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TPTBusiness
f166cc3326
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>
27 lines
963 B
Python
27 lines
963 B
Python
"""Predix Backtesting Package"""
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from .backtest_engine import BacktestMetrics, FactorBacktester
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from .results_db import ResultsDatabase
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from .risk_management import CorrelationAnalyzer, PortfolioOptimizer, AdvancedRiskManager
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from .vbt_backtest import (
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DEFAULT_BARS_PER_YEAR,
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DEFAULT_TXN_COST_BPS,
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FTMO_INITIAL_CAPITAL,
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FTMO_MAX_DAILY_LOSS,
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FTMO_MAX_TOTAL_LOSS,
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FTMO_MAX_LEVERAGE,
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FTMO_RISK_PER_TRADE,
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OOS_START_DEFAULT,
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backtest_from_forward_returns,
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backtest_signal,
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backtest_signal_ftmo,
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)
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__all__ = [
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'BacktestMetrics', 'FactorBacktester', 'ResultsDatabase',
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'CorrelationAnalyzer', 'PortfolioOptimizer', 'AdvancedRiskManager',
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'backtest_signal', 'backtest_signal_ftmo', 'backtest_from_forward_returns',
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'DEFAULT_BARS_PER_YEAR', 'DEFAULT_TXN_COST_BPS',
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'FTMO_INITIAL_CAPITAL', 'FTMO_MAX_DAILY_LOSS', 'FTMO_MAX_TOTAL_LOSS',
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'FTMO_MAX_LEVERAGE', 'FTMO_RISK_PER_TRADE', 'OOS_START_DEFAULT',
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]
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