The mid-band advisory label (constituent signals in conflict) was called
NEUTRAL, implying "benign middle" — but retrospective data (637 trades)
shows it is empirically the worst-ROI regime. Renaming to UNKNOWN makes
the semantics explicit for regime-gate consumers.
- esof_advisor.py: emits UNKNOWN; LABEL_COLOR keeps NEUTRAL alias for
historical CH rows / stale HZ snapshots
- esof_gate.py: S6_MULT, IRP_PARAMS, Strategy A mult_map all keyed on
UNKNOWN with NEUTRAL alias (values identical → replays unaffected)
- prod/docs/ESOF_LABEL_MIGRATION.md: migration note, CH/HZ impact,
rollback procedure
Plan ref: Task 4 — NEUTRAL→UNKNOWN is load-bearing for the EsoF gate
in the orchestrator (0.25× sizing vs 1.0× under old label semantics).
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
All sizing multipliers now applied at one location (esf_alpha_orchestrator.py
line 565 region) so there are no hidden side-effects and BLUE parity is
trivially preserved by leaving the new kwargs at None/False.
- S6 per-bucket notional multiplier via s6_size_table kwarg
- EsoF regime gate at _try_entry top: reads _current_esof_label, skips
entry if esof_sizing_table maps to 0.0 (UNFAV/MILD_NEG regime)
- Integer-leverage gate: use_int_leverage=True → leverage_int=1 (FIXED,
pending prod/scripts/analyze_leverage_winrate.py analysis); float
leverage_raw preserved in NDPosition + return dict for CH logging
- notional <= 0 → return None guard (prevents 0-notional positions)
- NDPosition extended: asset_bucket_id, s6_mult, esof_mult, esof_label,
leverage_raw fields (BLUE leaves these at defaults)
Plan ref: Task 2 — sizer stays pure (its returned notional is discarded
by line 565 anyway; adding mults inside would be dead code with hidden
side-effects).
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Add `asset_bucket_ban_set` and `asset_bucket_assignments` kwargs to
AlphaAssetSelector.__init__ (both default None → BLUE unchanged).
When active, assets whose KMeans bucket is in the ban set are skipped
inside rank_assets() so the next-ranked asset takes the slot — capital
is preserved rather than wasted by a 0× sizer multiplier.
Plan ref: Task 9 — ban ≠ 0× is the critical caveat from the sprint plan.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
