alphaverify 0.1.0__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- alphaverify-0.1.0/LICENSE +121 -0
- alphaverify-0.1.0/PKG-INFO +140 -0
- alphaverify-0.1.0/README.md +108 -0
- alphaverify-0.1.0/pyproject.toml +76 -0
- alphaverify-0.1.0/setup.cfg +4 -0
- alphaverify-0.1.0/src/alphaverify/__init__.py +1 -0
- alphaverify-0.1.0/src/alphaverify/cli.py +185 -0
- alphaverify-0.1.0/src/alphaverify/domain/__init__.py +1 -0
- alphaverify-0.1.0/src/alphaverify/domain/barrier.py +356 -0
- alphaverify-0.1.0/src/alphaverify/domain/combination.py +98 -0
- alphaverify-0.1.0/src/alphaverify/domain/features.py +76 -0
- alphaverify-0.1.0/src/alphaverify/domain/multiple_testing.py +29 -0
- alphaverify-0.1.0/src/alphaverify/domain/notation.py +57 -0
- alphaverify-0.1.0/src/alphaverify/domain/scoring.py +101 -0
- alphaverify-0.1.0/src/alphaverify/domain/shift.py +74 -0
- alphaverify-0.1.0/src/alphaverify/domain/tensor_runtime.py +42 -0
- alphaverify-0.1.0/src/alphaverify/domain/torch_features.py +137 -0
- alphaverify-0.1.0/src/alphaverify/domain/validation.py +228 -0
- alphaverify-0.1.0/src/alphaverify/infrastructure/__init__.py +1 -0
- alphaverify-0.1.0/src/alphaverify/infrastructure/artifact_history.py +66 -0
- alphaverify-0.1.0/src/alphaverify/infrastructure/artifact_io.py +149 -0
- alphaverify-0.1.0/src/alphaverify/infrastructure/market_data.py +67 -0
- alphaverify-0.1.0/src/alphaverify/infrastructure/scaffold.py +67 -0
- alphaverify-0.1.0/src/alphaverify/infrastructure/workspace.py +223 -0
- alphaverify-0.1.0/src/alphaverify/infrastructure/workspace_plugins.py +52 -0
- alphaverify-0.1.0/src/alphaverify/pipeline/__init__.py +1 -0
- alphaverify-0.1.0/src/alphaverify/pipeline/context.py +98 -0
- alphaverify-0.1.0/src/alphaverify/pipeline/reporting.py +116 -0
- alphaverify-0.1.0/src/alphaverify/pipeline/step_01_surface.py +112 -0
- alphaverify-0.1.0/src/alphaverify/pipeline/step_02_shift.py +96 -0
- alphaverify-0.1.0/src/alphaverify/pipeline/step_03_validation.py +183 -0
- alphaverify-0.1.0/src/alphaverify/pipeline/step_04_selection.py +107 -0
- alphaverify-0.1.0/src/alphaverify/pipeline/step_05_forecast.py +245 -0
- alphaverify-0.1.0/src/alphaverify/presentation/__init__.py +1 -0
- alphaverify-0.1.0/src/alphaverify/presentation/bin_figures.py +173 -0
- alphaverify-0.1.0/src/alphaverify/presentation/display.py +44 -0
- alphaverify-0.1.0/src/alphaverify/presentation/plot_style.py +117 -0
- alphaverify-0.1.0/src/alphaverify/presentation/workbooks.py +330 -0
- alphaverify-0.1.0/src/alphaverify.egg-info/PKG-INFO +140 -0
- alphaverify-0.1.0/src/alphaverify.egg-info/SOURCES.txt +57 -0
- alphaverify-0.1.0/src/alphaverify.egg-info/dependency_links.txt +1 -0
- alphaverify-0.1.0/src/alphaverify.egg-info/entry_points.txt +2 -0
- alphaverify-0.1.0/src/alphaverify.egg-info/requires.txt +7 -0
- alphaverify-0.1.0/src/alphaverify.egg-info/top_level.txt +1 -0
- alphaverify-0.1.0/tests/test_architecture_boundaries.py +129 -0
- alphaverify-0.1.0/tests/test_forecast_pipeline.py +183 -0
- alphaverify-0.1.0/tests/test_scoring_parity.py +224 -0
- alphaverify-0.1.0/tests/test_selection_pipeline.py +87 -0
- alphaverify-0.1.0/tests/test_validation_pipeline.py +232 -0
- alphaverify-0.1.0/tests/test_workspace_data.py +277 -0
- alphaverify-0.1.0/workspaces/_shared/snapshots.py +14 -0
- alphaverify-0.1.0/workspaces/_shared/yahoo.py +42 -0
- alphaverify-0.1.0/workspaces/btc_daily/data.py +103 -0
- alphaverify-0.1.0/workspaces/btc_daily/plugin.py +73 -0
- alphaverify-0.1.0/workspaces/btc_daily/universe.json +930 -0
- alphaverify-0.1.0/workspaces/btc_hourly/data.py +60 -0
- alphaverify-0.1.0/workspaces/btc_hourly/universe.json +69 -0
- alphaverify-0.1.0/workspaces/nasdaq_daily/data.py +64 -0
- alphaverify-0.1.0/workspaces/nasdaq_daily/universe.json +830 -0
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Metadata-Version: 2.4
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Name: alphaverify
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Version: 0.1.0
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Summary: Conditional barrier-touch probability pipeline.
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Author: chengmarc
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License-Expression: CC0-1.0
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Project-URL: Homepage, https://github.com/doubletrends/alpha-verify
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Project-URL: Repository, https://github.com/doubletrends/alpha-verify
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Project-URL: Issues, https://github.com/doubletrends/alpha-verify/issues
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Keywords: quantitative-finance,technical-analysis,hypothesis-testing,multiple-testing,barrier-touch,market-research
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Classifier: Development Status :: 3 - Alpha
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Classifier: Environment :: Console
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Classifier: Environment :: GPU :: NVIDIA CUDA
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Classifier: Intended Audience :: Science/Research
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Classifier: Intended Audience :: Financial and Insurance Industry
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Classifier: Operating System :: OS Independent
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Classifier: Programming Language :: Python :: 3.12
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Classifier: Programming Language :: Python :: 3.13
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Classifier: Topic :: Office/Business :: Financial :: Investment
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Classifier: Topic :: Scientific/Engineering :: Information Analysis
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Requires-Python: >=3.12
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Description-Content-Type: text/markdown
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License-File: LICENSE
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Requires-Dist: numpy>=2.0
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Requires-Dist: pandas>=2.2
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Requires-Dist: matplotlib>=3.8
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Requires-Dist: yfinance>=0.2
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Requires-Dist: openpyxl>=3.1
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Requires-Dist: safetensors>=0.5
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Requires-Dist: torch>=2.0
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Dynamic: license-file
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<div align="center">
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<h1><strong>AlphaVerify</strong> - Multi-Asset Financial Strategy Debunker</h1>
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<img src="https://raw.githubusercontent.com/doubletrends/alpha-verify/master/docs/alphaverify-icon-old.svg" alt="AlphaVerify icon" width="180">
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<br>
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<h3>Most “technical” indicators are essentially astrology with better charts.<br>
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AlphaVerify is built to put an end to all that bullshit.</h3>
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</div>
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<p align="center">
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<picture>
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<source media="(prefers-color-scheme: dark)" srcset="https://raw.githubusercontent.com/doubletrends/alpha-verify/master/docs/stats-dark.svg">
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<img src="https://raw.githubusercontent.com/doubletrends/alpha-verify/master/docs/stats-light.svg" width="100%" alt="1,000 synthetic OHLC histories; 552 NASDAQ condition bins tested, across 57 features; 25 bins cleared, where pure chance predicts 27.6">
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</picture>
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</p>
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# How to look at the figures
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Each figure tests one market condition.
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**Left:** while the condition holds, is the NASDAQ more likely (red) or less likely (blue) to move by a given percentage within 30 days?
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**Right:** the same test run on 1,000 random markets that contain no signal. To count as an edge, the real score (blue line) has to beat 95% of them (dashed line).
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## The golden cross - folklore
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Traders everywhere watch for the 50-day average to cross above the 200-day. Once it runs about 10% above, the heatmap looks decisive: the odds of a 4% drop jump, the odds of a 4% rise fall, a **24.5-point** swing. It looks like a real edge. It's folklore: random markets draw one at least this strong 8.4% of the time.
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<p align="center">
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<a href="https://github.com/doubletrends/alpha-verify/blob/master/docs/bin_figure__ma_cross_50_200__bin_09.png"><img src="https://raw.githubusercontent.com/doubletrends/alpha-verify/master/docs/bin_figure__ma_cross_50_200__bin_09.png" width="100%" alt="MA Cross 50-200 bin 9: a 24.5 percentage-point contrast below the null 95th percentile"></a>
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</p>
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## Above the 200-day - a textbook mirror
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"Stay long while price is above the 200-day" is trend following's first rule. With price 4% to 6% above it, the picture is a near-perfect mirror: rises more likely, drops much less likely, a **27.4-point** swing. Random markets draw one at least this strong 23% of the time.
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<p align="center">
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<a href="https://github.com/doubletrends/alpha-verify/blob/master/docs/bin_figure__ma_ratio_200__bin_04.png"><img src="https://raw.githubusercontent.com/doubletrends/alpha-verify/master/docs/bin_figure__ma_ratio_200__bin_04.png" width="100%" alt="MA Ratio-200 bin 4: a 27.4 percentage-point contrast well inside the synthetic null"></a>
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</p>
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## Low bond yields - the 42-point edge
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Cheap money lifts stocks; everyone knows that. When the 10-year Treasury yield sat below 1.34%, the NASDAQ was far more likely to rally 8% within a month: a **42-point** swing that grows steadily with time. It looks like a macro regime you could trade. It isn't. Random markets draw one at least this strong 7.6% of the time. Close, but not an edge.
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<p align="center">
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<a href="https://github.com/doubletrends/alpha-verify/blob/master/docs/bin_figure__tnx_level__bin_01.png"><img src="https://raw.githubusercontent.com/doubletrends/alpha-verify/master/docs/bin_figure__tnx_level__bin_01.png" width="100%" alt="TNX Level bin 1: a 42 percentage-point upside contrast whose score still falls below the null 95th percentile"></a>
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</p>
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## Moderate yields - same signal, opposite story
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Move the yield to 2.5%-2.9% and the story flips: an 8% drop becomes likelier than a rise, a **21.2-point** swing. Read alone, it's a second, bearish regime. Random markets draw one at least this strong 41% of the time.
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<p align="center">
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<a href="https://github.com/doubletrends/alpha-verify/blob/master/docs/bin_figure__tnx_level__bin_06.png"><img src="https://raw.githubusercontent.com/doubletrends/alpha-verify/master/docs/bin_figure__tnx_level__bin_06.png" width="100%" alt="TNX Level bin 6: a 21.2 percentage-point downside contrast, well inside the synthetic null"></a>
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</p>
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# Try it
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<p>
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<img src="https://img.shields.io/badge/PyTorch-%E2%89%A5%202.0-EE4C2C?logo=pytorch&logoColor=white" alt="PyTorch >= 2.0">
|
|
90
|
+
<img src="https://img.shields.io/badge/CUDA-%E2%89%A5%2012.0-76B900?logo=nvidia&logoColor=white" alt="CUDA >= 12.0">
|
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|
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</p>
|
|
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|
+
|
|
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|
+
**PyTorch is mandatory. A dedicated CUDA-enabled GPU is strongly recommended.**
|
|
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|
+
|
|
95
|
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The distribution, CLI, and Python package are named `alphaverify`.
|
|
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|
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The repository name remains `alpha-verify`. `init` copies one of the shipped
|
|
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|
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workspaces into `./workspaces`, which is where every later command looks for it.
|
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|
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```
|
|
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python -m pip install alphaverify
|
|
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|
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|
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alphaverify init --workspace nasdaq_daily
|
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alphaverify measure
|
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alphaverify compare
|
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alphaverify validate
|
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alphaverify select
|
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alphaverify forecast
|
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+
```
|
|
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|
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From a checkout, `python -m pip install -e .` installs the same CLI, and `init`
|
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is unnecessary because `workspaces/` is already there; run commands from the
|
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repository root and reinstall the editable package after updating it. To keep
|
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workspaces anywhere else, pass `--workspaces-dir DIR` or set `$ALPHAVERIFY_WORKSPACES`.
|
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|
|
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After `validate`, the figure for every tested bin, including the four above, is in `workspaces/nasdaq_daily/03_validation/plot/`.
|
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Each pipeline command also accepts `--cuda` when a CUDA-capable PyTorch installation and device are available.
|
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|
|
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# How it works
|
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|
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| Stage | CLI Command | What it does | Mathematical form |
|
|
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|---|---|---|---|
|
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| 1 | measure | Measure conditional probabilities | `π_condition(r, δ, k, t)` |
|
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| 2 | compare | Compare them with the baseline | `G = π_condition − π_baseline` |
|
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| 3 | validate | Validate every supported bin against the null | `p̂_k < 0.05 or p̂_k ≥ 0.05` |
|
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| 4 | select | Retain cleared bins, rank them by evidence, and render their figures | `K_selected = {k : p̂_k < 0.05}` |
|
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|
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| 5 | forecast | List which nodes cleared and with which bins; combine those active on the last stored bar, one per family, and compare with their historical joint rate | `N_cleared = {node(k) : k ∈ K_selected}`; `logit P = logit π_baseline + Σ_k (logit π_k − logit π_baseline)` |
|
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+
|
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|
+
|
|
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Validation writes `03_validation/`; selection consumes only a current validation result and writes `04_selection/`; the forecast consumes only a current selection and writes `05_forecast/`. Every cleared bin is retained—there is no top-k ranking or secondary economic gate.
|
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|
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# Repository map
|
|
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|
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|
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134
|
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- [Source architecture](https://github.com/doubletrends/alpha-verify/blob/master/src/alphaverify/README.md) — implementation boundaries, data flow, artifact contracts, and null mechanics.
|
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- [Workspaces](https://github.com/doubletrends/alpha-verify/blob/master/workspaces/README.md) — experiment declarations, plugins, generated artifacts, and safe workspace changes.
|
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+
|
|
137
|
+
AlphaVerify is research software, not investment advice.
|
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|
+
|
|
139
|
+
The complete numerical specification is available as LaTeX in
|
|
140
|
+
[`mathematics.tex`](https://github.com/doubletrends/alpha-verify/blob/master/mathematics.tex).
|
|
@@ -0,0 +1,108 @@
|
|
|
1
|
+
<div align="center">
|
|
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|
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<h1><strong>AlphaVerify</strong> - Multi-Asset Financial Strategy Debunker</h1>
|
|
3
|
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<img src="https://raw.githubusercontent.com/doubletrends/alpha-verify/master/docs/alphaverify-icon-old.svg" alt="AlphaVerify icon" width="180">
|
|
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|
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<br>
|
|
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|
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<h3>Most “technical” indicators are essentially astrology with better charts.<br>
|
|
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|
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AlphaVerify is built to put an end to all that bullshit.</h3>
|
|
7
|
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</div>
|
|
8
|
+
|
|
9
|
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<p align="center">
|
|
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|
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<picture>
|
|
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<source media="(prefers-color-scheme: dark)" srcset="https://raw.githubusercontent.com/doubletrends/alpha-verify/master/docs/stats-dark.svg">
|
|
12
|
+
<img src="https://raw.githubusercontent.com/doubletrends/alpha-verify/master/docs/stats-light.svg" width="100%" alt="1,000 synthetic OHLC histories; 552 NASDAQ condition bins tested, across 57 features; 25 bins cleared, where pure chance predicts 27.6">
|
|
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|
+
</picture>
|
|
14
|
+
</p>
|
|
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|
+
|
|
16
|
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# How to look at the figures
|
|
17
|
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Each figure tests one market condition.
|
|
18
|
+
|
|
19
|
+
**Left:** while the condition holds, is the NASDAQ more likely (red) or less likely (blue) to move by a given percentage within 30 days?
|
|
20
|
+
**Right:** the same test run on 1,000 random markets that contain no signal. To count as an edge, the real score (blue line) has to beat 95% of them (dashed line).
|
|
21
|
+
|
|
22
|
+
## The golden cross - folklore
|
|
23
|
+
|
|
24
|
+
Traders everywhere watch for the 50-day average to cross above the 200-day. Once it runs about 10% above, the heatmap looks decisive: the odds of a 4% drop jump, the odds of a 4% rise fall, a **24.5-point** swing. It looks like a real edge. It's folklore: random markets draw one at least this strong 8.4% of the time.
|
|
25
|
+
|
|
26
|
+
<p align="center">
|
|
27
|
+
<a href="https://github.com/doubletrends/alpha-verify/blob/master/docs/bin_figure__ma_cross_50_200__bin_09.png"><img src="https://raw.githubusercontent.com/doubletrends/alpha-verify/master/docs/bin_figure__ma_cross_50_200__bin_09.png" width="100%" alt="MA Cross 50-200 bin 9: a 24.5 percentage-point contrast below the null 95th percentile"></a>
|
|
28
|
+
</p>
|
|
29
|
+
|
|
30
|
+
## Above the 200-day - a textbook mirror
|
|
31
|
+
|
|
32
|
+
"Stay long while price is above the 200-day" is trend following's first rule. With price 4% to 6% above it, the picture is a near-perfect mirror: rises more likely, drops much less likely, a **27.4-point** swing. Random markets draw one at least this strong 23% of the time.
|
|
33
|
+
|
|
34
|
+
<p align="center">
|
|
35
|
+
<a href="https://github.com/doubletrends/alpha-verify/blob/master/docs/bin_figure__ma_ratio_200__bin_04.png"><img src="https://raw.githubusercontent.com/doubletrends/alpha-verify/master/docs/bin_figure__ma_ratio_200__bin_04.png" width="100%" alt="MA Ratio-200 bin 4: a 27.4 percentage-point contrast well inside the synthetic null"></a>
|
|
36
|
+
</p>
|
|
37
|
+
|
|
38
|
+
## Low bond yields - the 42-point edge
|
|
39
|
+
|
|
40
|
+
Cheap money lifts stocks; everyone knows that. When the 10-year Treasury yield sat below 1.34%, the NASDAQ was far more likely to rally 8% within a month: a **42-point** swing that grows steadily with time. It looks like a macro regime you could trade. It isn't. Random markets draw one at least this strong 7.6% of the time. Close, but not an edge.
|
|
41
|
+
|
|
42
|
+
<p align="center">
|
|
43
|
+
<a href="https://github.com/doubletrends/alpha-verify/blob/master/docs/bin_figure__tnx_level__bin_01.png"><img src="https://raw.githubusercontent.com/doubletrends/alpha-verify/master/docs/bin_figure__tnx_level__bin_01.png" width="100%" alt="TNX Level bin 1: a 42 percentage-point upside contrast whose score still falls below the null 95th percentile"></a>
|
|
44
|
+
</p>
|
|
45
|
+
|
|
46
|
+
## Moderate yields - same signal, opposite story
|
|
47
|
+
|
|
48
|
+
Move the yield to 2.5%-2.9% and the story flips: an 8% drop becomes likelier than a rise, a **21.2-point** swing. Read alone, it's a second, bearish regime. Random markets draw one at least this strong 41% of the time.
|
|
49
|
+
|
|
50
|
+
<p align="center">
|
|
51
|
+
<a href="https://github.com/doubletrends/alpha-verify/blob/master/docs/bin_figure__tnx_level__bin_06.png"><img src="https://raw.githubusercontent.com/doubletrends/alpha-verify/master/docs/bin_figure__tnx_level__bin_06.png" width="100%" alt="TNX Level bin 6: a 21.2 percentage-point downside contrast, well inside the synthetic null"></a>
|
|
52
|
+
</p>
|
|
53
|
+
|
|
54
|
+
# Try it
|
|
55
|
+
|
|
56
|
+
<p>
|
|
57
|
+
<img src="https://img.shields.io/badge/PyTorch-%E2%89%A5%202.0-EE4C2C?logo=pytorch&logoColor=white" alt="PyTorch >= 2.0">
|
|
58
|
+
<img src="https://img.shields.io/badge/CUDA-%E2%89%A5%2012.0-76B900?logo=nvidia&logoColor=white" alt="CUDA >= 12.0">
|
|
59
|
+
</p>
|
|
60
|
+
|
|
61
|
+
**PyTorch is mandatory. A dedicated CUDA-enabled GPU is strongly recommended.**
|
|
62
|
+
|
|
63
|
+
The distribution, CLI, and Python package are named `alphaverify`.
|
|
64
|
+
The repository name remains `alpha-verify`. `init` copies one of the shipped
|
|
65
|
+
workspaces into `./workspaces`, which is where every later command looks for it.
|
|
66
|
+
|
|
67
|
+
```
|
|
68
|
+
python -m pip install alphaverify
|
|
69
|
+
|
|
70
|
+
alphaverify init --workspace nasdaq_daily
|
|
71
|
+
alphaverify measure
|
|
72
|
+
alphaverify compare
|
|
73
|
+
alphaverify validate
|
|
74
|
+
alphaverify select
|
|
75
|
+
alphaverify forecast
|
|
76
|
+
```
|
|
77
|
+
|
|
78
|
+
From a checkout, `python -m pip install -e .` installs the same CLI, and `init`
|
|
79
|
+
is unnecessary because `workspaces/` is already there; run commands from the
|
|
80
|
+
repository root and reinstall the editable package after updating it. To keep
|
|
81
|
+
workspaces anywhere else, pass `--workspaces-dir DIR` or set `$ALPHAVERIFY_WORKSPACES`.
|
|
82
|
+
|
|
83
|
+
After `validate`, the figure for every tested bin, including the four above, is in `workspaces/nasdaq_daily/03_validation/plot/`.
|
|
84
|
+
|
|
85
|
+
Each pipeline command also accepts `--cuda` when a CUDA-capable PyTorch installation and device are available.
|
|
86
|
+
|
|
87
|
+
# How it works
|
|
88
|
+
|
|
89
|
+
| Stage | CLI Command | What it does | Mathematical form |
|
|
90
|
+
|---|---|---|---|
|
|
91
|
+
| 1 | measure | Measure conditional probabilities | `π_condition(r, δ, k, t)` |
|
|
92
|
+
| 2 | compare | Compare them with the baseline | `G = π_condition − π_baseline` |
|
|
93
|
+
| 3 | validate | Validate every supported bin against the null | `p̂_k < 0.05 or p̂_k ≥ 0.05` |
|
|
94
|
+
| 4 | select | Retain cleared bins, rank them by evidence, and render their figures | `K_selected = {k : p̂_k < 0.05}` |
|
|
95
|
+
| 5 | forecast | List which nodes cleared and with which bins; combine those active on the last stored bar, one per family, and compare with their historical joint rate | `N_cleared = {node(k) : k ∈ K_selected}`; `logit P = logit π_baseline + Σ_k (logit π_k − logit π_baseline)` |
|
|
96
|
+
|
|
97
|
+
|
|
98
|
+
Validation writes `03_validation/`; selection consumes only a current validation result and writes `04_selection/`; the forecast consumes only a current selection and writes `05_forecast/`. Every cleared bin is retained—there is no top-k ranking or secondary economic gate.
|
|
99
|
+
|
|
100
|
+
# Repository map
|
|
101
|
+
|
|
102
|
+
- [Source architecture](https://github.com/doubletrends/alpha-verify/blob/master/src/alphaverify/README.md) — implementation boundaries, data flow, artifact contracts, and null mechanics.
|
|
103
|
+
- [Workspaces](https://github.com/doubletrends/alpha-verify/blob/master/workspaces/README.md) — experiment declarations, plugins, generated artifacts, and safe workspace changes.
|
|
104
|
+
|
|
105
|
+
AlphaVerify is research software, not investment advice.
|
|
106
|
+
|
|
107
|
+
The complete numerical specification is available as LaTeX in
|
|
108
|
+
[`mathematics.tex`](https://github.com/doubletrends/alpha-verify/blob/master/mathematics.tex).
|
|
@@ -0,0 +1,76 @@
|
|
|
1
|
+
[build-system]
|
|
2
|
+
requires = ["setuptools>=77"]
|
|
3
|
+
build-backend = "setuptools.build_meta"
|
|
4
|
+
|
|
5
|
+
[project]
|
|
6
|
+
name = "alphaverify"
|
|
7
|
+
version = "0.1.0"
|
|
8
|
+
description = "Conditional barrier-touch probability pipeline."
|
|
9
|
+
readme = "README.md"
|
|
10
|
+
requires-python = ">=3.12"
|
|
11
|
+
license = "CC0-1.0"
|
|
12
|
+
license-files = ["LICENSE"]
|
|
13
|
+
authors = [{ name = "chengmarc" }]
|
|
14
|
+
keywords = [
|
|
15
|
+
"quantitative-finance",
|
|
16
|
+
"technical-analysis",
|
|
17
|
+
"hypothesis-testing",
|
|
18
|
+
"multiple-testing",
|
|
19
|
+
"barrier-touch",
|
|
20
|
+
"market-research",
|
|
21
|
+
]
|
|
22
|
+
classifiers = [
|
|
23
|
+
"Development Status :: 3 - Alpha",
|
|
24
|
+
"Environment :: Console",
|
|
25
|
+
"Environment :: GPU :: NVIDIA CUDA",
|
|
26
|
+
"Intended Audience :: Science/Research",
|
|
27
|
+
"Intended Audience :: Financial and Insurance Industry",
|
|
28
|
+
"Operating System :: OS Independent",
|
|
29
|
+
"Programming Language :: Python :: 3.12",
|
|
30
|
+
"Programming Language :: Python :: 3.13",
|
|
31
|
+
"Topic :: Office/Business :: Financial :: Investment",
|
|
32
|
+
"Topic :: Scientific/Engineering :: Information Analysis",
|
|
33
|
+
]
|
|
34
|
+
dependencies = [
|
|
35
|
+
"numpy>=2.0",
|
|
36
|
+
"pandas>=2.2",
|
|
37
|
+
"matplotlib>=3.8",
|
|
38
|
+
"yfinance>=0.2",
|
|
39
|
+
"openpyxl>=3.1",
|
|
40
|
+
"safetensors>=0.5",
|
|
41
|
+
"torch>=2.0",
|
|
42
|
+
]
|
|
43
|
+
|
|
44
|
+
[project.urls]
|
|
45
|
+
Homepage = "https://github.com/doubletrends/alpha-verify"
|
|
46
|
+
Repository = "https://github.com/doubletrends/alpha-verify"
|
|
47
|
+
Issues = "https://github.com/doubletrends/alpha-verify/issues"
|
|
48
|
+
|
|
49
|
+
[project.scripts]
|
|
50
|
+
alphaverify = "alphaverify.cli:main"
|
|
51
|
+
|
|
52
|
+
[tool.setuptools]
|
|
53
|
+
# The shipped workspaces are distributed as `alphaverify.templates`, the source
|
|
54
|
+
# `alphaverify init` copies from. Adding a workspace means adding it here too;
|
|
55
|
+
# tests/test_workspace_data.py fails when one is missing.
|
|
56
|
+
package-dir = { "" = "src", "alphaverify.templates" = "workspaces" }
|
|
57
|
+
packages = [
|
|
58
|
+
"alphaverify",
|
|
59
|
+
"alphaverify.domain",
|
|
60
|
+
"alphaverify.infrastructure",
|
|
61
|
+
"alphaverify.pipeline",
|
|
62
|
+
"alphaverify.presentation",
|
|
63
|
+
"alphaverify.templates",
|
|
64
|
+
"alphaverify.templates._shared",
|
|
65
|
+
"alphaverify.templates.btc_daily",
|
|
66
|
+
"alphaverify.templates.btc_hourly",
|
|
67
|
+
"alphaverify.templates.nasdaq_daily",
|
|
68
|
+
]
|
|
69
|
+
|
|
70
|
+
[tool.setuptools.package-data]
|
|
71
|
+
"alphaverify.templates.btc_daily" = ["universe.json"]
|
|
72
|
+
"alphaverify.templates.btc_hourly" = ["universe.json"]
|
|
73
|
+
"alphaverify.templates.nasdaq_daily" = ["universe.json"]
|
|
74
|
+
|
|
75
|
+
[tool.pytest.ini_options]
|
|
76
|
+
pythonpath = ["src"]
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
"""Conditional barrier-touch probability pipeline."""
|
|
@@ -0,0 +1,185 @@
|
|
|
1
|
+
"""Command-line interface for the barrier-touch pipeline."""
|
|
2
|
+
|
|
3
|
+
from __future__ import annotations
|
|
4
|
+
|
|
5
|
+
import argparse
|
|
6
|
+
from collections.abc import Callable
|
|
7
|
+
from dataclasses import dataclass
|
|
8
|
+
from pathlib import Path
|
|
9
|
+
|
|
10
|
+
from alphaverify.domain import tensor_runtime
|
|
11
|
+
from alphaverify.infrastructure.scaffold import available_templates, copy_workspace
|
|
12
|
+
from alphaverify.infrastructure.workspace import (
|
|
13
|
+
STAGE_DIRECTORIES,
|
|
14
|
+
WORKSPACES_DIRNAME,
|
|
15
|
+
Workspace,
|
|
16
|
+
workspaces_root,
|
|
17
|
+
)
|
|
18
|
+
from alphaverify.pipeline.reporting import RULE, ansi_styles, color_enabled
|
|
19
|
+
from alphaverify.pipeline.step_01_surface import cmd_surface
|
|
20
|
+
from alphaverify.pipeline.step_02_shift import cmd_shift
|
|
21
|
+
from alphaverify.pipeline.step_03_validation import cmd_validation
|
|
22
|
+
from alphaverify.pipeline.step_04_selection import cmd_selection
|
|
23
|
+
from alphaverify.pipeline.step_05_forecast import cmd_forecast
|
|
24
|
+
|
|
25
|
+
|
|
26
|
+
@dataclass(frozen=True)
|
|
27
|
+
class Command:
|
|
28
|
+
name: str
|
|
29
|
+
summary: str
|
|
30
|
+
handler: Callable[[Workspace], None]
|
|
31
|
+
stage: str
|
|
32
|
+
|
|
33
|
+
|
|
34
|
+
COMMANDS = (
|
|
35
|
+
Command(
|
|
36
|
+
"measure",
|
|
37
|
+
"Measure raw conditional probabilities",
|
|
38
|
+
cmd_surface,
|
|
39
|
+
stage="surface",
|
|
40
|
+
),
|
|
41
|
+
Command(
|
|
42
|
+
"compare",
|
|
43
|
+
"Compare raw probabilities to baseline",
|
|
44
|
+
cmd_shift,
|
|
45
|
+
stage="shift",
|
|
46
|
+
),
|
|
47
|
+
Command(
|
|
48
|
+
"validate",
|
|
49
|
+
"Validate all eligible bins vs null",
|
|
50
|
+
cmd_validation,
|
|
51
|
+
stage="validation",
|
|
52
|
+
),
|
|
53
|
+
Command(
|
|
54
|
+
"select",
|
|
55
|
+
"Select cleared bins and heatmaps",
|
|
56
|
+
cmd_selection,
|
|
57
|
+
stage="selection",
|
|
58
|
+
),
|
|
59
|
+
Command(
|
|
60
|
+
"forecast",
|
|
61
|
+
"Cleared nodes and their forecast",
|
|
62
|
+
cmd_forecast,
|
|
63
|
+
stage="forecast",
|
|
64
|
+
),
|
|
65
|
+
)
|
|
66
|
+
COMMAND_BY_NAME = {command.name: command for command in COMMANDS}
|
|
67
|
+
|
|
68
|
+
# Setup, not a stage: it writes the workspace that the stage commands then read.
|
|
69
|
+
INIT_COMMAND = "init"
|
|
70
|
+
|
|
71
|
+
|
|
72
|
+
def overview(color: bool) -> str:
|
|
73
|
+
"""Root help: setup, then the pipeline commands in order with their artifact directories."""
|
|
74
|
+
accent, bold, dim, reset = ansi_styles(color)
|
|
75
|
+
|
|
76
|
+
def heading(text: str) -> list[str]:
|
|
77
|
+
return [f" {accent}{bold}{text}{reset}", ""]
|
|
78
|
+
|
|
79
|
+
def row(name: str, summary: str, target: str) -> str:
|
|
80
|
+
return (
|
|
81
|
+
f" {bold}{name}{reset}{' ' * (12 - len(name))}"
|
|
82
|
+
f"{summary:<38}→ {dim}{target}{reset}"
|
|
83
|
+
)
|
|
84
|
+
|
|
85
|
+
lines = [
|
|
86
|
+
f"{accent}{RULE}{reset}",
|
|
87
|
+
"AlphaVerify",
|
|
88
|
+
"Conditional barrier-touch probability pipeline",
|
|
89
|
+
f"{accent}{RULE}{reset}",
|
|
90
|
+
"",
|
|
91
|
+
*heading("Setup"),
|
|
92
|
+
row(INIT_COMMAND, "Copy a shipped workspace here", f"{WORKSPACES_DIRNAME}/NAME/"),
|
|
93
|
+
"",
|
|
94
|
+
*heading("Pipeline"),
|
|
95
|
+
]
|
|
96
|
+
for command in COMMANDS:
|
|
97
|
+
lines.append(row(command.name, command.summary, f"{STAGE_DIRECTORIES[command.stage]}/"))
|
|
98
|
+
lines += [
|
|
99
|
+
"",
|
|
100
|
+
*heading("Options"),
|
|
101
|
+
" --workspace NAME Select a workspace",
|
|
102
|
+
" --workspaces-dir DIR Workspace root (or $ALPHAVERIFY_WORKSPACES)",
|
|
103
|
+
" --cuda Use CUDA numerical kernels",
|
|
104
|
+
" -h, --help Show this help",
|
|
105
|
+
]
|
|
106
|
+
return "\n".join(lines) + "\n"
|
|
107
|
+
|
|
108
|
+
|
|
109
|
+
class RootParser(argparse.ArgumentParser):
|
|
110
|
+
"""Root help is the command overview; subcommands keep argparse option help."""
|
|
111
|
+
|
|
112
|
+
def format_help(self) -> str:
|
|
113
|
+
return overview(color_enabled())
|
|
114
|
+
|
|
115
|
+
|
|
116
|
+
def _add_workspace_options(parser: argparse.ArgumentParser) -> None:
|
|
117
|
+
parser.add_argument("--workspace", metavar="NAME", default="nasdaq_daily")
|
|
118
|
+
parser.add_argument(
|
|
119
|
+
"--workspaces-dir",
|
|
120
|
+
metavar="DIR",
|
|
121
|
+
default=None,
|
|
122
|
+
help=(
|
|
123
|
+
"directory holding workspaces "
|
|
124
|
+
f"(default: $ALPHAVERIFY_WORKSPACES, else ./{WORKSPACES_DIRNAME})"
|
|
125
|
+
),
|
|
126
|
+
)
|
|
127
|
+
|
|
128
|
+
|
|
129
|
+
def _add_run_options(parser: argparse.ArgumentParser) -> None:
|
|
130
|
+
_add_workspace_options(parser)
|
|
131
|
+
parser.add_argument(
|
|
132
|
+
"--cuda",
|
|
133
|
+
action="store_true",
|
|
134
|
+
help="run numerical barrier kernels on CUDA (requires an available CUDA PyTorch device)",
|
|
135
|
+
)
|
|
136
|
+
|
|
137
|
+
|
|
138
|
+
def build_parser() -> argparse.ArgumentParser:
|
|
139
|
+
parser = RootParser(prog="alphaverify")
|
|
140
|
+
commands = parser.add_subparsers(
|
|
141
|
+
dest="command", metavar="COMMAND", parser_class=argparse.ArgumentParser
|
|
142
|
+
)
|
|
143
|
+
|
|
144
|
+
_add_workspace_options(
|
|
145
|
+
commands.add_parser(
|
|
146
|
+
INIT_COMMAND,
|
|
147
|
+
help=f"copy a shipped workspace ({', '.join(available_templates())}) into place",
|
|
148
|
+
)
|
|
149
|
+
)
|
|
150
|
+
for command in COMMANDS:
|
|
151
|
+
_add_run_options(commands.add_parser(command.name))
|
|
152
|
+
return parser
|
|
153
|
+
|
|
154
|
+
|
|
155
|
+
def cmd_init(name: str, workspaces_dir: str | None) -> None:
|
|
156
|
+
"""Write one shipped workspace declaration where the stage commands will look for it."""
|
|
157
|
+
root = workspaces_root(workspaces_dir)
|
|
158
|
+
written = copy_workspace(name, root)
|
|
159
|
+
accent, bold, dim, reset = ansi_styles(color_enabled())
|
|
160
|
+
print(f"\n{accent}{RULE}{reset}")
|
|
161
|
+
print(f"{accent}{bold}Workspace {name}{reset} → {root / name}")
|
|
162
|
+
print(f"{accent}{RULE}{reset}\n")
|
|
163
|
+
for path in written:
|
|
164
|
+
print(f" {dim}{path.relative_to(root)}{reset}")
|
|
165
|
+
option = "" if root == Path.cwd() / WORKSPACES_DIRNAME else f" --workspaces-dir {root}"
|
|
166
|
+
print(f"\n next: alphaverify measure --workspace {name}{option}\n")
|
|
167
|
+
|
|
168
|
+
|
|
169
|
+
def main(argv: list[str] | None = None) -> None:
|
|
170
|
+
parser = build_parser()
|
|
171
|
+
args = parser.parse_args(argv)
|
|
172
|
+
if args.command is None:
|
|
173
|
+
parser.print_help()
|
|
174
|
+
return
|
|
175
|
+
if args.command == INIT_COMMAND:
|
|
176
|
+
cmd_init(args.workspace, args.workspaces_dir)
|
|
177
|
+
return
|
|
178
|
+
ws = Workspace(args.workspace, args.workspaces_dir)
|
|
179
|
+
tensor_runtime.configure(args.cuda)
|
|
180
|
+
|
|
181
|
+
COMMAND_BY_NAME[args.command].handler(ws)
|
|
182
|
+
|
|
183
|
+
|
|
184
|
+
if __name__ == "__main__":
|
|
185
|
+
main()
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
"""Pure numerical models and feature transforms."""
|