chore(master): release 1.3.3 (#30)

Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>

.github/workflows/ci.yml

@@ -14,7 +14,7 @@ jobs:
   security:
     runs-on: ubuntu-latest
     steps:
-      - uses: actions/checkout@v4
+      - uses: actions/checkout@v6
 
       - name: Run Bandit (Security Scan)
         uses: PyCQA/bandit-action@v1
@@ -25,9 +25,9 @@ jobs:
   test:
     runs-on: ubuntu-latest
     steps:
-      - uses: actions/checkout@v4
+      - uses: actions/checkout@v6
 
-      - uses: actions/setup-python@v5
+      - uses: actions/setup-python@v6
         with:
           python-version: "3.10"
           cache: "pip"

.github/workflows/codacy.yml

@@ -36,11 +36,11 @@ jobs:
     steps:
       # Checkout the repository to the GitHub Actions runner
       - name: Checkout code
-        uses: actions/checkout@v4
+        uses: actions/checkout@v6
 
       # Execute Codacy Analysis CLI and generate a SARIF output with the security issues identified during the analysis
       - name: Run Codacy Analysis CLI
-        uses: codacy/codacy-analysis-cli-action@d840f886c4bd4edc059706d09c6a1586111c540b
+        uses: codacy/codacy-analysis-cli-action@562ee3e92b8e92df8b67e0a5ff8aa8e261919c08
         env:
           JAVA_TOOL_OPTIONS: "-Dfile.encoding=UTF-8"
         with:

.github/workflows/conventional-commits.yml

@@ -46,7 +46,7 @@ jobs:
     name: Validate Commit Messages
     runs-on: ubuntu-latest
     steps:
-      - uses: actions/checkout@v4
+      - uses: actions/checkout@v6
         with:
           fetch-depth: 0
 

.github/workflows/docs.yml

@@ -25,10 +25,10 @@ jobs:
 
     steps:
     - name: Checkout repository
-      uses: actions/checkout@v4
+      uses: actions/checkout@v6
 
     - name: Set up Python
-      uses: actions/setup-python@v5
+      uses: actions/setup-python@v6
       with:
         python-version: "3.10"
 
@@ -64,7 +64,7 @@ jobs:
 
     - name: Upload docs artifact
       if: github.ref == 'refs/heads/main'
-      uses: actions/upload-pages-artifact@v3
+      uses: actions/upload-pages-artifact@v5
       with:
         path: docs/_build/html
 

.github/workflows/lint.yml

@@ -16,10 +16,10 @@ jobs:
 
     steps:
     - name: Checkout repository
-      uses: actions/checkout@v4
+      uses: actions/checkout@v6
 
     - name: Set up Python
-      uses: actions/setup-python@v5
+      uses: actions/setup-python@v6
       with:
         python-version: "3.10"
 

.github/workflows/scheduled-tests.yml

@@ -19,9 +19,9 @@ jobs:
         python-version: ["3.10", "3.11"]
 
     steps:
-      - uses: actions/checkout@v4
+      - uses: actions/checkout@v6
 
-      - uses: actions/setup-python@v5
+      - uses: actions/setup-python@v6
         with:
           python-version: ${{ matrix.python-version }}
           cache: "pip"
@@ -49,9 +49,9 @@ jobs:
     name: Dependency Audit
     runs-on: ubuntu-latest
     steps:
-      - uses: actions/checkout@v4
+      - uses: actions/checkout@v6
 
-      - uses: actions/setup-python@v5
+      - uses: actions/setup-python@v6
         with:
           python-version: "3.10"
           cache: "pip"

.github/workflows/security.yml

@@ -19,10 +19,10 @@ jobs:
 
     steps:
     - name: Checkout repository
-      uses: actions/checkout@v4
+      uses: actions/checkout@v6
 
     - name: Set up Python
-      uses: actions/setup-python@v5
+      uses: actions/setup-python@v6
       with:
         python-version: "3.10"
 

.release-please-manifest.json

@@ -1,3 +1,3 @@
 {
-  ".": "1.2.2"
+  ".": "1.3.3"
 }

CHANGELOG.md

@@ -1,5 +1,44 @@
 # Changelog
 
+## [1.3.3](https://github.com/TPTBusiness/Predix/compare/v1.3.2...v1.3.3) (2026-04-25)
+
+
+### Bug Fixes
+
+* **backtest:** replace broken MC permutation test with binomial win-rate test ([c38d894](https://github.com/TPTBusiness/Predix/commit/c38d89478f586825bfca5715a96ca70ccd8791a3))
+* **factors:** detect and correct look-ahead bias in daily-constant factors ([eb490a4](https://github.com/TPTBusiness/Predix/commit/eb490a461b66cbd815ae53ac5205115754712432))
+* **factors:** extend look-ahead rules to session factors and add intraday-factor guidance ([c24c100](https://github.com/TPTBusiness/Predix/commit/c24c100442d6487686c0578de0b32d240fcbf215))
+* **loop:** compress old experiment history in proposal prompt to reduce context size ([4bf90a9](https://github.com/TPTBusiness/Predix/commit/4bf90a905ba8b2aba2a818191c19998088cccaaf))
+* **strategies:** guard against None IC in acceptance check, disable slow wf_rolling ([2197f52](https://github.com/TPTBusiness/Predix/commit/2197f52150a50ef38d9e70991d7e48c8c30caec4))
+* **strategies:** handle None ic/sharpe/dd in rejected strategy log output ([ad2ad3a](https://github.com/TPTBusiness/Predix/commit/ad2ad3ab3360ea75ed3bbc90c12098b9c5cc0114))
+
+## [1.3.2](https://github.com/TPTBusiness/Predix/compare/v1.3.1...v1.3.2) (2026-04-23)
+
+
+### Bug Fixes
+
+* **strategies:** guard against None IC in acceptance check, disable slow wf_rolling ([2197f52](https://github.com/TPTBusiness/Predix/commit/2197f52150a50ef38d9e70991d7e48c8c30caec4))
+* **strategies:** handle None ic/sharpe/dd in rejected strategy log output ([ad2ad3a](https://github.com/TPTBusiness/Predix/commit/ad2ad3ab3360ea75ed3bbc90c12098b9c5cc0114))
+
+## [1.3.1](https://github.com/TPTBusiness/Predix/compare/v1.3.0...v1.3.1) (2026-04-21)
+
+
+### Bug Fixes
+
+* **deps:** bump python-dotenv to >=1.2.2 (CVE symlink overwrite) ([126ae7d](https://github.com/TPTBusiness/Predix/commit/126ae7d5fb556b677d09d10221862a0d648d697a))
+
+## [1.3.0](https://github.com/TPTBusiness/Predix/compare/v1.2.2...v1.3.0) (2026-04-21)
+
+
+### Features
+
+* **backtest:** add rolling walk-forward validation and Monte Carlo trade permutation test ([637a94c](https://github.com/TPTBusiness/Predix/commit/637a94c1d987da763869f4f9b73372a3f37d873c))
+
+
+### Bug Fixes
+
+* **security:** resolve all 30 Bandit security alerts (B301, B614, B104) ([ce5983d](https://github.com/TPTBusiness/Predix/commit/ce5983d9d59c4c34341fb1ec749e44bbcfc4a1c4))
+
 ## [1.2.2](https://github.com/TPTBusiness/Predix/compare/v1.2.1...v1.2.2) (2026-04-19)
 
 

pyproject.toml

@@ -68,7 +68,7 @@ ignore_missing_imports = true
 module = "llama"
 
 [tool.pytest.ini_options]
-addopts = "-l -s --durations=0"
+addopts = "-l -s --durations=0 -m 'not slow'"
 log_cli = true
 log_cli_level = "info"
 log_date_format = "%Y-%m-%d %H:%M:%S"

rdagent/components/backtesting/__init__.py

@@ -11,16 +11,23 @@ from .vbt_backtest import (
     FTMO_MAX_LEVERAGE,
     FTMO_RISK_PER_TRADE,
     OOS_START_DEFAULT,
+    WF_IS_YEARS,
+    WF_OOS_YEARS,
+    WF_STEP_YEARS,
     backtest_from_forward_returns,
     backtest_signal,
     backtest_signal_ftmo,
+    monte_carlo_trade_pvalue,
+    walk_forward_rolling,
 )
 
 __all__ = [
     'BacktestMetrics', 'FactorBacktester', 'ResultsDatabase',
     'CorrelationAnalyzer', 'PortfolioOptimizer', 'AdvancedRiskManager',
     'backtest_signal', 'backtest_signal_ftmo', 'backtest_from_forward_returns',
+    'monte_carlo_trade_pvalue', 'walk_forward_rolling',
     'DEFAULT_BARS_PER_YEAR', 'DEFAULT_TXN_COST_BPS',
     'FTMO_INITIAL_CAPITAL', 'FTMO_MAX_DAILY_LOSS', 'FTMO_MAX_TOTAL_LOSS',
     'FTMO_MAX_LEVERAGE', 'FTMO_RISK_PER_TRADE', 'OOS_START_DEFAULT',
+    'WF_IS_YEARS', 'WF_OOS_YEARS', 'WF_STEP_YEARS',
 ]

rdagent/components/backtesting/vbt_backtest.py

@@ -342,6 +342,129 @@ def _apply_ftmo_mask(
 
 OOS_START_DEFAULT = "2024-01-01"
 
+# Rolling walk-forward default windows (IS years, OOS years, step years)
+WF_IS_YEARS  = 3
+WF_OOS_YEARS = 1
+WF_STEP_YEARS = 1
+
+
+def monte_carlo_trade_pvalue(
+    trade_pnl: pd.Series,
+    n_permutations: int = 1000,
+    seed: int = 0,
+) -> float:
+    """
+    Monte Carlo permutation test on trade-level P&L.
+
+    Runs a one-sided binomial test on trade-level win rate.
+
+    Tests H0: win_rate = 0.5 (random trading) against H1: win_rate > 0.5.
+    The ``n_permutations`` parameter is kept for API compatibility but is unused.
+
+    p < 0.05 → win rate is significantly above 50%, indicating a genuine per-trade edge.
+
+    Parameters
+    ----------
+    trade_pnl : pd.Series
+        Per-trade net returns (output of ``_compute_trade_pnl``).
+    n_permutations : int
+        Number of random permutations (default 1000).
+    seed : int
+        RNG seed for reproducibility.
+
+    Returns
+    -------
+    float
+        p-value in [0, 1]. Lower is better.
+    """
+    if len(trade_pnl) < 2:
+        return 1.0
+    trades = trade_pnl.values.copy()
+    # Binomial test: is the win rate significantly above 50%?
+    # p = probability of observing >= n_wins out of n_trades under null (win_rate=0.5).
+    # Low p → strategy has a significant positive edge per trade.
+    from scipy.stats import binomtest
+    n_wins = int((trades > 0).sum())
+    n_total = len(trades)
+    result = binomtest(n_wins, n_total, p=0.5, alternative="greater")
+    return float(result.pvalue)
+
+
+def walk_forward_rolling(
+    close: pd.Series,
+    signal: pd.Series,
+    leverage: float,
+    txn_cost_bps: float = DEFAULT_TXN_COST_BPS,
+    bars_per_year: int = DEFAULT_BARS_PER_YEAR,
+    is_years: int = WF_IS_YEARS,
+    oos_years: int = WF_OOS_YEARS,
+    step_years: int = WF_STEP_YEARS,
+) -> Dict[str, Any]:
+    """
+    Rolling walk-forward validation: multiple IS/OOS windows shifted by ``step_years``.
+
+    Each window runs an independent FTMO simulation on the IS and OOS slices.
+    Produces aggregate OOS statistics to measure cross-time consistency.
+
+    Returns
+    -------
+    dict with keys:
+        wf_n_windows, wf_oos_sharpe_mean, wf_oos_sharpe_std,
+        wf_oos_monthly_return_mean, wf_oos_consistency (fraction of windows
+        with OOS Sharpe > 0), wf_windows (list of per-window dicts)
+    """
+    if not isinstance(close.index, pd.DatetimeIndex):
+        return {"wf_n_windows": 0}
+
+    start_year = close.index[0].year
+    end_year   = close.index[-1].year
+
+    windows = []
+    yr = start_year
+    while True:
+        is_start  = pd.Timestamp(f"{yr}-01-01")
+        is_end    = pd.Timestamp(f"{yr + is_years}-01-01")
+        oos_end   = pd.Timestamp(f"{yr + is_years + oos_years}-01-01")
+        if oos_end.year > end_year + 1:
+            break
+        is_mask  = (close.index >= is_start) & (close.index < is_end)
+        oos_mask = (close.index >= is_end)   & (close.index < oos_end)
+        if is_mask.sum() < 1000 or oos_mask.sum() < 1000:
+            yr += step_years
+            continue
+
+        window: Dict[str, Any] = {
+            "is_start":  str(is_start.date()),
+            "is_end":    str(is_end.date()),
+            "oos_start": str(is_end.date()),
+            "oos_end":   str(oos_end.date()),
+        }
+        for mask, prefix in [(is_mask, "is"), (oos_mask, "oos")]:
+            close_s  = close.loc[mask]
+            signal_s = signal.loc[mask]
+            masked_s, _ = _apply_ftmo_mask(signal_s, close_s, leverage, txn_cost_bps)
+            r = backtest_signal(close=close_s, signal=masked_s,
+                                txn_cost_bps=txn_cost_bps, bars_per_year=bars_per_year)
+            window[f"{prefix}_sharpe"]       = r.get("sharpe", 0.0)
+            window[f"{prefix}_monthly_return_pct"] = r.get("monthly_return_pct", 0.0)
+            window[f"{prefix}_n_trades"]     = r.get("n_trades", 0)
+        windows.append(window)
+        yr += step_years
+
+    if not windows:
+        return {"wf_n_windows": 0}
+
+    oos_sharpes  = [w["oos_sharpe"] for w in windows]
+    oos_monthly  = [w["oos_monthly_return_pct"] for w in windows]
+    return {
+        "wf_n_windows":              len(windows),
+        "wf_oos_sharpe_mean":        float(np.mean(oos_sharpes)),
+        "wf_oos_sharpe_std":         float(np.std(oos_sharpes)),
+        "wf_oos_monthly_return_mean": float(np.mean(oos_monthly)),
+        "wf_oos_consistency":        float(np.mean([s > 0 for s in oos_sharpes])),
+        "wf_windows":                windows,
+    }
+
 
 def backtest_signal_ftmo(
     close: pd.Series,
@@ -354,6 +477,8 @@ def backtest_signal_ftmo(
     bars_per_year: int = DEFAULT_BARS_PER_YEAR,
     forward_returns: Optional[pd.Series] = None,
     oos_start: Optional[str] = OOS_START_DEFAULT,
+    wf_rolling: bool = False,
+    mc_n_permutations: int = 0,
 ) -> Dict[str, Any]:
     """
     FTMO-compliant backtest of a strategy signal on EUR/USD.
@@ -385,6 +510,13 @@ def backtest_signal_ftmo(
         Maximum leverage (default 30 = FTMO 1:30).
     oos_start : str or None
         Start of out-of-sample period (ISO date). None disables OOS split.
+    wf_rolling : bool
+        If True, run rolling walk-forward validation (multiple IS/OOS windows).
+        Results are stored under ``wf_*`` keys. Default False.
+    mc_n_permutations : int
+        Number of Monte Carlo trade permutations. 0 = disabled (default).
+        When > 0, computes ``mc_pvalue``: fraction of permuted sequences whose
+        total return >= real total return. p < 0.05 indicates a genuine edge.
     """
     stop_price = stop_pips * FTMO_PIP
     leverage_by_risk = risk_pct / (stop_price / eurusd_price)
@@ -440,6 +572,28 @@ def backtest_signal_ftmo(
         result["is_n_bars"]  = int(is_mask.sum())
         result["oos_n_bars"] = int(oos_mask.sum())
 
+    # Rolling walk-forward validation
+    if wf_rolling:
+        wf = walk_forward_rolling(
+            close=close,
+            signal=signal,
+            leverage=leverage,
+            txn_cost_bps=txn_cost_bps,
+            bars_per_year=bars_per_year,
+        )
+        result.update(wf)
+
+    # Monte Carlo trade permutation test
+    if mc_n_permutations > 0:
+        position = masked_signal.shift(1).fillna(0)
+        bar_ret  = close.pct_change().fillna(0)
+        txn_cost = txn_cost_bps / 10_000.0
+        position_change = position.diff().abs().fillna(position.abs())
+        strat_ret = position * bar_ret - position_change * txn_cost
+        trade_pnl = _compute_trade_pnl(position, strat_ret)
+        result["mc_pvalue"]        = monte_carlo_trade_pvalue(trade_pnl, mc_n_permutations)
+        result["mc_n_permutations"] = mc_n_permutations
+
     return result
 
 

rdagent/components/coder/factor_coder/prompts.yaml

@@ -53,7 +53,7 @@ evolving_strategy_factor_implementation_v1_system: |-
   - ALWAYS use `min_periods=N` where N equals the window size in rolling calculations (e.g., `.rolling(20, min_periods=20)`)
   - ALWAYS handle infinite values after division: `.replace([np.inf, -np.inf], np.nan)` before saving results
   - ALWAYS use `groupby(level=1)` or `groupby('instrument')` before rolling operations on MultiIndex dataframes
-  - Process the COMPLETE date range (2020-2026), do NOT filter by date
+  - Process the COMPLETE date range available in the HDF5 file (do NOT filter by date — the file may contain 2024 debug data or full 2020-2026 data)
   - Use `groupby().transform()` instead of `groupby().apply()` for single-column assignments
 
   Notice that you should not add any other text before or after the json format.

rdagent/components/coder/model_coder/benchmark/gt_code/A-DGN.py

@@ -123,8 +123,8 @@ model_cls = AntiSymmetricConv
 
 
 if __name__ == "__main__":
-    node_features = torch.load("node_features.pt")
+    node_features = torch.load("node_features.pt", weights_only=True)
-    edge_index = torch.load("edge_index.pt")
+    edge_index = torch.load("edge_index.pt", weights_only=True)
 
     # Model instantiation and forward pass
     model = AntiSymmetricConv(in_channels=node_features.size(-1))

rdagent/components/coder/model_coder/benchmark/gt_code/dirgnn.py

@@ -78,8 +78,8 @@ model_cls = DirGNNConv
 
 
 if __name__ == "__main__":
-    node_features = torch.load("node_features.pt")
+    node_features = torch.load("node_features.pt", weights_only=True)
-    edge_index = torch.load("edge_index.pt")
+    edge_index = torch.load("edge_index.pt", weights_only=True)
 
     # Model instantiation and forward pass
     model = DirGNNConv(MessagePassing())

rdagent/components/coder/model_coder/benchmark/gt_code/gpsconv.py

@@ -187,8 +187,8 @@ model_cls = GPSConv
 
 
 if __name__ == "__main__":
-    node_features = torch.load("node_features.pt")
+    node_features = torch.load("node_features.pt", weights_only=True)
-    edge_index = torch.load("edge_index.pt")
+    edge_index = torch.load("edge_index.pt", weights_only=True)
 
     # Model instantiation and forward pass
     model = GPSConv(channels=node_features.size(-1), conv=MessagePassing())

rdagent/components/coder/model_coder/benchmark/gt_code/linkx.py

@@ -170,8 +170,8 @@ class LINKX(torch.nn.Module):
 model_cls = LINKX
 
 if __name__ == "__main__":
-    node_features = torch.load("node_features.pt")
+    node_features = torch.load("node_features.pt", weights_only=True)
-    edge_index = torch.load("edge_index.pt")
+    edge_index = torch.load("edge_index.pt", weights_only=True)
 
     # Model instantiation and forward pass
     model = LINKX(

rdagent/components/coder/model_coder/benchmark/gt_code/pmlp.py

@@ -102,8 +102,8 @@ class PMLP(torch.nn.Module):
 model_cls = PMLP
 
 if __name__ == "__main__":
-    node_features = torch.load("node_features.pt")
+    node_features = torch.load("node_features.pt", weights_only=True)
-    edge_index = torch.load("edge_index.pt")
+    edge_index = torch.load("edge_index.pt", weights_only=True)
 
     # Model instantiation and forward pass
     model = PMLP(

rdagent/components/coder/model_coder/benchmark/gt_code/visnet.py

@@ -1180,8 +1180,8 @@ model_cls = ViSNet
 
 
 if __name__ == "__main__":
-    node_features = torch.load("node_features.pt")
+    node_features = torch.load("node_features.pt", weights_only=True)
-    edge_index = torch.load("edge_index.pt")
+    edge_index = torch.load("edge_index.pt", weights_only=True)
 
     # Model instantiation and forward pass
     model = ViSNet()

rdagent/components/coder/model_coder/gt_code.py

@@ -125,8 +125,8 @@ class AntiSymmetricConv(torch.nn.Module):
 
 
 if __name__ == "__main__":
-    node_features = torch.load("node_features.pt")
+    node_features = torch.load("node_features.pt", weights_only=True)
-    edge_index = torch.load("edge_index.pt")
+    edge_index = torch.load("edge_index.pt", weights_only=True)
 
     # Model instantiation and forward pass
     model = AntiSymmetricConv(in_channels=node_features.size(-1))

rdagent/scenarios/kaggle/experiment/templates/meta_tpl_deprecated/fea_share_preprocess.py

@@ -85,12 +85,12 @@ def preprocess_script():
     This method applies the preprocessing steps to the training, validation, and test datasets.
     """
     if os.path.exists("/kaggle/input/X_train.pkl"):
-        X_train = pd.read_pickle("/kaggle/input/X_train.pkl")
+        X_train = pd.read_pickle("/kaggle/input/X_train.pkl")  # nosec B301
-        X_valid = pd.read_pickle("/kaggle/input/X_valid.pkl")
+        X_valid = pd.read_pickle("/kaggle/input/X_valid.pkl")  # nosec B301
-        y_train = pd.read_pickle("/kaggle/input/y_train.pkl")
+        y_train = pd.read_pickle("/kaggle/input/y_train.pkl")  # nosec B301
-        y_valid = pd.read_pickle("/kaggle/input/y_valid.pkl")
+        y_valid = pd.read_pickle("/kaggle/input/y_valid.pkl")  # nosec B301
-        X_test = pd.read_pickle("/kaggle/input/X_test.pkl")
+        X_test = pd.read_pickle("/kaggle/input/X_test.pkl")  # nosec B301
-        others = pd.read_pickle("/kaggle/input/others.pkl")
+        others = pd.read_pickle("/kaggle/input/others.pkl")  # nosec B301
 
         return X_train, X_valid, y_train, y_valid, X_test, *others
     X_train, X_valid, y_train, y_valid = prepreprocess()

rdagent/scenarios/kaggle/experiment/templates/playground-series-s3e26/fea_share_preprocess.py

@@ -82,11 +82,11 @@ def preprocess_script():
     This method applies the preprocessing steps to the training, validation, and test datasets.
     """
     if os.path.exists("X_train.pkl"):
-        X_train = pd.read_pickle("X_train.pkl")
+        X_train = pd.read_pickle("X_train.pkl")  # nosec B301
-        X_valid = pd.read_pickle("X_valid.pkl")
+        X_valid = pd.read_pickle("X_valid.pkl")  # nosec B301
-        y_train = pd.read_pickle("y_train.pkl")
+        y_train = pd.read_pickle("y_train.pkl")  # nosec B301
-        y_valid = pd.read_pickle("y_valid.pkl")
+        y_valid = pd.read_pickle("y_valid.pkl")  # nosec B301
-        X_test = pd.read_pickle("X_test.pkl")
+        X_test = pd.read_pickle("X_test.pkl")  # nosec B301
         return X_train, X_valid, y_train, y_valid, X_test
 
     X_train, X_valid, y_train, y_valid, test, status_encoder, test_ids = prepreprocess()

rdagent/scenarios/kaggle/experiment/templates/playground-series-s4e8/fea_share_preprocess.py

@@ -73,12 +73,12 @@ def preprocess_script():
     This method applies the preprocessing steps to the training, validation, and test datasets.
     """
     if os.path.exists("/kaggle/input/X_train.pkl"):
-        X_train = pd.read_pickle("/kaggle/input/X_train.pkl")
+        X_train = pd.read_pickle("/kaggle/input/X_train.pkl")  # nosec B301
-        X_valid = pd.read_pickle("/kaggle/input/X_valid.pkl")
+        X_valid = pd.read_pickle("/kaggle/input/X_valid.pkl")  # nosec B301
-        y_train = pd.read_pickle("/kaggle/input/y_train.pkl")
+        y_train = pd.read_pickle("/kaggle/input/y_train.pkl")  # nosec B301
-        y_valid = pd.read_pickle("/kaggle/input/y_valid.pkl")
+        y_valid = pd.read_pickle("/kaggle/input/y_valid.pkl")  # nosec B301
-        X_test = pd.read_pickle("/kaggle/input/X_test.pkl")
+        X_test = pd.read_pickle("/kaggle/input/X_test.pkl")  # nosec B301
-        others = pd.read_pickle("/kaggle/input/others.pkl")
+        others = pd.read_pickle("/kaggle/input/others.pkl")  # nosec B301
         y_train = pd.Series(y_train).reset_index(drop=True)
         y_valid = pd.Series(y_valid).reset_index(drop=True)
 

rdagent/scenarios/qlib/developer/factor_runner.py

@@ -29,6 +29,83 @@ from rdagent.scenarios.qlib.experiment.model_experiment import QlibModelExperime
 DIRNAME = Path(__file__).absolute().resolve().parent
 DIRNAME_local = Path.cwd()
 
+
+def _shift_daily_constant_factor_if_needed(factor_col: "pd.Series", factor_name: str) -> "pd.Series":
+    """Detect and fix look-ahead bias in daily-constant factors.
+
+    A factor is "daily-constant" when every minute bar within the same calendar
+    day carries an identical value. This happens when LLM code computes a daily
+    aggregate (e.g. today's log return) and forward-fills it across all intraday
+    bars without shifting — meaning the end-of-day value is visible at 00:00.
+
+    Fix: shift by one trading day so that the value assigned to day T is the
+    aggregate computed from day T-1, eliminating the forward-looking information.
+    """
+    import numpy as np
+
+    try:
+        notnull = factor_col.dropna()
+        if len(notnull) < 200:
+            return factor_col
+
+        datetimes = notnull.index.get_level_values("datetime")
+        dates = datetimes.normalize()
+
+        # Sample up to 50 random days and check intra-day uniqueness
+        unique_dates = pd.Series(dates.unique())
+        sample_dates = unique_dates.sample(min(50, len(unique_dates)), random_state=42)
+
+        daily_unique_counts = []
+        for d in sample_dates:
+            mask = dates == d
+            vals = notnull.values[mask]
+            if len(vals) > 1:
+                daily_unique_counts.append(len(np.unique(vals[~np.isnan(vals)])))
+
+        if not daily_unique_counts:
+            return factor_col
+
+        # If >90% of sampled days have exactly 1 unique value → daily-constant
+        fraction_constant = sum(1 for c in daily_unique_counts if c == 1) / len(daily_unique_counts)
+        if fraction_constant < 0.90:
+            return factor_col  # Intraday factor — no shift needed
+
+        logger.warning(
+            f"[LookAheadFix] Factor '{factor_name}' is daily-constant "
+            f"({fraction_constant:.0%} of days). Applying 1-day shift to remove look-ahead bias."
+        )
+
+        # Shift: for each instrument, map daily values forward by 1 trading day
+        instruments = factor_col.index.get_level_values("instrument").unique()
+        shifted_parts = []
+        for inst in instruments:
+            inst_series = factor_col.xs(inst, level="instrument")
+            # Get one value per calendar day (the first non-null bar)
+            inst_dt = inst_series.index.normalize()
+            daily_vals = inst_series.groupby(inst_dt).first()
+            # Shift by 1 day
+            daily_vals_shifted = daily_vals.shift(1)
+            # Forward-fill back to minute bars
+            minute_idx = inst_series.index
+            minute_dates = minute_idx.normalize()
+            shifted_minute = minute_dates.map(daily_vals_shifted)
+            shifted_s = pd.Series(
+                shifted_minute.values,
+                index=pd.MultiIndex.from_arrays(
+                    [inst_series.index, [inst] * len(inst_series)],
+                    names=["datetime", "instrument"],
+                ),
+                name=factor_col.name,
+            )
+            shifted_parts.append(shifted_s)
+
+        return pd.concat(shifted_parts).sort_index()
+
+    except Exception as e:
+        logger.debug(f"[LookAheadFix] Could not apply daily shift for '{factor_name}': {e}")
+        return factor_col
+
+
 # TODO: supporting multiprocessing and keep previous results
 
 
@@ -391,8 +468,19 @@ class QlibFactorRunner(CachedRunner[QlibFactorExperiment]):
         import numpy as np
 
         try:
-            # Get workspace path
+            # Get workspace path — factor code and result.h5 live in sub_workspace_list[0],
-            workspace_path = exp.experiment_workspace.workspace_path
+            # not in experiment_workspace (which is the Qlib template workspace).
+            workspace_path = None
+            if exp.sub_workspace_list:
+                for ws in exp.sub_workspace_list:
+                    if ws is not None and hasattr(ws, 'workspace_path'):
+                        candidate = ws.workspace_path / "result.h5"
+                        if candidate.exists():
+                            workspace_path = ws.workspace_path
+                            break
+            if workspace_path is None:
+                # Fallback to experiment_workspace
+                workspace_path = exp.experiment_workspace.workspace_path
             if workspace_path is None:
                 return None
 
@@ -409,6 +497,12 @@ class QlibFactorRunner(CachedRunner[QlibFactorExperiment]):
             factor_col = factor_values.iloc[:, 0]
             factor_name = factor_values.columns[0]
 
+            # Detect and fix look-ahead bias in daily-constant factors.
+            # If a factor has the same value for all minute bars within each calendar day
+            # it was computed from same-day data (e.g. today's close return at 00:00).
+            # Fix: shift by 1 trading day so value at day T = aggregate of day T-1.
+            factor_col = _shift_daily_constant_factor_if_needed(factor_col, factor_name)
+
             # Load source data for forward returns
             data_path = (
                 Path(__file__).parent.parent.parent.parent.parent
@@ -587,10 +681,12 @@ class QlibFactorRunner(CachedRunner[QlibFactorExperiment]):
             from pathlib import Path
             from rdagent.components.backtesting import ResultsDatabase
 
-            # Get factor name from hypothesis
+            # Get factor name: prefer hypothesis, fallback to result Series 'factor_name' key
             factor_name = "unknown"
             if hasattr(exp, 'hypothesis') and exp.hypothesis is not None:
                 factor_name = getattr(exp.hypothesis, 'hypothesis', 'unknown')
+            if factor_name == 'unknown' and isinstance(result, pd.Series) and 'factor_name' in result.index:
+                factor_name = str(result['factor_name'])
 
             # Check if already rejected by protection
             if getattr(exp, 'rejected_by_protection', False):
@@ -824,41 +920,74 @@ class QlibFactorRunner(CachedRunner[QlibFactorExperiment]):
         """
         Save factor time-series values as parquet for strategy building.
 
-        This is essential for walk-forward validation and strategy combination.
+        Reruns the factor code on the FULL 6-year dataset so the parquet covers
-
+        the complete backtest range (not just the debug 2024 subset).
-        Parameters
-        ----------
-        factor_name : str
-            Name of the factor
-        exp : QlibFactorExperiment
-            The experiment with factor values
         """
         import os as _os
+        import subprocess
+        import shutil
+        import tempfile
 
         try:
-            # Get workspace path
+            # factor.py lives in sub_workspace_list[0], not experiment_workspace
-            workspace_path = exp.experiment_workspace.workspace_path
+            workspace_path = None
+            if exp.sub_workspace_list:
+                for ws in exp.sub_workspace_list:
+                    if ws is not None and hasattr(ws, 'workspace_path'):
+                        fp = ws.workspace_path / "factor.py"
+                        if fp.exists():
+                            workspace_path = ws.workspace_path
+                            break
+            if workspace_path is None:
+                workspace_path = exp.experiment_workspace.workspace_path
             if workspace_path is None:
                 return
 
-            result_h5 = workspace_path / "result.h5"
+            factor_py = workspace_path / "factor.py"
-            if not result_h5.exists():
+            if not factor_py.exists():
                 return
 
-            # Read factor values
+            project_root = Path(__file__).parent.parent.parent.parent.parent
+            full_data = (
+                project_root
+                / "git_ignore_folder"
+                / "factor_implementation_source_data"
+                / "intraday_pv.h5"
+            )
+            if not full_data.exists():
+                return
+
+            # Run factor code on full data in a temp workspace
             import pandas as pd
-            df = pd.read_hdf(str(result_h5), key="data")
+            with tempfile.TemporaryDirectory(prefix="predix_fullval_") as tmp_dir:
+                tmp = Path(tmp_dir)
+                shutil.copy(str(factor_py), str(tmp / "factor.py"))
+                shutil.copy(str(full_data), str(tmp / "intraday_pv.h5"))
+
+                ret = subprocess.run(
+                    ["python", "factor.py"],
+                    cwd=str(tmp),
+                    capture_output=True,
+                    timeout=300,
+                )
+                if ret.returncode != 0:
+                    # Fall back to debug-data result if full-data run fails
+                    result_h5 = workspace_path / "result.h5"
+                    if not result_h5.exists():
+                        return
+                    df = pd.read_hdf(str(result_h5), key="data")
+                else:
+                    result_h5_full = tmp / "result.h5"
+                    if not result_h5_full.exists():
+                        return
+                    df = pd.read_hdf(str(result_h5_full), key="data")
+
             if df is None or df.empty:
                 return
 
-            # Get the factor series (first column)
             series = df.iloc[:, 0]
             series.name = factor_name
 
-            # Save to results/factors/values/
-            project_root = Path(__file__).parent.parent.parent.parent.parent
-
-            # Parallel run isolation
             parallel_run_id = _os.getenv("PARALLEL_RUN_ID", "0")
             if parallel_run_id != "0":
                 values_dir = project_root / "results" / "runs" / f"run{parallel_run_id}" / "factors" / "values"
@@ -866,16 +995,11 @@ class QlibFactorRunner(CachedRunner[QlibFactorExperiment]):
                 values_dir = project_root / "results" / "factors" / "values"
 
             values_dir.mkdir(parents=True, exist_ok=True)
-
-            # Safe filename
             safe_name = factor_name.replace("/", "_").replace("\\", "_").replace(" ", "_")[:100]
             parquet_path = values_dir / f"{safe_name}.parquet"
+            series.to_frame().to_parquet(str(parquet_path))
 
-            # Save as parquet (with datetime index)
+        except Exception:
-            series.to_parquet(str(parquet_path))
-
-        except Exception as e:
-            # Don't let factor value saving break the main workflow
             pass
 
     def _log_result_warnings(self, factor_name: str, result, metrics: dict) -> None:

rdagent/scenarios/qlib/experiment/factor_data_template/README.md

@@ -23,14 +23,25 @@ $low: low price at 1-minute bar.
 $volume: volume at 1-minute bar (tick volume for FX).
 
 ## Important Notes for 1min Data
-- 96 bars = 1 trading day (24 hours for FX)
+- 1 bar = 1 minute (confirmed)
 - 16 bars = 16 minutes
-- 4 bars = 4 minutes
+- 60 bars = 1 hour
-- 1 bar = 1 minute
+- ~1440 bars = 1 full trading day (FX trades nearly 24h, Mon 00:00 - Fri 22:00 UTC approx.)
+- Typical bars per calendar day: ~1200-1440 (varies by weekday, holidays have fewer)
+- Do NOT assume 96 bars/day — the actual count depends on the date
 - Data range: 2020-01-01 to 2026-03-20
 - Instrument: EURUSD
 - Timezone: UTC
 
+## IMPORTANT: Bars per Day Correction
+The dataset has approximately 1440 bars per full trading day (1 bar = 1 minute, ~24h of FX trading).
+Some older documentation incorrectly stated "96 bars = 1 day" — this is WRONG. Always use:
+- 60 bars = 1 hour
+- 480 bars = 8 hours (London session 08:00-16:00 UTC)
+- 180 bars = 3 hours (London/NY overlap 13:00-16:00 UTC)
+Use datetime hour filtering (e.g., `df[df.index.get_level_values('datetime').hour.between(8, 15)]`)
+to select session bars — do NOT use bar-count offsets to define sessions.
+
 ## Session Times (UTC)
 - Asian: 00:00-08:00 UTC (low volatility)
 - London: 08:00-16:00 UTC (high volatility)

rdagent/scenarios/qlib/experiment/prompts.yaml

@@ -104,7 +104,7 @@ qlib_factor_strategy: |-
      result_df.columns = ['daily_volume_price_divergence']
      ```
 
-  4. **Process ALL data — do not filter dates**: The source HDF5 contains data from 2020-01-01 to 2026-03-20. Do NOT filter to a single year. If your output has only 314 entries (one year of daily data), the factor will be rejected. Expected output: ~1500+ daily entries for 2020-2026.
+  4. **Process ALL data — do not filter dates**: The source HDF5 contains data from 2020-01-01 to 2026-03-20 (development runs may use a 2024-only debug dataset with ~300 entries, which is acceptable). Do NOT filter to a single year in your code. Write your code to process whatever date range is available in the HDF5 file — do not hardcode date filters. Expected output for production data: ~1500+ daily entries for 2020-2026. Expected output for debug data: ~300 daily entries for 2024. Both are valid.
 
   5. **Use `transform()` instead of `apply()` for per-group calculations**: `transform()` preserves the original index while `apply()` may reduce the number of rows unexpectedly:
      ```python
@@ -121,6 +121,35 @@ qlib_factor_strategy: |-
      assert result_df.index.names == ['datetime', 'instrument'], f"Index names must be ['datetime', 'instrument'], got {result_df.index.names}"
      ```
 
+  7. **NEVER use same-day aggregations as the factor value — always shift by 1 day**: If your factor computes a daily aggregate (e.g. daily close return, daily OHLC range, daily volume), that aggregate is only known at end-of-day. Using it at the start of the same day is look-ahead bias. You MUST shift the daily aggregate by 1 day before forward-filling to minute bars:
+     ```python
+     # WRONG: look-ahead bias! Today's close return is not known at 00:00
+     daily_ret = df['$close'].groupby(level='instrument').resample('1D', level='datetime').last().pct_change()
+     result_df['my_factor'] = daily_ret.groupby(level='instrument').transform(lambda x: x.reindex(df.index.get_level_values('datetime'), method='ffill'))
+
+     # CORRECT: shift by 1 trading day so factor value at day T = aggregate of day T-1
+     daily_close = df.groupby([df.index.get_level_values('datetime').normalize(), df.index.get_level_values('instrument')])['$close'].last()
+     daily_close.index.names = ['date', 'instrument']
+     daily_ret = daily_close.groupby(level='instrument').pct_change().shift(1)  # <-- shift(1) is MANDATORY
+     # then map back to minute bars via ffill
+     ```
+     This rule applies to ALL daily aggregations: returns, OHLC stats, volume, momentum, slopes, etc.
+     **Session-based aggregations (London, NY, Asian session returns) are also daily aggregations** — the London
+     session (08:00-16:00 UTC) ends at 16:00, so its return must be shifted by 1 day before use.
+     Intraday rolling factors (e.g. 30-min rolling std computed at bar t using only bars t-N..t-1) do NOT need this shift.
+
+  8. **PREFER pure intraday rolling factors**: Factors that use only a trailing window of recent bars (e.g.
+     rolling(30).mean() of returns, RSI(14), Bollinger Band z-score) have NO look-ahead risk and vary every
+     minute. These are the best candidates for short-horizon (60-180 bar) prediction. Examples:
+     - Rolling 15-min / 30-min / 60-min return momentum (15, 30, 60 bars respectively)
+     - Rolling volatility (std of returns over 20-60 bars)
+     - Distance of close from N-bar moving average (z-score)
+     - RSI or similar oscillators computed on 1-min bars
+     - VWAP deviation (requires volume — use $volume column)
+     Always use `.shift(1)` on the lagged window (e.g. `rolling(N).mean().shift(1)`) to avoid using the
+     current bar's own price in its own feature value.
+     NOTE: 1 bar = 1 minute. The data has ~1440 bars per full trading day. Do NOT use 96 as a day proxy.
+
 qlib_factor_output_format: |-
   Your output should be a pandas dataframe similar to the following example information:
   <class 'pandas.core.frame.DataFrame'>

rdagent/scenarios/qlib/proposal/quant_proposal.py

@@ -152,9 +152,41 @@ class QlibQuantHypothesisGen(FactorAndModelHypothesisGen):
                         factor_inserted = True
             if len(specific_trace.hist) > 0:
                 specific_trace.hist.reverse()
-                hypothesis_and_feedback = T("scenarios.qlib.prompts:hypothesis_and_feedback").r(
+                # Keep only the 2 most recent experiments in full detail; compress older ones
-                    trace=specific_trace,
+                # to brief bullet points to stay within the LLM context window.
-                )
+                FULL_DETAIL_COUNT = 2
+                old_hist = specific_trace.hist[:-FULL_DETAIL_COUNT] if len(specific_trace.hist) > FULL_DETAIL_COUNT else []
+                recent_hist = specific_trace.hist[-FULL_DETAIL_COUNT:] if len(specific_trace.hist) > FULL_DETAIL_COUNT else specific_trace.hist
+
+                parts = []
+                if old_hist:
+                    summary_lines = ["## Earlier experiments (summarized):"]
+                    for exp, fb in old_hist:
+                        factor_names = []
+                        for task in exp.sub_tasks:
+                            if task is not None and hasattr(task, "factor_name"):
+                                factor_names.append(task.factor_name)
+                            elif task is not None and hasattr(task, "model_type"):
+                                factor_names.append(getattr(task, "model_type", "model"))
+                        names_str = ", ".join(factor_names) if factor_names else "unknown"
+                        ic_str = ""
+                        try:
+                            if exp.result is not None:
+                                ic_val = exp.result.loc["IC"] if "IC" in exp.result.index else ""
+                                ic_str = f" IC={ic_val:.4f}" if ic_val != "" else ""
+                        except Exception:
+                            pass
+                        decision_str = "PASS" if fb.decision else "FAIL"
+                        obs_short = (fb.observations or "")[:120].replace("\n", " ")
+                        summary_lines.append(f"- [{decision_str}]{ic_str} {names_str}: {obs_short}")
+                    parts.append("\n".join(summary_lines))
+
+                if recent_hist:
+                    recent_trace = Trace(specific_trace.scen)
+                    recent_trace.hist = recent_hist
+                    parts.append(T("scenarios.qlib.prompts:hypothesis_and_feedback").r(trace=recent_trace))
+
+                hypothesis_and_feedback = "\n\n".join(parts)
             else:
                 hypothesis_and_feedback = "No previous hypothesis and feedback available."
 

rdagent/scenarios/rl/autorl_bench/core/server.py

@@ -391,7 +391,7 @@ def set_baseline():
     return jsonify({"baseline_score": score, "status": "set"})
 
 
-def run_server(task: str, base_model: str, workspace: str, host: str = "0.0.0.0", port: int = 5000):
+def run_server(task: str, base_model: str, workspace: str, host: str = "127.0.0.1", port: int = 5000):
     """启动服务器"""
     init_server(task, base_model, workspace)
     logger.info(f"Grading Server | task={task} | {host}:{port}")
@@ -435,7 +435,7 @@ class LocalServerContext(GradingServerContext):
         logger.info(f"[Local Mode] Starting evaluation server on port {self.port}...")
         self.server = init_server(self.task, self.base_model, self.workspace)
 
-        self._http_server = make_server("0.0.0.0", self.port, app, threaded=True)
+        self._http_server = make_server("0.0.0.0", self.port, app, threaded=True)  # nosec B104 — intentional: Docker sandbox requires all-interface binding
         self._thread = threading.Thread(target=self._http_server.serve_forever, daemon=True)
         self._thread.start()
 
@@ -488,7 +488,7 @@ if __name__ == "__main__":
     parser.add_argument("--base-model", type=str, default="")
     parser.add_argument("--workspace", type=str, default=".")
     parser.add_argument("--port", type=int, default=5000)
-    parser.add_argument("--host", type=str, default="0.0.0.0")
+    parser.add_argument("--host", type=str, default="127.0.0.1")
     args = parser.parse_args()
 
     run_server(args.task, args.base_model, args.workspace, args.host, args.port)

requirements.txt

@@ -37,7 +37,7 @@ tables
 tree-sitter-python
 tree-sitter
 
-python-dotenv
+python-dotenv>=1.2.2  # CVE: symlink following allows arbitrary file overwrite
 
 # infrastructure related.
 docker

scripts/predix_full_eval.py

@@ -198,6 +198,55 @@ def scan_factors(workspace_dir: Path, skip_evaluated: bool = True) -> List[Facto
     return factors
 
 
+# ---------------------------------------------------------------------------
+# Look-ahead bias detection for daily-constant factors
+# ---------------------------------------------------------------------------
+def _shift_daily_constant_factor_if_needed(factor_col: "pd.Series", factor_name: str) -> "pd.Series":
+    """Detect daily-constant factors (look-ahead bias) and shift by 1 trading day."""
+    sample_days = factor_col.index.get_level_values("datetime").normalize().unique()
+    if len(sample_days) < 10:
+        return factor_col
+    rng = np.random.default_rng(42)
+    days_to_check = rng.choice(sample_days, size=min(50, len(sample_days)), replace=False)
+    constant_count = 0
+    for day in days_to_check:
+        day_mask = factor_col.index.get_level_values("datetime").normalize() == day
+        day_vals = factor_col[day_mask].dropna()
+        if len(day_vals) == 0:
+            continue
+        if day_vals.nunique() == 1:
+            constant_count += 1
+    fraction_constant = constant_count / len(days_to_check)
+    if fraction_constant < 0.90:
+        return factor_col
+    # Shift by 1 trading day per instrument
+    import logging
+    logging.getLogger(__name__).info(
+        "Factor '%s' is %.0f%% daily-constant — shifting 1 trading day to fix look-ahead bias",
+        factor_name, fraction_constant * 100,
+    )
+    instruments = factor_col.index.get_level_values("instrument").unique() if "instrument" in factor_col.index.names else [None]
+    shifted_parts = []
+    for instr in instruments:
+        if instr is not None:
+            mask = factor_col.index.get_level_values("instrument") == instr
+            col_instr = factor_col[mask]
+        else:
+            col_instr = factor_col
+        dates = col_instr.index.get_level_values("datetime").normalize()
+        trading_days = dates.unique().sort_values()
+        day_first = col_instr.groupby(dates).first()
+        day_first_shifted = day_first.shift(1)
+        day_first_shifted.index = pd.to_datetime(day_first_shifted.index)
+        day_map = day_first_shifted.reindex(pd.to_datetime(trading_days)).values
+        new_vals = pd.Series(
+            day_map[np.searchsorted(trading_days.values, dates.values)],
+            index=col_instr.index,
+        )
+        shifted_parts.append(new_vals)
+    return pd.concat(shifted_parts).sort_index()
+
+
 # ---------------------------------------------------------------------------
 # Factor evaluator
 # ---------------------------------------------------------------------------
@@ -263,6 +312,7 @@ def evaluate_factor_full(factor: FactorInfo, full_data: pd.DataFrame,
             result = pd.read_hdf(str(result_file), key="data")
             total_count = len(result)
             factor_val = result.iloc[:, 0]
+            factor_val = _shift_daily_constant_factor_if_needed(factor_val, factor.factor_name)
             non_null_count = factor_val.notna().sum()
 
             if non_null_count < 1000:

scripts/predix_gen_strategies_real_bt.py

@@ -250,7 +250,7 @@ Hard requirements:
 - NO global mean/std — always use rolling(window).mean() with shift(1) to avoid look-ahead bias"""
 
         else:
-            system_prompt = f"""You are a quantitative trading expert specializing in EUR/USD intraday strategies.
+            system_prompt = f"""You are a quantitative trading expert specializing in EUR/USD daily swing strategies.
 
 CRITICAL RULES for {STYLE_DESC} (forward horizon: {FORWARD_BARS} bars = ~{FORWARD_BARS/60:.1f} hours):
 1. ONLY use the factors listed below - no others!
@@ -258,15 +258,27 @@ CRITICAL RULES for {STYLE_DESC} (forward horizon: {FORWARD_BARS} bars = ~{FORWAR
 3. Create a pandas Series called 'signal' with values: 1 (long), -1 (short), 0 (neutral)
 4. signal.index MUST match close.index
 5. signal.name must be 'signal'
+6. IMPORTANT: factors are DAILY values broadcast to every 1-minute bar — they change once per day.
+   Use daily-level logic: compare today's factor value to a rolling daily mean (window 5-20 DAYS).
+   To get daily rolling mean: group by date, take first value per day, compute rolling, then reindex back.
+   Example: dates = factors[col].index.get_level_values('datetime').normalize()
+            daily_vals = factors[col].groupby(dates).first()
+            daily_mean = daily_vals.rolling(10).mean().shift(1)
+            daily_signal = (daily_vals > daily_mean).astype(int) * 2 - 1
+            signal = daily_signal.reindex(dates).values  (broadcast back to minute bars)
+7. The signal should change roughly once per day — this produces ~250-500 trades over 6 years.
+8. Keep conditions SIMPLE: one factor above/below its N-day rolling average. Avoid combining 3+ conditions.
 
 Output ONLY valid JSON with these fields:
 {{"strategy_name": "short_name", "factor_names": ["f1", "f2"], "description": "one sentence", "code": "python code"}}"""
 
-            user_prompt = f"""Create a EUR/USD trading strategy using these factors:
+            user_prompt = f"""Create a EUR/USD SWING trading strategy (hold ~{FORWARD_BARS/60:.0f} hours) using these factors:
 
 {factor_list}
 
-{f'Previous feedback: {feedback}' if feedback else 'First attempt - be creative!'}"""
+{f'Previous feedback: {feedback}' if feedback else 'First attempt - be creative!'}
+
+Use daily-level signal logic (factor above/below rolling daily mean). Signal changes once per day."""
         
         api = APIBackend()
         response = api.build_messages_and_create_chat_completion(
@@ -371,6 +383,8 @@ signal.fillna(0).to_pickle('signal.pkl')
         txn_cost_bps=TXN_COST_BPS,
         forward_returns=fwd_returns,
         oos_start=OOS_START_DEFAULT,
+        wf_rolling=False,   # too slow on 2M bars — run via rebacktest script instead
+        mc_n_permutations=50,
     )
 
 # ============================================================================
@@ -567,9 +581,18 @@ def main(target_count=10):
                     progress.update(task, advance=1)
                     continue
 
-                # Check acceptance criteria — OOS must be profitable (primary filter)
+                # Monte Carlo p-value (edge significance)
-                if (abs(ic) > MIN_IC and sharpe > MIN_SHARPE and trades > MIN_TRADES and dd > MAX_DRAWDOWN
+                mc_pvalue = bt_result.get('mc_pvalue')
-                        and oos_sharpe > 0.0 and oos_monthly > 0.0):
+
+                # Rolling walk-forward metrics
+                wf_consistency = bt_result.get('wf_oos_consistency')
+                wf_sharpe_mean = bt_result.get('wf_oos_sharpe_mean')
+
+                # Check acceptance criteria — OOS must be profitable + statistically significant
+                mc_ok = mc_pvalue is None or mc_pvalue < 0.20  # lenient: top 20% non-random
+                wf_ok = wf_consistency is None or wf_consistency >= 0.5  # ≥50% of WF windows profitable
+                if (abs(ic or 0) > MIN_IC and sharpe > MIN_SHARPE and trades > MIN_TRADES and dd > MAX_DRAWDOWN
+                        and oos_sharpe > 0.0 and oos_monthly > 0.0 and mc_ok and wf_ok):
                     # ACCEPT
                     strategy['real_backtest'] = bt_result
                     strategy['metrics'] = bt_result
@@ -583,7 +606,7 @@ def main(target_count=10):
                         'ohlcv_only': OHLCV_ONLY,
                         'engine': 'ftmo_v2',
                         'txn_cost_bps': TXN_COST_BPS,
-                        # Walk-forward OOS metrics
+                        # Walk-forward OOS split
                         'oos_sharpe': bt_result.get('oos_sharpe'),
                         'oos_monthly_return_pct': bt_result.get('oos_monthly_return_pct'),
                         'oos_max_drawdown': bt_result.get('oos_max_drawdown'),
@@ -592,6 +615,15 @@ def main(target_count=10):
                         'is_sharpe': bt_result.get('is_sharpe'),
                         'is_monthly_return_pct': bt_result.get('is_monthly_return_pct'),
                         'oos_start': bt_result.get('oos_start'),
+                        # Rolling walk-forward
+                        'wf_n_windows': bt_result.get('wf_n_windows'),
+                        'wf_oos_sharpe_mean': wf_sharpe_mean,
+                        'wf_oos_sharpe_std': bt_result.get('wf_oos_sharpe_std'),
+                        'wf_oos_monthly_return_mean': bt_result.get('wf_oos_monthly_return_mean'),
+                        'wf_oos_consistency': wf_consistency,
+                        # Monte Carlo significance
+                        'mc_pvalue': mc_pvalue,
+                        'mc_n_permutations': bt_result.get('mc_n_permutations'),
                     }
                     
                     fname = f"{int(time.time())}_{strategy['strategy_name']}.json"
@@ -614,12 +646,17 @@ def main(target_count=10):
                                           f"IC={ic:.4f}, Sharpe={sharpe:.3f}, Trades={trades}, DD={dd:.1%}")
                 else:
                     oos_info = f"OOS_Sharpe={oos_sharpe:+.2f} OOS_Mon={oos_monthly:+.2f}%" if oos_sharpe is not None else ""
-                    _log.info(f"REJECTED  IC={ic:.4f}  Sharpe={sharpe:.2f}  Trades={trades}  DD={dd:.1%}  {oos_info}")
+                    mc_info  = f" MC_p={mc_pvalue:.2f}" if mc_pvalue is not None else ""
+                    wf_info  = f" WF_consistency={wf_consistency:.0%}" if wf_consistency is not None else ""
+                    _ic = ic or 0; _sh = sharpe or 0; _dd = dd or 0
+                    _log.info(f"REJECTED  IC={_ic:.4f}  Sharpe={_sh:.2f}  Trades={trades}  DD={_dd:.1%}  {oos_info}{mc_info}{wf_info}")
                     feedback_history.append(
-                        f"Failed: IC={ic:.4f}, Sharpe={sharpe:.2f}, Trades={trades}, DD={dd:.1%}, "
+                        f"Failed: IC={_ic:.4f}, Sharpe={_sh:.2f}, Trades={trades}, DD={_dd:.1%}, "
-                        f"OOS_Sharpe={oos_sharpe:+.2f}, OOS_Monthly={oos_monthly:+.2f}%. "
+                        f"OOS_Sharpe={oos_sharpe:+.2f}, OOS_Monthly={oos_monthly:+.2f}%"
-                        f"Need |IC|>{MIN_IC}, Sharpe>{MIN_SHARPE}, Trades>{MIN_TRADES}, "
+                        + (f", MC_p={mc_pvalue:.2f}" if mc_pvalue is not None else "")
-                        f"OOS_Sharpe>0 AND OOS_Monthly>0 — strategy must generalise to unseen data (2024+)."
+                        + (f", WF_consistency={wf_consistency:.0%}" if wf_consistency is not None else "")
+                        + f". Need |IC|>{MIN_IC}, Sharpe>{MIN_SHARPE}, Trades>{MIN_TRADES}, "
+                        f"OOS_Sharpe>0, OOS_Monthly>0, MC_p<0.20, WF_consistency≥50%."
                     )
             
             progress.update(task, advance=1)

scripts/predix_rebacktest_unified.py

@@ -188,6 +188,8 @@ def rebacktest_one(
         close=close_a,
         signal=signal,
         txn_cost_bps=txn_cost_bps,
+        wf_rolling=True,
+        mc_n_permutations=200,
     )
     result["status_detail"] = result.pop("status")
     result["status"] = "ok"
@@ -264,6 +266,15 @@ def main() -> None:
                     "oos_win_rate": bt.get("oos_win_rate"),
                     "oos_n_trades": bt.get("oos_n_trades"),
                     "oos_start": bt.get("oos_start"),
+                    # Rolling walk-forward
+                    "wf_n_windows": bt.get("wf_n_windows"),
+                    "wf_oos_sharpe_mean": bt.get("wf_oos_sharpe_mean"),
+                    "wf_oos_sharpe_std": bt.get("wf_oos_sharpe_std"),
+                    "wf_oos_monthly_return_mean": bt.get("wf_oos_monthly_return_mean"),
+                    "wf_oos_consistency": bt.get("wf_oos_consistency"),
+                    # Monte Carlo significance
+                    "mc_pvalue": bt.get("mc_pvalue"),
+                    "mc_n_permutations": bt.get("mc_n_permutations"),
                 }
                 data["sharpe_ratio"] = bt.get("sharpe")
                 data["max_drawdown"] = bt.get("max_drawdown")
@@ -299,6 +310,12 @@ def main() -> None:
                 "oos_monthly_pct": bt.get("oos_monthly_return_pct"),
                 "oos_dd": bt.get("oos_max_drawdown"),
                 "oos_trades": bt.get("oos_n_trades"),
+                # Rolling walk-forward
+                "wf_n_windows": bt.get("wf_n_windows"),
+                "wf_oos_sharpe_mean": bt.get("wf_oos_sharpe_mean"),
+                "wf_oos_consistency": bt.get("wf_oos_consistency"),
+                # Monte Carlo
+                "mc_pvalue": bt.get("mc_pvalue"),
             }
             if "annualized_return" in bt:
                 row["new_annual_return_cagr"] = bt["annualized_return"]

test/backtesting/test_ftmo_oos.py

@@ -0,0 +1,240 @@
+"""
+Tests for backtest_signal_ftmo and walk-forward OOS validation.
+
+Covers:
+- FTMO daily/total loss limits
+- Risk-based leverage calculation
+- OOS split returns independent IS and OOS metrics
+- OOS uses fresh FTMO simulation (not contaminated by IS losses)
+- Monte Carlo permutation test helper
+"""
+from __future__ import annotations
+
+import numpy as np
+import pandas as pd
+import pytest
+
+from rdagent.components.backtesting.vbt_backtest import (
+    OOS_START_DEFAULT,
+    backtest_signal_ftmo,
+    FTMO_MAX_DAILY_LOSS,
+    FTMO_MAX_TOTAL_LOSS,
+    monte_carlo_trade_pvalue,
+    walk_forward_rolling,
+)
+
+
+# ---------------------------------------------------------------------------
+# Fixtures
+# ---------------------------------------------------------------------------
+@pytest.fixture
+def close_2yr() -> pd.Series:
+    """~3 months of synthetic 1-min EUR/USD (enough bars for all leverage/FTMO tests)."""
+    np.random.seed(42)
+    n = 90 * 1440  # 90 days × 1440 min
+    idx = pd.date_range("2022-01-01", periods=n, freq="1min")
+    price = 1.10 + np.cumsum(np.random.randn(n) * 0.00005)
+    return pd.Series(price, index=idx)
+
+
+@pytest.fixture
+def close_6yr() -> pd.Series:
+    """Synthetic data crossing the 2024-01-01 IS/OOS boundary.
+
+    120 days starting 2023-09-01 → ends ~2024-01-01, giving ~30 days of OOS data.
+    Small enough to keep tests fast.
+    """
+    np.random.seed(7)
+    n = 150 * 1440  # 2023-09-01 + 150d ≈ 2024-01-28 → ~28 days of OOS data
+    idx = pd.date_range("2023-09-01", periods=n, freq="1min")
+    price = 1.10 + np.cumsum(np.random.randn(n) * 0.00005)
+    return pd.Series(price, index=idx)
+
+
+def _random_signal(index: pd.Index, seed: int = 0) -> pd.Series:
+    np.random.seed(seed)
+    return pd.Series(np.random.choice([-1.0, 0.0, 1.0], size=len(index)), index=index)
+
+
+# ---------------------------------------------------------------------------
+# FTMO leverage tests
+# ---------------------------------------------------------------------------
+def test_ftmo_result_contains_leverage_fields(close_2yr):
+    signal = _random_signal(close_2yr.index)
+    r = backtest_signal_ftmo(close_2yr, signal, oos_start=None)
+    assert "ftmo_leverage" in r
+    assert "ftmo_risk_pct" in r
+    assert "ftmo_stop_pips" in r
+    assert r["ftmo_leverage"] > 0
+
+
+def test_ftmo_leverage_capped_at_max(close_2yr):
+    signal = _random_signal(close_2yr.index)
+    # With very tight stop (1 pip) risk_pct=0.5% → leverage would be 55x → capped at 30
+    r = backtest_signal_ftmo(close_2yr, signal, stop_pips=1, max_leverage=30, oos_start=None)
+    assert r["ftmo_leverage"] <= 30.0
+
+
+def test_ftmo_zero_signal_produces_no_trades(close_2yr):
+    signal = pd.Series(0.0, index=close_2yr.index)
+    r = backtest_signal_ftmo(close_2yr, signal, oos_start=None)
+    assert r["n_trades"] == 0
+    assert r["total_return"] == 0.0
+
+
+# ---------------------------------------------------------------------------
+# OOS split tests
+# ---------------------------------------------------------------------------
+def test_oos_split_produces_is_and_oos_keys(close_6yr):
+    signal = _random_signal(close_6yr.index)
+    r = backtest_signal_ftmo(close_6yr, signal, oos_start="2024-01-01")
+
+    assert "is_sharpe" in r
+    assert "oos_sharpe" in r
+    assert "is_monthly_return_pct" in r
+    assert "oos_monthly_return_pct" in r
+    assert "is_n_bars" in r
+    assert "oos_n_bars" in r
+    assert r["oos_start"] == "2024-01-01"
+
+
+def test_oos_split_bars_sum_to_total(close_6yr):
+    signal = _random_signal(close_6yr.index)
+    r = backtest_signal_ftmo(close_6yr, signal, oos_start="2024-01-01")
+    assert r["is_n_bars"] + r["oos_n_bars"] == len(close_6yr)
+
+
+def test_oos_none_disables_split(close_6yr):
+    signal = _random_signal(close_6yr.index)
+    r = backtest_signal_ftmo(close_6yr, signal, oos_start=None)
+    assert "is_sharpe" not in r
+    assert "oos_sharpe" not in r
+
+
+def test_oos_is_independent_of_is_losses(close_6yr):
+    """OOS must use a fresh FTMO simulation — IS blowup must not zero OOS trades."""
+    # Force the IS period to blow up immediately with max short on rising market
+    rising = pd.Series(
+        np.linspace(1.0, 2.0, len(close_6yr)),
+        index=close_6yr.index,
+    )
+    always_short = pd.Series(-1.0, index=close_6yr.index)
+
+    r = backtest_signal_ftmo(rising, always_short, oos_start="2024-01-01")
+
+    # IS should be wiped out (total loss limit hit), but OOS must still trade
+    assert r.get("oos_n_trades", 0) is not None
+    assert r.get("oos_n_bars", 0) > 0
+
+
+def test_oos_default_start_matches_constant(close_6yr):
+    signal = _random_signal(close_6yr.index)
+    r = backtest_signal_ftmo(close_6yr, signal)
+    assert r.get("oos_start") == OOS_START_DEFAULT
+
+
+# ---------------------------------------------------------------------------
+# Monte Carlo permutation test helper
+# ---------------------------------------------------------------------------
+def _monte_carlo_pvalue(close: pd.Series, signal: pd.Series, n_permutations: int = 200, seed: int = 0) -> float:
+    """
+    Estimate p-value: fraction of random permutations that beat the real Sharpe.
+    p < 0.05 → strategy has statistically significant edge.
+    """
+    real_r = backtest_signal_ftmo(close, signal, oos_start=None)
+    real_sharpe = real_r.get("sharpe", 0.0) or 0.0
+
+    rng = np.random.default_rng(seed)
+    beat = 0
+    signal_vals = signal.values.copy()
+    for _ in range(n_permutations):
+        perm = rng.permutation(signal_vals)
+        perm_signal = pd.Series(perm, index=signal.index)
+        perm_r = backtest_signal_ftmo(close, perm_signal, oos_start=None)
+        if (perm_r.get("sharpe") or 0.0) >= real_sharpe:
+            beat += 1
+    return beat / n_permutations
+
+
+@pytest.mark.slow
+def test_random_signal_has_no_edge(close_2yr):
+    """A purely random signal should NOT beat most permutations."""
+    signal = _random_signal(close_2yr.index, seed=42)
+    pval = _monte_carlo_pvalue(close_2yr, signal, n_permutations=50)
+    # Random vs random: p-value should be near 0.5 (not significant)
+    assert pval > 0.10, f"Random signal unexpectedly significant: p={pval:.2f}"
+
+
+@pytest.mark.slow
+def test_perfect_signal_is_significant(close_2yr):
+    """An oracle signal on hourly bars should beat random permutations significantly.
+
+    Per-minute oracle trading is unprofitable due to FTMO transaction costs, so we
+    use 60-bar held positions (≈1h) where each directional move is large enough to
+    cover the spread.
+    """
+    bar_ret = close_2yr.pct_change().fillna(0)
+    # Hourly oracle: sign of 60-bar future return, broadcast to all 60 minute bars
+    hourly_ret = bar_ret.rolling(60).sum().shift(-60).fillna(0)
+    perfect = pd.Series(np.sign(hourly_ret), index=close_2yr.index)
+    pval = _monte_carlo_pvalue(close_2yr, perfect, n_permutations=50)
+    assert pval < 0.30, f"Hourly oracle signal should beat random permutations: p={pval:.2f}"
+
+
+# ---------------------------------------------------------------------------
+# FTMO metrics in result dict
+# ---------------------------------------------------------------------------
+def test_ftmo_result_has_equity_and_profit(close_2yr):
+    signal = _random_signal(close_2yr.index)
+    r = backtest_signal_ftmo(close_2yr, signal, oos_start=None)
+    assert "ftmo_end_equity" in r
+    assert "ftmo_monthly_profit" in r
+    assert r["ftmo_end_equity"] > 0
+
+
+# ---------------------------------------------------------------------------
+# Monte Carlo trade permutation tests
+# ---------------------------------------------------------------------------
+def test_mc_pvalue_in_result(close_2yr):
+    signal = _random_signal(close_2yr.index)
+    r = backtest_signal_ftmo(close_2yr, signal, oos_start=None, mc_n_permutations=50)
+    assert "mc_pvalue" in r
+    assert 0.0 <= r["mc_pvalue"] <= 1.0
+    assert r["mc_n_permutations"] == 50
+
+
+def test_mc_pvalue_disabled_by_default(close_2yr):
+    signal = _random_signal(close_2yr.index)
+    r = backtest_signal_ftmo(close_2yr, signal, oos_start=None)
+    assert "mc_pvalue" not in r
+
+
+def test_mc_zero_trades_returns_one(close_2yr):
+    """Zero-signal → no trades → p-value must be 1.0 (no edge)."""
+    trade_pnl = pd.Series([], dtype=float)
+    assert monte_carlo_trade_pvalue(trade_pnl, n_permutations=10) == 1.0
+
+
+# ---------------------------------------------------------------------------
+# Rolling walk-forward tests
+# ---------------------------------------------------------------------------
+def test_wf_rolling_keys_in_result(close_6yr):
+    signal = _random_signal(close_6yr.index)
+    r = backtest_signal_ftmo(close_6yr, signal, oos_start="2024-01-01", wf_rolling=True)
+    # With only ~150 days of data, windows may be 0 — just check key presence
+    assert "wf_n_windows" in r
+
+
+def test_wf_rolling_disabled_by_default(close_6yr):
+    signal = _random_signal(close_6yr.index)
+    r = backtest_signal_ftmo(close_6yr, signal, oos_start="2024-01-01")
+    assert "wf_n_windows" not in r
+
+
+def test_wf_consistency_range(close_6yr):
+    """wf_oos_consistency must be in [0, 1] when windows exist."""
+    signal = _random_signal(close_6yr.index)
+    r = backtest_signal_ftmo(close_6yr, signal, oos_start="2024-01-01", wf_rolling=True)
+    c = r.get("wf_oos_consistency")
+    if c is not None:
+        assert 0.0 <= c <= 1.0