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>
This commit is contained in:
TPTBusiness
2026-04-09 13:20:12 +02:00
parent f2186b0fce
commit e2f1a1005d
+4
View File
@@ -109,3 +109,7 @@ predix_quick_daytrading.py
predix_smart_strategy_gen.py
test/backtesting/test_smart_strategy_gen.py
docs/SMART_STRATEGY_GEN.md
# OpenACP local workspace (contains secrets)
.openacp
CLAUDE.md