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Use dynamic RSI threshold for SOXL overlay #43

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Merged
Pigbibi merged 1 commit into from
May 7, 2026
Merged

Use dynamic RSI threshold for SOXL overlay #43

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4 changes: 2 additions & 2 deletions pyproject.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -4,14 +4,14 @@ build-backend = "setuptools.build_meta"

[project]
name = "us-equity-strategies"
version = "0.7.32"
version = "0.7.33"
description = "Shared US equity strategy catalog and implementations"
readme = "README.md"
requires-python = ">=3.11"
dependencies = [
"pandas>=2.0",
"pytz>=2024.1",
"quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@268171a74a1b522f03940af399f71c37e9a32c70",
"quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@3368b261b6ab2210ecbfa79d0f93c5d0cd85c37d",
]

[tool.setuptools]
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5 changes: 5 additions & 0 deletions src/us_equity_strategies/catalog.py
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Expand Up @@ -99,6 +99,11 @@
"blend_gate_mid_soxl_weight": 0.65,
"blend_gate_active_soxx_weight": 0.20,
"blend_gate_defensive_soxx_weight": 0.15,
"blend_gate_rsi_cap_enabled": True,
"blend_gate_rsi_threshold": 70.0,
"blend_gate_dynamic_rsi_threshold_enabled": True,
"blend_gate_bollinger_cap_enabled": True,
"blend_gate_overlay_stack_triggers": True,
},
RUSSELL_1000_MULTI_FACTOR_DEFENSIVE_PROFILE: {
"benchmark_symbol": "SPY",
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4 changes: 4 additions & 0 deletions src/us_equity_strategies/entrypoints/__init__.py
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Expand Up @@ -442,6 +442,8 @@ def evaluate_soxl_soxx_trend_income(ctx: StrategyContext) -> StrategyDecision:
"trend_ma20": plan.get("trend_ma20"),
"trend_ma20_slope": plan.get("trend_ma20_slope"),
"trend_rsi14": plan.get("trend_rsi14"),
"trend_rsi14_dynamic_threshold": plan.get("trend_rsi14_dynamic_threshold"),
"trend_rsi14_effective_threshold": plan.get("trend_rsi14_effective_threshold"),
"trend_bb_upper": plan.get("trend_bb_upper"),
**account_size_diagnostics,
"execution_annotations": {
Expand Down Expand Up @@ -476,6 +478,8 @@ def evaluate_soxl_soxx_trend_income(ctx: StrategyContext) -> StrategyDecision:
"trend_ma20": plan.get("trend_ma20"),
"trend_ma20_slope": plan.get("trend_ma20_slope"),
"trend_rsi14": plan.get("trend_rsi14"),
"trend_rsi14_dynamic_threshold": plan.get("trend_rsi14_dynamic_threshold"),
"trend_rsi14_effective_threshold": plan.get("trend_rsi14_effective_threshold"),
"trend_bb_upper": plan.get("trend_bb_upper"),
},
}
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1 change: 1 addition & 0 deletions src/us_equity_strategies/manifests/__init__.py
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Expand Up @@ -124,6 +124,7 @@ def _manifest(
"blend_gate_defensive_soxx_weight": 0.15,
"blend_gate_rsi_cap_enabled": True,
"blend_gate_rsi_threshold": 70.0,
"blend_gate_dynamic_rsi_threshold_enabled": True,
"blend_gate_bollinger_cap_enabled": True,
"blend_gate_overlay_stack_triggers": True,
},
Expand Down
17 changes: 15 additions & 2 deletions src/us_equity_strategies/strategies/soxl_soxx_trend_income.py
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Expand Up @@ -134,6 +134,7 @@ def build_rebalance_plan(
blend_gate_defensive_soxx_weight=0.15,
blend_gate_rsi_cap_enabled=False,
blend_gate_rsi_threshold=70.0,
blend_gate_dynamic_rsi_threshold_enabled=False,
blend_gate_bollinger_cap_enabled=False,
blend_gate_overlay_stack_triggers=False,
):
Expand Down Expand Up @@ -181,6 +182,9 @@ def build_rebalance_plan(
trend_ma20 = _as_float_or_none(_indicator_value(indicators, trend_symbol, "ma20"))
trend_ma20_slope = _as_float_or_none(_indicator_value(indicators, trend_symbol, "ma20_slope"))
trend_rsi14 = _as_float_or_none(_indicator_value(indicators, trend_symbol, "rsi14"))
trend_rsi14_dynamic_threshold = _as_float_or_none(
_indicator_value(indicators, trend_symbol, "rsi14_dynamic_threshold")
)
trend_bb_mid = _as_float_or_none(_indicator_value(indicators, trend_symbol, "bb_mid"))
trend_bb_upper = _as_float_or_none(_indicator_value(indicators, trend_symbol, "bb_upper"))
trend_bb_lower = _as_float_or_none(_indicator_value(indicators, trend_symbol, "bb_lower"))
Expand All @@ -197,11 +201,15 @@ def build_rebalance_plan(
target_active_soxx_ratio = _as_clamped_ratio(blend_gate_active_soxx_weight, default=0.20)
target_defensive_soxx_ratio = _as_clamped_ratio(blend_gate_defensive_soxx_weight, default=0.15)
use_rsi_cap = _as_bool(blend_gate_rsi_cap_enabled, default=False)
use_dynamic_rsi_threshold = _as_bool(blend_gate_dynamic_rsi_threshold_enabled, default=False)
use_bollinger_cap = _as_bool(blend_gate_bollinger_cap_enabled, default=False)
stack_overlay_triggers = _as_bool(blend_gate_overlay_stack_triggers, default=False)
rsi_threshold = _as_float_or_none(blend_gate_rsi_threshold)
if rsi_threshold is None:
rsi_threshold = 70.0
effective_rsi_threshold = rsi_threshold
if use_dynamic_rsi_threshold and trend_rsi14_dynamic_threshold is not None:
effective_rsi_threshold = max(rsi_threshold, trend_rsi14_dynamic_threshold)

blend_tier = "defensive"
if trend_price > trend_entry_line:
Expand All @@ -212,10 +220,10 @@ def build_rebalance_plan(
overlay_trigger_reasons: list[str] = []
overlay_trigger_codes: list[str] = []
if base_blend_tier in {"full", "mid"}:
if use_rsi_cap and trend_rsi14 is not None and trend_rsi14 > rsi_threshold:
if use_rsi_cap and trend_rsi14 is not None and trend_rsi14 > effective_rsi_threshold:
overlay_trigger_codes.append("blend_gate_reason_rsi_cap")
overlay_trigger_reasons.append(
_translate_with_fallback(translator, "blend_gate_reason_rsi_cap", f"RSI>{rsi_threshold:.0f}")
_translate_with_fallback(translator, "blend_gate_reason_rsi_cap", f"RSI>{effective_rsi_threshold:.0f}")
)
if use_bollinger_cap and trend_bb_upper is not None and trend_price > trend_bb_upper:
overlay_trigger_codes.append("blend_gate_reason_bollinger_cap")
Expand Down Expand Up @@ -331,6 +339,8 @@ def build_rebalance_plan(
"ma20": trend_ma20,
"ma20_slope": trend_ma20_slope,
"rsi14": trend_rsi14,
"rsi14_dynamic_threshold": trend_rsi14_dynamic_threshold,
"rsi14_effective_threshold": effective_rsi_threshold,
"bb_mid": trend_bb_mid,
"bb_upper": trend_bb_upper,
"bb_lower": trend_bb_lower,
Expand Down Expand Up @@ -401,11 +411,14 @@ def build_rebalance_plan(
"trend_ma20": trend_ma20,
"trend_ma20_slope": trend_ma20_slope,
"trend_rsi14": trend_rsi14,
"trend_rsi14_dynamic_threshold": trend_rsi14_dynamic_threshold,
"trend_rsi14_effective_threshold": effective_rsi_threshold,
"trend_bb_mid": trend_bb_mid,
"trend_bb_upper": trend_bb_upper,
"trend_bb_lower": trend_bb_lower,
"blend_gate_rsi_cap_enabled": use_rsi_cap,
"blend_gate_rsi_threshold": rsi_threshold,
"blend_gate_dynamic_rsi_threshold_enabled": use_dynamic_rsi_threshold,
"blend_gate_bollinger_cap_enabled": use_bollinger_cap,
"blend_gate_overlay_stack_triggers": stack_overlay_triggers,
}
35 changes: 35 additions & 0 deletions tests/test_strategy_plans.py
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Expand Up @@ -456,6 +456,41 @@ def test_soxl_soxx_trend_income_overlay_cap_can_downgrade_live_tier(self):
"market_status_blend_gate_overlay_capped",
)

dynamic_hold_plan = build_soxl_soxx_plan(
{
"soxl": {"price": 50.0, "ma_trend": 45.0},
"soxx": {
"price": 109.0,
"ma_trend": 100.0,
"rsi14": 75.0,
"rsi14_dynamic_threshold": 78.0,
"bb_upper": 120.0,
},
},
account_state,
**{**common_kwargs, "blend_gate_dynamic_rsi_threshold_enabled": True},
)
self.assertEqual(dynamic_hold_plan["blend_tier"], "full")
self.assertEqual(dynamic_hold_plan["overlay_trigger_count"], 0)
self.assertEqual(dynamic_hold_plan["trend_rsi14_effective_threshold"], 78.0)

dynamic_mid_plan = build_soxl_soxx_plan(
{
"soxl": {"price": 50.0, "ma_trend": 45.0},
"soxx": {
"price": 109.0,
"ma_trend": 100.0,
"rsi14": 79.0,
"rsi14_dynamic_threshold": 78.0,
"bb_upper": 120.0,
},
},
account_state,
**{**common_kwargs, "blend_gate_dynamic_rsi_threshold_enabled": True},
)
self.assertEqual(dynamic_mid_plan["blend_tier"], "mid")
self.assertEqual(dynamic_mid_plan["overlay_trigger_codes"], ("blend_gate_reason_rsi_cap",))

defensive_plan = build_soxl_soxx_plan(
{
"soxl": {"price": 50.0, "ma_trend": 45.0},
Expand Down