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Minor webapp update

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Pawel Sarkowicz
2026-07-31 11:08:37 -04:00
parent 69a0d51f3c
commit 2a836b1ef6
3 changed files with 33 additions and 11 deletions
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README.md
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@@ -105,11 +105,11 @@ This project constructs and backtests a **sector-neutralized momentum factor** a
> 5. **Decompose** portfolio risk into systematic vs. idiosyncratic components via PCA (eigendecomposition + random matrix theory)
> 6. **Stress test** (notebook 06) by generating synthetic markets and re-running the backtest across alternative histories
The project is structured in three parts, all complete:
The project is structured in three parts:
* **Part I — Data and Factor Analysis** (notebooks 01–03) — *complete*
* **Part II — Backtest and Risk Decomposition** (notebooks 04–05) — *complete*
* **Part III — Synthetic Markets and Stress Testing** (notebook 06) — *complete*
* **Part I — Data and Factor Analysis** (notebooks 01–03)
* **Part II — Backtest and Risk Decomposition** (notebooks 04–05)
* **Part III — Synthetic Markets and Stress Testing** (notebook 06)
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@@ -181,7 +181,7 @@ This part builds the data matrix $\mathbf{R}$, diagnoses individual factor vecto
### 1. Data Overview and Market Statistics
We use a cached snapshot of S&P 500 constituents and download adjusted close prices. Because that snapshot is still based on a modern S&P 500 membership list, it introduces **survivorship bias** — names that went bankrupt or were delisted between 2005 and today won't appear. In linear-algebra terms: the columns of $\mathbf{R}$ are a non-random subset of all stocks that existed; the columns we *don't* see are exactly the ones that went to zero, biasing returns upward. Notebook 04 includes a sensitivity analysis for this.
We use a cached snapshot of S&P 500 constituents and download adjusted close prices. Because that snapshot is still based on a modern S&P 500 membership list, it introduces **survivorship bias** — names that went bankrupt or were delisted between 2005 and today won't appear. In linear-algebra terms: the columns of $\mathbf{R}$ are a non-random subset of all stocks that existed; the columns we *don't* see are exactly the ones that went to zero or got delisted, biasing returns upward. Notebook 04 includes a sensitivity analysis for this.
Key findings:
* **Universe breadth** rises from ~385 to ~501 stocks over the sample — but the column set is fixed to *today's* constituents, so this counts how many of today's survivors had price data in month $t$. The matrix isn't truly "getting wider"; its survivor-only columns fill in over time.
@@ -355,7 +355,7 @@ frd.example.com {
}
```
The data stays **mounted read-only** (`./data:/app/data`), mirroring the `.gitignore`. The app validates the required CSV artifacts at startup and tells you to run notebooks `01 -> 06` if anything is missing or malformed.
The data stays **mounted read-only** (`./data:/app/data`). The app validates the required CSV artifacts at startup and tells you to run notebooks `01 -> 06` if anything is missing or malformed.
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