| 文件 | 最后提交记录 | 最后更新时间 |
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Fix sample data and add comprehensive strategy examples (#77) * Fix sample data and scripts to produce valid results - Replace minimal sample_spx_data.csv with proper data spanning multiple quote dates (Oct 1, 8, 16) including expiration day (DTE=0) - Fix filepath in all sample scripts to reference correct filename - Sample data now includes both calls and puts at 5 strike prices Previously, sample scripts either failed with FileNotFoundError (wrong filename) or returned empty DataFrames (no DTE=0 quotes for exit matching). Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com> * Add sample scripts for all strategy types New sample scripts demonstrating: - spx_spreads_example.py: vertical spreads (bull/bear call/put spreads) - spx_butterflies_example.py: call and put butterflies - spx_iron_condors_example.py: iron condors and iron butterflies - spx_covered_example.py: covered call and protective put - spx_calendar_example.py: calendar spreads - spx_diagonal_example.py: diagonal spreads Also expanded sample_spx_data.csv to include: - Multiple expirations (Oct 16, Nov 20, Dec 18) - Multiple quote dates (Oct 1, 8, 13, 16, Nov 8) - 91 rows of option chain data with Greeks This provides comprehensive examples for all 30 strategy functions. Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com> * Fix incorrect expiration dates in sample data The Oct 8 quotes incorrectly had expiration = 10/08/2015 (same as quote date) instead of 10/16/2015. This violated the rule that expiration must be after quote date. Data now passes validation: - Put-call parity holds within ~$1 (reasonable for bid-ask spreads) - Time value decay is realistic (extrinsic decreases as DTE decreases) - Delta sums to ~1.0 for call+|put| at same strike Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com> --------- Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> | 8 个月前 | |
Replace 12 repetitive sample files with 5 progressive examples Remove spx_*_example.py files that all followed the same pattern (load CSV, run one strategy, print table). Replace with focused examples covering the full feature set: - basic_strategy.py: CSV loading, aggregated stats, TargetRange, raw trades - signal_composition.py: signal combinators, sustained, IV rank, custom signals - simulation_with_risk.py: simulate() with commission, slippage, early exits - portfolio_backtest.py: simulate_portfolio() with weighted multi-strategy legs - strategy_comparison.py: side-by-side strategy evaluation table Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com> | 7 个月前 | |
Replace 12 repetitive sample files with 5 progressive examples Remove spx_*_example.py files that all followed the same pattern (load CSV, run one strategy, print table). Replace with focused examples covering the full feature set: - basic_strategy.py: CSV loading, aggregated stats, TargetRange, raw trades - signal_composition.py: signal combinators, sustained, IV rank, custom signals - simulation_with_risk.py: simulate() with commission, slippage, early exits - portfolio_backtest.py: simulate_portfolio() with weighted multi-strategy legs - strategy_comparison.py: side-by-side strategy evaluation table Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com> | 7 个月前 | |
Add DataFrame entry points and replace apply_signal with signal_dates (#232) Co-authored-by: Claude Opus 4.6 <noreply@anthropic.com> | 7 个月前 | |
Replace 12 repetitive sample files with 5 progressive examples Remove spx_*_example.py files that all followed the same pattern (load CSV, run one strategy, print table). Replace with focused examples covering the full feature set: - basic_strategy.py: CSV loading, aggregated stats, TargetRange, raw trades - signal_composition.py: signal combinators, sustained, IV rank, custom signals - simulation_with_risk.py: simulate() with commission, slippage, early exits - portfolio_backtest.py: simulate_portfolio() with weighted multi-strategy legs - strategy_comparison.py: side-by-side strategy evaluation table Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com> | 7 个月前 | |
Replace 12 repetitive sample files with 5 progressive examples Remove spx_*_example.py files that all followed the same pattern (load CSV, run one strategy, print table). Replace with focused examples covering the full feature set: - basic_strategy.py: CSV loading, aggregated stats, TargetRange, raw trades - signal_composition.py: signal combinators, sustained, IV rank, custom signals - simulation_with_risk.py: simulate() with commission, slippage, early exits - portfolio_backtest.py: simulate_portfolio() with weighted multi-strategy legs - strategy_comparison.py: side-by-side strategy evaluation table Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com> | 7 个月前 |
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