Gahow Wang
92af4e5ac0
Yahoo purges delisted members: the S&P research panel was missing 209 ever-members (AGN/CELG/ESRX/ATVI/TWTR/XLNX/...), the production store 89, and the S&P 400/600 panels ~180 more. The gap inflated momentum-family factors (overnight_mom holdout 16.9->14.8%/yr, rec_126 14.7->10.7 on the research panel; factor_panel_check). research/lab/fetch_tiingo.py pulls full EOD histories (free tier: 500 unique symbols/month, 50/hour; paced, resume-safe, key never logged). research/lab/tiingo_merge.py overlays the caches on the research S&P panel at build time (>=50% PIT-coverage gate, median-overlap cross-check, stub-column replacement, rename splices GPS<-GAP, DISCA<-WBD, WLTW<-WTW, ADS<-BFH, CCE<-CCEP, ESV<-VAL, FBHS<-FBIN, HFC<-DINO) and can apply the same to the production store (--production [--apply]; data/us*.csv, .bak-tiingo backups, under the panel lock). load_us() rebuilds when the overlay changes (_tiingo_sig); fetch_us_mid.load_bars falls back to converted CSVs. Round 1 (2026-10-08): 165/209 S&P names and 183 mid/small PIT members restored (2011-19 snapshots were 15-20% short of PIT members). prod_impact A/B on registered replays: overnight_recovery_top10 23.8%/0.83/-38.3% vs 27.8%/0.88/-47.3% backfill-off; lowrisk_top20 6.1%/0.58 vs 8.6%/0.60 - honest long returns with shallower drawdowns; trend_rider_v10 (ETF path) unchanged at 55.0%/1.64. Official precompute refreshed (backup at data/precomputed/backtest_results.json.pretiingo). midsmall_scan on the corrected panel: no factor beats the EW benchmark (0.60 holdout Sharpe vs 0.51-0.52 best) - no mid/small sleeve.
72 lines
1.2 KiB
Plaintext
72 lines
1.2 KiB
Plaintext
.claude/*
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!.claude/skills/
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.qoder/
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# Python
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__pycache__/
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*.py[cod]
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*.egg-info/
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build/
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dist/
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wheels/
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# Virtual environment
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.venv/
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# Data files — downloaded at runtime, large CSVs
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data/*.csv
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data/*.png
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# Universe caches — re-fetched daily
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data/universe_*.json
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data/sp500_history.json
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data/csi300_history.json
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# Trader state — per-machine, regenerated by auto/simulate
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data/trader_*.json
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data/books/
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# Agent candidate packs and score files (agent_review.py) — per-machine forward record
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data/agent/
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# Factor attribution output and cached factors
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data/attribution_*/
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data/factors/
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data/factors_review_tmp/
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# SEC fundamental data — fetched from EDGAR API
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data/sec_frames/
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data/sec_company_tickers.json
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# External tool artifacts
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docs/superpowers/
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# IDE / editor
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.idea/
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.vscode/
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*.swp
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*.swo
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*~
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# OS
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.DS_Store
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Thumbs.db
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# Price panel locks, repair backups and Yahoo availability markers
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data/.*.lock
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data/backup_*/
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data/*_unavailable.json
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data/*.bak-tiingo
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# Local secrets, logs and agent scratch output
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.env
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logs/
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memory/
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.tmp_finance/
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# Web UI state and precomputed backtests (web/src/server/paths.ts)
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data/web/
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data/precomputed/
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# Research panels and results — fetched/rebuilt by research/lab
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data/research/
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