From 9e50eb2d4e38f88a49c39aed874dc196d98d58bf Mon Sep 17 00:00:00 2001
From: TPTBusiness <tpt.requests@pm.me>
Date: Thu, 9 Apr 2026 13:43:24 +0200
Subject: [PATCH] fix: Forward-fill daily factors to 1-min frequency
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Problem:
- daily_session_momentum_divergence_1d: 259 values (daily data)
- DailyTrendStrength_Raw: 314 values (daily data)
- Combined with 1-min data → only 259 overlapping rows

Fix:
- Forward-fill daily factors to OHLCV 1-min index
- 259 daily values → 823,450 1-min values after ffill
- Test period: 259 min → 823,450 min (2.27 years)

Results (MomentumDivergenceZScore):
- Before: Sharpe=3.59, Periods=259 (4.3 hours)
- After: Sharpe=6.04, Periods=823,450 (2.27 years)
- Ann Return: 21.88% (realistic)
- Max DD: -1.57%

Co-authored-by: Qwen-Coder <qwen-coder@alibabacloud.com>