代码题库

Daily Backtest with Overnight Borrow Cost

Basel VaR Backtest — Traffic-Light Zone and Capital Multiplier Add-On

Binary-State Strategy — Best PnL With Post-Exit Cooldown

Blocked Time-Respecting CV: Contiguous Folds with Train-Before-Test

Best Realized PnL Bound Under K Disjoint Round-Trips with Per-Roundtrip Impact Cost

Brinson-Hood-Beebower Three-Effect Attribution

Calmar Ratio — Annualized Return over Maximum Drawdown

Choueifaty Diversification Ratio of a Gaussian Portfolio

Christoffersen Conditional Coverage LR_cc Joint Statistic for VaR Backtesting

Christoffersen LR_ind Independence Statistic for VaR Backtesting

Christoffersen Independence Test for VaR Breach Clustering

Conditional Drawdown at Risk

Cross-Gamma PnL Attribution: Two-Asset Greek Decomposition

Cumulative PnL Drawdown Alert: Sorted Indices Underwater Beyond Threshold

Cumulative PnL Zero-Crossings: Count Sign Flips of the Backtest Equity Curve

Diebold-Mariano Test for Two VaR Forecasts via Pinball-Loss Differential

Expected Shortfall Calibration Backtest via Exceedance-Day Ratio

Black-Scholes PnL Attribution: Delta, Gamma, Vega, Theta

Historical Scenario Replay: Worst-K Rolling-Window PnLs

Information Ratio of an Active-Return Series

Inverse Percentile Rank of Daily PnL Against Reference Distribution

Kupiec POF Likelihood-Ratio Statistic for VaR Backtesting

Kupiec Proportion-of-Failures (POF) Test Statistic

Limit-Order Fill Simulation against High-Low Bars

Longest Stair-Stepping Subsequence Of Cumulative-PnL Reports Under A Minimum-Gain Gate

Longest Sub-Window Beating a PnL Target via Monotonic-Stack on Prefix Sums

Look-Ahead Bias Detector via Lagged-Correlation Comparison

Lopez I Magnitude Loss Function for VaR Backtesting

Maximum Realised Cumulative Return When Allowed To Skip At Most K Periods

Maximum Drawdown Duration on the Equity Curve

Best Single Round-Trip Realized PnL Under a Minimum-Holding-Period Compliance Rule

Min Hops to Core Factor Set: Multi-Source BFS on a Factor-Similarity Graph

Mincer-Zarnowitz OLS Regression for VaR-Forecast Unbiasedness

Modigliani M-Squared — Vol-Rescaled Risk-Adjusted Return

End-of-Day Net Positions from a Raw Trade Tape

Time-to-New-All-Time-High: First Future Index Strictly Above the Running Peak

Omega Ratio of a Return Series at a Threshold

Pinball (Quantile) Loss for VaR Forecast Backtesting

Standardized VaR-Forecast Residual Stream — De-Mean Then Divide By Vol

Greek-Based PnL Attribution

Per-Asset and Portfolio Cap Clamping for Target Weights

Position P&L With Transaction Fees

Purged k-Fold CV with Embargo

Rank-Disagreement Count: Pairwise Inversions Between Expected and Realized Strategy Rankings

Turnover-Aware Rebalance on Bucketed-Signal Change

Forward Recovery Distance: Days Until Cumulative Gain Clears Delta

Running Maximum Drawdown of a Streamed Log-Return NAV Path

Sector-Day Return Cube: Batched Rectangular Range Sums

Size-Weighted Median Fill Price

Sortino Ratio of a Return Series with Target Return

Sticky Binary-State Strategy — Best PnL With Per-Flip Tax And Initial-State Anchor

Strategy Leaderboard: Top-K by Sharpe with Lexicographic Tie-Break

Survivorship-Aware Tradeable Universe on a Date

Tracking-Error Variance Contribution by Sector

Scalar Tracking Error of an Active-Return Series

Treynor Ratio — Systematic-Risk-Adjusted Excess Return

Up-Capture and Down-Capture Ratios versus a Benchmark

VaR Backtest Exceedance Count and Longest Cluster

Count and Timestamp VaR Breaches

Lag-1 Autocorrelation of VaR Hit Indicators

Vectorized PnL with Time-Varying Borrow Fee Curve

Vectorized Per-Period PnL with Transaction Costs

Vega-Bucketed PnL Explain Across a Strike Grid

Vintage Cohort Per-Period Default Rate: Conditional Hazard from a Loan Vintage

Walk-Forward Train/Test Splits with Embargo

Walk-forward CV: Expanding and Rolling-window Folds

Wilson Score Binomial CI for VaR Exceedance Rate

Rolling Hit-Rate of Strictly-Positive Returns over a Fixed-Size Window