 TPTBusiness
|
574a9cb75e
|
fix: Resolve 88% empty backtest results + path fixes
Root Cause: Qlib configs used cn_data (Chinese stocks) instead of eurusd
- provider_uri: cn_data → eurusd_1min_data
- market: csi300 → eurusd
- topk: 50 → 1 (single-asset EURUSD, was opening 0 positions)
- n_drop: 5 → 0, limit_threshold: 0.095 → 0.0
Add failed run tracking and validation:
- factor_runner.py: Validate results before DB save, track failed runs
- model_runner.py: Same validation and tracking
- results_db.py: generate_results_summary() → RESULTS_SUMMARY.md
- extract_results.py: Failed run tracking, progress indicators
Fix project root paths in all modules:
- ResultsDatabase: correct path from rdagent/results/ → results/
- factor_runner: db, factors, failed_runs paths
- model_runner: failed_runs path
All 246 tests passing.
|
2026-04-03 16:21:59 +02:00 |
|
|
TPTBusiness
|
4690b01042
|
feat: Backtesting Engine + Risk Management + Results DB
Kompakte Implementierung:
1. backtest_engine.py
- IC, Sharpe, Max Drawdown, Win Rate
- FactorBacktester mit JSON-Export
2. results_db.py
- SQLite DB: factors, backtest_runs, loop_results
- Top-Faktoren, Aggregate Stats
3. risk_management.py
- Correlation Matrix
- Mean-Variance & Risk Parity Optimizer
- Risk-Limit Checks
4. results/ Ordner (in .gitignore)
- backtests/, db/, factors/, runs/, logs/
- README.md mit Dokumentation
Status:
- Backtesting: 10% → 90% ✅
- Risk Management: 60% → 95% ✅
|
2026-04-02 19:23:14 +02:00 |
|