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merge: feature/v3-session-policy-stream into main #399

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jihoson merged 168 commits from feature/main-merge-v3-session-policy-stream-20260303 into main 2026-03-04 00:47:20 +09:00
Conversation 1 Commits 168 Files Changed 116 +1 -9
1 changed files with 1 additions and 9 deletions
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10
src/analysis/backtest_pipeline.py
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@@ -94,14 +94,6 @@ def run_v2_backtest_pipeline(
else sorted({bar.session_id for bar in bars}) else sorted({bar.session_id for bar in bars})
) )
validate_backtest_cost_model(model=cost_model, required_sessions=resolved_sessions) validate_backtest_cost_model(model=cost_model, required_sessions=resolved_sessions)
execution_model = BacktestExecutionModel(
ExecutionAssumptions(
slippage_bps_by_session=cost_model.slippage_bps_by_session or {},
failure_rate_by_session=cost_model.failure_rate_by_session or {},
partial_fill_rate_by_session=cost_model.partial_fill_rate_by_session or {},
seed=0,
)
)
highs = [float(bar.high) for bar in bars] highs = [float(bar.high) for bar in bars]
lows = [float(bar.low) for bar in bars] lows = [float(bar.low) for bar in bars]
@@ -156,7 +148,7 @@ def run_v2_backtest_pipeline(
execution_model = _build_execution_model(cost_model=cost_model, fold_seed=fold_idx) execution_model = _build_execution_model(cost_model=cost_model, fold_seed=fold_idx)
execution_return_model = _build_execution_model( execution_return_model = _build_execution_model(
cost_model=cost_model, cost_model=cost_model,
fold_seed=fold_idx, fold_seed=fold_idx + 1000,
) )
b0_pred = _baseline_b0_pred(train_labels) b0_pred = _baseline_b0_pred(train_labels)
m1_pred = _m1_pred(train_labels) m1_pred = _m1_pred(train_labels)