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feat: unified backtest engine, LLM error handling, strategy refactor

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- Add vbt_backtest.py as single source of truth for all metric formulas
  (Sharpe, drawdown, IC, transaction costs) — backtest_engine.py and
  strategy_orchestrator.py now delegate to it
- Add LLMUnavailableError to exception.py; rd_loop.py catches it at the
  proposal stage and raises LoopResumeError to avoid corrupting trace
  history with None hypotheses
- Guard record() against None exp/hypothesis so loop resets leave
  trace.hist in a consistent state
- Refactor strategy_orchestrator and optuna_optimizer to use unified
  backtest path; remove duplicate metric calculation code
- Add predix_rebacktest_unified.py script for offline re-evaluation
- Update tests and README

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
TPTBusiness
2026-04-17 22:52:07 +02:00
parent 2932f65eae
commit 3d2872c2fc
15 changed files with 1286 additions and 171 deletions
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rdagent/components/backtesting/__init__.py
+13 -2
View File
@@ -2,5 +2,16 @@
from .backtest_engine import BacktestMetrics, FactorBacktester
from .results_db import ResultsDatabase
from .risk_management import CorrelationAnalyzer, PortfolioOptimizer, AdvancedRiskManager
__all__ = ['BacktestMetrics', 'FactorBacktester', 'ResultsDatabase',
'CorrelationAnalyzer', 'PortfolioOptimizer', 'AdvancedRiskManager']
from .vbt_backtest import (
DEFAULT_BARS_PER_YEAR,
DEFAULT_TXN_COST_BPS,
backtest_from_forward_returns,
backtest_signal,
)
__all__ = [
'BacktestMetrics', 'FactorBacktester', 'ResultsDatabase',
'CorrelationAnalyzer', 'PortfolioOptimizer', 'AdvancedRiskManager',
'backtest_signal', 'backtest_from_forward_returns',
'DEFAULT_BARS_PER_YEAR', 'DEFAULT_TXN_COST_BPS',
]