alphaengine 0.1.0__tar.gz

alphaengine-0.1.0/.github/workflows/ci.yml

@@ -0,0 +1,62 @@
+name: ci
+
+on:
+  push:
+    branches: [main]
+  pull_request:
+
+permissions:
+  contents: read
+
+jobs:
+  test:
+    runs-on: ${{ matrix.os }}
+    strategy:
+      fail-fast: false
+      matrix:
+        os: [ubuntu-latest, macos-latest, windows-latest]
+        python: ["3.10", "3.11", "3.12", "3.13"]
+        # The numpy 2.0 ABI break is real and quant environments are split
+        # across it for a while yet. Test the floor of what we support on one
+        # runner so a 1.x-only user is not our first bug report.
+        include:
+          - os: ubuntu-latest
+            python: "3.10"
+            numpy: "numpy<2"
+    steps:
+      - uses: actions/checkout@v4
+      - uses: actions/setup-python@v5
+        with:
+          python-version: ${{ matrix.python }}
+      - run: python -m pip install --upgrade pip
+      - run: pip install -e ".[dev]"
+      - if: matrix.numpy
+        run: pip install "${{ matrix.numpy }}"
+      - run: pytest
+
+  lint:
+    runs-on: ubuntu-latest
+    steps:
+      - uses: actions/checkout@v4
+      - uses: actions/setup-python@v5
+        with:
+          python-version: "3.12"
+      - run: pip install -e ".[dev]"
+      - run: ruff check src tests
+      - run: ruff format --check src tests
+      - run: mypy src
+
+  # The numbers this library returns are a public contract once published: a
+  # study written today has to reproduce in two years. This job exists to make
+  # a silent change to a computed value impossible — if a golden moves, the
+  # build fails and the change has to be argued for in the PR and carried by a
+  # major version bump.
+  goldens:
+    runs-on: ubuntu-latest
+    steps:
+      - uses: actions/checkout@v4
+      - uses: actions/setup-python@v5
+        with:
+          python-version: "3.12"
+      - run: pip install -e ".[dev]"
+      - run: pytest tests -m golden -q

alphaengine-0.1.0/.github/workflows/publish.yml

@@ -0,0 +1,54 @@
+name: publish
+
+# Publishes to PyPI on a version tag.
+#
+# TRUSTED PUBLISHING VIA OIDC — there is no API token anywhere in this repo or
+# in its secrets. GitHub mints a short-lived identity token that PyPI verifies
+# against a publisher it has on record for this repo, workflow and environment.
+# A long-lived PyPI token is the standard way a package gets hijacked; this
+# removes the credential rather than protecting it.
+#
+# One-time PyPI setup (do this BEFORE the first tag):
+#   PyPI -> the project -> Publishing -> Add a new pending publisher
+#     owner:        quantOSC
+#     repository:   alphaengine
+#     workflow:     publish.yml
+#     environment:  pypi
+
+on:
+  push:
+    tags: ["v*"]
+  workflow_dispatch:
+
+permissions:
+  contents: read
+
+jobs:
+  # Build once, publish that exact artifact. Building inside the publish job
+  # would make the tested artifact and the shipped artifact different objects.
+  build:
+    runs-on: ubuntu-latest
+    steps:
+      - uses: actions/checkout@v4
+      - uses: actions/setup-python@v5
+        with:
+          python-version: "3.12"
+      - run: python -m pip install --upgrade build
+      - run: python -m build
+      - uses: actions/upload-artifact@v4
+        with:
+          name: dist
+          path: dist/
+
+  publish:
+    needs: build
+    runs-on: ubuntu-latest
+    environment: pypi
+    permissions:
+      id-token: write        # the OIDC token. the only credential involved.
+    steps:
+      - uses: actions/download-artifact@v4
+        with:
+          name: dist
+          path: dist/
+      - uses: pypa/gh-action-pypi-publish@release/v1

alphaengine-0.1.0/.gitignore

@@ -0,0 +1,14 @@
+__pycache__/
+*.py[cod]
+.venv/
+venv/
+dist/
+build/
+*.egg-info/
+.pytest_cache/
+.mypy_cache/
+.ruff_cache/
+.coverage
+htmlcov/
+.DS_Store
+.civenv/

alphaengine-0.1.0/CHANGELOG.md

@@ -0,0 +1,46 @@
+# Changelog
+
+Every entry that changes a computed value says so in the first line, because a
+saved study has to reproduce years after it was written. See `_version.py` for
+the versioning rule: while the leading digit is 0, a changed figure costs a
+minor bump.
+
+Format follows [Keep a Changelog](https://keepachangelog.com/en/1.1.0/).
+
+## [0.1.0] - 2026-07-30
+
+First public release. No figures changed, because there is nothing yet to
+change them from.
+
+### Added
+
+- `sweep()`, which runs a parameter grid through the caller's own backtest
+  function and derives the trial count from the grid rather than accepting it as
+  an argument. The signature has no `n_trials` parameter and a test pins that
+  absence, since a supplied count makes the deflation self-reported.
+- `SweepResult.verdict()`, reporting the deflated Sharpe ratio, PSR, minimum
+  track record length and a performance summary. Probability of backtest
+  overfitting is reported beside them under `selection` and is deliberately not
+  the gate: measured on a null-versus-edge fixture it does not discriminate
+  where the deflated Sharpe does, so gating on it would reject real results.
+- `SweepResult.surface()`, classifying the parameter neighbourhood as a plateau,
+  a ridge or a knife edge, with the robust region per parameter when parameters
+  are being stored.
+- The `Study` artifact and its versioned JSON schema. `load()` refuses an
+  unknown major version rather than half-parsing it, and tolerates unknown
+  fields within a known major so a newer writer stays readable by an older
+  build. A study holds derived figures and hashes, never a series.
+- `alphaengine.core`: deflated Sharpe, PSR, PBO by CSCV, minimum track record
+  length, a performance report, value at risk and conditional value at risk,
+  factor decomposition, cointegration tests and a signal backtest. Each cites
+  its source in the docstring.
+
+### Notes on defaults
+
+- Parameter values are **not** stored unless `store_params=True`. A parameter
+  grid is frequently larger intellectual property than the return series it
+  produced. Hashes are always kept, so two runs stay comparable without the
+  values leaving the machine.
+- Data identity is a content hash of the series, never a caller-supplied label,
+  so renaming an experiment does not detach it from its history.
+- Importing the package makes no network call and requires no account.

alphaengine-0.1.0/LICENSE

@@ -0,0 +1,202 @@
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alphaengine-0.1.0/PKG-INFO

@@ -0,0 +1,157 @@
+Metadata-Version: 2.4
+Name: alphaengine
+Version: 0.1.0
+Summary: Validated research tooling for investment strategies: deflation, overfitting detection, and honest trial counts.
+Project-URL: Homepage, https://github.com/quantOSC/alphaengine
+Project-URL: Documentation, https://github.com/quantOSC/alphaengine#readme
+Project-URL: Source, https://github.com/quantOSC/alphaengine
+Project-URL: Issues, https://github.com/quantOSC/alphaengine/issues
+Author: QuantOS
+License-Expression: Apache-2.0
+License-File: LICENSE
+Keywords: backtesting,deflated-sharpe,overfitting,quantitative-finance,research
+Classifier: Development Status :: 3 - Alpha
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
+Classifier: License :: OSI Approved :: Apache Software License
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Topic :: Scientific/Engineering :: Mathematics
+Classifier: Typing :: Typed
+Requires-Python: >=3.10
+Requires-Dist: numpy>=1.24
+Requires-Dist: scipy>=1.10
+Provides-Extra: agents
+Requires-Dist: anthropic>=0.40; extra == 'agents'
+Provides-Extra: connectors
+Requires-Dist: httpx>=0.27; extra == 'connectors'
+Requires-Dist: pyarrow>=15.0; extra == 'connectors'
+Provides-Extra: dev
+Requires-Dist: mypy==2.3.0; extra == 'dev'
+Requires-Dist: pytest-cov>=5.0; extra == 'dev'
+Requires-Dist: pytest>=8.0; extra == 'dev'
+Requires-Dist: ruff==0.16.1; extra == 'dev'
+Requires-Dist: statsmodels>=0.14; extra == 'dev'
+Provides-Extra: factors
+Requires-Dist: statsmodels>=0.14; extra == 'factors'
+Description-Content-Type: text/markdown
+
+# AlphaEngine
+
+Validated research tooling for investment strategies. Run a parameter search,
+get back the shape of the result and an honest read on whether it survives the
+number of things you tried.
+
+```bash
+pip install alphaengine
+```
+
+```python
+from alphaengine import sweep
+
+r = sweep(backtest_fn, {"fast": [5, 10, 20], "slow": [50, 100, 200]}, data=prices)
+
+r.surface()    # is the result a broad plateau or a single lucky configuration?
+r.verdict()    # deflated for the 9 trials that were actually run
+r.save()       # study.json, on your disk
+```
+
+## What it does
+
+**Runs your parameter grid.** `sweep()` calls your backtest function once per
+combination. It does not backtest anything itself, so the engine you already
+trust stays the engine you trust.
+
+**Counts the trials for you.** The statistics that correct a Sharpe ratio for
+multiple testing need to know how many variants were tested. That number is
+almost never recorded, because nobody counts what they discarded. Running the
+grid makes it `len(grid)`, so it never has to be asked for or asserted.
+
+**Shows you the neighbourhood.** The output is whether your result sits on a
+broad plateau or a knife edge, and where the robust region is centred. A single
+spike surrounded by failures is a result fitted to its own parameters.
+
+**Produces a portable study.** A JSON artifact holding what was tried, what came
+back, and a content hash of the data it ran on. Readable in a text editor,
+diffable, and versioned so it still parses in two years.
+
+## What is in it
+
+| Module | Contents |
+|---|---|
+| `alphaengine.core` | deflated Sharpe, PSR, PBO via CSCV, CPCV, minimum track record length, performance and risk statistics |
+| `alphaengine.sweep` | the grid runner and the sensitivity surface |
+| `alphaengine.study` | the study artifact and its schema |
+
+Two runtime dependencies, numpy and scipy, both already present in a typical
+research environment. `import alphaengine` makes no network call and needs no
+account. Factor decomposition and cointegration testing need statsmodels and
+are available as `pip install 'alphaengine[factors]'`.
+
+## Where this sits in QuantOS
+
+AlphaEngine is the open research layer of the [QuantOS](https://github.com/quantOSC)
+platform. It is the piece that runs on your machine, against your data, and it
+is complete on its own: everything above works offline and forever, at no cost.
+
+The QuantOS platform builds on it. Studies produced here can be persisted to a
+firm's record, referenced when an idea becomes a position, and assembled into
+the reports that go to an investment committee or an allocator. The library
+computes; the platform remembers and reports. The two halves are separated so
+that the part touching your data has no reason to phone home.
+
+## The methods
+
+Everything in `core` comes from the published literature. Nothing here is a
+proprietary formula, which is deliberate: a referee whose reasoning you cannot
+inspect is not a referee.
+
+**Deflated Sharpe Ratio, Probabilistic Sharpe Ratio, minimum track record length**
+Bailey, D. H., and López de Prado, M. (2012). "The Sharpe Ratio Efficient
+Frontier." *Journal of Risk* 15(2), 3 to 44.
+Bailey, D. H., and López de Prado, M. (2014). "The Deflated Sharpe Ratio:
+Correcting for Selection Bias, Backtest Overfitting, and Non-Normality."
+*Journal of Portfolio Management* 40(5), 94 to 107.
+
+**Probability of Backtest Overfitting via CSCV**
+Bailey, D. H., Borwein, J., López de Prado, M., and Zhu, Q. J. (2017). "The
+Probability of Backtest Overfitting." *Journal of Computational Finance* 20(4),
+39 to 69.
+
+**Combinatorial purged cross-validation**
+López de Prado, M. (2018). *Advances in Financial Machine Learning.* Wiley,
+chapters 7 and 12.
+
+**Multiple testing in asset pricing**
+Harvey, C. R., Liu, Y., and Zhu, H. (2016). "... and the Cross-Section of
+Expected Returns." *Review of Financial Studies* 29(1), 5 to 68.
+Harvey, C. R., and Liu, Y. (2015). "Backtesting." *Journal of Portfolio
+Management* 42(1), 13 to 28.
+
+**Downside deviation**
+Sortino, F. A., and Price, L. N. (1994). "Performance Measurement in a Downside
+Risk Framework." *Journal of Investing* 3(3), 59 to 64.
+
+**Factor regression standard errors** (in the `factors` extra)
+Newey, W. K., and West, K. D. (1987). "A Simple, Positive Semi-Definite,
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix."
+*Econometrica* 55(3), 703 to 708.
+
+**Unit root testing for cointegration** (in the `factors` extra)
+Dickey, D. A., and Fuller, W. A. (1979). "Distribution of the Estimators for
+Autoregressive Time Series with a Unit Root." *Journal of the American
+Statistical Association* 74(366), 427 to 431.
+
+## Reproducibility
+
+The values these functions return are treated as a public contract. A study
+written today has to reproduce in two years, so a change to a computed value is
+a breaking change requiring a major version bump even when the signature is
+unchanged. CI fails if a pinned value moves.
+
+## Licence
+
+Apache-2.0. See [LICENSE](LICENSE).

alphaengine-0.1.0/README.md

@@ -0,0 +1,116 @@
+# AlphaEngine
+
+Validated research tooling for investment strategies. Run a parameter search,
+get back the shape of the result and an honest read on whether it survives the
+number of things you tried.
+
+```bash
+pip install alphaengine
+```
+
+```python
+from alphaengine import sweep
+
+r = sweep(backtest_fn, {"fast": [5, 10, 20], "slow": [50, 100, 200]}, data=prices)
+
+r.surface()    # is the result a broad plateau or a single lucky configuration?
+r.verdict()    # deflated for the 9 trials that were actually run
+r.save()       # study.json, on your disk
+```
+
+## What it does
+
+**Runs your parameter grid.** `sweep()` calls your backtest function once per
+combination. It does not backtest anything itself, so the engine you already
+trust stays the engine you trust.
+
+**Counts the trials for you.** The statistics that correct a Sharpe ratio for
+multiple testing need to know how many variants were tested. That number is
+almost never recorded, because nobody counts what they discarded. Running the
+grid makes it `len(grid)`, so it never has to be asked for or asserted.
+
+**Shows you the neighbourhood.** The output is whether your result sits on a
+broad plateau or a knife edge, and where the robust region is centred. A single
+spike surrounded by failures is a result fitted to its own parameters.
+
+**Produces a portable study.** A JSON artifact holding what was tried, what came
+back, and a content hash of the data it ran on. Readable in a text editor,
+diffable, and versioned so it still parses in two years.
+
+## What is in it
+
+| Module | Contents |
+|---|---|
+| `alphaengine.core` | deflated Sharpe, PSR, PBO via CSCV, CPCV, minimum track record length, performance and risk statistics |
+| `alphaengine.sweep` | the grid runner and the sensitivity surface |
+| `alphaengine.study` | the study artifact and its schema |
+
+Two runtime dependencies, numpy and scipy, both already present in a typical
+research environment. `import alphaengine` makes no network call and needs no
+account. Factor decomposition and cointegration testing need statsmodels and
+are available as `pip install 'alphaengine[factors]'`.
+
+## Where this sits in QuantOS
+
+AlphaEngine is the open research layer of the [QuantOS](https://github.com/quantOSC)
+platform. It is the piece that runs on your machine, against your data, and it
+is complete on its own: everything above works offline and forever, at no cost.
+
+The QuantOS platform builds on it. Studies produced here can be persisted to a
+firm's record, referenced when an idea becomes a position, and assembled into
+the reports that go to an investment committee or an allocator. The library
+computes; the platform remembers and reports. The two halves are separated so
+that the part touching your data has no reason to phone home.
+
+## The methods
+
+Everything in `core` comes from the published literature. Nothing here is a
+proprietary formula, which is deliberate: a referee whose reasoning you cannot
+inspect is not a referee.
+
+**Deflated Sharpe Ratio, Probabilistic Sharpe Ratio, minimum track record length**
+Bailey, D. H., and López de Prado, M. (2012). "The Sharpe Ratio Efficient
+Frontier." *Journal of Risk* 15(2), 3 to 44.
+Bailey, D. H., and López de Prado, M. (2014). "The Deflated Sharpe Ratio:
+Correcting for Selection Bias, Backtest Overfitting, and Non-Normality."
+*Journal of Portfolio Management* 40(5), 94 to 107.
+
+**Probability of Backtest Overfitting via CSCV**
+Bailey, D. H., Borwein, J., López de Prado, M., and Zhu, Q. J. (2017). "The
+Probability of Backtest Overfitting." *Journal of Computational Finance* 20(4),
+39 to 69.
+
+**Combinatorial purged cross-validation**
+López de Prado, M. (2018). *Advances in Financial Machine Learning.* Wiley,
+chapters 7 and 12.
+
+**Multiple testing in asset pricing**
+Harvey, C. R., Liu, Y., and Zhu, H. (2016). "... and the Cross-Section of
+Expected Returns." *Review of Financial Studies* 29(1), 5 to 68.
+Harvey, C. R., and Liu, Y. (2015). "Backtesting." *Journal of Portfolio
+Management* 42(1), 13 to 28.
+
+**Downside deviation**
+Sortino, F. A., and Price, L. N. (1994). "Performance Measurement in a Downside
+Risk Framework." *Journal of Investing* 3(3), 59 to 64.
+
+**Factor regression standard errors** (in the `factors` extra)
+Newey, W. K., and West, K. D. (1987). "A Simple, Positive Semi-Definite,
+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix."
+*Econometrica* 55(3), 703 to 708.
+
+**Unit root testing for cointegration** (in the `factors` extra)
+Dickey, D. A., and Fuller, W. A. (1979). "Distribution of the Estimators for
+Autoregressive Time Series with a Unit Root." *Journal of the American
+Statistical Association* 74(366), 427 to 431.
+
+## Reproducibility
+
+The values these functions return are treated as a public contract. A study
+written today has to reproduce in two years, so a change to a computed value is
+a breaking change requiring a major version bump even when the signature is
+unchanged. CI fails if a pinned value moves.
+
+## Licence
+
+Apache-2.0. See [LICENSE](LICENSE).