feat: robust-momentum strategies live; fix live universe, lots and UI backtests

Strategies
- BarStrategy protocol (close/open/high/low/volume bars; row d uses bars
  through d-1) and RobustMomentumStrategy: overnight_recovery_top10 (US),
  lowrisk_momentum_top15 and lowbeta_sharpe_mom_top20 (CN), top-N with
  rank hysteresis, 10-day rebalance, weights drift between rebalances.
- trader: strategy_fields/strategy_bars/bar_session_weights; one signal
  path (_signals_for_sessions) replaces generate_target_weights.

Live fixes
- CSI 300 constituents come from China Securities Index's file; the
  Wikipedia table was 122 names off the real index.
- S&P 500 change log moved to "Historical components of the S&P 500".
- data_manager: tickers missing from a partial Yahoo batch are retried
  alone before being marked unavailable (CEG, GEV, SNDK ... were dropped).
  update() takes fields=[...] and stores high/low/volume panels.
- Whole-lot orders go to the nearest lot within cash (CN books held ~62%
  cash); held names are resized only beyond RESIZE_BAND (10%), so books no
  longer pay a ticket fee to trade daily drift.

Web backtests
- backtest_runner.py replaces the duplicated bridge/precompute code: PIT
  membership in both markets (data/csi300_history.json), stock universe
  limited to index members (ETFs and benchmarks in the shared panel were
  pickable), and the book kept like the live trader (simulate_live_book:
  signal timing, drift, order floor, resize band, fees on orders placed).

Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
This commit is contained in:
2026-09-25 19:12:02 +08:00
parent 0e378efa67
commit cc1366b2dc
16 changed files with 16027 additions and 606 deletions

11
uv.lock generated
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