0651faed92
feat: unified backtest engine, LLM error handling, strategy refactor
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- 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 >
2026-04-17 22:52:07 +02:00
2136741eaa
feat: Full system integration - RL + Protections + Backtesting + CLI
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Connect all Predix components into unified trading system:
INTEGRATION (ALL 295 TESTS PASS):
- RL Trading connected with Protection Manager
- RL Trading connected with Backtesting Engine
- CLI command 'rdagent rl_trading' added (train/backtest/live modes)
- Graceful fallback for users without stable-baselines3
OPEN SOURCE COMPATIBILITY:
- System works WITHOUT stable-baselines3 (momentum fallback)
- System works WITHOUT local models/prompts (uses standard)
- Clear warning messages when optional deps missing
- GitHub users get FULLY WORKING system
CLOSED SOURCE PROTECTION:
- models/local/, prompts/local/, .env stay local only
- .gitignore properly configured
- Our alpha (best models/prompts) remains private
DOCUMENTATION:
- QWEN.md: Open/closed source strategy
- QWEN.md: Development guidelines for AI assistant
- QWEN.md: Open source compatibility principle
- README.md: RL Trading CLI commands and examples
- requirements/rl.txt: Optional RL dependencies
Modified files:
- rdagent/app/cli.py: Added rl_trading command
- rdagent/components/backtesting/backtest_engine.py: RL backtest support
- rdagent/components/coder/rl/costeer.py: Protection Manager integration
- rdagent/components/coder/rl/__init__.py: Conditional imports + fallback
- rdagent/components/coder/rl/fallback.py: NEW - Simple momentum fallback
- requirements.txt: Optional RL deps commented
- requirements/rl.txt: NEW - Full RL dependencies
- test/integration/test_all_features.py: 7 new integration tests
- QWEN.md: Open source strategy + development guidelines
- README.md: RL Trading documentation
295 tests pass: 67 integration + 89 RL + 139 backtesting
2026-04-03 13:53:32 +02:00
82ebd67ea3
feat: Backtesting Engine + Risk Management + Results DB
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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
TPTBusiness