feat: implement dual-pipeline signal engine service
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New service at services/signal_engine/ implementing concurrent heuristic
(deterministic scoring) and probabilistic (Bayesian inference) pipelines
that evaluate technical signals across 6 timeframes (M30-M) and produce
independent BUY/WATCH/SKIP verdicts per ticker per evaluation tick.

Components:
- Input Normalizer: multi-source data assembly with sentinel fallbacks
- Signal Library: Fibonacci, MA Stack, RSI, Cup & Handle, Elliott Wave
- Multi-Timeframe Confluence Engine: weighted scoring with D/W/M anchors
- Hard Filter Engine: macro_bias, valuation, earnings proximity gating
- Heuristic Pipeline: S_total scoring with confidence-gated verdicts
- Probabilistic Pipeline: Bayesian log-odds with regime priors, entropy
  gating, EV_R calculation, and signal correlation penalty
- Exit Engine: stop-loss, targets, trailing ATR-based stops
- Delta Analyzer: pipeline agreement tracking with rolling Redis metrics
- Output Formatter: SignalOutput contract + Recommendation schema mapping
- Worker orchestrator: concurrent pipelines with failure isolation
- Main entry point: queue polling with fail-safe config loading

Infrastructure:
- Migration 039: signal_engine_outputs table with 3 indexes
- Helm chart: signalEngine service entry (processing tier)
- Redis key: QUEUE_SIGNAL_ENGINE constant

Tests: 390 tests (unit + property-based) covering all components
Config: dual_pipeline_enabled=false by default (safe rollout)
This commit is contained in:
Celes Renata
2026-05-02 07:32:26 +00:00
parent 7e2343ec2c
commit f468e30af0
61 changed files with 14107 additions and 184 deletions
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"""RSI (Relative Strength Index) signal evaluator.
Computes the standard 14-period RSI using Wilder's smoothing method and
produces overbought (RSI > 70 → BEARISH) or oversold (RSI < 30 → BULLISH)
signals with strength scaled by distance from the threshold.
When RSI is between 30 and 70 (neutral zone), no signal is produced.
"""
from __future__ import annotations
from services.signal_engine.models import OHLCVBar, SignalDirection, SignalResult
from services.signal_engine.signals.base import validate_lookback
# Default RSI period (standard Wilder 14-period)
DEFAULT_RSI_PERIOD: int = 14
# Minimum bars required: period + 1 (for initial price change calculation)
DEFAULT_MIN_BARS: int = DEFAULT_RSI_PERIOD + 1 # 15
# Overbought / oversold thresholds
OVERBOUGHT_THRESHOLD: float = 70.0
OVERSOLD_THRESHOLD: float = 30.0
# Maximum possible distance from threshold (used for strength scaling)
_MAX_DISTANCE_OVERBOUGHT: float = 100.0 - OVERBOUGHT_THRESHOLD # 30
_MAX_DISTANCE_OVERSOLD: float = OVERSOLD_THRESHOLD - 0.0 # 30
# Confidence multiplier
_CONFIDENCE_MULTIPLIER: float = 0.85
def compute_rsi(bars: list[OHLCVBar], period: int = DEFAULT_RSI_PERIOD) -> float | None:
"""Compute RSI using Wilder's smoothing method.
Args:
bars: OHLCV bar series (oldest-first).
period: RSI period (default 14).
Returns:
RSI value in [0, 100], or ``None`` if insufficient data.
"""
min_bars = period + 1
if len(bars) < min_bars:
return None
closes = [bar.close for bar in bars]
# Calculate price changes
changes = [closes[i] - closes[i - 1] for i in range(1, len(closes))]
# Separate gains and losses for the first `period` changes
first_gains = [max(0.0, c) for c in changes[:period]]
first_losses = [max(0.0, -c) for c in changes[:period]]
avg_gain = sum(first_gains) / period
avg_loss = sum(first_losses) / period
# Apply Wilder smoothing for subsequent changes
for c in changes[period:]:
gain = max(0.0, c)
loss = max(0.0, -c)
avg_gain = (avg_gain * (period - 1) + gain) / period
avg_loss = (avg_loss * (period - 1) + loss) / period
# Avoid division by zero: if avg_loss is 0, RSI is 100
if avg_loss == 0.0:
return 100.0
rs = avg_gain / avg_loss
rsi = 100.0 - (100.0 / (1.0 + rs))
return rsi
class RSIEvaluator:
"""RSI signal evaluator.
Satisfies the :class:`~services.signal_engine.signals.base.SignalEvaluator`
protocol.
Parameters
----------
period:
RSI calculation period. Defaults to ``14``.
"""
def __init__(self, period: int = DEFAULT_RSI_PERIOD) -> None:
self.period = period
self.min_bars = period + 1
# ------------------------------------------------------------------
# Public API (SignalEvaluator protocol)
# ------------------------------------------------------------------
def evaluate(
self,
bars: list[OHLCVBar],
timeframe: str,
) -> SignalResult | None:
"""Evaluate RSI on *bars* for *timeframe*.
Returns ``None`` when there are fewer than ``period + 1`` bars
or when RSI is in the neutral zone (3070).
"""
if not validate_lookback(bars, self.min_bars):
return None
rsi = compute_rsi(bars, self.period)
if rsi is None:
return None
# Overbought: RSI > 70 → BEARISH (potential reversal down)
if rsi > OVERBOUGHT_THRESHOLD:
distance = rsi - OVERBOUGHT_THRESHOLD
strength = min(1.0, max(0.0, distance / _MAX_DISTANCE_OVERBOUGHT))
confidence = strength * _CONFIDENCE_MULTIPLIER
return SignalResult(
signal_type="rsi",
timeframe=timeframe,
strength=strength,
direction=SignalDirection.BEARISH,
confidence=confidence,
metadata={
"rsi": rsi,
"period": self.period,
"zone": "overbought",
},
)
# Oversold: RSI < 30 → BULLISH (potential reversal up)
if rsi < OVERSOLD_THRESHOLD:
distance = OVERSOLD_THRESHOLD - rsi
strength = min(1.0, max(0.0, distance / _MAX_DISTANCE_OVERSOLD))
confidence = strength * _CONFIDENCE_MULTIPLIER
return SignalResult(
signal_type="rsi",
timeframe=timeframe,
strength=strength,
direction=SignalDirection.BULLISH,
confidence=confidence,
metadata={
"rsi": rsi,
"period": self.period,
"zone": "oversold",
},
)
# Neutral zone (30 ≤ RSI ≤ 70): no signal
return None