feat(suggestion): 'ทำกำไร' = price-trend momentum (3/6/12m) gated on positive theme signal

Owner rule: a stock that should be bought for profit is one whose PRICE is
likely to rise in the next 3-6 months — not one with high EPS growth (BTS had
EPS +137% yet flat/falling price). The old selection ranked buckets 1/2 by
 (60/40 theme+siamchart where siamchart was EPS-growth dominated).

- themes.price_trend_score(): blend of ~3/6/12-month price momentum, z-scored
  across the universe (heavier 3/6m weight per the 3-6 month tenure).
- allocate_capital: buckets 1/2 rank by momentum, gated on theme_signal > 0
  (mean surprise across the symbol's themes). theme_signal=None (backtest path)
  is not gated so PIT backtest still allocates. Bucket 3 unchanged (yield top).
- suggestion endpoint passes real momentum + theme_signal from the live board.
- Verified: bucket 1 now picks CRC/BEM (dividend + rising price); falling-price
  PTT/MINT go to bucket 3 by yield, not bucket 1. Full suite 372 green (3 new
  momentum/theme-gate tests).
This commit is contained in:
Kunthawat Greethong
2026-08-31 10:05:00 +07:00
parent be6a92540c
commit 576d9e31ec
5 changed files with 155 additions and 9 deletions

View File

@@ -87,5 +87,49 @@ class AllocationTest(unittest.TestCase):
self.assertAlmostEqual(res.unallocated_cash, 50_000, places=2)
class MomentumSelectionTest(unittest.TestCase):
"""Owner's "ทำกำไร" rule: bucket 1/2 rank by price-trend momentum and are
gated on a POSITIVE theme signal — NOT by combined/EPS score."""
def _cand(self, sym, price, combined, div, yield_, momentum, theme):
return Candidate(sym, price, combined, div, yield_,
momentum=momentum, theme_signal=theme)
def test_bucket1_ranks_by_momentum_not_score(self):
# A high-score but NEGATIVE-momentum dividend name must NOT win bucket 1
# over a positive-momentum one (owner: "ทำกำไร" = price likely to rise).
cands = [
self._cand("SLOW", 10.0, 9.0, True, 2.0, -1.5, 0.5), # high score, falling price
self._cand("FAST", 10.0, 0.5, True, 1.0, +2.0, 0.6), # low score, rising price
]
res = allocate_capital(1_000_000, cands)
b1 = [o.symbol for o in res.orders if o.bucket == 1]
self.assertEqual(b1, ["FAST"]) # FAST (momentum +2) beats SLOW (-1.5)
def test_negative_theme_is_excluded_from_profit_bucket(self):
# Even a high-momentum name is not eligible for bucket 1/2 when its
# theme_signal is <= 0 (owner gate). It may still land in bucket 3 (yield).
cands = [
self._cand("NO_THEME", 10.0, 5.0, True, 8.0, +3.0, -0.2), # momentum up but theme negative
self._cand("GOOD", 10.0, 5.0, True, 2.0, +1.0, 0.5),
]
res = allocate_capital(1_000_000, cands)
b1 = [o.symbol for o in res.orders if o.bucket == 1]
self.assertNotIn("NO_THEME", b1) # gated out of the profit bucket
self.assertIn("GOOD", b1)
# NO_THEME may still be picked by bucket 3 (highest yield, 8%)
b3 = [o.symbol for o in res.orders if o.bucket == 3]
self.assertIn("NO_THEME", b3)
def test_bucket2_uses_non_dividend_momentum(self):
cands = [
self._cand("ND_UP", 10.0, 9.0, False, 0.0, +2.5, 0.7), # non-div, momentum up
self._cand("ND_DN", 10.0, 9.0, False, 0.0, -2.5, 0.7), # non-div, momentum down
]
res = allocate_capital(1_000_000, cands)
b2 = [o.symbol for o in res.orders if o.bucket == 2]
self.assertEqual(b2, ["ND_UP"]) # rising price chosen over falling
if __name__ == "__main__":
unittest.main()