 sam
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66d7e4329e
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Merge branch 'next' into mkt-fndm
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2024-11-20 23:30:11 -08:00 |
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sam
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3869ced1ff
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update prices
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2024-11-20 23:30:02 -08:00 |
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sam
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7223144b13
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Use S2F metrics for trend analysis.
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2024-11-19 08:45:40 -08:00 |
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sam
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f77cc955db
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Improve CI coverage.
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2024-11-19 08:12:42 -08:00 |
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sam
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96fdf5a88e
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Use market fundamentals intsead of empirical era adjustments.
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2024-11-19 07:59:13 -08:00 |
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sam
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d2ac5749dc
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Manage output files in less-janky fashion.
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2024-11-17 17:14:44 -08:00 |
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sam
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7211ed1723
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Update prices.csv
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2024-11-17 16:01:28 -08:00 |
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sam
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84464151be
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warn when val period shorter than projection period
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2024-11-17 15:59:33 -08:00 |
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sam
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ca69495071
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it's an error not to provide halving dates
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2024-11-17 15:53:14 -08:00 |
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sam
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41c62e1af2
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Use more conservative 1e-6 to prevent division by zero.
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2024-11-17 15:52:35 -08:00 |
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sam
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3158d7479d
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Actually use long-term vol in adaptive calculation.
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2024-11-16 21:56:39 -08:00 |
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sam
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50f3f76830
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Update prices.csv.
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2024-11-16 21:47:55 -08:00 |
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sam
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56f669ac0f
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Fix projection plot bugs.
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2024-11-16 21:46:31 -08:00 |
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sam
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06f5620cb3
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New, streamlined NOTES.
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2024-11-16 21:37:24 -08:00 |
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sam
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5679d99ece
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Add adaptive volatility window.
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2024-11-16 21:33:38 -08:00 |
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sam
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3d6397da21
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Add Claude's notes from the last revision.
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2024-11-16 21:08:31 -08:00 |
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sam
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f023f7e999
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Improve uncertainty estimation.
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2024-11-16 20:23:59 -08:00 |
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sam
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453df222d6
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Tweak the backtests.
* Start from 2011 instead of 2013.
* Validate over two years instead of one.
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2024-11-16 20:00:58 -08:00 |
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sam
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47b2ce1476
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Use ruff linter.
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2024-11-16 14:07:24 -08:00 |
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sam
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db45b14882
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Add notes on new backtesting framework.
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2024-11-16 03:38:24 -08:00 |
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sam
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bbd7d493b7
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New systematic backtest framework.
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2024-11-16 03:20:21 -08:00 |
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sam
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f5bed410ae
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More helpful additions to workflow.
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2024-11-15 22:48:17 -08:00 |
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sam
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1e8c6ba75e
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Add Claude's notes from recent session.
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2024-11-15 22:48:03 -08:00 |
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sam
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e484331196
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Tuning session; removed market maturity.
The market maturity score only complicated the model with no clear
benefit. Still working on getting the various backtests tuned.
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2024-11-15 18:07:33 -08:00 |
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sam
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b9cf04aed7
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Run more projections from various start dates.
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2024-11-15 16:48:33 -08:00 |
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sam
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2b7abecdcb
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Add justfile to simplify organizing results for comparison.
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2024-11-15 16:36:52 -08:00 |
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sam
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502b47842e
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Add updated notes from Claude.
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2024-11-15 15:16:31 -08:00 |
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sam
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368878a482
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Add era-aware market maturity adjustments.
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2024-11-15 15:12:36 -08:00 |
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sam
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294c665106
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Merge branch 'new-backtests' into market-maturity-backtests
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2024-11-15 14:08:22 -08:00 |
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sam
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4975e1647d
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Fix create_plots() output.
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2024-11-15 14:08:16 -08:00 |
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sam
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8f94c60034
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New backtest suite proposed by Claude.
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2024-11-15 13:57:36 -08:00 |
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sam
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b024a38040
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Improve volume handling in market maturity calculations.
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2024-11-15 13:48:14 -08:00 |
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sam
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b018296a51
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Add market maturity projection adjustments.
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2024-11-15 13:37:14 -08:00 |
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sam
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5b80eac207
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Run projections and backtests in parallel.
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2024-11-15 10:22:12 -08:00 |
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sam
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16ce8823f3
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Add Claude's notes on current model.
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2024-11-15 02:09:11 -08:00 |
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sam
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f9b8af828a
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Implement trend smoothing.
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2024-11-15 01:59:19 -08:00 |
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sam
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36eda3eb3e
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Add improved vol calculation.
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2024-11-15 01:22:16 -08:00 |
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sam
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588c4a8fa4
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Switch to simpler log-based projection.
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2024-11-14 22:29:34 -08:00 |
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sam
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3e96a320b9
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Implement some basic backtesting.
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2024-11-14 20:43:25 -08:00 |
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sam
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5fa358e6ae
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Clean up the code.
- Re-order functions.
- Remove older projection methods.
- Format with black.
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2024-11-14 20:05:27 -08:00 |
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sam
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5e1908f4c9
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Fix date of fifth halving.
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2024-11-14 17:06:09 -08:00 |
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sam
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ed9426afd5
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Update example projection with more time points.
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2024-11-14 17:03:00 -08:00 |
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sam
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1a419f439f
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Add more time points to last plot.
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2024-11-14 17:02:35 -08:00 |
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sam
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6f070303e5
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Give credit where it's due.
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2024-11-14 16:54:42 -08:00 |
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sam
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e964c97eac
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Initial commit.
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2024-11-14 16:53:12 -08:00 |
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