gahow/quant-trading - quant-trading - Local Gitea

gahow/quant-trading

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Gahow Wang 0e378efa67 research: point-in-time factor research harness (research/lab)

Event-driven long-only simulator with next-open fills, CN tradability
(halts, limit-up/down, stamp duty), PIT S&P 500 / CSI 300 membership,
rebalance-phase averaging, factor IC scans, maximin stepwise composite
search across 5-year blocks, walk-forward LightGBM/ridge combiners,
overlays, and deflated Sharpe. Fetchers pull 20y US OHLCV from Yahoo and
CSI 300/500 ever-members (membership snapshot from baostock, bars from
Yahoo). Research data lives in data/research/ (ignored).

Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>

2026-09-25 19:11:59 +08:00

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

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

chore(deploy): keep start scripts and systemd units in deploy/

2026-09-25 11:42:40 +08:00

docs/superpowers/specs

docs: add US alpha research design spec

2026-04-17 23:41:10 +08:00

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

chore(deploy): keep start scripts and systemd units in deploy/

2026-09-25 11:42:40 +08:00

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

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

fix(data): judge late newest rows as sparse; require SPY print only in the ETF panel

2026-09-25 01:51:02 +08:00

chore(deploy): keep start scripts and systemd units in deploy/

2026-09-25 11:42:40 +08:00

.env.example

refactor: wire web to the in-repo engine and shared data dir

2026-09-25 11:42:35 +08:00

.gitignore

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

.python-version

Initial commit: quant backtesting framework with daily trading simulator

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

bridge.py

refactor: wire web to the in-repo engine and shared data dir

2026-09-25 11:42:35 +08:00

CLAUDE.md

chore(deploy): keep start scripts and systemd units in deploy/

2026-09-25 11:42:40 +08:00

data_manager.py

fix(data): judge late newest rows as sparse; require SPY print only in the ETF panel

2026-09-25 01:51:02 +08:00

factor_attribution.py

Reject empty attribution semantics headers

2026-04-07 18:10:21 +08:00

factor_backtest.py

Add 32 factor-combo strategies with configurable rebalancing frequency

2026-04-08 10:41:34 +08:00

factor_deep_analysis.py

Add 32 factor-combo strategies with configurable rebalancing frequency

2026-04-08 10:41:34 +08:00

factor_final_check.py

Add 32 factor-combo strategies with configurable rebalancing frequency

2026-04-08 10:41:34 +08:00

factor_loop.py

Add 32 factor-combo strategies with configurable rebalancing frequency

2026-04-08 10:41:34 +08:00

factor_real_backtest.py

Add 32 factor-combo strategies with configurable rebalancing frequency

2026-04-08 10:41:34 +08:00

factor_research.py

Add 32 factor-combo strategies with configurable rebalancing frequency

2026-04-08 10:41:34 +08:00

factor_robustness.py

Add 32 factor-combo strategies with configurable rebalancing frequency

2026-04-08 10:41:34 +08:00

factor_yearly_fresh.py

Add 32 factor-combo strategies with configurable rebalancing frequency

2026-04-08 10:41:34 +08:00

factor_yearly_report.py

Add 32 factor-combo strategies with configurable rebalancing frequency

2026-04-08 10:41:34 +08:00

main.py

fix(report): correct periodic returns, injection metrics and live view

2026-09-25 01:16:33 +08:00

Makefile

Add strategy ranking tool with Makefile shortcut

2026-05-14 12:49:14 +08:00

metrics.py

fix(report): correct periodic returns, injection metrics and live view

2026-09-25 01:16:33 +08:00

precompute_backtest.py

refactor: wire web to the in-repo engine and shared data dir

2026-09-25 11:42:35 +08:00

pyproject.toml

refactor: wire web to the in-repo engine and shared data dir

2026-09-25 11:42:35 +08:00

rank_strategies.py

Add strategy ranking tool with Makefile shortcut

2026-05-14 12:49:14 +08:00

README.md

auto mode for continuous running

2026-04-05 00:50:26 +08:00

trader.py

fix(backtest): give mixed stock+ETF strategies their ETFs; derive markets from trader

2026-09-25 02:16:48 +08:00

universe_history.py

fix(report): correct periodic returns, injection metrics and live view

2026-09-25 01:16:33 +08:00

universe.py

fix(trader): make live sessions complete, final-close based and executable

2026-09-25 01:16:14 +08:00

uv.lock

refactor: wire web to the in-repo engine and shared data dir

2026-09-25 11:42:35 +08:00

weekly_strategy_report.py

Add weekly strategy report comparing top strategies to baselines

2026-05-14 12:49:18 +08:00

yearly_sweep.py

feat: add yearly sweep script for parameter optimization

2026-05-14 12:54:13 +08:00

README.md

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