- 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>
Split IS (2020-2023) and OOS (2024-2026) periods with independent RiskMgmt
simulations. Strategy acceptance now requires OOS sharpe > 0 and
OOS monthly return > 0 to prevent overfitting. OOS metrics stored in
strategy JSON summary and CSV reports.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Each script now creates a timestamped log file in git_ignore_folder/logs/,
captures all logging calls and Rich console output via _TeeFile, and prints
the log path at startup for easy tail access.
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>
TPTBusiness