代码题库

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

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

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

Christoffersen Conditional Coverage LR_cc Joint Statistic for VaR Backtesting

Christoffersen LR_ind Independence Statistic for VaR Backtesting

Cumulative PnL Drawdown Alert: Sorted Indices Underwater Beyond Threshold

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

Per-Side Dense-Rank Annotation for the Day's Blotter

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

Expected Shortfall Calibration Backtest via Exceedance-Day Ratio

Historical Scenario Replay: Worst-K Rolling-Window PnLs

Inverse Percentile Rank of Daily PnL Against Reference Distribution

Kupiec POF Likelihood-Ratio Statistic for VaR Backtesting

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

Lopez I Magnitude Loss Function for VaR Backtesting

Maximum Cumulative Carry Under a Bounded Sign-Flip Budget

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

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

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

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

Pinball (Quantile) Loss for VaR Forecast Backtesting

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

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

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

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

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

VaR Backtest Exceedance Count and Longest Cluster

Lag-1 Autocorrelation of VaR Hit Indicators

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

Wilson Score Binomial CI for VaR Exceedance Rate

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