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fix(backtest): preserve missing quote integrity in research simulators - #469

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Pigbibi merged 1 commit into
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fix/audit-f3-data-integrity-20260908
Sep 7, 2026
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fix(backtest): preserve missing quote integrity in research simulators#469
Pigbibi merged 1 commit into
mainfrom
fix/audit-f3-data-integrity-20260908

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@Pigbibi Pigbibi commented Sep 7, 2026

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Scope

  • F3 / RA-10: preserve raw missing quotes in ordinary backtest matrices, including all-missing observed dates and assets.
  • Reuse held/targeted price checks; validate the two required prices for active Russell/DCA proxy sleeves. Zero-weight and zero-exposure sleeves remain allowed.
  • No live signal changes, dependency/lock changes, provider calls, real replay, or historical artifact replacement.

Offline synthetic validation

  • Existing ETF baseline: 33 passed.
  • RED: 5 ETF failures; 4 proxy subtest failures on old consumer behavior.
  • Raw-matrix full regression: 672 passed / 350 subtests; SOXL/WFA: 15 passed.
  • Final ETF/combo targeted: 44 passed / 6 subtests; final combo/orchestrator: 14 passed / 9 subtests.
  • Full Ruff, pip check (18 packages), diff and scope checks passed. Locked offline environment uses actual QPK c812ed70; pytest and calendar test tools match CI requirements.
  • Missing pandas_market_calendars initially prevented two test modules from collecting; installed existing CI test dependency offline, then those tests passed.

Limits

Corrected missing-price behavior may reject historical incomplete inputs. No old results were regenerated; this is not promotion or strategy performance evidence.

@Pigbibi
Pigbibi merged commit d657420 into main Sep 7, 2026
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Pigbibi deleted the fix/audit-f3-data-integrity-20260908 branch September 7, 2026 22:22
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