ftdt-quant-lab

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Author	SHA1	Message	Date
ramseshk	0446443d36	feat: creative alpha models + portfolio layer targeting Sharpe > 1.5 New strategies: - Cross-Sectional Momentum: long top-N, short bottom-N across HL universe - Spot-Perp Basis Arbitrage: delta-neutral spot vs perp price gap trading - Regime-Switching Ensemble: dynamically allocates strategies by market regime - Portfolio Construction: risk parity, vol targeting, correlation penalty Infrastructure: - DuckDBDataProvider: real tick/candle data for backtests (replaces synthetic) - Walk-Forward Validation: systematic IS/OOS across all 12 strategies - 3 Jupyter research notebooks (EDA, strategy research, portfolio) Pipeline integration: - deploy.py registry, sweep_runner, vbt_runner all updated - fee_tiers support for new strategies - All modules syntax-validated and import-tested	2026-08-12 12:26:29 +08:00
ramseshk	78a170a42b	feat: VBT sweep runner — batch backtest all strategy/interval/limit/coin combos backtests/sweep_runner.py: - Generates all valid strategy x interval x limit x coin combinations (9 strategies, 6 intervals, 6 bar limits, 2 coins = 360 combos) - Sequential mode with configurable rate-limiting delay - Multi-process parallel mode (ProcessPoolExecutor) - Progress logging, ETA, summary stats - --dry-run flag to preview without executing - CLI: python -m backtests.sweep_runner --workers 2 --delay 1.0 Results from initial sweep (262/360 succeeded): Best performers: grid_mm 1h 100b S=5.08 ret=1.45% 4 trades composite_mm 4h S=3.50 ret=1.50% 1 trade momentum 4h 200b S=3.12 ret=5.94% 7 trades hurst_vpin 4h 100b S=2.88 ret=1.89% 1 trade Regime issues found: - 1m interval: universally extreme negative Sharpe (VBT can't model sub-minute HFT dynamics) - iceberg: generated 0 trades across all 28 runs (signal bug) - as_mm: many combos with 'no results' (A-S in low vol) - mean_rev: consistent negative across all combos Archived 67 old broken files, kept 310 clean sweep results	2026-08-07 16:14:13 +08:00

Author

SHA1

Message

Date

ramseshk

0446443d36

feat: creative alpha models + portfolio layer targeting Sharpe > 1.5

New strategies:
  - Cross-Sectional Momentum: long top-N, short bottom-N across HL universe
  - Spot-Perp Basis Arbitrage: delta-neutral spot vs perp price gap trading
  - Regime-Switching Ensemble: dynamically allocates strategies by market regime
  - Portfolio Construction: risk parity, vol targeting, correlation penalty

Infrastructure:
  - DuckDBDataProvider: real tick/candle data for backtests (replaces synthetic)
  - Walk-Forward Validation: systematic IS/OOS across all 12 strategies
  - 3 Jupyter research notebooks (EDA, strategy research, portfolio)

Pipeline integration:
  - deploy.py registry, sweep_runner, vbt_runner all updated
  - fee_tiers support for new strategies
  - All modules syntax-validated and import-tested

2026-08-12 12:26:29 +08:00

ramseshk

78a170a42b

feat: VBT sweep runner — batch backtest all strategy/interval/limit/coin combos

backtests/sweep_runner.py:
  - Generates all valid strategy x interval x limit x coin combinations
    (9 strategies, 6 intervals, 6 bar limits, 2 coins = 360 combos)
  - Sequential mode with configurable rate-limiting delay
  - Multi-process parallel mode (ProcessPoolExecutor)
  - Progress logging, ETA, summary stats
  - --dry-run flag to preview without executing
  - CLI: python -m backtests.sweep_runner --workers 2 --delay 1.0

Results from initial sweep (262/360 succeeded):
  Best performers:
    grid_mm 1h 100b    S=5.08  ret=1.45%  4 trades
    composite_mm 4h    S=3.50  ret=1.50%  1 trade
    momentum 4h  200b  S=3.12  ret=5.94%  7 trades
    hurst_vpin 4h 100b S=2.88  ret=1.89%  1 trade

  Regime issues found:
    - 1m interval: universally extreme negative Sharpe
      (VBT can't model sub-minute HFT dynamics)
    - iceberg: generated 0 trades across all 28 runs (signal bug)
    - as_mm: many combos with 'no results' (A-S in low vol)
    - mean_rev: consistent negative across all combos

Archived 67 old broken files, kept 310 clean sweep results

2026-08-07 16:14:13 +08:00

2 Commits