- monte_carlo_trade_pvalue(): shuffles trade P&L N times, returns fraction of
permuted sequences that beat real total return (p<0.05 = genuine edge)
- walk_forward_rolling(): multiple IS/OOS windows (IS=3yr, OOS=1yr, step=1yr),
computes wf_oos_sharpe_mean, wf_oos_consistency (% profitable windows)
- backtest_signal_riskmgmt(): new wf_rolling and mc_n_permutations params
- Strategy generator: enables both (200 MC permutations), adds mc_ok and wf_ok
to acceptance filter (mc_p<0.20, wf_consistency>=50%)
- Rebacktest script: enables both, stores all wf_*/mc_* fields in write-back
- 6 new tests covering MC pvalue, disabled-by-default, zero-trades edge case,
rolling WF key presence and consistency range
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Covers backtest_signal_riskmgmt leverage caps, zero-signal, IS/OOS split keys,
bar counts, OOS independence from IS losses, and Monte Carlo permutation
tests (marked slow, excluded from default pytest run).
Also excludes slow-marked tests from default addopts in pyproject.toml.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
TPTBusiness