gahow/quant-trading
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
65b8db7a12b0d5d89d31add3600961fcdaf32312
quant-trading/research
History
Gahow Wang 65b8db7a12 research: 50%-target search — conservative book, daily quick checks, Alpaca intraday 
- managed_futures_book: three sleeves + managed futures (DBMF, tsmom24 proxy
  before 2019-05) cuts MaxDD -37% -> -27% but CAGR 16-19%, Sharpe unchanged
  (REJECT).
- small_cap_reversal / turn_of_month / short_vol: preregistered quick checks,
  all STOP (net of spread costs, post-publication decay, post-2013 VRP 0.37).
- fetch_alpaca: resume-safe Alpaca SIP intraday bars 2016+ (1-min ETFs,
  5-min liquid S&P 1500), keys from .env and never logged.
- intraday_momentum: the SPY noise-area strategy replicates (yearly corr
  1.00 with the paper) but SPY Sharpe 0.99, ~0 after publication, and only
  QQQ of five other ETFs works (STOP).
- orb_stocks_in_play: preregistered 5-min ORB replication (not yet run).

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
2026-10-09 00:58:47 -07:00
..
lab
research: 50%-target search — conservative book, daily quick checks, Alpaca intraday
2026-10-09 00:58:47 -07:00
__init__.py
Add point-in-time S&P 500 backtest to expose survivorship bias
2026-04-17 16:26:02 +08:00
alpha_factors.py
research: add US alpha exploration scripts
2026-05-14 12:53:50 +08:00
alpha_research.py
research: add US alpha exploration scripts
2026-05-14 12:53:50 +08:00
dca_simulation.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
event_factors.py
feat: add regime and breakout alpha modules
2026-04-18 00:31:16 +08:00
factor_optimize.py
research: add US alpha exploration scripts
2026-05-14 12:53:50 +08:00
factor_panel_check.py
feat(research): Tiingo backfill of delisted names; honest PIT panels
2026-10-08 09:48:05 -07:00
fetch_historical.py
feat: add PIT OHLCV runner and fetch support
2026-04-18 14:59:48 +08:00
interaction_alpha.py
research: add US alpha exploration scripts
2026-05-14 12:53:50 +08:00
ls_momentum_eval.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
midsmall_rebuild.py
feat(research): Tiingo backfill of delisted names; honest PIT panels
2026-10-08 09:48:05 -07:00
midsmall_scan.py
feat(research): Tiingo backfill of delisted names; honest PIT panels
2026-10-08 09:48:05 -07:00
new_frameworks_eval.py
research: individual stock swing, new frameworks, literature alpha, DCA
2026-05-23 00:45:44 +08:00
optimize.py
Add point-in-time S&P 500 backtest to expose survivorship bias
2026-04-17 16:26:02 +08:00
permanent_yearly.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
pit_backtest.py
Add point-in-time S&P 500 backtest to expose survivorship bias
2026-04-17 16:26:02 +08:00
pit_comparison.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
pit_optimization.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
prod_impact.py
feat(research): Tiingo backfill of delisted names; honest PIT panels
2026-10-08 09:48:05 -07:00
regime_filters.py
feat: improve US alpha pipeline and regime filters
2026-05-14 12:54:00 +08:00
regime_stock_picker_eval.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00
run_interaction.py
research: add US alpha exploration scripts
2026-05-14 12:53:50 +08:00
sharpe_blend.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
single_stock_swing.py
research: individual stock swing, new frameworks, literature alpha, DCA
2026-05-23 00:45:44 +08:00
smart_dca_eval.py
research: individual stock swing, new frameworks, literature alpha, DCA
2026-05-23 00:45:44 +08:00
sota_ranking.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00
strategies_plus.py
Add point-in-time S&P 500 backtest to expose survivorship bias
2026-04-17 16:26:02 +08:00
strategy_final_report.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_improvement_eval.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_improvement_r2.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_improvement_r3.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_improvement_r4.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_risk_managed_eval.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_risk_managed_r2.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_sharpe_boost_v2.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_sharpe_boost_v3.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_sharpe_boost_v4.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_sharpe_boost_v5.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_sharpe_boost.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_sweep.py
research: add US alpha exploration scripts
2026-05-14 12:53:50 +08:00
trade_analysis.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
trend_rider_p0.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
trend_rider_robustness.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
trend_rider_v5_eval.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
trend_rider_v6_eval.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
us_alpha_pipeline.py
feat: improve US alpha pipeline and regime filters
2026-05-14 12:54:00 +08:00
us_alpha_report.py
feat: add PIT OHLCV runner and fetch support
2026-04-18 14:59:48 +08:00
us_combo_sweep.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
us_fundamentals.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
us_universe.py
feat: add PIT-aware tradable universe mask
2026-04-18 00:23:07 +08:00
v5_drawdown_trace.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
v5_p0_validate.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
v6_voltarget.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
v7_breakthrough_eval.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00
v7_breakthrough_fixed.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00
v7_literature_alpha.py
research: individual stock swing, new frameworks, literature alpha, DCA
2026-05-23 00:45:44 +08:00
v7_parameter_sweep.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00
v7_synthetic_leverage_eval.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00
v7_three_ideas_eval.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00
v7_trade_audit.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00