Gahow Wang
cc1366b2dc
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>
16 lines
307 B
TOML
16 lines
307 B
TOML
[project]
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name = "quant-trading"
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version = "0.1.0"
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description = "Add your description here"
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readme = "README.md"
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requires-python = ">=3.12"
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dependencies = [
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"lxml>=6.0.2",
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"matplotlib>=3.10.8",
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"numpy>=2.4.0",
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"pandas>=2.3.3",
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"scipy>=1.17.1",
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"xlrd>=2.0.2",
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"yfinance>=1.0",
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]
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