Phase 1 — Infrastructure:
- RiskMgmt_RISK_PER_TRADE 0.5% → 1.5% (vbt_backtest.py)
- min_monthly_return_pct=15% acceptance filter (strategy_orchestrator)
- --min-monthly-return 15 CLI option (nexquant.py)
- {{ min_monthly_return }}% in strategy prompts
- MIN_MONTHLY_RETURN_PCT=15.0 in gen_strategies_real_bt + smart_strategy_gen
- realistic_backtest_all.py target_monthly 4→15%
Phase 2 — Factor quality:
- IC thresholds: prompt 0.05→0.08, bandit IC weight 0.10→0.20
- Explicite IC > 0.04 target in RAG prompt
- min_ic filters: data_loader 0.0→0.04, strategy_worker 0.02→0.04, ml_trainer 0.01→0.04
Architecture fix — Daily signal resampling:
- Factors have IC at daily resolution, but z-scores on 1-min collapse IC to ~0
- Resample factors to daily before strategy exec, ffill signal to 1-min for backtest
- Walk-forward IS years 3→1 (only 2 years of data available)
- Removed broken intersection() logic that destroyed 99.99% of 1-min data
- ffill stale propagation limited to 2880 bars (2 trading days)
- Fixed logger crash in _load_strategies
- Preflight: removed constant-signal check (false positive on random sandbox data)
- Tests: test_daily_signal_resampling.py (8 tests)
Non-negotiable rules: R1-R10 in AGENTS.md
- quant.py: guard against empty orch_factors, move strategy_name before try block
- quant_proposal.py: fix __init__ return type Tuple[dict,bool] -> None
- strategy_orchestrator.py: remove dead rdagent_logger import shadowed by getLogger
- factor.py: replace unusual 'not x is None' with idiomatic 'x is not None'
- workflow/loop.py: withdraw_loop(0) raises RuntimeError instead of looking for folder -1
- workflow/tracking.py: replace crash-prone AssertionError with logger.warning + skip
- factor_from_report.py: fix misleading comment about loop_n/step_n dual use
- _fix_reset_index_groupby: replace groupby(level=N) on reset_index'd variables
with groupby('instrument') — fixes ValueError: level > 0 only valid with MultiIndex
- _fix_groupby_mixed_levels: strip string level names from groupby(level=[int, 'str'])
to fix AssertionError: Level 'date' not in index
- _fix_groupby_column_on_multiindex: convert groupby(['instrument','date']) on
MultiIndex DataFrames to groupby(level=1) — fixes KeyError on column access
- _fix_rolling_ddof: remove unsupported ddof kwarg from rolling().std()/var()
- fix(proposal): apply history compression to factor_proposal.py (was causing
131k-token prompts from QlibFactorHypothesis2Experiment; pycache had stale .pyc)
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- Summarize all but the 2 most recent experiments to compact bullet lines
(factor name, PASS/FAIL, IC value, 120-char observation snippet) instead
of including full verbatim traces; reduces prompt from ~121k to ~40-60k tokens
- Fix _evaluate_factor_directly and _save_factor_values to look for result.h5
and factor.py in sub_workspace_list instead of experiment_workspace
- Fix Series.to_parquet() → Series.to_frame().to_parquet() in _save_factor_values
- Update factor_data_template README: correct bars-per-day (1440, not 96)
- Update prompts to accept 2024-only debug dataset output as valid factor result
- Fix factor_coder prompts: allow 2024 debug data in date-range instruction
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- Add vbt_backtest.py as single source of truth for all metric formulas
(Sharpe, drawdown, IC, transaction costs) — backtest_engine.py and
strategy_orchestrator.py now delegate to it
- Add LLMUnavailableError to exception.py; rd_loop.py catches it at the
proposal stage and raises LoopResumeError to avoid corrupting trace
history with None hypotheses
- Guard record() against None exp/hypothesis so loop resets leave
trace.hist in a consistent state
- Refactor strategy_orchestrator and optuna_optimizer to use unified
backtest path; remove duplicate metric calculation code
- Add predix_rebacktest_unified.py script for offline re-evaluation
- Update tests and README
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Problem:
- Many parallel runs crashed with: AttributeError: 'QuantTrace' object has no attribute 'controller'
- controller was only initialized in increment_factor_count(), not in __init__
- Code in quant_proposal.py line 66-67 accesses trace.controller before increment_factor_count() is called
Fix:
- Move self.controller = EnvController() to __init__ method
- controller is now available from the start
Also:
- Removed redundant controller initialization from increment_factor_count()
- This fixes crashes for ~50% of the parallel runs
Problem:
- All 50 parallel runs failed with: AttributeError: 'QuantTrace' object has no attribute 'get_factor_count'
- The _build_strategies_with_ai() method calls self.trace.get_factor_count()
- This method didn't exist in the QuantTrace class
Fix:
- Add get_factor_count() method to QuantTrace class
- Add increment_factor_count() method to track factor generation
- Call increment_factor_count() in running() step when factors are generated
- _build_strategies_with_ai() is already wrapped in try/except for safety
Now the parallel runs will work correctly.
* fix model input shape bug and costeer_model bug
* fix a bug
* fix a bug in docker result extraction
* a system-level optimization
* add a filter of stdout
* update
* add stdout to model
* model training_hyperparameters update
* quant scenario
* update some quant settings
* llm choose action
* Thompson Sampling Bandit for action choosing
* refine both scens
* add trace messages for quant scen
* fix some bugs
* fix some bugs
* update
* update
* update
* fix
* fix
* fix
* update for merge
* fix ci
* fix some bugs
* fix ci
* fix ci
* fix ci
* fix ci
* refactor
* default qlib4rdagent local env downloading
* fix ci
* fix ci
* fix a bug
* fix ci
* fix: align all prompts on template (#908)
* use template to render all prompts
* fix CI
---------
Co-authored-by: Xu Yang <xuyang1@microsoft.com>
* add fin_quant in cli
* fix a bug
* fix ci
* fix some bugs
* refactor
* remove the columns in hypothesis if no value generated in this column
* fix a bug
* fix ci
* fix conda env
* add qlib gitignore
* remove existed qlib folder & install torch in qlib conda
* fix workspace ui in feedback
* align model config in coder and runner in docker or conda
* fix CI
* fix CI
---------
Co-authored-by: Xu Yang <peteryang@vip.qq.com>
Co-authored-by: Xu Yang <xuyang1@microsoft.com>
* refine ds modal for more cases: eval and es
* update model template
* prompts for model and ensemble
* fix a bug
* fix a bug
* init: ds workflow evovingstrategy
* Adding ensemble (#505)
* Initial Draft
* Updating logic for init
* Revising
* Successful Testing
* Updating to use the latest & right class
* bug: bug-fixing for testing
* data science loop changes
* data science loop base
* ds loop feedback
* fix
* remove measure_time because it's duplicated (in LoopBase)
* add the knowledge query for data_loader & feature
* edit ds workflow evaluator
* data_loader bug fix
* stop evolving when all tasks completed
* llm app change
* fix break all complete strategy
* Adding queried knowledge (#508)
Co-authored-by: XianBW <36835909+XianBW@users.noreply.github.com>
* fix loop bug
* ds workflow evaluator; test; refine prompts
* workflow spec
* fix ci
* feature task changes
* ds loop change
* fix a bug in feat
* add query knowledge for model and workflow
* llm_debug info(for show) using pickle instead of json
* remove NextLoopException
* loop change
* coder raise CoderError when all sub_tasks failed
* rename code_dict to file_dict in FBWorkspace
* add CoSTEER unittest
* now show self.version in Task.get_task_information(), simplify CoSTEER sub tasks definition
* remove some properties in ModelTask, add model_type in it.
* fix llm app bug
* llm web app bug fix
* ds loop bug fix
* fix: give component code to feature&ens eval
* loop catch error bug
* rename load_from_raw_data to load_data
* feat: Add debug data creation functionality for data science scenarios
* support local folder (#511)
* support local folder
* remove unnecessary random
* KaggleScen Subclass
* small fix
* use template for style description
* update default scen to kaggle
* update sample data script
* make sure frac < 1
* fix a bug
* feature spec changes
* fix
* changeimport order
* clear unnecessary std outputs
* fix a typo
* create sample folder after unzip kaggle data
* feature/model test script update
* Align the data types across modules.
* fix a bug in model eval
* show line number
* move sample entry point to app
* spec & model prompt changes
* Refine the competition specification to address the data type problem and the coherence issue.
* fix some bugs
* add file filter in FBworkspace.code property
* support non-binary prediction
* avoid too much warnings
* fix a bug in ensemble module
* filtered the knowledge query in all modules
* delete RAG in idea proposal
* refine the code in ensemble
* show exp workspace in llm_st
* exp_gen bug fix
* feedback bug fix
* use `feature` instead of `feat01`
* Trace & method of judging if exp is completed change
* fix a bug in package calling and execute ci
* fix code
* bug fix
* bug fix
* fix a bug
* fix some bugs
* fix a bug
* refactor: Enhance error handling and feedback in data science loop
* support different use_azure on chat and embedding models
* multi-model proposal logic
* fix a small syntax error
* loopBase and some changes
* ensemble scores change
* fbworkspace.code -> .all_codes
* use all model codes in workflow coder
* check scores.csv's keys(model_names)
* model name changes
* add a todo in ensemble test
* sota_exp changes
* give model info in exp gen
* add runner time limit
* config using debug data or not in evals
* exp to feedback base
* add feature code when writing model task
* small problem
* copying during sampling
* update
* refactor: Simplify code handling and improve workspace management
* model part output fix
* print model's execution time
* bug fix
* ensemble test fix
* ens small change
* ens_test bug fix
* Refine partial expansion logic to display only a few subfolders when their structure is uniform, improving readability in nested directories.
* several update on prompts
* sample subfolders
* Filter the stdout after code execution to remove irrelevant information e.g. progress bars, whitespace characters, excessive line breaks.
* Add some more prompts and comments
* several update on the first init rounds
* model timeout as error
* fix pattern of getting model codes in workspace
* small bux fix on model prompts
* remove get_code_with_key since we have regex pattern
* fix: Correct tqdm progress bar update logic in LoopBase class
* feat: Add diff generation and enhance feedback mechanism in data science loop
* update some fix to model and workflow prompts
* refine the logic of progress bar filter
* add last_successful_exp in exp_gen
* fix a one line bug
* add a hint in prompt
* fix data sample for bms
* fix data sample for bms
* hypothesis small fix
* crawler readme update
* fix component gen
* fix bug
* annotation change
* load description.md if it exists
* refactor: Simplify SOTA description handling in feedback and prompts
* refactor: Use shared templates for feedback and experiment descriptions
* change webapp for model codes changes
* update proposal
* add timeout message for docker run output
* fix
* refine the code in docker time processing
* use .shape instead of len() when do shape eval
* won't change size during iteration
* support bson sample
* sample support jsonl and bson
* add former_code to coder prompts
* a little speed us in debug data creating
* filter progress bar when eval ens and main
* avoid costeer makes no change to former code
* fix several log error
* add timeout judge threshold
* fix some bugs in the evaluation of component output shapes
* File structure for supporting litellm (#517)
Co-authored-by: Young <afe.young@gmail.com>
* ignore submission and show processing
* ignore submission and show processing
* add efficiency notice
* refactor: Enhance error message with detailed feedback summary
* refactor: Simplify component handling in DSExpGen class
* refactor: Update code structure and add docstring for clarity
* reserve one sample to each label in data sampling
* add Evaluation info
* refine costeer code to avoid giving same code twice
* use raw_description as plain text
* add a prompt hint to avoid same dict key
* model task name bug in first model exp gen
* fix a typo
* add some debug info in costeer tests
* task init change
* enhance data sampling
* refine the code in data_loader
* more reasonable loop
* fix a bug in data folder description
* add error msg & traceback to execution feedback
* fix llm error msg detection
* add task information to costeer eval & add cache to docker run(use zipfile to store the whole workspace)
* fix CI first round
* fix CI second round
* use txt to store test script to avoid pytest
* remove zipfile in requirements
* add azure.identity to requirements
* ignore debug web page
* component test changes
* remove redundent task_desc in model coder
* feat: Add APE module and prompts for automated prompt engineering
* fix: Update .gitignore and improve text formatting in eval.py
* refactor: Update print output and improve code comments and imports
* style: Fix string formatting and import order in ape.py and fmt.py
* exclude ape
* add a data folder notice
* reduce unnecessary output to stdout
* refine the code of describe_data_folder
* fix ci
* style: streamlit style update (#522)
* streamlit style update
* fix import
* fix format
* fix llm_st loop progress bar
* debugapp small change
* fix model str
* refine some prompts
* fix model str
* fix CI
* refine the logic associated with the data_folder
* fix ci
* small change
* set filter_progress_bar as default in execute
* model proposal with workflow
* add submission check in workflow eval
* fix bug
* small change
* fix CI
* fix CI
* refactor: Move generate_diff to utils and update DSExpGen logic
* more reasonable prompt describing metric direction
* fix a minor jinja2 bug
* quick fix exp_gen bugs
* fix the following bug
* fix
* fix some bugs
* remove workflow from model
* add pending_tasks_list in data science to enable coding model and workflow
* refine the code for handling JSON-formatted data descriptions
* assert with information
* ensure correct csv file name
* add logging to help record the output
* log competition
* add log tag for debug llm app
* test: Test ds refactor ll (#523)
* fix bugs to former scenario
* fix a bug because coding in rdloop changed
* fix the bug when feedback gets no hypothesis
* fix trace structure
* change all trace hist when merging hypothesis to experiments
* ignore some error in ruff
* fix kaggle scenario bugs
* refine one line
* another bug
* another small bug
* fix ui bugs
* chage kaggle train.py path
---------
Co-authored-by: Xu Yang <peteryang@vip.qq.com>
* fix CI
* Update rdagent/app/data_science/loop.py
Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com>
* add samplecsv into spec prompts
* fix CI
---------
Co-authored-by: TPLin22 <tplin2@163.com>
Co-authored-by: yuanteli <1957922024@qq.com>
Co-authored-by: Xisen Wang <118058822+xisen-w@users.noreply.github.com>
Co-authored-by: Bowen Xian <xianbowen@outlook.com>
Co-authored-by: Xu Yang <peteryang@vip.qq.com>
Co-authored-by: XianBW <36835909+XianBW@users.noreply.github.com>
Co-authored-by: Tim <illking@foxmail.com>
Co-authored-by: 炼金术师华华 <37462254+YeewahChan@users.noreply.github.com>
Co-authored-by: Linlang <30293408+SunsetWolf@users.noreply.github.com>
Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com>
* udpate plot
* log and reduce token
* trace tag
* add simple_background parameter to get_scenario_all_desc
* update trace
* update first version code
* chat model map
* add annotation for stack index
* add annotation
* reformatted by black
* several update on kaggle scenarios
* update some new change
* fix CI
* fix CI
* fix a bug
* fix bugs in graph RAG
---------
Co-authored-by: Tim <illking@foxmail.com>
* Init todo
* Evaluation & dataset
* Generate new data
* dataset generation
* add the result
* Analysis
* Factor update
* Updates
* Reformat analysis.py
* CI fix
* Revised Preprocessing & Supported Random Forest
* Revised to support three models with feature
* Further revised prompts
* Slight Revision
* docs: update contributors (#230)
* Revised to support three models with feature
* Further revised prompts
* Slight Revision
* feat: kaggle model and feature (#238)
* update first version code
* make hypothesis_gen and experiment_builder fit for both feature and model
* feat: continue kaggle feature and model coder (#239)
* use qlib docker to run qlib models
* feature coder ready
* model coder ready
* fix CI
* finish the first round of runner (#240)
* Optimized the factor scenario and added the front-end.
* fix a small bug
* fix a typo
* update the kaggle scenario
* delete model_template folder
* use experiment to run data preprocess script
* add source data to scenarios
* minor fix
* minor bug fix
* train.py debug
* fixed a bug in train.py and added some TODOs
* For Debugging
* fix two small bugs in based_exp
* fix some bugs
* update preprocess
* fix a bug in preprocess
* fix a bug in train.py
* reformat
* Follow-up
* fix a bug in train.py
* fix a bug in workspace
* fix a bug in feature duplication
* fix a bug in feedback
* fix a bug in preprocessed data
* fix a bug om feature engineering
* fix a ci error
* Debugged & Connected
* Fixed error on feedback & added other fixes
* fix CI errors
* fix a CI bug
* fix: fix_dotenv_error (#257)
* fix_dotenv_error
* format with isort
* Update rdagent/app/cli.py
---------
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
* chore(main): release 0.2.1 (#249)
Release-As: 0.2.1
* init a scenario for kaggle feature engineering
* delete error codes
* Delete rdagent/app/kaggle_feature/conf.py
---------
Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: Taozhi Wang <taozhi.mark.wang@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
Co-authored-by: cyncyw <47289405+taozhiwang@users.noreply.github.com>
Co-authored-by: Xisen-Wang <xisen_application@163.com>
Co-authored-by: Haotian Chen <113661982+Hytn@users.noreply.github.com>
Co-authored-by: WinstonLiye <1957922024@qq.com>
Co-authored-by: WinstonLiyt <104308117+WinstonLiyt@users.noreply.github.com>
Co-authored-by: Linlang <30293408+SunsetWolf@users.noreply.github.com>
* Init todo
* update all code
* update
* Extract factors from financial reports loop finished
* Fix two small bugs.
* Delete rdagent/app/qlib_rd_loop/run_script.sh
* Minor mod
* Delete rdagent/app/qlib_rd_loop/nohup.out
* Fix a small bug in file reading.
* some updates
* Update the detailed process and prompt of factor loop.
* Evaluation & dataset
* Optimize the prompt for generating hypotheses and feedback in the factor loop.
* Generate new data
* dataset generation
* Performed further optimizations on the factor loop and report extraction loop, added log handling for both processes, and implemented a screenshot feature for report extraction.
* Update rdagent/components/coder/factor_coder/CoSTEER/evaluators.py
* Update package.txt for fitz.
* add the result
* Performed further optimizations on the factor loop and report extraction loop, added log handling for both processes, and implemented a screenshot feature for report extraction. (#100) (#102)
- Performed further optimizations on the factor loop and report extraction loop.
- Added log handling for both processes.
- Implemented a screenshot feature for report extraction.
* Analysis
* Optimized log output.
* Factor update
* A draft of the "Quick Start" section for README
* Add scenario descriptions.
* Updates
* Adjust content
* Enable logging of backtesting in Qlib and store rich-text descriptions in Trace. Support one-step debugging for factor extraction.
* Reformat analysis.py
* CI fix
* Refactor
* remove useless code
* fix bugs (#111)
* Fix two small bugs.
* Fix a merge bug.
* Fix two small bugs.
* fix some bugs.
* Fix some format bugs.
* Restore a file.
* Fix a format bug.
* draft renew of evaluators
* fix a small bug.
* fix a small bug
* Support Factor Report Loop
* Update framework for extracting factors from research reports.
* Refactor report-based factor extraction and fix minor bugs.
* fix a small bug of log.
* change some prompts
* improve factor_runner
* fix a small bug
* change some prompts
* cancel some comments
* cancel some comments and fix some bugs
---------
Co-authored-by: Young <afe.young@gmail.com>
Co-authored-by: you-n-g <you-n-g@users.noreply.github.com>
Co-authored-by: Taozhi Wang <taozhi.mark.wang@gmail.com>
Co-authored-by: Suhan Cui <51844791+SH-Src@users.noreply.github.com>
* ignore result csv file
* fix app scripts
* rename taskgenerator to developer and generate to develop
* fix a config bug in coder
* fix a small bug in factor coder evaluators
* remove a single logger in factor coder evaluators
* fix a small bug in model coder main.py
* rename Implementation to Workspace
* move the prepare the inject_code into FBWorkspace to align all the behavior
* fix a small bug in model feedback
* remove debug lines for multi processing and simplify evaluators multi proc
* add a copy function to workspace to freeze the workspace && add config prefix to speed up debugging
* make hypothesisgen a abc class
* use Qlib***Experiment
* fix a small bug
* rename Imp to Ws
* rename sub_implementations to sub_workspace_list
* fix a bug in feedback not presented as content in prompts
* move proposal pys to proposal folder
* reformat the folder
* align factor and model qlib workspace and use template to handle the workspace
* add a filter to evoagent to filter out false evo
* align multi_proc_n into RDAGENT seeting
* handle when runner gets empty experiment
* fix logger merge remaining problems
* fix black and isort automatically
TPTBusiness