 TPTBusiness
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a1abe3f74c
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feat: Add simple factor evaluator with direct IC/Sharpe computation
- Add predix_simple_eval.py: Direct IC/Sharpe calculation from workspaces
* Scans result.h5 and intraday_pv.h5 from workspace directories
* Computes forward returns and Information Coefficient (IC)
* Computes Rank IC, Sharpe, annualized return, max drawdown, win rate
* Parallel evaluation with ProcessPoolExecutor
* Saves to JSON + SQLite
- Fix column name escaping: handle $close properly
- Fix summary display: handle empty result lists gracefully
Usage:
python predix_simple_eval.py --top 100 --parallel 4
python predix_simple_eval.py --all --parallel 4
Results from first 5 test factors:
daily_return_1d: IC=0.117 ✅
daily_vol_10: IC=-0.059, Sharpe=3.35
intraday_momentum_60: IC=-0.028
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2026-04-04 21:19:59 +02:00 |
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