- Reproduce historical results: ca933e4 code achieves 43.20% annual return
- Attribution analysis: crash filter simplification (+4pp) + data extension (+2pp)
- Start year traversal: 2020-2025, all years show 34-57% annual return
- Compare ca933e4 vs HEAD (cabfee2) across different start years
- Add test_start_year_analysis.py for reproducibility
- Add html_report.py module for Playwright-based screenshot generation
- Add generate_html_report() method to SimpleRotationStrategy
- Modify backtest_viewer.html to use window-scoped variables for external injection
- Inject monthly/yearly returns table into screenshot
- Auto-generate HTML report in __main__ after export_results()
Output: simple_rotation_html_report.png with ranking table + monthly returns
- Asset contribution attribution (CL=F 59.1%, N225 -11.8%)
- IC analysis across lookback periods (only CL=F and ChiNext have robust positive IC)
- Hurst exponent analysis and asset classification
- Multi-factor direction recommendations
First stage summary documenting core strategy logic, key design
decisions, and select_num/weight backtest comparison results.
Stored in dedicated docs/strategy_summaries/ directory with
date + commit hash naming for reproducibility.
Previously, position weights were recalculated every day in _generate_signals,
causing weights to change even when holdings didn't change (only ranking order
shifted). This was incorrect - weights should be locked at rebalance and remain
stable until the next rebalance.
Changes:
- _generate_signals now computes _pending_weights (for signal generation only)
- run() maintains active_weights, updated only on is_rebalance or first day
- _calculate_daily_return uses the locked active_weights
- daily_records stores active_weights in position_weights field
Result: 391 → 318 rebalances, 25.63% → 26.38% CAGR
- Record position_weights in daily_records during backtest run
- Export weight field per held asset in detail JSON
- Display weight percentage in backtest_viewer holdings cards
- Force-add backtest_viewer.html (previously ignored by *.html rule)
- Extract compute_position_weights() as pluggable pure function
- Add WeightType enum (equal/rank) and RotationConfig.weight field
- Fix bond threshold dimension mismatch: use configured factor function
for all assets instead of hardcoded weighted_momentum_score
- Default weight: equal in config, active: rank in config_simple.yaml
Remove slope_snr, slope_snr_r2, james_stein score functions and r2_alpha parameter.
slope_r2_score reverts to simple slope*R² with no alpha parameter.
Minor docstring fix: R^2 → R².
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