 Adriano
|
eac2aa1d00
|
audit+fix: anti-look-ahead audit, migrate deployable config to >=12h
- trackD_lookahead_audit.py: relabel test (left==right, no labeling leak) + execution-lag
stress -> our trend pipeline is CLEAN (4h Sharpe 1.36 robust to +1 bar lag, label-invariant)
- ADOPT conservative conclusion: deploy at 12h (sub-12h: costs/overfit dominate, slight Sharpe
bump unreliable). 12h: Sharpe 1.32, DD 13.3%, CAGR 16.2% ~ identical and robust
- trend_portfolio: DEPLOY_TF=12h, resample_tf(rule); paper trader + tests on 12h
- calendar research (NEGATIVE, both): trackF seasonality (spurious), trackG prior-levels
(breakouts continue, fade dead; only long-drift survivor, redundant with TP01)
- gitignore data/paper_trend runtime state
|
2026-06-19 21:13:57 +02:00 |
|
|
Adriano
|
ae7f3d17f2
|
deploy: TP01 trend portfolio (PORT LF4h) module + paper trader
- src/strategies/trend_portfolio.py: canonical winner, causal/no-leakage,
reproduces CAGR +16.5% Sharpe 1.36 maxDD 13.8%
- scripts/live/paper_trend.py: forward-only paper trader, persistent state, resume
- tests/test_trend_portfolio.py: 5 tests (causality, profitability, long-only, paper parity)
|
2026-06-19 20:35:28 +02:00 |
|