fix(propose): break a trend_add only past 3% under its ma50

README.md

@@ -72,8 +72,8 @@ different scales.
 
 Record *why* you own a position — `setup_type:` (value_dip | pullback_add | trend_add |
 other) plus `entry_price:` and, for the dip setups, `invalidation_price:` — and `propose`
-watches each one on its own terms: a `trend_add` is alerted when it closes under its 50-day
-mean, a `value_dip` never is (looking weak against its MAs is the setup) and is alerted only
+watches each one on its own terms: a `trend_add` is alerted when it closes more than 3% under
+its 50-day mean, a `value_dip` never is (looking weak against its MAs is the setup) and is alerted only
 when it closes at or below the invalidation price you recorded. Add an `entry_date:` and the
 stop moves with the tape: a `trend_add` — and a `pullback_add` once its running high has
 cleared entry + 2R — trails its invalidation price at `caps.trail_atr_mult` ATR14s below the

docs/ARCHITECTURE.md

@@ -198,7 +198,8 @@ Pure function. v1 logic:
    letting cash absorb the difference.
 3. **Thesis monitoring**, dispatched on `setup_type` — the ranking in step 4 is a momentum
    composite, so a `value_dip` is *meant* to look weak there and must not be alerted on that:
-   `trend_add` → ALERT when the close is under its 50-day mean (the trend was the thesis);
+   `trend_add` → ALERT when the close is more than 3% under its 50-day mean (the trend was the
+   thesis; `signals.MA_TREND_BUFFER` keeps one close under the line from being a break);
    `value_dip` / `pullback_add` → ALERT only when the close is at or below the
    `invalidation_price` the user recorded, never on MA distance. Cards name the setup_type,
    the level breached, the entry price with the move from it, and the session the price came

kuroshio/core/allocator/engine.py

@@ -16,7 +16,7 @@
 
 from decimal import Decimal
 
-from kuroshio.core.allocator.signals import BOOK_VOL_WINDOW, MA_TREND
+from kuroshio.core.allocator.signals import BOOK_VOL_WINDOW, MA_TREND, MA_TREND_BUFFER
 from kuroshio.types import Candidate, Holding, ProposalCard
 
 # setup_types that carry a monitoring rule. "other" (and a missing setup_type) carry
@@ -85,12 +85,12 @@
         "entry_missing": "entry price not recorded",
         "no_ma50": "no MA50 for its trend_add — fewer than {ma_trend} traded sessions",
         "trend_intact": (
-            "its trend is intact — {at}, at or above its 50-day moving "
-            "average of {ma:.2f}"
+            "its trend is intact — {at}, not more than {buffer:.0%} under its 50-day "
+            "moving average of {ma:.2f}"
         ),
         "trend_broken": (
             "{ticker} was opened as a trend_add and the trend has broken: {at}, "
-            "below its 50-day moving average of {ma:.2f} ({entry}). "
+            "more than {buffer:.0%} under its 50-day moving average of {ma:.2f} ({entry}). "
             "The setup that justified the position no longer holds."
         ),
         "trail_known": "{stop:.2f} its stop has ratcheted up to (see the ALERT above)",
@@ -251,10 +251,10 @@
         "entry_recorded": "進場價 {entry_price:.2f}，目前距進場 {chg:+.1%}",
         "entry_missing": "沒有記錄進場價",
         "no_ma50": "這檔趨勢加碼沒有 MA50 — 交易日數不到 {ma_trend} 天",
-        "trend_intact": "趨勢仍然成立 — {at}，現價在 50 日均線 {ma:.2f} 之上或持平",
+        "trend_intact": "趨勢仍然成立 — {at}，現價沒有低於 50 日均線 {ma:.2f} 超過 {buffer:.0%}",
         "trend_broken": (
             "{ticker} 當初以趨勢加碼進場，趨勢已經走壞：{at}，低於 50 日均線 "
-            "{ma:.2f}（{entry}）。當初進場的理由已經不成立。"
+            "{ma:.2f} 超過 {buffer:.0%}（{entry}）。當初進場的理由已經不成立。"
         ),
         "trail_known": "{stop:.2f}（這次檢查剛把停損上調到這裡，見上方警示）",
         "trail_earlier": "{stop:.2f}（之前的檢查已經把停損上調到這裡）",
@@ -751,10 +751,12 @@ def cap_for(theme: str) -> tuple[float, str]:
             if ma is None:
                 thesis_gap[h.ticker] = T["no_ma50"].format(ma_trend=MA_TREND)
                 continue
-            if price >= ma:
-                thesis_note[h.ticker] = T["trend_intact"].format(at=at, ma=ma)
+            if price >= ma * (1 - MA_TREND_BUFFER):
+                thesis_note[h.ticker] = T["trend_intact"].format(at=at, ma=ma, buffer=MA_TREND_BUFFER)
                 continue
-            reason = T["trend_broken"].format(ticker=h.ticker, at=at, ma=ma, entry=entry)
+            reason = T["trend_broken"].format(
+                ticker=h.ticker, at=at, ma=ma, buffer=MA_TREND_BUFFER, entry=entry,
+            )
             details = {"ma50": ma}
         elif h.setup_type == "trend_add":
             reason = T["trail_breached"].format(ticker=h.ticker, at=at, level=level, entry=entry)

kuroshio/core/allocator/signals.py

@@ -18,6 +18,11 @@
 from kuroshio.types import Holding, Panel
 
 MA_TREND = 50  # the trend_add break window; see engine.propose step 3
+# A trend_add breaks only on a close more than this far under its MA50, not on any close under
+# it. On 181 sampled US names 2014-2026, one close under the line exited 9.1x a year with 59%
+# back above within 5 sessions; 3% under cut that to 4.0x and 25%, median CAGR 3.7% -> 5.3%,
+# same median drawdown. Deeper keeps trading exits for a looser rule (5%: 2.7x, 14%).
+MA_TREND_BUFFER = 0.03
 BOOK_VOL_WINDOW = 20  # trailing-session window book_vol() and engine.propose step 2b share
 ATR_WINDOW = 14  # the ATR the stop ratchet trails by; see engine.propose step 3
 

tests/test_allocator.py

@@ -296,6 +296,18 @@ def test_trend_add_alerts_on_ma_break_and_the_dip_setups_do_not():
     assert set(thesis_alerts(cards)) == {"TREND"}
 
 
+def test_trend_add_breaks_only_past_the_ma50_buffer():
+    """One close a little under the MA50 is noise, not a break: 97.00 against 100.00 holds,
+    96.99 is more than MA_TREND_BUFFER under and EXITs."""
+    def exited(price):
+        cards = propose(thesis_portfolio(), [], make_ips(), "us",
+                        prices={"TREND": price}, ma50={"TREND": 100.0})
+        return "TREND" in thesis_alerts(cards)
+    assert not exited(99.0)
+    assert not exited(97.0)
+    assert exited(96.99)
+
+
 def test_value_dip_alerts_on_invalidation_breach():
     """Acceptance clause 3: the value_dip's own invalidation price is what ends it —
     and the pullback_add answers to the same rule."""
@@ -489,7 +501,7 @@ def test_swap_selling_an_intact_trend_add_says_the_trend_is_intact():
     swap = next(c for c in cards if c.action == "SWAP")
     assert swap.sell == "TREND"
     assert "its trend is intact" in swap.reason
-    assert "at or above its 50-day moving average of 100.00" in swap.reason
+    assert "not more than 3% under its 50-day moving average of 100.00" in swap.reason
     assert "broken" not in swap.reason