)rj dZddlmZddlZddlZddlZddlZejjejje Z ejje Zejjdeejj!e dZejj!e dZd dZd dZd dZddd Zed k(reyy)uFixed data prep + evaluation for the autoresearch loop. FROZEN — the research agent never edits this file (see program.md). Run once to build the price cache: .venv/bin/python autoresearch/prepare.py ) annotationsNz close.csvz volume.csvc Bddl}ddlm}|}|j|dd}|dj dt t |dz }|d |j}|jjt|jttd |jdd |jdd |jdjd|jdj|jddkr tdyy)Nr) get_sp5005yT)period auto_adjustCloseg?)axisthreshVolumez close panel: z rows x z tickers, z..du@WARNING: small universe — offline fallback or throttled fetch?)yfinancescreener.universerdownloaddropnaintlencolumnsffillto_csv CLOSE_CSV VOLUME_CSVprintshapeindexdate)yfrtickersdfclosevolumes 2/var/www/html/finance-tool/autoresearch/prepare.pyfetchr%s+kG WTt >) $ XY t ,B ;;y 'B 'Z)F2)F FFr&cttjd|jz|j z S)N )floatnpsqrtmeanstd) monthly_retss r$sharper<.s1 |0022\5E5E5GG HHr&c t\}}|j}|jj|j dDcgc]\}}|j d}}}g} t ||ddD]\}} |j|dkr||jd||jd|jj|j} | jt|j| | f|j|| fz dz jtj| } | j d| | j | d} } t!t#| dt#| dt#| dt!d t%| d t!d t%| d d t%|  Scc}}w) zMonthly-rebalanced equal-weight top-N backtest. Returns -Sharpe(in-sample). scores_fn(close, volume) receives panels truncated to the rebalance date (the last row IS the as-of date), so lookahead is structurally impossible. Mrr Niz monthly returns: z in-sample, z holdoutzin-sample Sharpe: z.4fzholdout Sharpe: u6 (reported for honesty — never optimize against it))r3r to_seriesgroupby to_periodiloczipget_loclocrnlargestappendr6r9r0Seriesrrr<) scores_fntop_nholdout_monthsr"r#idx_d month_endsretsd_nextpicksinsholds r$evaluaterU2s FME6 ++C),)@)@sAS)TUA!&&*UJU DZ^4X 6 ;;q>C  %))BQ-BQ8??AJJ5QWW E599VU]3eii56IIAMSSUVW X 99T?D *N?+TYY7G-HC SYK)#c(<D {( ST vc{3/ 01 vd|C00f gh 3K<Vs G __main__)returnNone)rWz!tuple[pd.DataFrame, pd.DataFrame])r;z pd.SeriesrWr6)r5)rJrrKrrWr6)__doc__ __future__rr*r-numpyr7pandasr0r+dirnameabspath__file__HEREROOTinsertjoinrrr%r3r<rU__name__r&r$rgs #  wwrwwx01 wwt4 GGLL{ + WW\\$ - R"GI2 z Gr&