2395a0c0c3
feat: PEAD mid-cap strategy + pipeline hardening + README cleanup
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- Implement PEAD 7% Long+Short strategy with mid-cap universe expansion
- Add Stock Oracle screener/company clients, text sentiment features
- Enhance backtest engine: short-side execution, walk-forward CV, MFE/MAE analysis
- Harden pipeline: sequential Oracle API calls, scoring recalibration (event_quality 65%)
- Add experiment configs for 60+ strategy variants and journal tracking
- Add review/analysis CLI tools
- Remove obsolete dev/phase0-4 design documents and analysis scripts
- Clean README to reflect only implemented features (remove unbuilt adapters/engines)
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
5 months ago
2f4d9f61f7
feat: implement Phase 4 -- event-driven backtester
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Full backtesting engine that reads Parquet snapshots and simulates a
swing-trading strategy with no look-ahead bias.
## New modules (libs/backtest/)
- domain.py: All Pydantic v2 models (Candidate, PlannedOrder, FilledTrade,
OpenPosition, DailyPortfolioState, MetricsBundle, BacktestConfig, etc.)
- calendar.py: Thin wrappers over time_utils + reaction_date
- manifests.py: Config load/deep-merge/validate, run-ID generation
- metrics.py: 21 pure-function metrics (no pandas, stdlib statistics only)
- selector.py: build_candidate(), rank_candidates() (score↓ ADV↓ symbol↑)
- allocator.py: 7-gate run_entry_gates(), ATR stop, floor() shares
- execution.py: simulate_entry/exit(), update_trailing_stop() (ratchet-up only)
- splits.py: Walk-forward windows, year/regime split utilities
- snapshot_store.py: Sync load() → asyncio.run(_async_load()), no look-ahead
- artifacts.py: Full run-dir writer (Parquet, CSV, JSON)
## App modules (apps/backtester/)
- run.py: BacktestRunner (exit-first→entry simulation, 25% kill switch) + CLI
- replay.py: Double-run determinism checker
## Config files
- configs/backtest/defaults.json: Base strategy defaults
- configs/experiments/baseline_v1.json: First experiment manifest
## Tests: 142 new tests, all passing
- 132 unit tests (no DB/HTTP required)
- 8 integration tests (synthetic SnapshotStore)
- 3 backtest determinism/replay tests
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
5 months ago
7fed850fbf
test: Phase 1/2 체크리스트 재작성 및 Oracle 실연동 통합 테스트
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- Oracle 서비스 어댑터 5개를 실제 API 포맷에 맞게 수정
- 모든 경로에 /api/v1/ prefix 추가
- price: data[] → bars 매핑, volume float→int
- filings: accession_number→accession_no, total_count→total
- financial: financial_data[] → periods, period_date 파싱
- finra: entries[] → data 매핑
- fred: data.observations 언패킹, value string→float (버그 수정 포함)
- fixtures 6개를 실제 Oracle 응답 포맷으로 전면 교체
- 통합 테스트에서 httpx_mock 완전 제거 → 실제 Oracle 직접 호출
- 신규 단위 테스트 3개 파일 추가 (logging, fred_service, llm_parser_stub)
- test_retries.py에 exhaustion 테스트 추가
- test_oracle_client.py에 connection/timeout/no-ctx 테스트 추가
- Phase 1/2 testing_checklist.md 실제 구현 기준으로 전면 재작성
- 전체 114 tests pass (unit 100 + replay 5 + integration 9)
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
5 months ago
0471018dd8
feat: implement ACE-F v1 Phase 1 -- Stock Oracle 기반 이벤트 파이프라인
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Stock Oracle (localhost:18001)을 단일 데이터 소스로 사용하는 미국 주식
이벤트 스윙 트레이딩 시스템의 Phase 1 구현체.
주요 구성:
- libs/oracle_client/: Stock Oracle REST 클라이언트 (filings, price, financial, fred, finra)
- libs/common/: config, logging, time_utils, ids, retries, file_store
- libs/db/: SQLAlchemy 2.0 모델 12개 + Alembic 마이그레이션 0001
- libs/parser/: 규칙 기반 파서 (텍스트 정규화, JSON Schema 검증, LLM 스텁)
- libs/features/: 시장/이벤트 피처 계산기
- apps/pipeline/: filing_poller → filing_fetcher → event_parser → feature_builder
- apps/sync/: macro_sync (FRED), short_volume_sync (FINRA), issuer_sync
- tests/: 단위 81개 + 리플레이 5개 전체 통과, lint clean
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
5 months ago
I Luk Kim