research: add strategy evaluation and exploration scripts
Add 28 research scripts covering DCA simulation, momentum evaluation, Sharpe optimization, trend rider analysis, and US fundamentals exploration.
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research/strategy_sharpe_boost_v4.py
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278
research/strategy_sharpe_boost_v4.py
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"""
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Sharpe boost v4: Long holding period (42d rebal) is the key lever.
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Key finding from v3: rebal=42d → Sharpe 1.42 (vs 1.34 for 21d)
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Why: Monthly rebal causes turnover-induced noise. Recovery/momentum signals
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are slow-moving (126d lookback) so weekly/biweekly rebal is too fast.
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42d rebal lets winners run.
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Now test: rebal=42d + concentration + mom_blend + asym_vol + DD dampener
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"""
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from __future__ import annotations
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import os, sys
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import numpy as np
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import pandas as pd
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sys.path.insert(0, os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
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from strategies.base import Strategy
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def _rank(df):
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return df.rank(axis=1, pct=True, na_option="keep")
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def compute_metrics(daily_rets: pd.Series) -> dict:
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eq = (1 + daily_rets).cumprod()
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n_years = len(daily_rets) / 252.0
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cagr = eq.iloc[-1] ** (1.0 / n_years) - 1.0
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vol = daily_rets.std() * np.sqrt(252)
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sharpe = daily_rets.mean() / daily_rets.std() * np.sqrt(252) if daily_rets.std() > 0 else 0
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running_max = eq.cummax()
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dd = eq / running_max - 1
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max_dd = dd.min()
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calmar = cagr / abs(max_dd) if max_dd != 0 else 0
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return {"cagr": cagr, "vol": vol, "sharpe": sharpe, "max_dd": max_dd, "calmar": calmar}
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def yearly_returns(daily_rets: pd.Series) -> pd.Series:
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eq = (1 + daily_rets).cumprod()
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yearly = eq.resample("YE").last().pct_change()
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yearly.iloc[0] = eq.resample("YE").last().iloc[0] - 1
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yearly.index = yearly.index.year
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return yearly
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class EnsembleV3(Strategy):
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"""Ensemble with all levers: rebal, concentration, mom, risk mgmt."""
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def __init__(self, top_n=10, rebal_freq=42, mom_blend=0.0,
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asym_vol=False, asym_vol_floor=0.50,
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dd_dampen=False, dd_floor=0.40, dd_denom=0.20):
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self.top_n = top_n
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self.rebal_freq = rebal_freq
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self.mom_blend = mom_blend
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self.asym_vol = asym_vol
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self.asym_vol_floor = asym_vol_floor
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self.dd_dampen = dd_dampen
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self.dd_floor = dd_floor
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self.dd_denom = dd_denom
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def generate_signals(self, data: pd.DataFrame) -> pd.DataFrame:
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p = data
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ret = p.pct_change()
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# === Signal A: rec_mfilt + deep_upvol ===
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rec_126 = p / p.rolling(126, min_periods=126).min() - 1
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mom_filter = p.shift(21).pct_change(105)
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rec_mfilt = rec_126.where(mom_filter > 0, np.nan)
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rec_mfilt_r = _rank(rec_mfilt)
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up_vol = ret.where(ret > 0, 0).rolling(20, min_periods=15).sum()
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deep_upvol = _rank(rec_126) * _rank(up_vol)
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deep_upvol_r = _rank(deep_upvol)
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signal_a = 0.5 * rec_mfilt_r + 0.5 * deep_upvol_r
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# === Signal B: Recovery 63d + 12-1 momentum ===
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rec_63 = p / p.rolling(63, min_periods=63).min() - 1
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mom_12_1 = p.shift(21).pct_change(231)
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rec_63_r = _rank(rec_63)
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mom_r = _rank(mom_12_1)
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signal_b = 0.5 * rec_63_r + 0.5 * mom_r
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# === Signal C: Pure momentum ===
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signal_c = mom_r
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# === Ensemble ===
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α = self.mom_blend
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if α > 0:
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ensemble = (1 - α) / 2 * signal_a + (1 - α) / 2 * signal_b + α * signal_c
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else:
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ensemble = 0.5 * signal_a + 0.5 * signal_b
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# === Select top_n ===
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rank = ensemble.rank(axis=1, ascending=False, na_option="bottom")
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n_valid = ensemble.notna().sum(axis=1)
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enough = n_valid >= self.top_n
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top_mask = (rank <= self.top_n) & enough.values.reshape(-1, 1)
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raw = top_mask.astype(float)
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row_sums = raw.sum(axis=1).replace(0, np.nan)
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signals = raw.div(row_sums, axis=0).fillna(0.0)
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# === Rebalance ===
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warmup = 252
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rebal_mask = pd.Series(False, index=data.index)
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rebal_indices = list(range(warmup, len(data), self.rebal_freq))
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rebal_mask.iloc[rebal_indices] = True
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signals[~rebal_mask] = np.nan
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signals = signals.ffill().fillna(0.0)
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signals.iloc[:warmup] = 0.0
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signals = signals.shift(1).fillna(0.0) # PIT
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# === Asymmetric vol: only cut in high-vol + negative return ===
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if self.asym_vol:
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daily_rets = data.pct_change().fillna(0.0)
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port_rets = (signals * daily_rets).sum(axis=1)
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short_vol = port_rets.rolling(20, min_periods=10).std() * np.sqrt(252)
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vol_median = short_vol.rolling(252, min_periods=126).median()
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recent_ret = port_rets.rolling(20, min_periods=10).sum()
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high_vol_neg = (short_vol > vol_median * 1.5) & (recent_ret < 0)
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asym_scale = pd.Series(1.0, index=data.index)
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asym_scale[high_vol_neg] = self.asym_vol_floor
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signals = signals.mul(asym_scale.shift(1).fillna(1.0), axis=0)
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# === Market DD dampener ===
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if self.dd_dampen:
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daily_rets = data.pct_change().fillna(0.0)
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mkt_rets = daily_rets.mean(axis=1)
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mkt_eq = (1 + mkt_rets).cumprod()
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mkt_dd = mkt_eq / mkt_eq.cummax() - 1
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dd_scale = (1.0 + mkt_dd / self.dd_denom).clip(lower=self.dd_floor, upper=1.0)
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signals = signals.mul(dd_scale.shift(1).fillna(1.0), axis=0)
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return signals
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_DATA_CACHE = {}
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def backtest_strategy(strategy, start="2016-04-01", end="2026-05-13"):
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import data_manager
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if "data" not in _DATA_CACHE:
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from universe import get_sp500
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tickers = get_sp500()
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data_manager.update("us", tickers)
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_DATA_CACHE["data"] = data_manager.load("us")
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data = _DATA_CACHE["data"]
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weights = strategy.generate_signals(data)
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daily_rets = (weights * data.pct_change().fillna(0.0)).sum(axis=1)
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return daily_rets.loc[start:end]
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def fmt_row(label, m):
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return (f"{label:<50s} {m['cagr']*100:>6.1f}% {m['vol']*100:>6.1f}% "
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f"{m['sharpe']:>6.2f} {m['max_dd']*100:>6.1f}% {m['calmar']:>6.2f}")
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def main():
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print("=" * 90)
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print("SHARPE BOOST v4: rebal=42d as key lever + combos")
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print("=" * 90)
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header = f"{'Config':<50s} {'CAGR':>7s} {'Vol':>7s} {'Sharpe':>6s} {'MaxDD':>7s} {'Calmar':>6s}"
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# --- rebal=42d sweep ---
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print(f"\n--- rebal=42d + concentration sweep ---")
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print(header)
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print("-" * 90)
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for n in [6, 8, 10, 12]:
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strat = EnsembleV3(top_n=n, rebal_freq=42)
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rets = backtest_strategy(strat)
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m = compute_metrics(rets)
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print(fmt_row(f"rebal=42, top_n={n}", m))
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# --- rebal=42d + momentum blend ---
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print(f"\n--- rebal=42d + momentum blend ---")
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print(header)
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print("-" * 90)
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for α in [0.0, 0.15, 0.20, 0.25, 0.30]:
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strat = EnsembleV3(top_n=10, rebal_freq=42, mom_blend=α)
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rets = backtest_strategy(strat)
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m = compute_metrics(rets)
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print(fmt_row(f"rebal=42, top10, mom={α:.0%}", m))
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# --- rebal sweep around 42d ---
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print(f"\n--- rebal frequency fine-tuning (top_n=10) ---")
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print(header)
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print("-" * 90)
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for freq in [30, 35, 42, 50, 63]:
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strat = EnsembleV3(top_n=10, rebal_freq=freq)
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rets = backtest_strategy(strat)
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m = compute_metrics(rets)
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print(fmt_row(f"rebal={freq}d, top10", m))
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# --- Best rebal + DD dampener ---
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print(f"\n--- rebal=42d + DD dampener ---")
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print(header)
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print("-" * 90)
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for n in [10, 12]:
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for α in [0.0, 0.20]:
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strat = EnsembleV3(top_n=n, rebal_freq=42, mom_blend=α, dd_dampen=True)
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rets = backtest_strategy(strat)
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m = compute_metrics(rets)
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print(fmt_row(f"rebal=42, top{n}, mom={α:.0%}, DD", m))
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# --- Best rebal + asym vol ---
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print(f"\n--- rebal=42d + asym_vol ---")
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print(header)
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print("-" * 90)
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for n in [10, 12]:
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strat = EnsembleV3(top_n=n, rebal_freq=42, asym_vol=True, asym_vol_floor=0.50)
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rets = backtest_strategy(strat)
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m = compute_metrics(rets)
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print(fmt_row(f"rebal=42, top{n}, asym_vol", m))
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# --- Full combo ---
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print(f"\n--- FULL COMBOS ---")
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print(header)
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print("-" * 90)
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combos = [
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("rebal42 + top10 + asym_vol + DD", dict(top_n=10, rebal_freq=42, asym_vol=True, dd_dampen=True)),
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("rebal42 + top10 + mom20% + asym_vol + DD", dict(top_n=10, rebal_freq=42, mom_blend=0.20, asym_vol=True, dd_dampen=True)),
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("rebal42 + top12 + asym_vol + DD", dict(top_n=12, rebal_freq=42, asym_vol=True, dd_dampen=True)),
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("rebal42 + top12 + mom20% + asym_vol + DD", dict(top_n=12, rebal_freq=42, mom_blend=0.20, asym_vol=True, dd_dampen=True)),
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("rebal63 + top10 + asym_vol + DD", dict(top_n=10, rebal_freq=63, asym_vol=True, dd_dampen=True)),
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("rebal63 + top12 + asym_vol + DD", dict(top_n=12, rebal_freq=63, asym_vol=True, dd_dampen=True)),
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]
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best_sharpe = 0
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best_label = ""
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best_rets = None
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for label, kwargs in combos:
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strat = EnsembleV3(**kwargs)
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rets = backtest_strategy(strat)
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m = compute_metrics(rets)
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print(fmt_row(label, m))
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if m["sharpe"] > best_sharpe:
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best_sharpe = m["sharpe"]
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best_label = label
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best_rets = rets
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# --- Best: yearly breakdown ---
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print(f"\n{'=' * 90}")
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print(f"BEST: {best_label} (Sharpe={best_sharpe:.2f})")
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best_m = compute_metrics(best_rets)
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print(f"CAGR: {best_m['cagr']*100:.1f}% Vol: {best_m['vol']*100:.1f}% "
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f"Sharpe: {best_m['sharpe']:.2f} MaxDD: {best_m['max_dd']*100:.1f}% "
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f"Calmar: {best_m['calmar']:.2f}")
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print(f"{'=' * 90}")
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yr = yearly_returns(best_rets)
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for year, ret in yr.items():
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print(f" {year}: {ret*100:>+7.1f}%")
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# --- IS/OOS ---
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print(f"\n--- IS/OOS Validation ---")
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# Re-run best on IS/OOS splits
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is_rets = best_rets.loc["2016-04-01":"2022-12-31"]
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oos_rets = best_rets.loc["2023-01-01":"2026-05-13"]
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is_m = compute_metrics(is_rets)
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oos_m = compute_metrics(oos_rets)
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print(f" IS (2016-2022): CAGR {is_m['cagr']*100:.1f}% Sharpe {is_m['sharpe']:.2f} MaxDD {is_m['max_dd']*100:.1f}%")
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print(f" OOS (2023-2026): CAGR {oos_m['cagr']*100:.1f}% Sharpe {oos_m['sharpe']:.2f} MaxDD {oos_m['max_dd']*100:.1f}%")
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# --- Bootstrap ---
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print(f"\n--- Block Bootstrap (5000 samples, block=42d) ---")
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from research.trend_rider_p0 import block_bootstrap
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boot = block_bootstrap(best_rets, n_boot=5000, block_len=42)
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print(f" Sharpe: median={boot['sharpe'].median():.2f} "
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f"5th={boot['sharpe'].quantile(0.05):.2f} "
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f"95th={boot['sharpe'].quantile(0.95):.2f}")
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print(f" MaxDD: median={boot['max_drawdown'].median()*100:.1f}% "
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f"5th={boot['max_drawdown'].quantile(0.05)*100:.1f}% "
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f"95th={boot['max_drawdown'].quantile(0.95)*100:.1f}%")
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print(f" P(Sharpe > 1.5): {(boot['sharpe'] > 1.5).mean()*100:.1f}%")
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print(f" P(Sharpe > 1.0): {(boot['sharpe'] > 1.0).mean()*100:.1f}%")
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if __name__ == "__main__":
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main()
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