Initial strategy32 research and live runtime

scripts/run_live_combo_backtest.py

@@ -0,0 +1,54 @@
+from __future__ import annotations
+
+import json
+import sys
+from pathlib import Path
+
+PACKAGE_PARENT = Path(__file__).resolve().parents[2]
+if str(PACKAGE_PARENT) not in sys.path:
+    sys.path.insert(0, str(PACKAGE_PARENT))
+
+from strategy32.live.runtime import BEST_CASH_OVERLAY, LIVE_STRATEGY_OVERRIDES
+from strategy32.research.soft_router import evaluate_cash_overlay_exact, load_component_bundle
+
+
+OUT_JSON = Path("/tmp/strategy32_live_combo_backtest.json")
+CACHE_PATH = "/tmp/strategy32_fixed66_bundle.pkl"
+
+
+def main() -> None:
+    bundle, latest_bar = load_component_bundle(CACHE_PATH)
+    payload = evaluate_cash_overlay_exact(
+        bundle=bundle,
+        latest_bar=latest_bar,
+        candidate=BEST_CASH_OVERLAY,
+        cache_path=CACHE_PATH,
+        max_workers=6,
+        core_config_overrides={
+            **LIVE_STRATEGY_OVERRIDES,
+            "hard_filter_refresh_cadence": "1d",
+            "hard_filter_min_history_bars": 120,
+            "hard_filter_lookback_bars": 30,
+            "hard_filter_min_avg_dollar_volume": 50_000_000.0,
+        },
+    )
+    payload["backtest_basis"] = {
+        "universe": "fixed66 cached bundle",
+        "core_filter": "overheat_tolerant",
+        "cash_overlay": payload["candidate"],
+        "core_config_overrides": {
+            **LIVE_STRATEGY_OVERRIDES,
+            "hard_filter_refresh_cadence": "1d",
+            "hard_filter_min_history_bars": 120,
+            "hard_filter_lookback_bars": 30,
+            "hard_filter_min_avg_dollar_volume": 50_000_000.0,
+        },
+        "execution_refinement_note": "4h proxy in research bundle; live 1h refinement is not replayed here",
+    }
+    OUT_JSON.write_text(json.dumps(payload, indent=2), encoding="utf-8")
+    print(json.dumps(payload, indent=2))
+    print(f"[saved] {OUT_JSON}")
+
+
+if __name__ == "__main__":
+    main()