TPTBusiness 935adde6c5 fix(backtest): replace broken MC permutation test with binomial win-rate test ...

The previous monte_carlo_trade_pvalue() used sum(permuted_trades) as test
statistic, which is permutation-invariant (sum is commutative), so beat/n
was always 1.0 and MC_p was always 1.00 for every strategy.

Replace with a one-sided binomial test on trade win rate vs 50% baseline.
Tests whether the observed win rate could occur by chance under H0: p=0.5.

Also add _shift_daily_constant_factor_if_needed() to predix_full_eval.py
so re-evaluations apply the look-ahead bias correction for daily factors.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>

2026-04-24 09:55:45 +02:00

..

protections

feat: Add Trading Protection System with 4 protections + comprehensive tests

2026-04-03 13:01:56 +02:00

__init__.py

feat(backtest): add rolling walk-forward validation and Monte Carlo trade permutation test

2026-04-19 18:59:00 +02:00

backtest_engine.py

feat: unified backtest engine, LLM error handling, strategy refactor

2026-04-17 22:52:07 +02:00

results_db.py

fix: Resolve 88% empty backtest results + path fixes

2026-04-03 16:21:59 +02:00

risk_management.py

feat: Backtesting Engine + Risk Management + Results DB

2026-04-02 19:23:14 +02:00

vbt_backtest.py

fix(backtest): replace broken MC permutation test with binomial win-rate test

2026-04-24 09:55:45 +02:00