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9cb91ee846
Builds a full synthetic market data pipeline to test strategies against
12 diverse market regimes (bull/bear/crash/chop/rotation/liquidity drought)
that may not exist in historical data. Computes Regime Robustness Score (RRS)
to detect overfitting and environment-specific fragility.
- libs/backtest/scenarios/: price_gen, macro_gen, event_gen, coupling,
store_builder, scenarios (12 pre-built), robustness (RRS)
- apps/scenario/cli.py: `fithia2 scenario-test` with Rich output
- apps/tracker/cli.py: scenario-test command routing
- tests/: 83 unit tests across 3 new test files
- docs/scenario_test.md: usage guide and result interpretation
- docs/research_workflow_and_handoff.md: Step 5.5 scenario test added
Fix: no_signal scenario uses drift=0% (was +10%) for fair signal integrity scoring.
Fix: synthetic candidates now carry macro_vix/macro_hy_spread from macro_by_date
to pass selector engine filters.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
|
5 months ago | |
|---|---|---|
| .. | ||
| scenarios | 5 months ago | |
| __init__.py | 5 months ago | |
| allocator.py | 5 months ago | |
| artifacts.py | 5 months ago | |
| attention.py | 5 months ago | |
| calendar.py | 5 months ago | |
| domain.py | 5 months ago | |
| execution.py | 5 months ago | |
| manifests.py | 5 months ago | |
| metrics.py | 5 months ago | |
| ranking_models.py | 5 months ago | |
| scoring.py | 5 months ago | |
| selector.py | 5 months ago | |
| snapshot_store.py | 5 months ago | |
| splits.py | 5 months ago | |
| tracker.py | 5 months ago | |