Draft
Conversation
…nd improve backtest engine - Implemented _maybe_add_term_spread method in DataProcessor to calculate TermSpread from US30Y and US3M yields. - Updated process_and_align method to include TermSpread calculation based on selected assets. - Increased sleep time in YahooIncrementalLoader to 5 seconds to reduce request rate. - Modified logger initialization to only log when in the main process. - Added new methods in BacktestEngine for risk leverage and intra-group weight calculations. - Enhanced backtest logic to incorporate risk and safe asset management with leverage controls. - Updated portfolio value calculations to handle cash balance and ensure proper weight normalization. - Changed pct_change method calls to avoid fill method issues in returns calculations. - Simplified backtest results filename generation for consistency. - Added pyyaml to requirements for future configuration management.
- Added MyCustomAlgorithms class with a template for custom rebalance strategies in algorithms_template.py. - Updated BacktestEngine to support flexible rebalance functions and improved context handling for rebalancing. - Enhanced trend model interface in trend_models_template.py with a SimpleMomentumTrendModel example. - Improved performance statistics calculation in BacktestEngine, including new metrics like Calmar Ratio and Max Recovery Days. - Refactored data handling and validation processes in BacktestEngine for better robustness and clarity.
- Added BaostockIncrementalLoader for fetching A-share data, supporting CSV storage and data normalization. - Enhanced AkshareIncrementalLoader to support multiple asset types including A-share indices, ETFs, gold, and Hong Kong indices. - Improved data handling in existing loaders to ensure proper index sanitization and format consistency. - Updated requirements.txt to include baostock dependency. - Enhanced data processing in DataProcessor and YahooIncrementalLoader to handle NaT indices and ensure data integrity. - Expanded BacktestEngine to support new parameters for asset weight management and logging of rebalance actions.
feat: enhance UI with macro asset options and release rules feat: implement FRED data downloader for macroeconomic indicators refactor: update data processing to align macro observations with release rules chore: add fredapi dependency to requirements
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
1 participant
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
No description provided.