Reglas de auditoría y pruebas de paridad entre motores de backtesting
Código Machine Learning for Trading
Resumen
Este registro de auditoría define cómo comparar varios marcos de backtesting con ML4T en estudios de caso de estrategias reales y una carga de trabajo sintética de estrés. Especifica las reglas de comparación para el orden de ejecución, las marcas temporales, los valores monetarios de la cuenta, las cantidades y otros campos numéricos. También registra las ediciones de los marcos, los identificadores inmutables, el estado de compatibilidad, las políticas de rendimiento y las referencias a pruebas de precisión, tiempo y escala. La medición del tiempo se limita a la llamada al motor; excluye la carga de datos de entrada, la inferencia, la preparación, la extracción y la elaboración de informes.
Los registros muestran por qué las afirmaciones de paridad deben limitarse a cada modelo de activos y a cada implementación. Por ejemplo, VectorBT OSS figura como incompatible con la carga de trabajo de futuros de CME porque carece de multiplicadores de contratos nativos y de contabilidad de margen; ambas ediciones de VectorBT son incompatibles con la financiación y la contabilidad de margen de perpetuos cripto. Los tiempos de la auditoría se basan en procesos aislados y pares que superaron las comprobaciones de precisión, así que no establecen un rendimiento universal en distintos conjuntos de datos o máquinas. Este archivo documenta pruebas y políticas, no enseña una señal de trading ni una estrategia de asignación.
Ideas clave
- La paridad de backtests depende de reglas explícitas sobre el orden de ejecución, las marcas temporales y las tolerancias numéricas.
- Las pruebas de tiempo abarcan las llamadas al motor y excluyen tanto la preparación de datos y adaptadores como el procesamiento de resultados.
- La compatibilidad de un marco debe evaluarse según los requisitos contables del activo.
- La auditoría limita las comparaciones de tiempo publicadas a pares de marcos y estudios de caso que superan las comprobaciones de precisión.
- Los resultados de las cargas de trabajo registradas no establecen una clasificación universal de velocidad.
Etiquetas
Texto completo
# framework_parity_audit.json
```json
{
"audit_generated_at": "2026-09-03T11:44:14.344493+00:00",
"comparison_policy": {
"account_money_fields": [
"cash",
"commission",
"equity",
"final_value"
],
"account_money_quantum": "0.01",
"fill_order": "canonical timestamp, asset, side, quantity, price, commission",
"meaning": "account-money gaps round to zero cents; quantity gaps round to zero at 1e-5 shares or contracts; all other numeric gaps round to zero at 1e-8",
"quantity_quantum": "0.00001",
"record_numeric_quantum": "0.00000001",
"rounding": "ROUND_HALF_EVEN",
"timestamp_domain": {
"cme_futures": "session date",
"crypto_perps_funding": "exact UTC event timestamp",
"etfs": "session date",
"fx_pairs": "session date",
"us_equities_panel": "session date"
}
},
"engine_commit": "7034236519cc0a99df6ef34a21d07ec2a81fc87c",
"engine_source_sha256": "8011ecdaf90807b4fe4fb5ada518a237311774b32891179bf1fad0a0baad8a58",
"evidence": {
"correctness": "https://github.com/ml4t/backtest/blob/0c3de46b1881ce6cb9fd72b672a1dba38ebc383b/validation/REAL_STRATEGY_RESULTS.json",
"performance": "https://github.com/ml4t/backtest/blob/0c3de46b1881ce6cb9fd72b672a1dba38ebc383b/validation/REAL_STRATEGY_PERFORMANCE.json",
"source_artifacts": [
{
"path": "validation/REAL_STRATEGY_RESULTS.json",
"sha256": "d7c6460fcb5ebf9ecf74c31d06e227996c66f488de46a5beaa2145104209916b"
},
{
"path": "validation/REAL_STRATEGY_PERFORMANCE.json",
"sha256": "7276dfba4356c4ce2e6e45c256e4431a4e01cd47ca5710e9d341893286929c40"
},
{
"path": "validation/LARGE_SCALE_RESULTS.json",
"sha256": "fb3a06a7c485bfb131dfef286ff743af18fa4ba673f5f1075245d7a9123cb3f5"
}
],
"synthetic_stress": "https://github.com/ml4t/backtest/blob/0c3de46b1881ce6cb9fd72b672a1dba38ebc383b/validation/LARGE_SCALE_RESULTS.json"
},
"frameworks": {
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"license": "GPL-3.0-or-later",
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},
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},
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},
"zipline": {
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],
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}
```Se muestra íntegramente con atribución según la licencia de la fuente. Licencia: MIT
Este resumen lo redactó el agente de investigación de Stratmill a partir del original; no es una copia de la fuente.