Claude/rolling balancing explanation t2d2k#7
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lingster wants to merge 10 commits intocrowdcent:mainfrom
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Claude/rolling balancing explanation t2d2k#7lingster wants to merge 10 commits intocrowdcent:mainfrom
lingster wants to merge 10 commits intocrowdcent:mainfrom
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Implements Option 3 (Composition-Based Strategy Builder) architecture for creating flexible, pluggable trading strategies by composing reusable components. New Components: - SignalGenerator: WHAT to trade (TopN, MeanReversion) - EntryManager: WHEN/HOW to enter (Immediate, Vintage) - ExitRule: WHEN to exit (TakeProfit, StopLoss, TimeBased) - PositionSizer: HOW MUCH capital (RankPower, EqualWeight, Kelly) - StateManager: Persistence (NoOp, Vintage, Database) Key Features: - Full and rolling modes decomposed into reusable components (60% code sharing) - Take profit auto strategy implemented (80% component reuse) - Hybrid strategies possible (e.g., rolling + take profit) - YAML-based configuration with Python module extensibility - Strategy factory pattern for plugin registration Examples Included: - 5 complete strategy configurations (full, rolling, take-profit, hybrids) - Comprehensive documentation (POC, architecture, integration guide) - Component implementations with protocol-based interfaces This POC demonstrates how to transform hardcoded modes into a flexible composition system while maintaining backward compatibility and achieving high component reusability across strategies.
Detailed guide explaining: - What vintages are and how they work - Why use rolling mode (time diversification, prediction alignment, reduced turnover) - Unit-based tracking to prevent drift - Configuration options and cold start strategies - CLI usage and monitoring - Edge cases and robustness - Full vs rolling comparison with performance analysis - Real-world examples with 30-day rolling setup - Best practices and common questions This complements the existing docs/rolling-rebalancing.md with more detailed explanations and practical examples for users wanting to understand the rolling vintage mechanism in depth.
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