You cannot select more than 25 topics
Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
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 | |
|---|---|---|
| .. | ||
| backtest | 5 months ago | |
| paper_trader | 5 months ago | |
| tools | 5 months ago | |
| __init__.py | 5 months ago | |
| test_config.py | 5 months ago | |
| test_continuation_snapshot.py | 5 months ago | |
| test_db_models.py | 5 months ago | |
| test_event_features.py | 5 months ago | |
| test_file_store.py | 5 months ago | |
| test_financial_features.py | 5 months ago | |
| test_fred_service.py | 5 months ago | |
| test_ids.py | 5 months ago | |
| test_labeler.py | 5 months ago | |
| test_llm_cache.py | 5 months ago | |
| test_llm_client.py | 5 months ago | |
| test_llm_parser_stub.py | 5 months ago | |
| test_logging.py | 5 months ago | |
| test_market_features.py | 5 months ago | |
| test_merged_snapshot.py | 5 months ago | |
| test_merger.py | 5 months ago | |
| test_oracle_client.py | 5 months ago | |
| test_retries.py | 5 months ago | |
| test_review_queue.py | 5 months ago | |
| test_rule_parser.py | 5 months ago | |
| test_schema_validator.py | 5 months ago | |
| test_snapshot_export.py | 5 months ago | |
| test_text_normalizer.py | 5 months ago | |
| test_time_utils.py | 5 months ago | |