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https://github.com/NicolasBohn/NexQuant.git
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TPTBusiness
159 lines
10 KiB
XML
159 lines
10 KiB
XML
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<title>NexQuant data flow architecture</title>
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<desc>Full pipeline from Qlib data source through R&D loop, factor and model tracks, strategy generation, portfolio optimization, to live trading.</desc>
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<!-- DATA SOURCE -->
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<text class="th th-blue" x="340" y="43" text-anchor="middle" dominant-baseline="central">Qlib data (1-min EUR/USD)</text>
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<text class="ts ts-blue" x="340" y="63" text-anchor="middle" dominant-baseline="central">2020–2026 · 96 bars/day</text>
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<!-- R&D LOOP container -->
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<text class="label-muted" x="56" y="121" dominant-baseline="central">R&D loop (rdagent fin_quant)</text>
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<text class="th th-purple" x="106" y="154" text-anchor="middle" dominant-baseline="central">Propose</text>
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<text class="ts ts-purple" x="106" y="172" text-anchor="middle" dominant-baseline="central">LLM</text>
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<text class="th th-purple" x="220" y="154" text-anchor="middle" dominant-baseline="central">Coding</text>
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<text class="ts ts-purple" x="220" y="172" text-anchor="middle" dominant-baseline="central">CoSTEER</text>
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<text class="th th-purple" x="334" y="154" text-anchor="middle" dominant-baseline="central">Running</text>
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<text class="ts ts-purple" x="334" y="172" text-anchor="middle" dominant-baseline="central">Docker</text>
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<text class="th th-purple" x="448" y="154" text-anchor="middle" dominant-baseline="central">Feedback</text>
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<text class="ts ts-purple" x="448" y="172" text-anchor="middle" dominant-baseline="central">LLM</text>
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<text class="th th-purple" x="562" y="154" text-anchor="middle" dominant-baseline="central">Record</text>
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<text class="ts ts-purple" x="562" y="172" text-anchor="middle" dominant-baseline="central">Pickle</text>
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<text class="label-muted" x="340" y="216" text-anchor="middle" dominant-baseline="central">Bandit selection → factor track or model track</text>
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<!-- Split to two tracks -->
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<text class="label-muted" x="340" y="478" text-anchor="middle">every N factors · auto or CLI</text>
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<!-- FACTOR TRACK -->
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<text class="th th-teal" x="170" y="344" text-anchor="middle" dominant-baseline="central">Factor track</text>
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<text class="ts ts-teal" x="170" y="364" text-anchor="middle" dominant-baseline="central">Hypothesis → FactorCoSTEER</text>
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<text class="ts ts-teal" x="170" y="382" text-anchor="middle" dominant-baseline="central">FactorRunner → FactorFeedback</text>
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<text class="ts ts-teal" x="170" y="402" text-anchor="middle" dominant-baseline="central">Output: result.h5</text>
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<text class="ts ts-teal" x="170" y="420" text-anchor="middle" dominant-baseline="central">MultiIndex DataFrame</text>
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<text class="ts ts-teal" x="170" y="438" text-anchor="middle" dominant-baseline="central">IC / Sharpe metrics</text>
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<!-- MODEL TRACK -->
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<text class="th th-coral" x="510" y="344" text-anchor="middle" dominant-baseline="central">Model track</text>
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<text class="ts ts-coral" x="510" y="364" text-anchor="middle" dominant-baseline="central">Hypothesis → ModelCoSTEER</text>
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<text class="ts ts-coral" x="510" y="382" text-anchor="middle" dominant-baseline="central">ModelRunner → ModelFeedback</text>
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<text class="ts ts-coral" x="510" y="402" text-anchor="middle" dominant-baseline="central">Output: PyTorch preds</text>
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<text class="ts ts-coral" x="510" y="420" text-anchor="middle" dominant-baseline="central">+ mlflow logs</text>
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<text class="ts ts-coral" x="510" y="438" text-anchor="middle" dominant-baseline="central">LSTM / Transformer / CNN</text>
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<!-- Merge to strategy -->
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<!-- STRATEGY GENERATION -->
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<text class="th th-amber" x="340" y="524" text-anchor="middle" dominant-baseline="central">Strategy generation pipeline</text>
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<text class="ts th-gray" x="176" y="554" text-anchor="middle" dominant-baseline="central">Load top factors</text>
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<text class="ts ts-gray" x="176" y="570" text-anchor="middle" dominant-baseline="central">by |IC|</text>
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<text class="ts th-gray" x="312" y="554" text-anchor="middle" dominant-baseline="central">LLM strategy</text>
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<text class="ts ts-gray" x="312" y="570" text-anchor="middle" dominant-baseline="central">code gen</text>
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<text class="ts th-gray" x="448" y="554" text-anchor="middle" dominant-baseline="central">OHLCV backtest</text>
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<text class="ts ts-gray" x="448" y="570" text-anchor="middle" dominant-baseline="central">signals eval</text>
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<text class="label-muted" x="340" y="600" text-anchor="middle" dominant-baseline="central">Optuna: 10 → 15 → 5 trials · Sharpe ≥ 1.5 · DD ≥ −0.30 · WR ≥ 0.40</text>
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<!-- PORTFOLIO -->
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<text class="th th-green" x="340" y="670" text-anchor="middle" dominant-baseline="central">Portfolio optimization</text>
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<text class="ts ts-green" x="340" y="688" text-anchor="middle" dominant-baseline="central">Mean-variance · Risk parity · Black-Litterman</text>
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<!-- LIVE TRADING -->
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<text class="th th-gray" x="340" y="752" text-anchor="middle" dominant-baseline="central">Live trading (closed-source)</text>
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<text class="ts ts-gray" x="340" y="770" text-anchor="middle" dominant-baseline="central">ftmo_live_trader.py · FTMO signals</text>
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<!-- EXTERNAL SERVICES -->
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<text class="label-muted" x="340" y="812" text-anchor="middle">External services</text>
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<text class="ts th-gray" x="105" y="842" text-anchor="middle" dominant-baseline="central">llama.cpp</text>
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<text class="ts ts-gray" x="105" y="858" text-anchor="middle" dominant-baseline="central">LLM inference</text>
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<text class="ts th-gray" x="250" y="842" text-anchor="middle" dominant-baseline="central">Docker</text>
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<text class="ts ts-gray" x="250" y="858" text-anchor="middle" dominant-baseline="central">sandbox</text>
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<text class="ts th-gray" x="395" y="842" text-anchor="middle" dominant-baseline="central">Optuna</text>
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<text class="ts ts-gray" x="395" y="858" text-anchor="middle" dominant-baseline="central">Bayesian opt</text>
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<text class="ts th-gray" x="540" y="842" text-anchor="middle" dominant-baseline="central">Qlib</text>
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<text class="ts ts-gray" x="540" y="858" text-anchor="middle" dominant-baseline="central">backtest engine</text>
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