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v0.1.17 - Catalog-Driven Configuration Enforcement

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@stabilefrisur stabilefrisur released this 14 Dec 15:35
· 66 commits to master since this release
v0.1.17
401709a

Added

  • CDX Knowledge Base Reference - Comprehensive documentation for CDX trading mechanics
    • CDX index family overview (IG, HY, XO) with maturity tenors
    • DV01 and risk metrics explanation with calculation examples
    • P&L calculation formulas for both binary and proportional sizing modes
    • Transaction cost calculations and spread P&L mechanics
    • Signal interpretation conventions aligned with backtest engine
    • Project implementation details and portfolio construction guidance

Changed

  • Catalog-Driven Configuration Enforcement
    • Removed fallback defaults from indicator functions (fail-fast behavior)
    • compute_spread_momentum: Now requires parameters['lookback'] (was .get(lookback, 5))
    • compute_cdx_vix_deviation_gap: Now requires parameters['lookback'] (was .get(lookback, 20))
    • Added Raises section to docstrings documenting KeyError on missing parameters
    • Catalog misconfiguration now caught at test time instead of silently using code defaults
  • Test Fixture Improvements
    • Renamed make_test_config → make_minimal_test_config with explicit deviation docs
    • Renamed make_test_strategy_metadata → make_minimal_test_metadata
    • Added make_catalog_test_config() for catalog-accurate testing
    • Added make_catalog_test_metadata() for catalog-based fixtures
    • Backwards compatibility aliases retained for existing code
  • Documentation Updates
    • Updated all example scripts to reflect four-stage transformation pipeline
    • Fixed paths in examples (data/processed → data/workflows)
    • Simplified data loading using DataRegistry.load_dataset_by_security()
    • Updated version and date references across all documentation
    • Corrected registry names in design documents
    • Fixed BacktestConfig documentation (removed obsolete threshold fields)
    • Complete rewrite of signal_registry_usage.md with current patterns

Fixed

  • DV01 Calibration - Corrected default from 4750.0 to 475.0 per $1MM notional
    • CDX IG 5Y with ~4.75 year duration has $475 DV01 per $1MM, not $4,750
    • Previous value incorrectly represented total DV01 for $10MM position
    • Updated in BacktestConfig, StrategyMetadata, all 4 strategy catalog entries
    • Fixed 16 test cases with P&L calculations and position values
    • Updated documentation examples in copilot-instructions.md and CONTRIBUTING.md
  • Test Suite Alignment
    • Fixed tests to align with generate_report() API returning dict format
    • Removed tests for deprecated --output CLI option
    • Fixed TestCollectReportData to avoid mocking non-existent attributes
    • Removed unused imports in test files

Removed

  • Cleanup
    • Deleted scripts/validate_backtest_cleanup.py (validation script no longer needed)
    • Removed duplicate default values from BacktestConfig and StrategyMetadata
    • Removed entry_threshold/exit_threshold from strategy system (replaced with signal-based triggers)

Test Coverage

  • Catalog Completeness Validation (4 new tests in tests/models/test_catalog.py)
    • test_indicator_transformations_have_required_parameters - Validates all indicators define required params
    • test_score_transformations_have_required_parameters - Validates all score transformations have params
    • test_all_signals_reference_valid_transformations - Validates 1:1:1 reference integrity
    • test_strategy_catalog_completeness - Validates all strategies have required fields
  • All 721 tests passing (verified December 2025)

Breaking Changes

  • Indicator functions now raise KeyError if catalog is missing required parameters (was silent fallback to code defaults)
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