Gahow Wang
d945624601
Under quant-trading's PIT research engine (S&P 500 members 2006-2026, 10 bp), overnight_recovery_top10 filled at the next close beat the daily UpCap+MomGap by 10.5%/yr (paired Newey-West t 2.44) at 3x instead of 29x yearly turnover. UpCap+MomGap was a CN champion there, and its daily variant was never picked for the US book. - strategy: overnight-return momentum (12m skip 1m) + distance from the 126-day low, ported from strategies/robust_momentum.py; top 10 equal weight, a held name stays while ranked within 30. Scores and picks match RobustMomentumStrategy on the IB bars (25 rebalances, 0 diffs). - rebalance: every 10 sessions from strategy.anchor (2026-09-29), on completed sessions through yesterday's close, MOC at today's close; other sessions do nothing and weights drift. - backtest trades only on rebalance sessions, like the live loop. Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
51 lines
1.5 KiB
Makefile
51 lines
1.5 KiB
Makefile
# Needs IB Gateway or TWS running and logged in, with
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# "Enable ActiveX and Socket Clients" on and the port matching config.toml.
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# Daily flow, 09:31-15:45 ET on a trading day: `make bars` (picks up today's
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# open), `make plan` to review, `make submit` to send MOC orders filled at the close.
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# Only rebalance sessions (every strategy.rebalance_every from strategy.anchor)
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# trade; on other days plan and submit say so and do nothing.
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# With delayed data (market_data_type = 3) today's bar appears ~15 min after the
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# open, so start after 09:47 ET.
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RUN = uv run ibkr-quant
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.PHONY: test universe check gateway bars plan submit fills backtest install-units
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test:
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uv run pytest -q
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universe:
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$(RUN) universe
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check:
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$(RUN) check
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# On the server: probe the Gateway and restart it if it has lost IBKR's servers.
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gateway:
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sh deploy/ensure-gateway.sh
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bars:
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$(RUN) bars
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plan:
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$(RUN) rebalance
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submit:
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$(RUN) rebalance --submit
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fills:
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$(RUN) fills
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# e.g. make backtest ARGS="--top-n 5 10 20 --every 1 5 --capital 10000"
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backtest:
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$(RUN) backtest $(ARGS)
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# On the server: install the systemd user units from deploy/systemd. The timers
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# start now; the Gateway is only enabled for boot, so start it by hand
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# (systemctl --user start ibgateway) once ~/ibc/config.ini has the credentials.
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install-units:
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mkdir -p ~/.config/systemd/user
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cp deploy/systemd/* ~/.config/systemd/user/
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systemctl --user daemon-reload
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systemctl --user enable ibgateway.service
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systemctl --user enable --now ibkr-quant-trade.timer ibkr-quant-fills.timer ibkr-quant-universe.timer
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