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>
- 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>
Backtesting engine supporting 11 strategies across US (S&P 500) and CN (CSI 300)
markets with open-to-close execution, proportional + fixed per-trade fees.
Daily trader (trader.py) with auto/morning/evening/simulate/status commands
and cron-friendly `auto` mode for unattended daily runs on a server.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
