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f2113b7e06
Backtester (run.py): - cash_available = (self._cash + parking_value) * multiplier caused trades to be approved even when self._cash ≈ 0 (all money in SGOV/QQQ). Trades executed by deducting from self._cash → negative cash (phantom money). - Fix: after simulate_entry, if self._cash < actual trade cost and parking exists, call _liquidate_parking_for_cash(shortfall) before deducting from cash. - Verified: 2022-2026 backtest with qqqm_low_dd shows 0 cash_negative events. Live engine (engine.py): - Add _parking_liquidate_for_event(): frees parking cash to fund event entries. SGOV (virtual) reduces entry_value in DB; QQQM/QQQ sells real shares via broker. - Both entry loops (engines mode + flat/reaction_close mode) now attempt parking liquidation when plan.skip_reason == "insufficient_cash" before giving up. Also includes prior session work (accumulated since last commit): - 6 novel parking gate signals: VRP, Market Temperature, Hurst exponent, Rolling Kurtosis, Return Autocorrelation, SPY-QQQ Correlation (composite risk score v2) - QQQM parking symbol support (lower expense ratio vs QQQ) - Snapshot auto-refresh + bar extension cache (pickle) to avoid 10-min re-fetches - Bar extension clamps to last market-closed date (ET 4PM check) - fithia2 refresh command; --no-refresh flag for paper backtest - Paper backtest macro extension beyond last event date (parking-only periods) - parking_state DB schema: 7 new columns (peak_price, gate_in_sgov, committed_target, pending_target, pending_days, sgov_entry_value, sold_today) - Live engine: target confirmation (2-day), top-up drawdown gate, trailing stop, SGOV interest accrual, full 6-signal gate evaluation - New PARKING_PRESETS: qqqm_low_dd, composite_v2, vv_24_vrp8, vt_24_t13, etc. - Web GUI / CLI result parity fix (Oracle URL via get_settings().stock_oracle_url) - Force-close uses last_exec_date (has bar data); parking liquidates at last_date Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com> |
5 months ago | |
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| .. | ||
| cash_parking.md | 5 months ago | |
| experiment_management.md | 5 months ago | |
| overfit_check.md | 5 months ago | |
| public_sqs_calculation.md | 5 months ago | |
| research_workflow_and_handoff.md | 5 months ago | |
| scenario_test.md | 5 months ago | |
| v7.70 전략 완전 해설.md | 5 months ago | |
| v12.61 전략 완전 해설.md | 5 months ago | |