Adding a Layer of LLM as a Final Trading Gate

When we did our back-testing logic we really started to get a full understanding of our features and what mattered and influenced returns.

 The *ONLY* feature that made ANY difference, was the finbert residual, which attempts to ferret out "true sentiment" from momentum. 

The uncomfortable but honest conclusion: the XGB model as currently built is mostly a complicated way of rediscovering momentum, with a thin layer of sentiment on top.

Nonetheless, there is a true signal there, and the signal IS news-related. Which means it is worth investigating. For some length of time anyway. 

After all, you don't want a "news sentiment" model, that can't use news sentiment!

The Iran situation has caused huge volatility in a negative way, and this affected my trading badly as we picked stocks that were headed south. Our balance right now, is 89K from the initial 100K, so over 2 months, we have burned 11K of capital. Good thing it is paper trading.

I added two LLM aspects to the model:

1. agent_review.py which is a standalone agent analysis tool. It reads the signal file from generate_news_signal.py and searches for recent (keyword: recent) news on each candidate, and asks an LLM to recommend which stocks to buy with reasoning.

2. The portfolio_manager.py also looks at the current vix value - for the day (not the vix_0d value that was tied to the article headline date which is x days in the past), and also consults an LLM to check and see if the climate looks right to buy the selected stocks.

Both of these are designed to avoid mistakes buying. And, using an LLM is easier when you give it small tasks. Less tokens consumed, the task is more focused. Trying to give LLMs huge chunks of data to process can cause timeouts (504 errors), and strange results.

I do see a of trades being vetoed in our falling markets right now, so this is working and perhaps was added a bit late in the game. But it can maybe protect our capital so that when the regime shifts, we can start to get back up to the original 100K and then turn some profit.