += 1
existing_context = cand.get("context", "") change_pct = reaction.get("price_change_pct", 0)
change_pct = reaction.get("price_change_pct", 0) logger.info(
cand["context"] = ( f"Filtered {ticker}: Already moved {change_pct:+.1f}% in last "
f"{existing_context} | ⚠️ Recent move: {change_pct:+.1f}% " f"{self.recent_movement_lookback_days} days"
f"over {self.recent_movement_lookback_days}d" )
) continue
if self.recent_mover_action == "deprioritize":
cand["priority"] = "low"
existing_context = cand.get("context", "")
change_pct = reaction.get("price_change_pct", 0)
cand["context"] = (
f"{existing_context} | ⚠️ Recent move: {change_pct:+.1f}% "
f"over {self.recent_movement_lookback_days}d"
)
# Liquidity filter based on average volume # Liquidity filter based on average volume
if self.min_average_volume: if self.min_average_volume:

2
tradingagents/default_config.py
View File

@ -63,7 +63,7 @@ DEFAULT_CONFIG = {
"filter_recent_movers": True, # Enable/disable filter "filter_recent_movers": True, # Enable/disable filter
"recent_movement_lookback_days": 7, # Days to check for recent moves "recent_movement_lookback_days": 7, # Days to check for recent moves
"recent_movement_threshold": 10.0, # % change threshold "recent_movement_threshold": 10.0, # % change threshold
"recent_mover_action": "filter", # "filter" or "deprioritize" "recent_mover_action": "deprioritize", # "filter" or "deprioritize"
# Volume / compression detection # Volume / compression detection
"volume_cache_key": "default", # Cache key for volume data "volume_cache_key": "default", # Cache key for volume data
"min_market_cap": 0, # Minimum market cap in billions (0 = no filter) "min_market_cap": 0, # Minimum market cap in billions (0 = no filter)