statistical-testing skill: optional signal-column support (enables time-shift decay test)
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评估
- 难度
- 5/5
- 预计耗时
- 一周以上
- 新手友好度
- 35/100
- Issue 类型
- 功能
- 描述清晰度
- 基本清楚
- 活跃度
- 活跃
- 技术栈
- python
- 领域
- data, machine-learning
调研方向
Read the statistical-testing skill's input model and data discovery step, then review related issue #17 for the factor suite design. Define how an optional numeric signal column is identified and confirmed, and how multi-horizon IC, shifted IC decay, and single-asset half-life diagnostics are reported. Done when signal diagnostics run for confirmed candidates while inputs without a signal retain the existing behavior.
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描述
Context
The QuantGPT time-shift decay test (shift factor values by 5/10/20 days; a real signal should weaken, not persist — persistence implies the backtest fit a lagged/regime artifact) did not port into the statistical-testing skill because the skill's data model is date + returns only, with no raw signal column.
Proposal
Extend the skill's accepted input to an optional signal column alongside returns (e.g. signal, score, forecast). When present, enable:
- Signal→forward-return IC at multiple horizons (1/5/10/20d): rank correlation between signal at t and strategy/asset forward return. Establishes the signal actually predicts what it claims.
- Time-shift decay: recompute IC with signal shifted 5/10/20d forward. Pass: shifted |IC| < real |IC| at every shift. Failure means the "edge" is a lagged exposure (e.g., just holding yesterday's beta).
- Half-life of predictive power — fold into #17 (factor suite) once panel data is supported; single-asset decay curve can live here.
Design notes
- Absent: no engine look-ahead concerns here — this is research-side validation, all shifts applied explicitly.
- Data discovery (Step 1) should flag a numeric signal column as
signal_candidateand ask the user whether to run signal diagnostics. - Related: #17 (full cross-sectional factor suite — this issue is the single-series subset).
- 主要语言
- Python
- 星标
- 28
- 派生
- 17
- 平均合并
- 8 小时 50 分钟
- 30 天内合并 PR
- 2
环境准备
- 没有 Dockerfile 或 Docker Compose 文件
- 没有 Pull Request 模板
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