backfill: historical breadth + regime computation from TOP50 OHLCV

- Step 1: fetch BTC OHLCV
- Step 2: fetch TOP50 daily data → compute breadth per date → store breadth_daily
- Step 3: compute Price/Breadth/OI/Vol → detect regime → store regime_history
- 175 days backfilled (2026-01-01 to 2026-06-24)

ChanMacro/cli.py

@@ -192,23 +192,104 @@ def cmd_track(args):
 
 
 def cmd_backfill(args):
-    """Backfill historical scores and/or signals."""
+    """Backfill historical breadth + regime scores."""
     from datetime import date as Date, timedelta
     from database import init_db, get_connection
     from fetchers.ohlcv import OHLCVFetcher
+    from fetchers.breadth import BreadthFetcher
+    from config import config
+    import pandas as pd
+    import requests
 
     start = parse_date(args.from_date)
     end = parse_date(args.to_date) if args.to_date else Date.today()
     init_db()
 
-    # First, backfill OHLCV data
-    logger.info(f"Backfilling OHLCV from {start} to {end}...")
-    fetcher = OHLCVFetcher()
-    df = fetcher.fetch()
-    if not df.empty:
-        fetcher.store_df(df)
+    # Step 1: Ensure OHLCV data exists for the range
+    logger.info(f"Step 1/3: Fetching BTC OHLCV...")
+    OHLCVFetcher().store_df(OHLCVFetcher().fetch())
 
-    # Then compute scores for each date
+    # Step 2: Backfill breadth — fetch TOP50 daily data and compute per date
+    logger.info(f"Step 2/3: Backfilling breadth {start} → {end}...")
+    provider_url = config.provider_url
+    all_symbol_data = {}
+
+    for sym in config.top50_symbols:
+        try:
+            df = pd.DataFrame(requests.get(
+                f"{provider_url}/api/candles",
+                params={"symbol": sym, "tf": "1d", "limit": 400},
+                timeout=30
+            ).json())
+            if not df.empty and "timestamp" in df.columns:
+                df["date"] = pd.to_datetime(df["timestamp"], unit="ms").dt.date
+                df["close"] = df["close"].astype(float)
+                df["high"] = df["high"].astype(float)
+                df["ema20"] = df["close"].ewm(20).mean()
+                all_symbol_data[sym] = df
+        except Exception as e:
+            logger.debug(f"  Skip {sym}: {e}")
+
+    logger.info(f"  Fetched {len(all_symbol_data)}/{len(config.top50_symbols)} symbols")
+
+    # Compute breadth for each date
+    conn = get_connection()
+    current = start
+    breadth_count = 0
+    while current <= end:
+        target_str = str(current)
+        try:
+            advances_50 = declines_50 = above_ema20_50 = new_highs_50 = 0
+            advances_30 = advances_20 = above_ema20_30 = above_ema20_20 = 0
+            new_highs_30 = new_highs_20 = 0
+
+            for rank, (sym, df) in enumerate(all_symbol_data.items()):
+                rows = df[df["date"] == current]
+                if rows.empty:
+                    continue
+                row = rows.iloc[0]
+                prev_rows = df[df["date"] < current]
+                if prev_rows.empty:
+                    continue
+                prev = prev_rows.iloc[-1]
+
+                if row["close"] > prev["close"]:
+                    if rank < 50: advances_50 += 1
+                    if rank < 30: advances_30 += 1
+                    if rank < 20: advances_20 += 1
+                elif row["close"] < prev["close"]:
+                    if rank < 50: declines_50 += 1
+
+                if not pd.isna(row.get("ema20")) and row["close"] > row["ema20"]:
+                    if rank < 50: above_ema20_50 += 1
+                    if rank < 30: above_ema20_30 += 1
+                    if rank < 20: above_ema20_20 += 1
+
+                recent_highs = df[(df["date"] < current) & (df["date"] >= current - timedelta(days=20))]
+                if not recent_highs.empty and row["high"] > recent_highs["high"].max():
+                    if rank < 50: new_highs_50 += 1
+                    if rank < 30: new_highs_30 += 1
+                    if rank < 20: new_highs_20 += 1
+
+            conn.execute("""INSERT OR REPLACE INTO breadth_daily
+                (date, total_tracked, advance_top50, decline_top50, above_ema20_top50,
+                 new_highs_20d_top50, advance_top30, advance_top20,
+                 above_ema20_top30, above_ema20_top20, new_highs_20d_top30, new_highs_20d_top20)
+                VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)""",
+                (target_str, len(all_symbol_data),
+                 advances_50, declines_50, above_ema20_50, new_highs_50,
+                 advances_30, advances_20, above_ema20_30, above_ema20_20,
+                 new_highs_30, new_highs_20))
+            breadth_count += 1
+        except Exception as e:
+            logger.debug(f"  Breadth skip {current}: {e}")
+        current += timedelta(days=1)
+
+    conn.commit()
+    logger.info(f"  Breadth backfill: {breadth_count} days")
+
+    # Step 3: Compute regime scores for each date
+    logger.info(f"Step 3/3: Computing regime scores {start} → {end}...")
     from scoring.price_structure import PriceStructureScorer
     from scoring.breadth_scorer import BreadthScorer
     from scoring.oi_matrix import OIMatrixScorer
@@ -216,10 +297,8 @@ def cmd_backfill(args):
     from regime_detector import RegimeDetector
 
     detector = RegimeDetector()
-    conn = get_connection()
-
     current = start
-    count = 0
+    score_count = 0
     while current <= end:
         try:
             ps = PriceStructureScorer().compute(current)
@@ -227,33 +306,27 @@ def cmd_backfill(args):
             if br.score == 50.0 and br.label == "No Data":
                 current += timedelta(days=1)
                 continue
-
             oi = OIMatrixScorer().compute(current)
             vol = VolatilityRegimeScorer().compute(current)
-            r = detector.detect(ps.score, br.breadth_top50,
-                                vol.vol_regime.value, current)
+            r = detector.detect(ps.score, br.breadth_top50, vol.vol_regime.value, current)
 
-            conn.execute("""
-                INSERT OR REPLACE INTO regime_history
+            conn.execute("""INSERT OR REPLACE INTO regime_history
                 (date, regime, confidence, regime_version, maturity_score,
                  all_scores_json, confirmation_days)
-                VALUES (?, ?, ?, ?, ?, ?, ?)
-            """, (
-                str(current), r.regime.value, r.confidence,
-                r.regime_version, r.maturity_score,
-                json.dumps(r.all_scores), r.confirmation_days,
-            ))
-            count += 1
-            if count % 30 == 0:
+                VALUES (?, ?, ?, ?, ?, ?, ?)""",
+                (str(current), r.regime.value, r.confidence, r.regime_version,
+                 r.maturity_score, json.dumps(r.all_scores), r.confirmation_days))
+            score_count += 1
+            if score_count % 30 == 0:
                 conn.commit()
-                logger.info(f"  Backfilled {count} days... ({current})")
+                logger.info(f"  Scored {score_count} days... ({current})")
         except Exception as e:
-            logger.debug(f"  Skip {current}: {e}")
+            logger.debug(f"  Score skip {current}: {e}")
         current += timedelta(days=1)
 
     conn.commit()
     conn.close()
-    logger.info(f"Backfill complete: {count} days scored")
+    logger.info(f"Backfill complete: {breadth_count} breadth + {score_count} regime days")
 
 
 def cmd_expectancy(args):