A live book is a cohort of strategies, each with its own account, started
on one date with one capital and a flat fee per order (trader.LIVE_BOOKS).
The original book keeps its state in data/; a named book in
data/books/<book>/. The monitor runs every book; auto/status/log/compare/
replay take --book. A fresh account opens on the book's first session.
selected_2026_09: US $10,000 and $1 per order from 2026-09-25, CN ¥50,000
and ¥5 per order from 2026-09-28 (the first CN session after the choice).
Strategies beat their benchmark in the Apr-Sep 2026 point-in-time replay
and passed a 10-year PIT backtest (US Sharpe >= 0.6, MaxDD > -50%; CN
Sharpe >= 0.2, CAGR > 0), no daily variants, at most two frequencies per
factor signal, plus the three 2026-09 research strategies.
bridge.py live --book and bridge.py books feed a book selector on the
live page (/api/strategies/live?book=, /api/strategies/live/books).
Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
Replaying live books over past sessions used today's constituent list for
every day, so US books bought names (BE, MRVL, ILMN, FLEX, P) before they
joined the S&P 500. session_universes/session_signals now compute each past
session on that day's members (S&P change log, CSI 300 snapshots); the
latest session keeps the live list. Used by auto/monitor catch-up, replay
and simulate. _run_session takes precomputed targets only.
Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
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>
Tickers count as alive for 10 rows after their last bar, so a newest row
printed by a few early tickers is dropped until the rest arrive. The
benchmark-print session rule now applies only to the mixed US/HK ETF panel:
Yahoo's 510300.SS lags CN stocks by days and would stall the CN book.
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>
