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d000731cc7
New engines (configurable but not promoted by default): - libs/backtest/earnings_runup.py: pre-earnings drift entry (T-7 to T-3, attention+volume z-scores) - libs/backtest/peer_sympathy.py: peer reaction trade after leader earnings, with reaction_close variant - libs/backtest/vol_breakout_52w.py: 52-week high volume breakout - libs/backtest/cross_sectional_momentum.py: 12-1 momentum with VIX/SPY-50dma regime filter Pipeline additions: - libs/parser/event_type_normalizer.py: normalize Oracle fallback raw vocab to strategy vocabulary (earnings_result→earnings_release, regulation_fd→guidance_update, etc.). Wired into apps/pipeline/event_parser/main.py oracle-fallback path. - libs/labeler/label_generator.py: preserve future entry_dates as label_status='pending' instead of dropping as 'unavailable'. - libs/export/snapshot_export.py: include 'pending' labels in snapshot export. - libs/parser/rule_parser.py: harden 8-K item-code classifier against dirty input strings. Infrastructure: - libs/backtest/snapshot_store.py: _PRICE_FEATURE_WARMUP_DAYS 120→400 (needed for xsmom 12-1 lookback of 273 trading days). - apps/backtester/run.py + apps/paper_trader/backtest_sim.py: disable auto-refresh of snapshots (user request — auto-refresh was silently rebuilding snapshots with current code, making historical backtests irreproducible across DB mutations). Engine config support: - libs/backtest/domain.py: add fields for ER/PS/VolBO/xsmom engine configs. - libs/backtest/execution.py: wire pct-trailing for EarningsRunup. - libs/backtest/scoring.py: synthetic candidate scoring for new engines. Configs (POC + sweeps, none promoted as active strategy): - Phase A-E PEAD baseline comparisons (no PEAD / +ER / +xsmom / +sleeves variants) - Phase F1-F8 silo allocation sweep (v7.356 + ER/xsmom silos 15-60%) - xsmom_poc_v1, xsmom_v2_regime_mdd - v7.356_plus_er_silo_05/10/15/20/25/30 ranges - earnings_runup_* / peer_sympathy_* / vol_breakout_52w_* POCs Tests: 16-tests-each for each new engine + event_type_normalizer tests. Note: backtest reproducibility infrastructure remains broken — see _backup_2026-05-10/HANDOFF.md for details on the +12,592% reference run that cannot be reproduced after rebuilds. Followup work needed before trusting any specific backtest number. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com> |
3 months ago | |
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| .. | ||
| fixtures | 5 months ago | |
| integration | 3 months ago | |
| replay | 5 months ago | |
| unit | 3 months ago | |
| __init__.py | 5 months ago | |
| conftest.py | 5 months ago | |