Quant: Deterministic signal computations

t-714·WorkTask·
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Created1 month ago·Updated1 week ago·pipeline runs →

Description

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Deterministic signal computations — pure Haskell math, no LLM.

Files: Omni/Fund/Quant/Signal.hs

Deliverables:

  • Signal type (asset, signal type, value [-1,1], confidence, source, timestamp)
  • SignalType enum (Momentum, MeanReversion, Volatility, MacroRegime, InsiderSentiment, EarningsSurprise, CrossSignal)
  • SignalBundle type (timestamp, signals, correlation matrix, alpha scores)

Deterministic signal functions:

  • momentumSignal :: Int -> Map Text [DailyBar] -> Map Text Signal — cross-sectional z-score of trailing returns
  • meanReversionSignal :: Int -> Map Text [DailyBar] -> Map Text Signal — z-score vs SMA
  • volRegimeSignal :: Map Text [DailyBar] -> Map Text Signal — short/long vol ratio
  • macroRegimeSignal :: Map Text [FredObs] -> Signal — composite macro indicator

Utility functions:

  • crossSectionalZScore :: Map Text Double -> Map Text Double
  • rank :: [Double] -> [Double] — with tie handling

Properties (QuickCheck):

  • Signal values bounded in [-10, 10] for z-scores
  • Null input → empty signals
  • Rank output is a permutation of [1..n]

Timeline (7)

💬[human]1 month ago

Part of epic t-709 (Quant Phase 1)

🔄[human]Open → InProgress1 month ago
🔄[human]InProgress → Review1 month ago
💬[human]1 week ago

Ava verified: implementation present in live tree (file/feature confirmed via inspection). Moving to Verified.

🔄[human]Review → Verified1 week ago