Feature/improvements#1
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valeriouberti merged 13 commits intomainfrom Apr 30, 2026
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April 29, 2026 17:10
- Added `calibrate.py` for threshold calibration with DSR analysis, supporting various input options and output formats. - Introduced `risk_stats.py` to implement Probabilistic Sharpe Ratio (PSR) and Deflated Sharpe Ratio (DSR) as per Bailey-Lopez methodology. - Enhanced scoring functionality with `rank_universe` to convert absolute scores into percentile ranks for cross-sectional analysis. - Created `index_membership.py` for point-in-time index membership lookup to address survivorship bias in backtesting. - Updated `schema.sql` to include new table for index membership history, enabling historical index membership queries.
…ng momentum strategies with new metrics and database support
…OADMAP with phase B.2 status and findings
…tors - Added `breadth.py` for market breadth calculations, including `pct_above_ma` and `breadth_series`. - Introduced `regime_composite.py` to compute composite z-scores from HY OAS, breadth, and VIX, with classification into 5 buckets. - Created `fred_client.py` to fetch and cache FRED series data (HY OAS, VIX, yield curve) with a daily cache mechanism. - Developed `test_regime_daily.py` for smoke testing the regime daily composite against historical turning points. - Updated SQL schema to include `fred_series_daily` table for storing FRED series data. - Enhanced documentation in SIGNAL_ROADMAP.md to reflect the new features and findings from Fase B.3.
…anced momentum strategies
…OADMAP with phase B.5 status and findings
…e allocation strategies
… system - Added DECAY_MONITOR.md detailing the rationale, architecture, and findings of the decay monitor. - Developed core functionality in decay_monitor.py, including Rolling Sharpe, CUSUM, and SPRT methods. - Created calibration_stats.py for Brier score, reliability diagram, and AI add-value metrics. - Introduced analyze_ai_verdicts.py for retrospective analysis of AI verdicts. - Implemented test_decay_monitor.py for smoke testing decay detection on synthetic and real trade data. - Updated SIGNAL_ROADMAP.md to reflect the status and findings of Fase D.
- Enhanced backtest portfolio page with survivorship correction and cross-sectional ranking options. - Introduced threshold calibration page for probabilistic and deflated Sharpe ratios, including user inputs for various parameters. - Implemented regime composite analysis page to visualize daily z-scores and classifications based on HY OAS, breadth, and VIX. - Added decay monitor for strategy performance, utilizing rolling Sharpe, CUSUM, and SPRT methods to assess edge degradation. - Created TradingView scripts for daily regime composite and ETF rotation, incorporating macro overlays and defensive switches.
… stress testing - Added `scenario_replay.py` to perform historical scenario replay on critical market events (2008 GFC, 2020 COVID, 2022 rate shock). - Created `SCENARIO_REPLAY.md` to document the results of the scenario tests. - Introduced `bootstrap.py` for stationary bootstrap methods to enhance metric distributions. - Developed `permutation_test.py` for conducting permutation tests on path-dependent metrics. - Updated `SIGNAL_ROADMAP.md` to reflect the status of Fase E and findings from the scenario tests. - Added `STRESS_VALIDATION.md` to outline the stress validation framework and results.
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