4 Commits

Include renames

Author	SHA1	Message	Date
dennisthiessenandClaude Fable 5	13374087db	feat: add residual momentum to signal-edge backtest ... Adds a research-only 12-1 residual momentum signal to the cross-sectional signal-evaluation harness. The signal estimates benchmark beta over the 12-1 formation window and ranks cumulative stock return minus beta-adjusted benchmark return; it only appears when benchmark closes are available. No production qualification behavior changes. The Backtest signal table labels the new row as 12-1 residual momentum. Tests cover benchmark-gated emission and beta removal while keeping stock-specific drift. Verification: 453 backend tests pass, ruff check app/ clean, frontend npm run build clean. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>	2026-07-02 15:46:54 +02:00
dennisthiessenandClaude Opus 4.8	7060b9a019	parallelize the backtest across worker processes (true multi-core) ... The replay was CPU-bound and single-core: the earlier asyncio.to_thread offload kept the API responsive but, because of the GIL, ran on one core. Per-ticker replay is independent, so fan it out across worker processes (which sidestep the GIL) for real multi-core speedup. - New `settings.backtest_workers` (default 4), capped to cpu_count-1 so a core stays free for the web server. - Uses a `forkserver` context (workers forked from a clean single-threaded server — avoids the fork-with-threads deadlock); falls back to `fork`. On spawn-only platforms (Windows) and for 1-ticker runs it uses the thread path, so dev/tests are unaffected. - Worker takes primitive column arrays (cheap to pickle), rebuilds bars, and returns (candidates, plain-dict signal series) — both picklable across the process boundary. Bars are still fetched in the event loop (ORM-safe). - Pool creation is guarded: if the pool can't start, the job falls back to the sequential thread path instead of failing. 334 backend tests pass (parallel path is POSIX/server-only, so it's covered by construction + the picklability/worker-count tests; the thread fallback is exercised by the run_backtest smoke test). Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>	2026-06-23 23:20:20 +02:00
dennisthiessenandClaude Opus 4.8	099846513b	deepen OHLCV history + make the factor-IC pass honest about overlap/regime ... Two changes so the cross-sectional signal results can actually be trusted. (a) History depth — the binding constraint. Ingestion defaulted to 365 days, so long-lookback factors (12-month momentum, 52-week high) were only computable on a handful of weeks at the tail, and every IC reflected a single market regime. - New `settings.ohlcv_history_days` (default 1825 ≈ 5y); new tickers backfill this far instead of 1 year. - New manual "data_backfill" job (Admin → Jobs) re-fetches the full window for every ticker, ignoring incremental resume — run once to deepen existing 1-year histories. Idempotent (upsert); resumes after rate limits. (b) Factor-IC honesty. The IC was averaged over weekly rebalances whose 30-day forward windows overlap, inflating the t-stat ~sqrt(6)x. - IC now measured on NON-OVERLAPPING windows (weeks thinned to ~HORIZON apart). - Each signal carries a `reliable` flag (>= 12 independent windows); BacktestPanel greys out and de-stars thin signals so a lucky 9-week IC of 0.3 can't masquerade as an edge. 332 backend tests pass; frontend build clean. No migration (config + job + an added JSON field on the cached backtest report). Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>	2026-06-23 18:20:59 +02:00
dennisthiessenandClaude Opus 4.8	402025692a	add cross-sectional signal evaluation (factor rank-IC) to the backtest ... The per-setup hit-rate report can't tell whether a signal predicts returns — only how a target/stop structure built on one performs. This adds a cross-sectional factor-IC pass: each week the universe is ranked by a price-only signal and graded by its rank correlation (Spearman IC) and top-minus-bottom- quintile spread against the forward 30-day return. Candidate signals (point-in-time from price; sentiment/fundamentals have no history in the replay): 12-1/6-1/3-1 month momentum, 1-month reversal, price-vs-200d SMA, proximity to the 52-week high (George/Hwang), and 126-day realized volatility (low-vol anomaly). Reuses the existing per-ticker replay loop (no new data, no second DB pass); results land in the cached backtest_report as `signal_eval` and render as a "Signal edge" table in BacktestPanel beside the calibration curve. 330 backend tests pass (10 new in test_signal_eval); frontend build clean. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>	2026-06-23 17:58:40 +02:00