quantjourney-bt 0.10.0__tar.gz

quantjourney_bt-0.10.0/CHANGELOG.md

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+# QuantJourney Backtester Changelog
+
+## 0.10.0 - 2026-07-10
+
+### Added
+- Added the shared execution simulator, contract-aware portfolio ledger,
+  portfolio-of-strategies book, and pre-trade risk controls to the explicitly
+  approved Apache-2.0 public scope.
+- Expanded the runnable catalog to 50 examples: 25 weight-based, 20
+  order-based, and 5 walk-forward/optimization strategies, including the new
+  FX and continuous-futures research examples.
+- Added a fail-closed release boundary: local commit/push guards, a reviewed
+  source manifest, clean-tag publishing, and exact wheel/sdist verification.
+
+### Fixed
+- Rejected unsupported cross-currency FX accounting in core and standalone
+  ledger paths instead of treating quote-currency PnL as portfolio currency;
+  incomplete or invalid external FX/futures contract metadata now fails closed.
+- Standardized strategy storage on `(strategy, field, instrument)`, rejected
+  silently misaligned strategy output, and preserved valid all-zero strategies.
+- Scoped ETag response caches to one immutable per-request tenant/principal
+  snapshot, including during concurrent context changes; cache keys are fully
+  opaque and invalidated whenever the security context changes.
+
+### Changed
+- Restored the public README and changelog boundary, then documented only the
+  approved public runtime and strategy additions.
+- Modernized Python 3.11 typing syntax, removed the Ruff backlog, and made full
+  lint/format checks blocking.
+- Added a locked full-package mypy baseline gate that fails on every
+  unreviewed diagnostic change while the existing typing debt is reduced.
+- Declared and continuously tests Python 3.11 through 3.14.
+- External PyPI artifacts are built only from a clean version-matched tag after
+  tests and artifact-manifest checks; local uploads are unsupported.
+
+## 0.9.1 - 2026-07-09
+
+### Changed
+- Hardened missing-data accounting with frozen/held semantics so portfolio NAV, risk triggers and reported weights stay consistent through temporary price gaps.
+- Normalized timezone alignment before reindexing benchmark and cash-buffer inputs.
+- Improved order-mode idempotency and bracket/OCA lifecycle handling.
+- Tightened circuit-breaker re-entry, weekly holiday scheduling and PBO failed-candidate handling.
+
+## 0.8.9 - 2026-07-08
+
+### Changed
+- Weight-mode accounting now books the full price move across missing-data gaps on the resume bar (matching order-mode economics), and gapped positions are reported at their carried value.
+- Honest walk-forward reporting: slice-diagnostics output is labeled in-sample end-to-end, failed folds are reported as failed (not zero Sharpe), verdicts are gated so losing strategies never render green, and the composite Sharpe carries a bootstrap confidence interval.
+- Stricter, louder input handling: unknown constructor kwargs raise, execution mode and fill timing are validated, missing OHLC data degrades with a clear warning, inactive configuration knobs warn once per mode, and the tracking-error trigger activates when `benchmark_returns` is provided.
+- Re-running a backtest on the same instance is idempotent (execution state resets per run); weekly calendar rebalances snap to the prior trading day on holidays; documentation now spells out the execution-timing contract and calendar-convention sensitivity.
+
+## 0.8.8 - 2026-07-08
+
+### Changed
+- Refined same-bar fill priority for OCO orders and aligned the tracking-error trigger with the NAV accounting basis.
+- Cleaner walk-forward metadata and configuration errors (empty purge windows, overlapping-OOS warning, early CPCV validation).
+
+## 0.8.7 - 2026-07-07
+
+### Changed
+- Tightened rebalance and risk-event accounting so daily returns are always booked on the weights actually held, with improved circuit-breaker recovery behavior.
+- Hardened order execution around partial fills and edge conditions: trailing-stop activation, OCO and bracket lifecycle, bar-expiry counting, stop-limit trigger bounds, and volume-cap handling with incomplete data.
+- More robust input validation across sizing, weights and configuration (non-finite prices and volumes, cash-buffer types, rebalance frequency and holiday scheduling).
+- Protective `stop_loss()`/`take_profit()` exits now link as an OCO pair automatically.
+- Walk-forward upgrades: more reliable optimizer execution with loud failure reporting, `direction="minimize"` support, deflated Sharpe aligned with Bailey & López de Prado (2014), and honest availability reporting for overfitting statistics (`pbo_trials` opt-in).
+
+## 0.8.6 - 2026-07-06
+
+### Added
+- Added explicit walk-forward mode reporting in logs, summaries and archived metadata: `slice_diagnostics` for fast NAV-slice diagnostics and `per_fold_refit` when a fold-local `backtester_factory` reruns the strategy.
+- Added `QJ_WF_MODE=per_fold_refit` support to WF01-WF03 examples, with optional `QJ_WF_REPORT_PACKET=1` report/plot packet generation.
+
+### Changed
+- Deduplicated the walk-forward slice-diagnostics warning so it appears once per result instead of once per fold.
+- Clarified README and strategy-catalog language around walk-forward diagnostics, per-fold refit cost, and optimization workflow interpretation.
+
+## 0.8.5 - 2026-07-04
+
+### Fixed
+- Fixed order-mode trade recording so fill metadata from the execution engine (`slippage`, theoretical price and fill status) is accepted by the blotter and preserved in trade artifacts.
+- Hardened the 30-minute intraday stop-breakout example against sparse provider bars by skipping invalid NAV, price and breakout-reference observations before sizing orders.
+
+## 0.8.4 - 2026-07-04
+
+### Added
+- Added a deterministic bundled sample-data path for `example_weights_01_sma_daily` via `./strategy.sh example_weights_01_sma_daily --sample-data`, allowing a reproducible demo without API credentials.
+
+## 0.8.3 - 2026-07-04
+
+### Added
+- Grew the example strategy suite to 45. Added 10 weight-based templates: long/short pairs trading with a ratio z-score and with a rolling OLS hedge-ratio spread; dollar-neutral cross-sectional momentum and short-term reversal; volatility-targeted trend and momentum baskets; risk-parity (equal risk contribution) standalone and chained with a per-position cap; Bollinger Band mean reversion; and MACD trend.
+- Added a per-folder strategy catalog (`strategies/README.md`) that links each example's source and, where published, its results page, and embedded a summary catalog in the main README.
+- Attached the risk-overlay modules (volatility targeting, risk parity, position limits, chained overlays) to runnable examples via the `risk_model=` hook.
+
+## 0.8.2 - 2026-07-04
+
+### Added
+- Expanded the example strategy suite to 35 runnable templates: 12 weight-based, 18 order-based, and 5 walk-forward / optimization examples.
+- Added an intraday timeframe grid so a single engine spans minute-to-hour cadences: `example_weights_08_intraday_1m_ema_scalp` (1m EMA scalp), `example_orders_15_intraday_5m_bracket_reversion` (5m bracket reversion), `example_orders_16_intraday_30m_stop_breakout` (30m stop breakout), and `example_weights_09_intraday_1h_sma_trend` (1h SMA trend).
+- Added rebalance-focused templates that exercise the full policy stack: `example_weights_10_monthly_circuit_breaker` (drawdown circuit breaker + cooldown), `example_weights_11_quarterly_te_cost_gate` (tracking-error trigger + turnover budget), and `example_weights_12_daily_partial_drift` (partial drift-band rebalance).
+- Added event-driven order-mode rotation templates: `example_orders_17_monthly_rotation_orders` (calendar rebalance expressed as orders) and `example_orders_18_signal_change_rotation_orders` (trade only on trend-signal flips).
+- Added dedicated walk-forward and optimization examples: rolling, expanding, and anchored walk-forward (`example_wf_01`–`example_wf_03`), exhaustive grid search (`example_wf_04`), and Optuna TPE search with out-of-sample validation (`example_wf_05`).
+- Surfaced walk-forward traffic-light interpretation (overfit ratio, efficiency, Sharpe decay) directly in the walk-forward examples.
+
+### Changed
+- Refreshed public documentation: rewrote the README around what the engine does, why it is reproducible, how to run it, and example report output; removed fixed strategy-count language so the suite can grow without stale numbers.
+- Aligned every example strategy configuration with the verified `RebalancePolicy` fields (`drift_threshold`, `tracking_error_threshold`, `max_drawdown_trigger`, `max_annual_turnover`, `partial_rebalance`, `rebalance_on_signal_change`).
+- Reworked the packaging smoke tests to check tracked files rather than a fixed strategy count, so new untracked example strategies no longer break local test runs.
+
+### Fixed
+- Preserved intraday NaN gaps in `Universe.returns` and `Universe.log_returns` using `pct_change(fill_method=None)`, so halted or illiquid intraday bars are excluded from allocation instead of being counted as 0% return observations.
+- Seeded only the first available bar per instrument to a defined return, keeping pre-listing and post-halt gaps as unavailable rather than synthetic zeros.
+
+## 0.8.1 - 2026-07-04
+
+### Added
+- Added `granularity` normalization for API-backed backtests, including yfinance historical intraday values such as `1m`, `5m`, `15m`, `30m`, and `1h`.
+- Added `example_weights_07_intraday_rsi_15m.py`, a simple RSI strategy using `granularity="15m"`.
+- Added true walk-forward refit hooks via fold-local `backtester_factory`/optimizer support.
+- Added date/time-aware x-axis labels for intraday time-series plots.
+- Added a per-fold "slice diagnostics" warning so walk-forward runs without a refit factory are labeled honestly rather than reported as true out-of-sample.
+
+### Fixed
+- Fixed order-mode contract accounting so cash, NAV, position values, weights, and trade value use `ContractSpec` multipliers and lot sizes.
+- Fixed order-mode commission notional to use `ContractSpec` multipliers and lot sizes, aligning bps/max-pct fees with contract-aware NAV and PnL.
+- Fixed limit and stop-limit execution semantics so slippage never fills worse than the limit price.
+- Fixed partial-fill commissions so per-order minimums, caps, and tiers are applied cumulatively to the parent order.
+- Fixed reporting-frequency resampling so the first reporting bucket keeps its actual return instead of a synthetic zero.
+- Fixed Sharpe, volatility, and Sortino calculations to use metric returns that exclude the synthetic day-0 zero.
+- Fixed position-limit redistribution to iteratively enforce `max_weight` after redistributing capped excess.
+- Fixed partial rebalance and tax-aware rebalance normalization so frozen positions are not moved by the traded sleeve.
+- Fixed benchmark return handling to prefer adjusted total-return sources and warn on ambiguous raw-close or missing-day alignment.
+- Fixed dollar valuation semantics to use raw close prices for exposure, turnover, and dollar PnL, with bounded forward-fill for stale valuation prices.
+- Preserved NaN market-data gaps in `Universe` and weight-mode rebalancing so unavailable instruments are excluded from allocation instead of treated as 0% return assets.
+
+## 0.8.0 - 2026-06-20
+
+### Added
+- Added AI Co-Pilot materials for strategy authoring, strategy review, and report interpretation.
+- Added explicit NAV accounting identity validation.
+- Added per-instrument strategy trace charts combining price, indicators, signal state, realized exposure, and portfolio context.
+- Added reporting semantics documentation for FIFO lot matching, exposure path checks, loss-positive risk fields, and execution assumptions.
+- Added a reproducibility fingerprint over configuration and input data for auditable research runs.
+
+### Changed
+- Hardened instrument analytics contracts: units now mean executed position quantities, and weight-based attribution requires explicit weights.
+- Standardized turnover to institutional half-turnover with separate gross weight churn diagnostics.
+- Reworked VaR/CVaR outputs to use a loss-positive convention.
+
+## 0.7.0 - 2026-06-12
+
+### Added
+- Added reporting-frequency support for daily, weekly, monthly, and quarterly report cadences.
+- Added frequency-aware annualization, rolling windows, labels, and table wording.
+
+### Fixed
+- Removed hard-coded daily wording from risk and volatility report labels.
+- Guarded resampling paths so reporting-frequency changes preserve strategy and benchmark alignment.
+
+## 0.6.0 - 2026-05-30
+
+### Added
+- Added website changelog and documentation pages for the QuantJourney Backtester.
+- Added architecture diagrams and publishing-oriented documentation.
+- Added default QuantJourney plot styling, source stamps, and report metadata.
+- Added multiple visual themes for report charts, including terminal, dark, and paper-ready academic styles.
+
+### Changed
+- Refined plot readability for cumulative returns, drawdown, rolling risk, rolling beta, rolling alpha, and holdings charts.
+
+## 0.5.0 - 2026-02-01
+
+### Added
+- Added anchored, rolling, and expanding walk-forward validation.
+- Added grid-search and Optuna optimization integration for strategy parameter studies.
+- Added fold-level in-sample/out-of-sample diagnostics and summary metrics.
+- Added purge and embargo gaps between train and test windows to reduce information leakage.
+- Added overfit-ratio, efficiency, and Sharpe-decay traffic-light interpretation of walk-forward results.
+
+### Changed
+- Separated optimizer configuration from strategy configuration so research runs can be reproduced from saved metadata.
+
+## 0.4.2 - 2026-01-10
+
+### Added
+- Added cross-engine comparison materials for QuantJourney, vectorbt, Backtrader, Zipline, and QuantConnect-style strategies.
+- Added fair-metric comparison helpers for equity curves, timing, drawdown, and return statistics.
+
+### Fixed
+- Improved cash handling and signal timing checks for cross-engine benchmark parity.
+
+## 0.4.1 - 2025-12-01
+
+### Added
+- Added order-mode strategy examples for market, limit, stop, stop-limit, trailing stop, bracket, and OCO behavior.
+- Added trade blotter export paths for execution-mode strategies.
+
+### Fixed
+- Tightened same-bar stop/limit execution ordering and volume-participation partial fill behavior.
+
+## 0.4.0 - 2025-10-15
+
+### Added
+- Added deterministic order-mode execution simulation.
+- Added slippage and commission model interfaces.
+- Added initial futures/FX contract specification types for multiplier, lot size, tick size, and margin metadata.
+
+### Changed
+- Split target-weight accounting from order-based accounting so strategies can choose the appropriate simulation mode.
+
+## 0.3.0 - 2025-08-15
+
+### Added
+- Added portfolio analytics for returns, volatility, drawdowns, rolling statistics, attribution, exposure, and turnover.
+- Added dashboard-oriented report artifacts: summary text, JSON metrics, CSV metrics, equity curve CSV, and PNG charts.
+- Added benchmark comparison support for common index and ETF references.
+- Added crisis-window analysis across predefined historical stress periods.
+- Added Monte Carlo block-bootstrap resampling for NAV confidence bands and probability-of-ruin estimates.
+
+### Fixed
+- Improved NAV, cash, position, and weight alignment checks.
+
+## 0.2.2 - 2025-06-20
+
+### Added
+- Added risk-model hooks for inverse volatility, volatility targeting, risk parity, and position limits.
+- Added calendar, drift, signal-change, turnover-gate, and circuit-breaker rebalance policies.
+- Added partial rebalance and tax-aware young-lot avoidance options.
+
+### Changed
+- Moved rebalance behavior into a dedicated engine so strategy logic stays focused on signals and target weights.
+
+## 0.2.1 - 2025-04-20
+
+### Added
+- Added technical indicator configuration for SMA, EMA, RSI, MACD, Bollinger Bands, ATR, and related features.
+- Added reusable strategy examples for daily, weekly, monthly, and quarterly research workflows.
+
+### Fixed
+- Improved strategy data alignment between indicator frames, signal frames, and target-weight frames.
+
+## 0.2.0 - 2025-03-10
+
+### Added
+- Added QuantJourney Cloud API-backed market-data fetch through `/bt/prepare`.
+- Added SDK client integration, API-key auth support, and session/dataset identifiers.
+- Added local pandas containers for instruments, portfolio data, signals, weights, and positions.
+
+### Changed
+- Established the design principle that market data comes from the cloud while strategy computation runs locally.
+
+## 0.1.0 - 2025-02-01
+
+### Added
+- Initial QuantJourney Backtester package.
+- Added the `Backtester` base class with signal, weight, and position hooks.
+- Added local NAV calculation, basic portfolio returns, and strategy summary output.
+- Added the first runnable SMA-style strategy skeleton.

quantjourney_bt-0.10.0/CONTRIBUTING.md

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+# Contributing
+
+Thanks for your interest in the QuantJourney Backtester. Contributions are
+welcome — especially **new example strategies**, bug fixes, and documentation
+improvements.
+
+## How contributions are accepted
+
+**Open a pull request on GitHub.** A maintainer reviews every pull request and
+decides how to integrate it. A change may be merged as-is, adapted first, or
+re-applied through the QuantJourney source of truth and the pull request closed
+as *integrated*. Either way you will get a response, and accepted work is
+credited. Please don't be surprised if your change lands in a slightly different
+form — the maintainer curates how each contribution is included.
+
+Small, focused pull requests are reviewed fastest: one strategy, or one fix, per
+pull request.
+
+## Ways to contribute
+
+- **New example strategies** — the easiest and most valued contribution. A good
+  example is small, self-contained, and teaches one idea clearly.
+- **Bug fixes** — with a short description of the incorrect behavior and, where
+  possible, a test that fails before the fix.
+- **Documentation** — clarifications, typos, better explanations.
+- **Ideas and feedback** — open an issue; not every contribution needs code.
+
+## Step by step
+
+### 1. Fork the repository
+
+On GitHub, click **Fork** (top right) to create your own copy.
+
+### 2. Clone your fork and add the upstream remote
+
+```bash
+git clone https://github.com/<your-username>/quantjourney-bt.git
+cd quantjourney-bt
+git remote add upstream https://github.com/QuantJourneyOrg/quantjourney-bt.git
+```
+
+### 3. Sync your main branch with upstream
+
+```bash
+git checkout main
+git pull upstream main
+```
+
+### 4. Create a feature branch
+
+```bash
+git checkout -b feat/short-description
+```
+
+Use a short, descriptive name, e.g. `feat/example-bollinger-squeeze` or
+`fix/limit-fill-rounding`.
+
+### 5. Set up a development environment
+
+Use the reviewed lockfile (do not install into system/Homebrew Python):
+
+```bash
+uv sync --frozen --extra dev --extra data --extra wf --extra typecheck
+```
+
+### 6. Make your change
+
+For a new strategy, follow the conventions in
+[Adding an example strategy](#adding-an-example-strategy) below.
+
+### 7. Run the checks locally
+
+```bash
+uv run --no-sync pytest -q
+uv run --no-sync ruff check .
+uv run --no-sync ruff format --check .
+uv run --no-sync python tools/check_mypy_baseline.py
+# for a new strategy, confirm it imports cleanly:
+./strategy.sh <your_strategy_name> --check
+```
+
+Everything should pass before you open a pull request.
+Do not update `quality/mypy-baseline.json` merely to make CI green; a
+maintainer must review the complete diagnostic change.
+
+### 8. Commit
+
+```bash
+git add .
+git commit -m "Add Bollinger squeeze example strategy"
+```
+
+Write a clear, present-tense message describing what the change does.
+
+### 9. Push to your fork
+
+```bash
+git push origin feat/short-description
+```
+
+### 10. Open the pull request
+
+Go to your fork on GitHub — it will offer to **Compare & pull request** against
+`QuantJourneyOrg/quantjourney-bt`. Open it, and in the description include:
+
+- what the change does and why,
+- for a strategy: the idea in one or two sentences and the universe used,
+- confirmation that `pytest`, `ruff`, and (for strategies) `--check` pass.
+
+### 11. Respond to review
+
+A maintainer will review and may ask for adjustments or adapt the change during
+integration. Push more commits to the same branch to update the pull request.
+
+## Adding an example strategy
+
+Example strategies follow a simple convention so they stay consistent and
+discoverable:
+
+- **File name:** `example_<mode>_<NN>_<name>.py`, where `<mode>` is `weights`,
+  `orders`, or `wf` (walk-forward / optimization), and `<NN>` is the next number
+  in that series.
+- **License header + docstring:** start with the short license header used by the
+  other files, then a docstring describing Mode, the idea, the universe, and
+  (for order or intraday strategies) the order type / granularity — match the
+  style of the existing files in `strategies/`.
+- **Structure:** subclass `Backtester` and implement `_compute_signals` and
+  `_compute_weights` (weight mode) or `_compute_orders` (order mode).
+- **Keep it runnable:** it should pass `./strategy.sh <name> --check` (an
+  import-only check, no credentials or data call).
+- **Add it to the catalog:** a one-line row in
+  [`strategies/README.md`](strategies/README.md).
+
+Prefer widely available symbols so the example runs against common data, and
+keep the universe small enough to read the resulting report.
+
+## Pull request checklist
+
+- [ ] `pytest -q` passes.
+- [ ] `ruff check .` is clean.
+- [ ] `ruff format --check .` and the reviewed mypy baseline gate pass.
+- [ ] New strategies pass `./strategy.sh <name> --check`.
+- [ ] Docstrings follow the existing style.
+- [ ] No credentials, API keys, tokens, or private paths are included.
+- [ ] The change is focused and described in the pull request.
+
+## Scope and honesty
+
+Example strategies are research templates, not production trading systems. If an
+example simplifies an assumption (borrow cost, financing, liquidity, market
+impact), state it in the docstring so the assumption is documented, not hidden —
+this is the core value of the project.
+
+## Code of conduct
+
+Be respectful and constructive. Assume good faith, keep discussion technical,
+and help newcomers. Behavior that harasses or demeans others is not welcome.
+
+## License
+
+By contributing, you agree that your contributions are licensed under the
+project's [Apache License 2.0](LICENSE).

quantjourney_bt-0.10.0/LICENSE

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quantjourney_bt-0.10.0/MANIFEST.in

@@ -0,0 +1,22 @@
+include README.md
+include LICENSE
+include CONTRIBUTING.md
+include strategy.sh
+recursive-include backtester *.py
+include backtester/py.typed
+recursive-include backtester/plots/theme/configs *.py
+recursive-include strategies *.py
+include strategies/README.md
+recursive-include benchmarks *.md
+recursive-include compare *.md
+recursive-include docs *.md *.mdx
+recursive-include skills *.md
+include CHANGELOG.md
+prune tests
+prune tools
+prune release
+prune quality
+prune .githooks
+prune .github
+exclude uv.lock
+exclude RELEASE_BLOCKED