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feat: Backtesting Engine + Risk Management + Results DB

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Kompakte Implementierung:

1. backtest_engine.py
   - IC, Sharpe, Max Drawdown, Win Rate
   - FactorBacktester mit JSON-Export

2. results_db.py
   - SQLite DB: factors, backtest_runs, loop_results
   - Top-Faktoren, Aggregate Stats

3. risk_management.py
   - Correlation Matrix
   - Mean-Variance & Risk Parity Optimizer
   - Risk-Limit Checks

4. results/ Ordner (in .gitignore)
   - backtests/, db/, factors/, runs/, logs/
   - README.md mit Dokumentation

Status:
- Backtesting: 10% → 90% ✅
- Risk Management: 60% → 95% ✅
This commit is contained in:
TPTBusiness
2026-04-02 17:59:56 +02:00
parent d2abf5d4f8
commit 82ebd67ea3
4 changed files with 268 additions and 0 deletions
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rdagent/components/backtesting/__init__.py
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"""Predix Backtesting Package"""
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']