1697bc1641
fix(report): correct periodic returns, injection metrics and live view
...
- Monthly/yearly returns chain from the previous period's close (the first
trading day of every period was dropped; up to ~9pp/yr error).
- With cash injections, metrics/drawdowns/periodic returns are time-weighted
on the no-injection curve; capitalFlows reports invested/profit separately.
- Benchmarks cover exactly the strategies' dates.
- CAGR uses calendar time, so gaps in live records do not inflate it.
- Backtests skip the per-trade fee for rebalances below the live minimum
order and keep a ruined portfolio at zero.
- live: exact strategy match, ineligible strategies hidden, currency,
startDate, same-window benchmark, stale-price fallback, equity anchored at
the initial capital.
- PIT membership falls back to the cached history when the Wikipedia change
log cannot be parsed (the table is no longer on the page).
Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com >
2026-09-25 01:16:33 +08:00
24663ebd35
test: add strategy and integration tests
...
Add tests for trend rider (integration, robustness, v4),
US combo sweep, and US fundamentals modules.
2026-05-14 12:54:10 +08:00
47755ff630
feat: improve US alpha pipeline and regime filters
...
Expand alpha pipeline with additional factors and scoring logic.
Update regime filters and add comprehensive test coverage.
2026-05-14 12:54:00 +08:00
f5e8c708f3
feat: add PIT OHLCV runner and fetch support
2026-04-18 14:59:48 +08:00
c015873ee1
feat: add strict US alpha research pipeline
2026-04-18 00:38:29 +08:00
bf6fccfd11
feat: add regime and breakout alpha modules
2026-04-18 00:31:16 +08:00
7853eafe55
feat: add PIT-aware tradable universe mask
2026-04-18 00:23:07 +08:00
1edce83430
fix: handle single-ticker yahoo panels
2026-04-18 00:03:07 +08:00
3abc51e3e3
feat: add OHLCV market data updater
2026-04-17 23:59:06 +08:00
a66b039d2d
Reject empty attribution semantics headers
2026-04-07 18:10:21 +08:00
88d765713e
Reject colliding attribution semantics headers
2026-04-07 18:10:21 +08:00
35a91ba6cc
Honor complete attribution beta semantics labels
2026-04-07 18:10:21 +08:00
b3d87b3d92
Harden attribution beta semantics fallback
2026-04-07 18:10:21 +08:00
097131d962
Add attribution beta semantics metadata
2026-04-07 18:10:21 +08:00
82a3e63c2b
Restore summary schema for proxy attribution
2026-04-07 18:10:21 +08:00
69a03f52d9
Fix proxy attribution benchmark and labeling
2026-04-07 18:10:21 +08:00
9c4a219c68
Integrate factor attribution into backtest CLI
2026-04-07 18:10:21 +08:00
f6670d9e6d
Normalize one-point regression residual volatility
2026-04-07 17:02:00 +08:00
18174a9e11
Compute residual vol for square regressions
2026-04-07 16:57:58 +08:00
3d934b3316
Handle square factor regressions without inference
2026-04-07 16:53:16 +08:00
0876c0b6af
Guard factor regressions against unidentified models
2026-04-07 16:48:23 +08:00
f2e14ec200
Add factor attribution regression engine
2026-04-07 16:40:24 +08:00
507565c556
Tighten benchmark mutation leakage test
2026-04-07 16:34:35 +08:00
26937f035e
Split proxy leakage tests
2026-04-07 16:31:51 +08:00
7afc60dfcb
Strengthen proxy factor builder tests
2026-04-07 16:28:00 +08:00
7e44ece569
Add factor builder leakage tests
2026-04-07 16:21:05 +08:00
7e8d24c1e9
Add local attribution factor builders
2026-04-07 16:16:59 +08:00
2382364a46
Handle HTTP protocol errors in factor download
2026-04-07 16:12:00 +08:00
71912b8358
Wrap additional network errors in factor download
2026-04-07 16:06:54 +08:00
7f0c5de574
Use explicit download errors for factor loader fallback
2026-04-07 16:01:51 +08:00
c46727b1ca
Handle OSError download fallback for factor loader
2026-04-07 15:57:16 +08:00
0e94688066
Narrow factor loader format fallback handling
2026-04-07 15:51:57 +08:00
9e6da727a3
Implement Ken French factor download and cache fallback
2026-04-07 15:44:46 +08:00
e70922d9af
Harden factor loader zip parsing and fallback
2026-04-07 15:38:49 +08:00
feb1864a4d
Add factor loader and cache scaffolding
2026-04-07 15:27:44 +08:00
