NexQuant

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T

TPTBusiness 3bb1090ba1 feat(backtest): add rolling walk-forward validation and Monte Carlo trade permutation test

- monte_carlo_trade_pvalue(): shuffles trade P&L N times, returns fraction of
  permuted sequences that beat real total return (p<0.05 = genuine edge)
- walk_forward_rolling(): multiple IS/OOS windows (IS=3yr, OOS=1yr, step=1yr),
  computes wf_oos_sharpe_mean, wf_oos_consistency (% profitable windows)
- backtest_signal_ftmo(): new wf_rolling and mc_n_permutations params
- Strategy generator: enables both (200 MC permutations), adds mc_ok and wf_ok
  to acceptance filter (mc_p<0.20, wf_consistency>=50%)
- Rebacktest script: enables both, stores all wf_*/mc_* fields in write-back
- 6 new tests covering MC pvalue, disabled-by-default, zero-trades edge case,
  rolling WF key presence and consistency range

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

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

backtesting

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

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

finetune

fix: Remove clear-text storage of API key (CodeQL alert #8 )

2026-04-02 23:08:11 +02:00

integration

feat: Complete P6-P9 implementation (73 tests)

2026-04-09 10:09:20 +02:00

local

feat: Complete P6-P9 implementation (73 tests)