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

gahow/quant-trading

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Gahow Wang 81f4e3b32c research: factor census on the current panel; key the factor-rank cache to the panel

factor_census measures all 86 lab factors one way on the post-Tiingo PIT
S&P 500 panel (IC, quintile spread, top-20 alpha vs EW). One class A
(low_svr21, 2018+), two class B (accruals, rev_5), 69 N, no |t| >= 3.
Momentum and overnight_mom have no quintile spread; the house edge sits
in the top 10. --part construction compares the live construction.

rotation.factor_ranks reused ranks_us.pkl regardless of the panel. The
cache predated the Tiingo merge (643 of 787 columns), so callers silently
dropped the backfilled delisted names. The cache now carries a key file
(panel calendar, tickers, membership, factors.py hash) and is rebuilt
when it does not match.

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

2026-10-12 07:14:42 -07:00

chore: add skill for codex too

2026-10-02 19:26:16 -07:00

.claude/skills/agent-stock-review

agent review: reject future-dated sources at submit; treat fetched pages as data

2026-10-11 22:24:47 -07:00

chore: untrack data/csi300_history.json

2026-09-29 15:15:31 +08:00

research: ORB (STOP), overnight-only momentum (STOP), Alpaca paper forward test

2026-10-09 20:06:34 -07:00

docs/superpowers/specs

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

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

research: factor census on the current panel; key the factor-rank cache to the panel

2026-10-12 07:14:42 -07:00

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

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

research: timestamped Yahoo analyst snapshots and a forward-only EPS-revision overlay

2026-10-12 05:16:19 -07:00

fix(backtest): settle delisted US holdings (engine v3), PIT membership before 2011, registry causality test

2026-10-10 00:21:49 -07:00

.env.example

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

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

.gitignore

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

2026-10-08 09:48:05 -07:00

.python-version

Initial commit: quant backtesting framework with daily trading simulator

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

agent_review.py

research: timestamped Yahoo analyst snapshots and a forward-only EPS-revision overlay

2026-10-12 05:16:19 -07:00

backtest_runner.py

fix(backtest): settle delisted US holdings (engine v3), PIT membership before 2011, registry causality test

2026-10-10 00:21:49 -07:00

bridge.py

live: commit the TrendRider V9/V10 registrations the monitor already runs

2026-10-09 22:20:28 -07:00

CLAUDE.md

research: factor census on the current panel; key the factor-rank cache to the panel

2026-10-12 07:14:42 -07:00

data_manager.py

live: keep new sessions on subset refreshes; replay books from a backfilled day

2026-10-12 05:16:16 -07:00

execution.py

fix(backtest): settle delisted US holdings (engine v3), PIT membership before 2011, registry causality test

2026-10-10 00:21:49 -07:00

factor_attribution.py

Reject empty attribution semantics headers

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

main.py

fix(backtest): settle delisted US holdings (engine v3), PIT membership before 2011, registry causality test

2026-10-10 00:21:49 -07:00

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

overnight_paper.py

overnight paper: count an order as sent only when Alpaca accepted it

2026-10-12 05:16:12 -07:00

precompute_backtest.py

fix: unify backtest execution and add forward validation candidates

2026-10-01 02:24:01 -07:00

pyproject.toml

feat: robust-momentum strategies live; fix live universe, lots and UI backtests

2026-09-25 19:12:02 +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

signals.py

fix: unify backtest execution and add forward validation candidates

2026-10-01 02:24:01 -07:00

trader.py

live: keep new sessions on subset refreshes; replay books from a backfilled day

2026-10-12 05:16:16 -07:00

universe_history.py

fix(backtest): settle delisted US holdings (engine v3), PIT membership before 2011, registry causality test

2026-10-10 00:21:49 -07:00

universe.py

feat: robust-momentum strategies live; fix live universe, lots and UI backtests

2026-09-25 19:12:02 +08:00

uv.lock

feat: robust-momentum strategies live; fix live universe, lots and UI backtests

2026-09-25 19:12:02 +08:00

weekly_strategy_report.py

Add weekly strategy report comparing top strategies to baselines

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

README.md

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