docs(prd): what keel can learn from Jesse, which is not its strategies - #530
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…rrent one ratchets away from it (#520) v12 adds positions.initial_stop, written at tranche open and never rewritten. The break-even arm of exit_policy.next_stop computes its threshold from the trade's ORIGINAL per-unit risk: entry + be_roll_rr * (entry - initial_stop). Live state carried entry_fill (the ledger) and open_stop:<product_id> (the CURRENT, already-ratcheted stop) and nothing else -- so the number that threshold is most sensitive to was simply absent. Substituting the current stop is not an approximation, it is a DIFFERENT POLICY. The current stop rises on every ratchet, shrinking (entry - stop), so the threshold creeps toward entry and the arm fires earlier each time, drifting further from the measured policy the longer a trade runs. Live and sim would then encode two different break-even rules while appearing to share exit_policy's functions -- the exact failure sharing them was meant to prevent. NULL means UNKNOWN and readers must switch the break-even arm OFF for that tranche rather than guess. Zero would be a real number -- a stop 100% below entry -- and a catastrophic one to compute a threshold from, so the column is nullable and _position_row_to_dict is careful not to let _text_to_dec invent a zero. The trailing arm is unaffected either way: it needs no original risk, so a tranche without one keeps trailing and simply never break-even-rolls. NO BACKFILL, deliberately: the honest value for every pre-v12 tranche is NULL. Idempotent by the v8/v11 PRAGMA table_info guard, because a database stamped at v11 got positions from v4's DDL and CREATE TABLE IF NOT EXISTS never adds a column. DCA passes None and that is legitimate, not a degraded case -- it carries no stop by design, and requiring one would refuse a real tranche. The three schema-version tripwires were bumped 11 -> 12 consciously, which is what they exist to force. Gates: pytest 4559 passed / 3 skipped; ruff check keel tests packages clean; mypy clean across 354 source files. Co-Authored-By: Claude Opus 5 (1M context) <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01NyeggYtojNXCTHeD3JHxb6
#528, #529) Compares keel's Rule ABC against the Jesse framework's Strategy API and its published example strategies (jesse-ai/example-strategies -- jesse.trade is Cloudflare-protected, and reading the source is the better record anyway: what matters is what the framework lets a strategy SAY, not what its strategies claim to earn). The conclusion is deliberately narrow. keel is cost-bound, not signal-bound -- round-trip friction ~2.5%, no shipped rule family net-positive, turtle_breakout negative on all 24 assets measured -- so porting DUAL_THRUST, KDJ, Bollinger and the rest is the known dead end. A rule negative on 24 assets is not fixed by a 25th signal. What Jesse's API can express that keel's cannot: conditional entry at a chosen price, a per-bar update_position hook, pyramiding, partial exits, fill-event hooks, per-strategy state, and a declared hyperparameter space. Four of those are ALREADY keel's open issues (#333, #447, #502) -- an external framework independently re-deriving the same gaps is corroboration of the roadmap, not an addition to it, and the PRD explicitly declines to re-file them. Two things are genuinely new, and are filed: - #528: Jesse declares each strategy's parameter space. keel already consumes n_trials in research/deflate.py and reasons about the trials budget in source comments, but the number itself is hand-recorded. Declaring the space makes the input to keel's own overfitting correction derivable rather than remembered. Explicit non-goal: no optimiser -- running one against a cost-bound engine manufactures exactly what the deflated-Sharpe machinery exists to detect. - #529: Jesse strategies name their entry price and assume the fill. keel priced that assumption when #258 corrected the fill model and pullback_continuation's gross PF fell 0.92 -> 0.77. Any foreign strategy ported naively inherits an optimism this project has already measured. The document also records what keel does that Jesse does not -- rails, a detect() with no account access, fill fidelity, trials discipline -- so the comparison reads as a trade rather than a wishlist. Co-Authored-By: Claude Opus 5 (1M context) <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01NyeggYtojNXCTHeD3JHxb6
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PRD from comparing keel's
RuleABC against the Jesse framework'sStrategyAPI and its published example strategies.Milestone: Strategy-API expressiveness (Jesse comparison). Issues: #528, #529.
The conclusion is deliberately narrow
keel is cost-bound, not signal-bound — round-trip friction ~2.5%, no shipped rule family net-positive,
turtle_breakoutnegative on all 24 assets measured. So porting DUAL_THRUST, KDJ, Bollinger, SMACrossover and the rest is the known dead end: a rule negative on 24 assets is not fixed by a 25th signal.The lesson is the API, not the strategies.
Four of the gaps are already filed — that is the finding
Jesse can express: a conditional entry at a chosen price, a per-bar
update_position()hook, pyramiding, partial exits, fill-event hooks, per-strategy state, and a declared hyperparameter space.Four of those are already keel's open issues — #333 (conditional entry), #447 (pluggable rules), #502 (stop management, partial exits). An external framework independently re-deriving the same gaps is corroboration of the roadmap, not an addition to it, and the PRD explicitly declines to re-file them.
Two things are genuinely new
#528 — declare each rule's parameter space. keel already consumes
n_trialsinresearch/deflate.py::expected_max_sharpe, reasons per-choice in source comments about whether something "increments the trials budget (§73.12)", and keeps a ledger with explicit provenance. But the number itself is hand-recorded. Jesse'shyperparameters()makes it a property of the strategy. This is the one place Jesse's design is straightforwardly better for a discipline keel cares about more than Jesse does.Explicit non-goal: no optimiser. Running one against a cost-bound engine manufactures exactly what the deflated-Sharpe machinery exists to detect.
#529 — document the fill-model hazard. Jesse strategies name their entry price and assume the fill (
self.buy = qty, entry). keel priced that assumption when #258 corrected the fill model andpullback_continuation's gross PF fell 0.92 → 0.77 with double the trade count. Any foreign strategy ported naively inherits an optimism this project has already measured — and compounds it with the cost regime.Method note
jesse.trade/strategiesis Cloudflare-protected and could not be read; the analysis is fromjesse-ai/example-strategiesand the API surface those strategies exercise. Reading the source is the better record anyway: what matters is what the framework lets a strategy say, not what its strategies claim to earn.What it records in the other direction
The document lists what keel does that Jesse does not — 18 un-overridable rails, a
detect()with no account access so a rule physically cannot size its own position, compliance screening with attested provenance, fill fidelity, and trials discipline — so the comparison reads as a trade rather than a wishlist.Rule's statelessness is called out as a deliberate property to protect, not a deficiency to fix.Docs-only. No code change.