quant-trading

gahow/quant-trading

Fork 0

Commit Graph

Author	SHA1	Message	Date
Gahow Wang	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
Gahow Wang	149a00c458	chore: backtest engine fee model, metrics, and strategy fixes - main.py: add IBKR-style tiered fee schedule (fee_base + fee_per_share), PIT universe support, and open-to-close execution improvements - metrics.py: add raw_summary helper for JSON-safe metric export - Misc strategy fixes: deprecation warnings, NaN handling Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>	2026-05-21 20:57:56 +08:00
Gahow Wang	42218741d4	Initial commit: quant backtesting framework with daily trading simulator 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>	2026-04-05 00:41:19 +08:00

Author

SHA1

Message

Date

Gahow Wang

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

Gahow Wang

149a00c458

chore: backtest engine fee model, metrics, and strategy fixes

- main.py: add IBKR-style tiered fee schedule (fee_base + fee_per_share),
  PIT universe support, and open-to-close execution improvements
- metrics.py: add raw_summary helper for JSON-safe metric export
- Misc strategy fixes: deprecation warnings, NaN handling

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>

2026-05-21 20:57:56 +08:00

Gahow Wang

42218741d4

Initial commit: quant backtesting framework with daily trading simulator

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>

2026-04-05 00:41:19 +08:00

3 Commits