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 -
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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feat: comprehensive test suite fixes and improvements
Edwin Salguero63f74a3
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Initial commit: Enhanced Algorithmic Trading System with Synthetic Data Generation, Comprehensive Logging, and Extensive Testing
Edwin Salguero- Added synthetic data generator with realistic market data simulation - Implemented comprehensive logging system with rotating log files - Created extensive test suite with unit and integration tests - Enhanced strategy agent with technical indicators (SMA, RSI, Bollinger Bands, MACD) - Improved execution agent with realistic order simulation - Added backtesting and live trading capabilities - Updated configuration system with synthetic data and logging settings - Created comprehensive documentation and demo script859af74