CME 선물 신호 동일 비중 롱숏 백테스트

# 13_backtest.py


```py
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# %% [markdown]
# # CME Futures: Equal-Weight Signal Backtests
#
# This notebook sends every complete model configuration and checkpoint through the same signal
# baseline. At each weekly decision, the signal ranks products by the selected prediction row and
# holds equal-weight long and short groups for each configured concentration. This is
# `stage='signal'`; equal weight is not an allocation method in the next stage.
#
# Reader-facing prices and decisions use `product`. The shared boundary records the front-contract
# position, raw-to-adjusted roll identity, cumulative-ratio transitions, expiry reference, contract
# specifications, prediction lineage, and state-transition policy before converting `product` to
# the existing engine's internal `symbol` key.

# %% [markdown]
# ## What this stage is for, and what it deliberately does not do
#
# A model that predicts returns well is not yet a strategy, and the gap between the two is where
# most of the disappointment in quantitative investing lives. A prediction is a number attached to
# a product and a date. Turning it into a position requires deciding how many products to hold,
# how much of each, when to change, and what that changing costs - and each of those decisions can
# destroy a real edge or manufacture a fake one.
#
# This stage answers only the first of those questions, and answers it in the plainest way
# available. At each weekly decision the products are ranked by their predicted return, the top
# `k` are held long, the bottom `k` short, and every position in a leg is the same size. Nothing
# is optimized. There is no covariance matrix, no risk target, no position limit, no cost model.
#
# The plainness is the point. This is the **baseline** every later stage is measured against, so
# it has to be a construction whose behaviour comes from the predictions and from nothing else.
# When the portfolio-construction stage reports a higher Sharpe, the question a reader should be
# able to ask is "higher than what?" - and the answer has to be a number that no modelling choice
# of ours is hiding inside.
#
# Two consequences follow, and both are easy to misread later:
#
# - **Equal weight here is not an allocation method.** It is the absence of one. The next stage's
#   allocation methods are compared against this, and one of them being equal-weight-like is a
#   result about that stage rather than a repetition of this one.
# - **These Sharpe ratios are not the case study's results.** They are the reference the results
#   are quoted against. Reporting one of them as the strategy's performance would be quoting the
#   control arm as the finding.

# %%
"""Run the complete CME futures equal-weight validation baseline."""

import polars as pl

from case_studies.cme_futures.research_workflow import (
    ALL_LABELS,
    MODEL_POPULATION_NAMES,
    create_label_candidate_sets,
    load_futures_price_path,
    official_prediction_catalog,
    open_study,
    preview_prediction_candidates,
    run_official_backtest_requests,
    strategy_request_frame,
)
from case_studies.research.population import supersedes_for_run
from case_studies.utils.sweep_config import get_top_k_values_for

# %% tags=["parameters"]
EXECUTION_TIER = "canonical"
WORKSPACE: str | None = None
PREVIEW_LABELS: list[str] = []
PREVIEW_MAX_PREDICTIONS = 0

# The baseline population is immutable under its name, so a run whose members have moved has to
# say which generation it retires. Anything upstream that changes a backtest identity moves them:
# a corrected label, a changed accounting field, or a re-run after a registry reset all produce a
# different member list under the same name, and `OfficialPopulation.create` refuses to write it
# without being told what it replaces. Declared here as a literal so that running the committed
# notebook as it stands recomputes the population on record. Empty for a first snapshot.
BASELINE_POPULATION = "cme_futures-signal-validation-v1"
SUPERSEDES_BASELINE_POPULATION: str = ""

# The per-label candidate sets this notebook freezes are immutable under their names too, and
# for the same reason as the population above: `CandidateSet.create` refuses a changed member
# list under a name that already exists. Nothing reached that argument before, so any run whose
# membership moved - which a wider sweep does by construction - stopped at the freeze after the
# fit, with no parameter able to answer it.
#
# Each name maps to the generation this run retires. `"live"` names the lineage and looks the
# generation up, which is the form that does not decay: naming the head instead is correct only
# until the next publish, because `create` accepts the head and nothing else. The declaration is
# resolved through `candidate_set_supersedes` rather than offered straight, so a reader's clean
# clone - which has no generation to replace, and often no `candidate_sets` table at all -
# publishes generation one instead of being refused. An unchanged re-run never reads it: a set's
# hash is computed from its members and its contract, so the existing name binding answers.
SUPERSEDES_CANDIDATE_SETS: dict[str, str] = {
    "cme_futures-signal-fwd_ret_5d-v1": "live",
    "cme_futures-signal-fwd_ret_21d-v1": "live",
}

# %% [markdown]
# ## Futures data used by the strategy
#
# The model predicts a continuous front-contract return. `raw_close` is the traded contract level;
# `adj_close` is the multiplicatively back-adjusted level used for continuous returns. A change in
# `cum_ratio` identifies a roll transition. The backtest consumes adjusted OHLC while retaining this
# audit table and the product expiry rules in its identity.

# %%
study = open_study(execution_tier=EXECUTION_TIER, workspace=WORKSPACE)
if EXECUTION_TIER == "canonical":
    if PREVIEW_LABELS or PREVIEW_MAX_PREDICTIONS:
        raise ValueError("canonical execution cannot declare preview reductions")
    labels = ALL_LABELS
elif EXECUTION_TIER == "preview":
    if WORKSPACE is None or not PREVIEW_LABELS or PREVIEW_MAX_PREDICTIONS < 1:
        raise ValueError(
            "preview execution requires WORKSPACE, PREVIEW_LABELS and PREVIEW_MAX_PREDICTIONS"
        )
    unknown = sorted(set(PREVIEW_LABELS) - set(ALL_LABELS))
    if unknown:
        raise ValueError(f"preview labels this case study does not declare: {unknown}")
    labels = tuple(PREVIEW_LABELS)
else:
    raise ValueError(f"unsupported execution tier: {EXECUTION_TIER!r}")
price_paths = {label: load_futures_price_path(label) for label in labels}
market_rows = []
for label, path in price_paths.items():
    roll_counts = path.roll_transitions.group_by("product").len().rename({"len": "rolls"})
    market_rows.append(
        path.audit.group_by("product")
        .agg(
            pl.col("timestamp").min().alias("first_session"),
            pl.col("timestamp").max().alias("last_session"),
        )
        .join(roll_counts, on="product", how="left")
        .join(path.expiry_rules, on="product", how="left")
        .with_columns(pl.lit(label).alias("label"), pl.col("rolls").fill_null(0))
    )
market_contract = pl.concat(market_rows).sort("label", "product")

# %% tags=["results"]
market_contract

# %% [markdown]
# ## Complete baseline requests
#
# The source rows come from the six official model populations. Each population must be complete
# before this cell can construct a request. No registry ordering, row cap, cached metric, or caught
# failure can remove a candidate.
#
# **Why completeness is enforced rather than assumed.** A backtest sweep that silently skipped a
# configuration would still produce a leaderboard, and the leaderboard would still look sensible.
# What it would no longer support is the comparison it exists for: selecting the best validation
# Sharpe out of a population means nothing if the population is whatever happened to finish. The
# failure mode is not a wrong number, it is a right-looking number computed over a set nobody can
# reconstruct - so the completeness check runs before any request is built rather than after.
#
# **What a request is.** One row here is one backtest to run: a prediction set identified by its
# hash, the label it was fitted against, and a signal specification. The `allocation`, `risk` and
# `costs` fields are all None, which is what makes these the baseline - later chapters fill them
# in and re-run this same machinery.
#
# **Why several `top_k` values rather than one.** `top_k` is how many products each leg holds, and
# it is the one dial this stage does turn. It decides concentration, and concentration trades two
# things against each other: a small `k` puts more weight behind the predictions the model is most
# confident about, and a large `k` averages across more of them so a single product's idiosyncratic
# move matters less. Which wins is a property of the signal's strength and of how quickly its
# ranking decays, neither of which is known before running it. Sweeping the values that
# `get_top_k_values_for` derives from the tradeable universe answers the question with the data
# rather than by picking a round number, and it means a configuration that only works at one
# concentration is visible as such rather than being represented by its best case.

# %%
if EXECUTION_TIER == "canonical":
    predictions = official_prediction_catalog(study, MODEL_POPULATION_NAMES)
else:
    predictions = preview_prediction_candidates(study, labels=labels, limit=PREVIEW_MAX_PREDICTIONS)
request_rows = []
for label in labels:
    label_catalog = predictions.filter(pl.col("label") == label)
    n_products = price_paths[label].prices.get_column("product").n_unique()
    for row in label_catalog.iter_rows(named=True):
        for top_k in get_top_k_values_for("cme_futures", label, n_products):
            request_rows.append(
                {
                    "request_name": f"{row['prediction_hash']}-equal-weight-k{top_k}",
                    "prediction_hash": row["prediction_hash"],
                    "label": label,
                    "signal": {"method": "equal_weight_top_k", "top_k": top_k},
                    "allocation": None,
                    "risk": None,
                    "costs": None,
                    "chapter": "ch16",
                }
            )
requests = strategy_request_frame(request_rows)
requests.select("request_name", "prediction_hash", "label", "signal")

# %% [markdown]
# ## Execute and freeze the comparable sets
#
# Target weights are canonical typed decisions with unique `product,timestamp` keys and exact
# prediction eligibility. Expected backtest identities are snapshotted before the engine runs.
# Every member must finish before the per-label validation candidate sets are created.
#
# ### A population is named, and a name means one thing
#
# The results of this sweep are written into the registry as an **official population**: a named,
# frozen list of exactly which backtests belong to the comparison. Downstream notebooks select
# from a population by name, so the name has to keep meaning the same set - otherwise a selection
# made last month and a selection made today would be answering different questions while
# appearing to answer the same one.
#
# That is why the registry refuses to write a different member list under a name that already
# exists. It is also why a re-run has to say what it retires. Anything that moves a backtest
# identity moves the members: a corrected label, a changed accounting field, a re-run after a
# registry reset. `SUPERSEDES_BASELINE_POPULATION` in the parameter cell is where that is
# declared, and it names the generation this run replaces rather than deleting it - the retired
# snapshot stays in the registry, so a result quoted from it remains traceable to the population
# it was actually computed over.
#
# A preview run publishes no population at all. It is discarded with its workspace, has no
# lineage to extend, and offering a supersession from one would retire a canonical generation in
# favour of something nobody kept.
#
# ### What happens at a fold boundary, and what it costs to read
#
# The five validation folds are consecutive stretches of calendar time, and this backtest runs
# through them as one series of weekly decisions rather than as five separate simulations. At a
# boundary the position **carries**; it is not flattened. The declared policy is
# `StateTransitionPolicy(fold_boundary="continue")`.
#
# Two reasons, and the second is the harder one. Nothing happens in the market on the four dates
# that separate the folds - they are an index this case study cut for evaluation, not events - so
# flattening there would be an artifact of how the sample was divided. And the liquidation could
# not be executed here in any case: the schedule decides on Friday's close and fills at Monday's
# open, so there is no weight row for the engine to snap a reset onto, and it refuses to snap one
# forward rather than carry the old state across the boundary and then charge a round trip for no
# change in exposure.
#
# **So a per-fold number in this pipeline is not computed from a flat start.** A fold inherits at
# most one week of exposure from the fold before it. That is four of roughly 260 weekly decisions,
# about 1.5% of them, and it is the reason not to read a per-fold Sharpe here or downstream as
# though the fold were a standalone track record. The alternative - same-bar execution, which would
# buy the flat start - is what makes a futures backtest implausible, and it is not a trade worth
# making for four decisions.

# %%
execution = run_official_backtest_requests(
    study,
    requests,
    population_name=BASELINE_POPULATION if EXECUTION_TIER == "canonical" else None,
    supersedes=supersedes_for_run(
        study,
        population_name=BASELINE_POPULATION,
        declared=SUPERSEDES_BASELINE_POPULATION or None,
        execution_tier=EXECUTION_TIER,
    ),
)
# A candidate set is canonical too - `CandidateSet.create` refuses a preview member
# (research/comparison.py:50-51) - so a preview run leaves the funnel's named pools alone and
# the notebooks downstream read its backtest catalog directly instead.
candidate_sets = (
    create_label_candidate_sets(
        study, execution, stage="signal", supersedes_by_set=SUPERSEDES_CANDIDATE_SETS
    )
    if EXECUTION_TIER == "canonical"
    else {}
)

# %% [markdown]
# `source` says whether each member was computed by this run or served from the registry because
# an identical identity was already recorded. A re-run of a registered sweep is entirely `reused`
# and completes in seconds; without the column that is indistinguishable from having computed
# every row.

# %% tags=["results"]
execution.catalog_rows.sort("label", "request_name")

# %% [markdown]
# `14_portfolio_management` ranks each immutable per-label set by validation backtest Sharpe.
# `19_strategy_analysis` interprets the validated strategy results.

```