zhutoutoutousan
605faf5310
Add cluster audit pipeline, united EA updates, brochure generators, and publication hygiene (gitignore, MT5 path desensitization, pre-upload scan). Remove tracked reports, models, and binary artifacts from the repo. Co-authored-by: Cursor <cursoragent@cursor.com>
64 lines
1.7 KiB
Markdown
64 lines
1.7 KiB
Markdown
# Factor Strategy Tester (MT5-style workflow)
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Python app scaffold that mirrors the **MT5 Strategy Tester flow** for **factor investing**:
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- Single run backtest
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- Parameter optimization (grid search)
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- Inputs panel + report panel
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- Custom factor expressions with safe operators
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- Pluggable strategy engines
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## Quick start
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```bash
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cd strategy-tester
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python -m venv .venv
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.venv\Scripts\activate
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pip install -r requirements.txt
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streamlit run app.py
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```
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## Current capabilities
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- Upload CSV with at least:
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- `date`
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- `asset`
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- `close`
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- feature columns (e.g. `pe`, `momentum_12m`, `quality`)
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- Define factor score expression, e.g.:
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- `(z(momentum_12m) + z(quality) - z(volatility_20d)) / 3`
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- Rebalance by period and choose top/bottom quantiles
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- Long-only or long-short portfolio simulation
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- Optimize selected parameters and rank by Sharpe/Return/Drawdown
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## Expression language
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Supported:
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- Arithmetic: `+ - * / **`
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- Comparisons: `> >= < <= == !=`
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- Boolean: `and or not`
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- Parentheses
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- Functions:
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- `abs(x)`, `log(x)`, `sqrt(x)`
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- `z(x)` (cross-sectional z-score per date)
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- `rank(x)` (cross-sectional percentile rank per date)
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- `clip(x, lo, hi)`
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The parser is AST-validated (no raw `eval`).
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## Architecture
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- `factor_tester/expressions.py`: safe expression compiler/evaluator
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- `factor_tester/engine.py`: backtest engine API + default cross-sectional factor engine
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- `factor_tester/optimize.py`: optimization runner
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- `factor_tester/data.py`: CSV loading and validation
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- `app.py`: Streamlit UI
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## Next steps
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- Walk-forward optimization
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- Transaction costs/slippage model
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- Multi-factor blend templates (value/size/momentum/quality/low-vol)
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- Job queue / parallel optimization workers
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