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TPTBusiness
b0490c5f0d
- 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_riskmgmt(): 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>
34 lines
1.2 KiB
Python
34 lines
1.2 KiB
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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WF_IS_YEARS,
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WF_OOS_YEARS,
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WF_STEP_YEARS,
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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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monte_carlo_trade_pvalue,
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walk_forward_rolling,
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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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'monte_carlo_trade_pvalue', 'walk_forward_rolling',
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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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'WF_IS_YEARS', 'WF_OOS_YEARS', 'WF_STEP_YEARS',
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]
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