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
+388
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"""Unit tests for the multi-timeframe confluence engine.
Validates compute_confluence against requirements 3.13.6.
"""
from services.signal_engine.confluence import (
HIGHER_TIMEFRAME_ANCHORS,
MIN_TIMEFRAME_COUNT,
compute_confluence,
)
from services.signal_engine.models import (
SignalDirection,
SignalResult,
)
# Default timeframe weights from the design (Requirement 3.1)
DEFAULT_WEIGHTS: dict[str, float] = {
"M30": 0.03,
"H1": 0.07,
"H4": 0.15,
"D": 0.30,
"W": 0.30,
"M": 0.15,
}
def _make_signal(
signal_type: str = "fibonacci",
timeframe: str = "D",
strength: float = 0.8,
direction: SignalDirection = SignalDirection.BULLISH,
confidence: float = 0.9,
) -> SignalResult:
"""Build a minimal SignalResult with sensible defaults."""
return SignalResult(
signal_type=signal_type,
timeframe=timeframe,
strength=strength,
direction=direction,
confidence=confidence,
)
class TestMinimumConfluenceThreshold:
"""Requirement 3.3: signals triggering on < 2 timeframes are discarded."""
def test_single_timeframe_discarded(self):
signal_results = {
"fibonacci": {
"D": _make_signal(timeframe="D"),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert result == []
def test_zero_timeframes_discarded(self):
signal_results = {"fibonacci": {}}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert result == []
def test_two_timeframes_passes_minimum(self):
signal_results = {
"fibonacci": {
"D": _make_signal(timeframe="D"),
"W": _make_signal(timeframe="W"),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert len(result) == 1
assert result[0].signal_type == "fibonacci"
class TestHigherTimeframeAnchor:
"""Requirement 3.4: signals without at least one of D, W, M are discarded."""
def test_only_intraday_timeframes_discarded(self):
"""M30 + H1 = 2 timeframes but no D/W/M anchor → discarded."""
signal_results = {
"rsi": {
"M30": _make_signal(timeframe="M30"),
"H1": _make_signal(timeframe="H1"),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert result == []
def test_intraday_plus_h4_discarded(self):
"""M30 + H1 + H4 = 3 timeframes but no D/W/M → discarded."""
signal_results = {
"rsi": {
"M30": _make_signal(timeframe="M30"),
"H1": _make_signal(timeframe="H1"),
"H4": _make_signal(timeframe="H4"),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert result == []
def test_with_daily_anchor_passes(self):
signal_results = {
"rsi": {
"H4": _make_signal(timeframe="H4"),
"D": _make_signal(timeframe="D"),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert len(result) == 1
def test_with_weekly_anchor_passes(self):
signal_results = {
"rsi": {
"H1": _make_signal(timeframe="H1"),
"W": _make_signal(timeframe="W"),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert len(result) == 1
def test_with_monthly_anchor_passes(self):
signal_results = {
"rsi": {
"H4": _make_signal(timeframe="H4"),
"M": _make_signal(timeframe="M"),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert len(result) == 1
class TestConfluenceScoreComputation:
"""Requirement 3.2: C_confluence = Σ(w_tf · s_tf)."""
def test_two_timeframes_score(self):
"""D(0.30) * 0.8 + W(0.30) * 0.6 = 0.24 + 0.18 = 0.42."""
signal_results = {
"fibonacci": {
"D": _make_signal(timeframe="D", strength=0.8),
"W": _make_signal(timeframe="W", strength=0.6),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert len(result) == 1
assert abs(result[0].confluence_score - 0.42) < 1e-9
def test_all_timeframes_score(self):
"""All six timeframes with strength 1.0 → sum of all weights."""
signal_results = {
"ma_stack": {
tf: _make_signal(timeframe=tf, strength=1.0)
for tf in DEFAULT_WEIGHTS
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert len(result) == 1
expected = sum(DEFAULT_WEIGHTS.values())
assert abs(result[0].confluence_score - expected) < 1e-9
def test_zero_strength_contributes_zero(self):
"""D(0.30) * 0.0 + W(0.30) * 1.0 = 0.0 + 0.30 = 0.30."""
signal_results = {
"rsi": {
"D": _make_signal(timeframe="D", strength=0.0),
"W": _make_signal(timeframe="W", strength=1.0),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert len(result) == 1
assert abs(result[0].confluence_score - 0.30) < 1e-9
def test_unknown_timeframe_weight_defaults_to_zero(self):
"""A timeframe not in the weights dict contributes 0 to the score."""
signal_results = {
"fibonacci": {
"D": _make_signal(timeframe="D", strength=0.5),
"UNKNOWN": _make_signal(timeframe="UNKNOWN", strength=1.0),
}
}
# UNKNOWN is not in DEFAULT_WEIGHTS, so its weight is 0.0
# But we still need a D/W/M anchor and >= 2 timeframes
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert len(result) == 1
assert abs(result[0].confluence_score - 0.15) < 1e-9 # 0.30 * 0.5
class TestPerTimeframeStrengths:
"""Verify per_timeframe dict contains correct strength values."""
def test_per_timeframe_populated(self):
signal_results = {
"fibonacci": {
"D": _make_signal(timeframe="D", strength=0.7),
"W": _make_signal(timeframe="W", strength=0.9),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert len(result) == 1
assert result[0].per_timeframe == {"D": 0.7, "W": 0.9}
def test_active_timeframes_match_per_timeframe_keys(self):
signal_results = {
"ma_stack": {
"H4": _make_signal(timeframe="H4", strength=0.5),
"D": _make_signal(timeframe="D", strength=0.6),
"W": _make_signal(timeframe="W", strength=0.8),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert len(result) == 1
assert set(result[0].active_timeframes) == set(result[0].per_timeframe.keys())
class TestDominantDirection:
"""Verify direction is determined by majority vote across timeframes."""
def test_all_bullish(self):
signal_results = {
"fibonacci": {
"D": _make_signal(direction=SignalDirection.BULLISH),
"W": _make_signal(direction=SignalDirection.BULLISH),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert result[0].direction == SignalDirection.BULLISH
def test_all_bearish(self):
signal_results = {
"fibonacci": {
"D": _make_signal(direction=SignalDirection.BEARISH),
"W": _make_signal(direction=SignalDirection.BEARISH),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert result[0].direction == SignalDirection.BEARISH
def test_majority_bullish(self):
signal_results = {
"fibonacci": {
"D": _make_signal(direction=SignalDirection.BULLISH),
"W": _make_signal(direction=SignalDirection.BULLISH),
"M": _make_signal(direction=SignalDirection.BEARISH),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert result[0].direction == SignalDirection.BULLISH
def test_tie_resolves_to_neutral(self):
signal_results = {
"fibonacci": {
"D": _make_signal(direction=SignalDirection.BULLISH),
"W": _make_signal(direction=SignalDirection.BEARISH),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert result[0].direction == SignalDirection.NEUTRAL
def test_neutral_votes_do_not_count(self):
"""2 bullish + 1 neutral → bullish wins."""
signal_results = {
"fibonacci": {
"D": _make_signal(direction=SignalDirection.BULLISH),
"W": _make_signal(direction=SignalDirection.BULLISH),
"M": _make_signal(direction=SignalDirection.NEUTRAL),
}
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert result[0].direction == SignalDirection.BULLISH
class TestMultipleSignalTypes:
"""Verify that multiple signal types are processed independently."""
def test_two_signals_both_pass(self):
signal_results = {
"fibonacci": {
"D": _make_signal(signal_type="fibonacci", timeframe="D"),
"W": _make_signal(signal_type="fibonacci", timeframe="W"),
},
"rsi": {
"H4": _make_signal(signal_type="rsi", timeframe="H4"),
"D": _make_signal(signal_type="rsi", timeframe="D"),
},
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert len(result) == 2
types = {cs.signal_type for cs in result}
assert types == {"fibonacci", "rsi"}
def test_one_passes_one_discarded(self):
signal_results = {
"fibonacci": {
"D": _make_signal(signal_type="fibonacci", timeframe="D"),
"W": _make_signal(signal_type="fibonacci", timeframe="W"),
},
"rsi": {
# Only 1 timeframe → discarded
"D": _make_signal(signal_type="rsi", timeframe="D"),
},
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert len(result) == 1
assert result[0].signal_type == "fibonacci"
def test_one_passes_one_no_anchor(self):
signal_results = {
"fibonacci": {
"D": _make_signal(signal_type="fibonacci", timeframe="D"),
"W": _make_signal(signal_type="fibonacci", timeframe="W"),
},
"rsi": {
# 2 timeframes but no D/W/M → discarded
"M30": _make_signal(signal_type="rsi", timeframe="M30"),
"H1": _make_signal(signal_type="rsi", timeframe="H1"),
},
}
result = compute_confluence(signal_results, DEFAULT_WEIGHTS)
assert len(result) == 1
assert result[0].signal_type == "fibonacci"
class TestEmptyInputs:
"""Edge cases with empty inputs."""
def test_empty_signal_results(self):
result = compute_confluence({}, DEFAULT_WEIGHTS)
assert result == []
def test_empty_weights(self):
"""Signals pass filters but all weights are 0 → score is 0.0."""
signal_results = {
"fibonacci": {
"D": _make_signal(timeframe="D", strength=0.8),
"W": _make_signal(timeframe="W", strength=0.6),
}
}
result = compute_confluence(signal_results, {})
assert len(result) == 1
assert result[0].confluence_score == 0.0
class TestConfluenceScoreMonotonicity:
"""Requirement 3.6: more timeframes with higher weights → higher score."""
def test_adding_timeframe_increases_score(self):
"""Adding a third timeframe with non-zero strength increases the score."""
two_tf = {
"fibonacci": {
"D": _make_signal(timeframe="D", strength=0.8),
"W": _make_signal(timeframe="W", strength=0.6),
}
}
three_tf = {
"fibonacci": {
"D": _make_signal(timeframe="D", strength=0.8),
"W": _make_signal(timeframe="W", strength=0.6),
"H4": _make_signal(timeframe="H4", strength=0.5),
}
}
result_2 = compute_confluence(two_tf, DEFAULT_WEIGHTS)
result_3 = compute_confluence(three_tf, DEFAULT_WEIGHTS)
assert result_3[0].confluence_score > result_2[0].confluence_score
def test_higher_weight_timeframe_contributes_more(self):
"""D (weight 0.30) contributes more than M30 (weight 0.03) at same strength."""
with_d = {
"fibonacci": {
"D": _make_signal(timeframe="D", strength=0.5),
"W": _make_signal(timeframe="W", strength=0.5),
}
}
with_m30 = {
"fibonacci": {
"M30": _make_signal(timeframe="M30", strength=0.5),
"W": _make_signal(timeframe="W", strength=0.5),
}
}
result_d = compute_confluence(with_d, DEFAULT_WEIGHTS)
result_m30 = compute_confluence(with_m30, DEFAULT_WEIGHTS)
assert result_d[0].confluence_score > result_m30[0].confluence_score
class TestConstants:
"""Verify module-level constants match the design."""
def test_higher_timeframe_anchors(self):
assert HIGHER_TIMEFRAME_ANCHORS == frozenset({"D", "W", "M"})
def test_min_timeframe_count(self):
assert MIN_TIMEFRAME_COUNT == 2