- execution/trader: a held US stock with no print for 5 sessions that has left
the index is sold at its last print (execution.SETTLE_AFTER_SESSIONS), in both
the batch replay and the live session ledger. Acquired names used to stay at
their last mark forever: lowrisk_top20 ended 2017-12..2026-10 with 11 of 26
dead positions, and CAGR rises 1.7-5.5pp once they settle. ENGINE_VERSION
cash-ledger-pit-v3; the API cache key follows.
- universe_history: current members whose pre-2011 addition the Wikipedia change
log missed now start at the list page's "Date added" (80 of 94 current members
added 2001-2010 were open-start, e.g. ISRG, MA, BKNG). Membership from 2016 on
is unchanged; the research panel cache now keys on the membership intervals.
- research/lab/registered: pure-ETF strategies replay on the ETF panel (they ran
as all-cash books or crashed); prepare_strategy refuses an ETF strategy that
lacks its ETF universe.
- research/lab/factors: trend_hzz uses a month's regression betas only from the
session its forward returns end (short months read 1-2 sessions ahead).
- tests: every registered strategy (US and CN) is truncation-invariant on the
production signal path; batch and live ledgers settle a delisting identically.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Share point-in-time signals and a cash-funded order ledger across backtests and trading. Correct eligibility, missing-price fills, quality factors, regime inputs, warmup windows, and cash-injection accounting. Add reproducible registered-strategy comparisons and paired forward candidates with a 20% resize band.
Validation: 125 Python tests, 23 web tests, TypeScript/Vite build, 87 strategy causality checks, and real-data target/order/equity parity for 10 strategies.
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>
