代码题库

Daily Backtest with Overnight Borrow Cost

Basel VaR Backtest Traffic-Light Zones

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

Brinson-Hood-Beebower Three-Effect Attribution

Calmar Ratio — Annualized Return over Maximum Drawdown

Choueifaty Diversification Ratio of a Gaussian Portfolio

Christoffersen Independence Test for VaR Breach Clustering

Conditional Drawdown at Risk

Cross-Gamma PnL Attribution: Two-Asset Greek Decomposition

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

Information Ratio of an Active-Return Series

Kupiec Proportion-of-Failures (POF) Test Statistic

Limit-Order Fill Simulation against High-Low Bars

Look-Ahead Bias Detector via Lagged-Correlation Comparison

Maximum Drawdown Duration on the Equity Curve

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

Omega Ratio of a Return Series at a Threshold

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

Purged k-Fold Cross-Validation for Time-Series ML

Turnover-Aware Rebalance on Bucketed-Signal Change

Sortino Ratio of a Return Series with Target Return

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

Count and Timestamp VaR Breaches

Vectorized PnL with Time-Varying Borrow Fee Curve

Vectorized Per-Period PnL with Transaction Costs

Vega-Bucketed PnL Explain Across a Strike Grid

Walk-Forward Train/Test Splits with Embargo

Walk-forward CV: Expanding and Rolling-window Folds

Walk-Forward Validation for Time-Series Backtests