Commit History
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Add multi-asset portfolio support with a cross-sectional null
ClaudeUnverified signatureSingle-asset backtesting caps this at hobbyist use: anyone doing real cross-sectional work (rank N names, long the top decile, short the bottom) could not express their strategy at all. This adds the portfolio path. Panel (algotrader/panel.py): aligned T x N field frames with per-symbol provenance. Missing data deliberately stays missing — forward-filling a symbol through days it did not trade invents liquidity and lets a strategy hold a delisted name forever. That choice is what makes survivorship measurable, and Panel.survivorship() reports it: a universe where every name still trades after a decade was chosen after the fact, and the Reality Score now caps at 60 when it finds one. Matrix engine (algotrader/portfolio.py): T x N weights with drift-aware turnover. Hold 50% of a book in a name that doubles and you are at 67% without trading, so charging |target[t] - target[t-1]| understates the cost of doing nothing. Turnover is measured against the drifted weight instead. A rebalance …2d2e42a -
Add algotrader 2.0: a backtester that tries to prove itself wrong
ClaudeUnverified signatureMost backtesting tools answer "how much would this have made?". This adds a second, harder question: how much of that was luck? New `algotrader` package (additive — v1's agentic_ai_system, its tests, CI and Docker setup are untouched): - engine.py: vectorised backtester with an explicit no-look-ahead contract. A strategy emits a target exposure at bar t's close; the engine holds position[t] = target[t - lag] with lag >= 1, so a signal computed on a bar cannot earn that bar's move. Costs are charged on exposure changes, plus a borrow fee on shorts. - validation/: the point of the release. - permutation.py — Monte-Carlo permutation test. Shuffles bar order while preserving each bar's anatomy, then re-runs the same rule on hundreds of structure-free markets. Block-bootstrap mode preserves vol clustering. - deflated_sharpe.py — Bailey & Lopez de Prado's PSR/DSR, charging for every parameter variant tried and for skew and fat tails. - pbo.py — probability of back…3339913 -
feat: add Yahoo ingest on the FinRL tree and stop extra branch creation
Edwin Salguero +1: CursorKeep csv/alpaca/synthetic/FinRL paths unchanged. Add yfinance>=1.0 as an optional data_source, rewrite the README, and remove Dependabot plus the weekly dependency-updates workflow so only main and dev remain. Co-authored-by: Cursor <cursoragent@cursor.com>8a5d4f8
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chore: merge dependabot/github_actions/docker/setup-buildx-action-3
Edwin Salguero930bdf5 -
chore: merge dependabot/github_actions/docker/metadata-action-5
Edwin Salguero5b62c62 -
chore: merge dependabot/github_actions/docker/build-push-action-6
Edwin Salguero13f37fa -
chore: merge dependabot/github_actions/codecov/codecov-action-5
Edwin Salguerob1217c1
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github-actions(deps): bump docker/build-push-action from 4 to 6
dependabot[bot]Unverified signatureBumps [docker/build-push-action](https://github.com/docker/build-push-action) from 4 to 6. - [Release notes](https://github.com/docker/build-push-action/releases) - [Commits](https://github.com/docker/build-push-action/compare/v4...v6) --- updated-dependencies: - dependency-name: docker/build-push-action dependency-version: '6' dependency-type: direct:production update-type: version-update:semver-major ... Signed-off-by: dependabot[bot] <support@github.com>dc2ef1c -
github-actions(deps): bump actions/setup-python from 4 to 5
dependabot[bot]Unverified signatureBumps [actions/setup-python](https://github.com/actions/setup-python) from 4 to 5. - [Release notes](https://github.com/actions/setup-python/releases) - [Commits](https://github.com/actions/setup-python/compare/v4...v5) --- updated-dependencies: - dependency-name: actions/setup-python dependency-version: '5' dependency-type: direct:production update-type: version-update:semver-major ... Signed-off-by: dependabot[bot] <support@github.com>f73cfab -
github-actions(deps): bump docker/metadata-action from 4 to 5
dependabot[bot]Unverified signatureBumps [docker/metadata-action](https://github.com/docker/metadata-action) from 4 to 5. - [Release notes](https://github.com/docker/metadata-action/releases) - [Commits](https://github.com/docker/metadata-action/compare/v4...v5) --- updated-dependencies: - dependency-name: docker/metadata-action dependency-version: '5' dependency-type: direct:production update-type: version-update:semver-major ... Signed-off-by: dependabot[bot] <support@github.com>c8729f8 -
github-actions(deps): bump docker/setup-buildx-action from 2 to 3
dependabot[bot]Unverified signatureBumps [docker/setup-buildx-action](https://github.com/docker/setup-buildx-action) from 2 to 3. - [Release notes](https://github.com/docker/setup-buildx-action/releases) - [Commits](https://github.com/docker/setup-buildx-action/compare/v2...v3) --- updated-dependencies: - dependency-name: docker/setup-buildx-action dependency-version: '3' dependency-type: direct:production update-type: version-update:semver-major ... Signed-off-by: dependabot[bot] <support@github.com>7d12a9a -
github-actions(deps): bump codecov/codecov-action from 3 to 5
dependabot[bot]Unverified signatureBumps [codecov/codecov-action](https://github.com/codecov/codecov-action) from 3 to 5. - [Release notes](https://github.com/codecov/codecov-action/releases) - [Changelog](https://github.com/codecov/codecov-action/blob/main/CHANGELOG.md) - [Commits](https://github.com/codecov/codecov-action/compare/v3...v5) --- updated-dependencies: - dependency-name: codecov/codecov-action dependency-version: '5' dependency-type: direct:production update-type: version-update:semver-major ... Signed-off-by: dependabot[bot] <support@github.com>a3e4c7d
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Merge pull request #1 from EAName/dependabot/github_actions/github/codeql-action-3
Edwin SalgueroUnverified signaturegithub-actions(deps): bump github/codeql-action from 2 to 31315d62 -
Merge pull request #3 from EAName/dependabot/github_actions/actions/upload-artifact-4
Edwin SalgueroUnverified signaturegithub-actions(deps): bump actions/upload-artifact from 3 to 4dff59d0 -
Merge pull request #4 from EAName/dependabot/github_actions/peaceiris/actions-gh-pages-4
Edwin SalgueroUnverified signaturegithub-actions(deps): bump peaceiris/actions-gh-pages from 3 to 4473ab5f -
Merge pull request #5 from EAName/dependabot/github_actions/peter-evans/create-pull-request-7
Edwin SalgueroUnverified signaturegithub-actions(deps): bump peter-evans/create-pull-request from 4 to 79b88fe8 -
Merge pull request #2 from EAName/dependabot/github_actions/docker/login-action-3
Edwin SalgueroUnverified signaturegithub-actions(deps): bump docker/login-action from 2 to 35040792 -
feat: Add comprehensive branch protection and release management
Edwin Salguero- Add detailed branch protection rules for algorithmic trading - Create CODEOWNERS file for code ownership and review requirements - Add automated branch protection setup workflow - Create comprehensive release checklist template - Include trading-specific validation and risk management rules - Add emergency procedures and rollback plans - Support semantic versioning and release automation - Include quality gates and performance monitoringa13907f -
github-actions(deps): bump peter-evans/create-pull-request from 4 to 7
dependabot[bot]Unverified signatureBumps [peter-evans/create-pull-request](https://github.com/peter-evans/create-pull-request) from 4 to 7. - [Release notes](https://github.com/peter-evans/create-pull-request/releases) - [Commits](https://github.com/peter-evans/create-pull-request/compare/v4...v7) --- updated-dependencies: - dependency-name: peter-evans/create-pull-request dependency-version: '7' dependency-type: direct:production update-type: version-update:semver-major ... Signed-off-by: dependabot[bot] <support@github.com>6d871fd -
github-actions(deps): bump peaceiris/actions-gh-pages from 3 to 4
dependabot[bot]Unverified signatureBumps [peaceiris/actions-gh-pages](https://github.com/peaceiris/actions-gh-pages) from 3 to 4. - [Release notes](https://github.com/peaceiris/actions-gh-pages/releases) - [Changelog](https://github.com/peaceiris/actions-gh-pages/blob/main/CHANGELOG.md) - [Commits](https://github.com/peaceiris/actions-gh-pages/compare/v3...v4) --- updated-dependencies: - dependency-name: peaceiris/actions-gh-pages dependency-version: '4' dependency-type: direct:production update-type: version-update:semver-major ... Signed-off-by: dependabot[bot] <support@github.com>4ef913e -
github-actions(deps): bump actions/upload-artifact from 3 to 4
dependabot[bot]Unverified signatureBumps [actions/upload-artifact](https://github.com/actions/upload-artifact) from 3 to 4. - [Release notes](https://github.com/actions/upload-artifact/releases) - [Commits](https://github.com/actions/upload-artifact/compare/v3...v4) --- updated-dependencies: - dependency-name: actions/upload-artifact dependency-version: '4' dependency-type: direct:production update-type: version-update:semver-major ... Signed-off-by: dependabot[bot] <support@github.com>7af573a -
github-actions(deps): bump docker/login-action from 2 to 3
dependabot[bot]Unverified signatureBumps [docker/login-action](https://github.com/docker/login-action) from 2 to 3. - [Release notes](https://github.com/docker/login-action/releases) - [Commits](https://github.com/docker/login-action/compare/v2...v3) --- updated-dependencies: - dependency-name: docker/login-action dependency-version: '3' dependency-type: direct:production update-type: version-update:semver-major ... Signed-off-by: dependabot[bot] <support@github.com>291337b -
github-actions(deps): bump github/codeql-action from 2 to 3
dependabot[bot]Unverified signatureBumps [github/codeql-action](https://github.com/github/codeql-action) from 2 to 3. - [Release notes](https://github.com/github/codeql-action/releases) - [Changelog](https://github.com/github/codeql-action/blob/main/CHANGELOG.md) - [Commits](https://github.com/github/codeql-action/compare/v2...v3) --- updated-dependencies: - dependency-name: github/codeql-action dependency-version: '3' dependency-type: direct:production update-type: version-update:semver-major ... Signed-off-by: dependabot[bot] <support@github.com>2227352 -
feat: Add comprehensive CI/CD pipeline
Edwin Salguero- Add main CI/CD workflow with quality assurance, testing, and deployment - Add release management workflow for automated versioning - Add dependency update workflow for security patches - Add strategy backtesting workflow for trading validation - Add Dependabot configuration for automated dependency management - Add comprehensive CI/CD setup documentation - Include trading-specific validations and compliance checks - Support multi-environment deployment and monitoringce55621