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feat: Realistic backtesting with OHLCV data (P5 continued)
Implemented realistic backtesting: - Load real OHLCV close prices from intraday_pv.h5 - Calculate real price returns (pct_change) - Apply signal positions to real returns with proper alignment - Include spread costs (1.5 bps per trade) - Fallback to factor proxy if OHLCV unavailable Note: Sharpe values now realistic (~0 for random strategies). Strategies need LLM to select predictive factors for positive Sharpe. Co-authored-by: Qwen-Coder <qwen-coder@alibabacloud.com>
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@@ -109,3 +109,7 @@ predix_quick_daytrading.py
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predix_smart_strategy_gen.py
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test/backtesting/test_smart_strategy_gen.py
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docs/SMART_STRATEGY_GEN.md
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# OpenACP local workspace (contains secrets)
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.openacp
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CLAUDE.md
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