From fa87d2f6b2b1edab23b0cac27fd1e2f3a02d94aa Mon Sep 17 00:00:00 2001
From: TPTBusiness <tpt.requests@pm.me>
Date: Thu, 9 Apr 2026 13:39:18 +0200
Subject: [PATCH] feat: Fix realistic backtesting (Step 1+2)
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Step 1 - Evaluierung bekannter Strategien:
- Added 'close' to exec context for existing strategies
- Strategies can now use close.index for signal creation
- MomentumDivergenceZScore evaluates correctly: Sharpe=3.59, DD=-0.22%

Step 2 - Annualisierungsfaktor korrigiert:
- Fixed: sqrt(252*1440/96) → sqrt(252*1440) for 1-min data
- Added minimum 0.1 years to avoid extreme values for short periods
- Linear scaling for <1 year, compound for >=1 year

Test results (MomentumDivergenceZScore):
- Status: accepted
- Sharpe: 3.59 (realistic)
- Max DD: -0.22%
- Win Rate: 49.46%
- Ann Return: 543.75% (linear scaled for 259 min period)

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