futures-systematic

What problem does it solve?

This Skill streamlines the complex process of quantitative research, implementation, and production controls for systematic futures trading strategies, ensuring reproducibility and robust risk management.

Core Features & Use Cases

• Reproducible Research: Define hypotheses, build features, and estimate signal performance with explicit controls.
• Robust Diagnostics: Stress-test performance across various market regimes and analyze cost-adjusted returns.
• Risk Management: Enforce exposure, concentration, and turnover caps, with deactivation triggers for edge decay.
• Use Case: When developing a new futures strategy, use this Skill to rigorously test its performance against historical data, analyze its sensitivity to roll mechanics, and ensure it meets predefined risk and performance thresholds before deployment.

Quick Start

Run the futures systematic diagnostics script on the input data file 'input.csv' and save the output to 'diagnostics.json'.