NexQuant

mirror of https://github.com/NicolasBohn/NexQuant.git synced 2026-07-28 07:57:44 +00:00

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T

TPTBusiness bed75b0a95 feat: Fix realistic backtesting (Step 1+2)

Step 1 - Evaluierung bekannter Strategien:
- Added 'close' to exec context for existing strategies
- Strategies can now use close.index for signal creation
- MomentumDivergenceZScore evaluates correctly: Sharpe=3.59, DD=-0.22%

Step 2 - Annualisierungsfaktor korrigiert:
- Fixed: sqrt(252*1440/96) → sqrt(252*1440) for 1-min data
- Added minimum 0.1 years to avoid extreme values for short periods
- Linear scaling for <1 year, compound for >=1 year

Test results (MomentumDivergenceZScore):
- Status: accepted
- Sharpe: 3.59 (realistic)
- Max DD: -0.22%
- Win Rate: 49.46%
- Ann Return: 543.75% (linear scaled for 259 min period)

Co-authored-by: Qwen-Coder <qwen-coder@alibabacloud.com>

2026-04-09 13:39:18 +02:00

agent

feat: add a rag mcp in proposal (#1267 )

2025-10-20 16:46:25 +08:00

backtesting

fix: Resolve 88% empty backtest results + path fixes

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

benchmark

feat(rl): add AutoRL-Bench framework and benchmark integrations (#1348 )

2026-03-17 15:49:30 +08:00

coder

feat: Fix realistic backtesting (Step 1+2)