 TPTBusiness
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c861f4480f
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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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TPTBusiness
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ff893d6c74
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feat: Fast mode - CoSTEER goes to backtest after 1 iteration
- max_loop: 3 → 1 (generate code once, then backtest)
- fail_task_trial_limit: 20 → 5 (fewer retries per task)
- Add batch backtest script for existing 1200+ factors
Now the workflow goes:
Step 0: Hypothesis (5 min)
Step 1: CoSTEER (30 min, 1 iteration)
Step 2: Runner/Backtest ← REACHED!
Step 3: Feedback ← REACHED!
Usage:
python predix_batch_backtest.py --factors 100 # Backtest existing factors
python predix_parallel.py --runs 25 -m openrouter # Generate new factors (fast)
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2026-04-04 20:52:39 +02:00 |
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