quant-trading

Files

Gahow Wang 50b4cb7678 research: 10-day momentum in a $10k/$20k IBKR account with whole shares and low-frequency risk controls vs QQQ (none passes)

Preregistered: rb20, SPY de-risk vol target, fundamental re-sort and half QQQ,
simulated with execution.compute_trades sizing, cash-limited buys, IBKR Tiered/
Fixed fees and constant account size. All fail the 2011-16 Sharpe gate;
rb20_fundmom beats QQQ on 2011-26 CAGR and MaxDD but has no 2008 test.
Also found: wrong-security series in the research panel (filtered by dollar
volume) and the lab engine's missing delisting settlement (~2.8 pts/yr).

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>

2026-10-13 00:47:37 -07:00

lab

research: 10-day momentum in a $10k/$20k IBKR account with whole shares and low-frequency risk controls vs QQQ (none passes)

2026-10-13 00:47:37 -07:00

__init__.py

Add point-in-time S&P 500 backtest to expose survivorship bias

2026-04-17 16:26:02 +08:00

ARCHIVE.md

chore: remove pre-lab research and dead strategies; index them in research/ARCHIVE.md

2026-10-09 22:20:59 -07:00

factor_panel_check.py

feat(research): Tiingo backfill of delisted names; honest PIT panels