Skip to content

examples.md

Latest commit

 

History

History
52 lines (34 loc) · 1.45 KB

examples.md

File metadata and controls

52 lines (34 loc) · 1.45 KB
Raw

Examples

Kick off experiments quickly using the bundled configuration files and the reproducible sample data under data/sample/.

1. Flagship momentum quickstart

make sample
make report

The run command generates deterministic artifacts (metrics, bootstrap distribution, exposures, trades) using the new linear+sqrt slippage model, IOC queueing, and covariance-aware allocator. The report command renders a PNG tear sheet plus a Markdown case study.

2. Walk-forward reality check on the sample universe

make wfv
make report-wfv

The run commands create a run-ID child directory. If you call the CLI directly, pass the artifact_dir printed by run or wfv to microalpha report.

This executes a rolling walk-forward with Politis–White bootstrap and writes folds.json, bootstrap.json, exposures.csv, and aggregated metrics for the flagship strategy.

3. Classic single-asset examples

  • Mean reversion

    microalpha run --config configs/meanrev.yaml

  • Breakout momentum

    microalpha run --config configs/breakout.yaml

  • Market making (LOB simulator)

    microalpha run --config configs/mm.yaml

  • Parameter walk-forward (single asset)

    microalpha wfv --config configs/wfv_meanrev.yaml

Each command drops a self-contained artifact directory; you can call microalpha report --artifact-dir <dir> on any of them to render the markdown/PNG bundle.