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Add strategy execution pipeline, research notebooks, and CI/CD
Phase 3 - Strategy Execution: - src/stonks/strategy/ module with executor, rebalancer, scheduler - scripts/run_strategy.py CLI with momentum, mean-reversion, equal-weight strategies - 17 new tests for strategy module Phase 4 - Research Notebooks: - 01_factor_exploration.qmd - factor distributions and correlations - 02_garch_volatility.qmd - R GARCH analysis with rugarch - 03_pairs_trading.qmd - cointegration and pairs signals - 04_backtest_analysis.qmd - strategy performance comparison Phase 5 - CI/CD & R Tests: - .github/workflows/test.yml - GitHub Actions for Python + R - tests/R/test_db.R - 14 tests for R database functions - tests/R/test_garch.R - 18 tests for GARCH modeling Code Quality: - Applied ruff linting and formatting - Fixed unused imports and variables - R code formatted with styler, lintr clean Total: 73 Python tests passing, 2 skipped
1 parent 9bf8326 commit 028bd03

38 files changed

Lines changed: 3690 additions & 219 deletions

‎.github/workflows/test.yml‎

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name: Tests
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on:
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push:
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branches: [main, develop]
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pull_request:
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branches: [main]
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jobs:
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python-tests:
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runs-on: ubuntu-latest
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steps:
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- uses: actions/checkout@v4
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with:
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lfs: true
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- name: Install uv
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uses: astral-sh/setup-uv@v4
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with:
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version: "latest"
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- name: Set up Python
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run: uv python install 3.12
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- name: Install dependencies
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run: uv sync --dev
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- name: Run linting
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run: uv run ruff check src/ tests/
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- name: Run type checking
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run: uv run mypy src/stonks --ignore-missing-imports
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continue-on-error: true
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- name: Run tests
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run: uv run pytest tests/ -v --tb=short --ignore=tests/R/
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- name: Run tests with coverage
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run: uv run pytest tests/ --cov=src/stonks --cov-report=xml --ignore=tests/R/
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- name: Upload coverage
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uses: codecov/codecov-action@v4
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with:
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files: ./coverage.xml
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fail_ci_if_error: false
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r-tests:
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runs-on: ubuntu-latest
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steps:
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- uses: actions/checkout@v4
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with:
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lfs: true
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- name: Set up R
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uses: r-lib/actions/setup-r@v2
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with:
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r-version: "4.3"
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- name: Install system dependencies
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run: |
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sudo apt-get update
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sudo apt-get install -y libcurl4-openssl-dev libssl-dev libxml2-dev
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- name: Install R packages
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run: |
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install.packages(c("testthat", "duckdb", "arrow", "data.table", "rugarch", "urca", "vars", "moments", "tseries"))
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shell: Rscript {0}
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- name: Run R tests
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run: |
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testthat::test_dir("tests/R", reporter = "summary")
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shell: Rscript {0}
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integration:
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needs: [python-tests, r-tests]
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runs-on: ubuntu-latest
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steps:
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- uses: actions/checkout@v4
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with:
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lfs: true
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- name: Install uv
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uses: astral-sh/setup-uv@v4
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- name: Set up Python
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run: uv python install 3.12
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- name: Install dependencies
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run: uv sync --dev
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- name: Verify module imports
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run: |
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uv run python -c "
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from stonks.db import query, get_connection
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from stonks.factors import momentum, volatility
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from stonks.backtest import Backtest, BacktestResult
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from stonks.trading import AlpacaTrader, Portfolio
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from stonks.strategy import StrategyExecutor, Rebalancer
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print('All module imports successful')
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"
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- name: Test CLI help
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run: |
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uv run python scripts/run_strategy.py --help

‎R/cointegration.R‎

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@@ -61,9 +61,12 @@ find_cointegrated_pairs <- function(prices_wide, symbols, alpha = 0.05) {
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# Skip if missing data
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if (any(is.na(y)) || any(is.na(x))) next
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result <- tryCatch({
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test_cointegration_eg(y, x)
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}, error = function(e) NULL)
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result <- tryCatch(
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{
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test_cointegration_eg(y, x)
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},
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error = function(e) NULL
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)
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if (!is.null(result) && result$cointegrated) {
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pairs <- rbind(pairs, data.table(
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for (i in (lookback + 1):n) {
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if (position == 0) {
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if (z_score[i] > entry_z) {
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signal[i] <- -1L # Short spread
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signal[i] <- -1L # Short spread
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position <- -1L
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} else if (z_score[i] < -entry_z) {
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signal[i] <- 1L # Long spread
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signal[i] <- 1L # Long spread
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position <- 1L
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}
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} else {
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if ((position == 1L && z_score[i] >= exit_z) ||
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(position == -1L && z_score[i] <= -exit_z)) {
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(position == -1L && z_score[i] <= -exit_z)) {
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signal[i] <- 0L
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position <- 0L
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} else {

‎R/garch.R‎

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for (i in window:n) {
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window_returns <- returns[(i - window + 1):i]
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tryCatch({
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fit <- fit_garch(window_returns, model = model, distribution = distribution)
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vol[i] <- tail(sigma(fit), 1)
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}, error = function(e) {
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vol[i] <<- NA_real_
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})
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tryCatch(
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{
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fit <- fit_garch(window_returns, model = model, distribution = distribution)
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vol[i] <- tail(sigma(fit), 1)
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},
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error = function(e) {
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vol[i] <<- NA_real_
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}
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)
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}
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vol
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for (m in models) {
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for (d in distributions) {
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tryCatch({
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fit <- fit_garch(returns, model = m, distribution = d)
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ic <- infocriteria(fit)
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results <- rbind(results, data.table(
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model = m,
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distribution = d,
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AIC = ic[1],
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BIC = ic[2],
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LogLik = likelihood(fit)
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))
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}, error = function(e) NULL)
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tryCatch(
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{
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fit <- fit_garch(returns, model = m, distribution = d)
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ic <- infocriteria(fit)
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results <- rbind(results, data.table(
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model = m,
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distribution = d,
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AIC = ic[1],
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BIC = ic[2],
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LogLik = likelihood(fit)
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))
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},
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error = function(e) NULL
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)
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}
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}
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‎TODO.md‎

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# TODO - stonks-lab
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## Current Sprint
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## Project Status: ~95% Feature Complete
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### In Progress
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- [ ] Initial project setup
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All core phases implemented. Ready for production use with paper trading.
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### Up Next
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- [ ] Configure OpenBB providers
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- [ ] Download S&P 500 historical data
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- [ ] Implement basic factors (momentum, value)
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### Completed
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## Backlog
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#### Phase 1 & 2: Foundation
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- [x] Testing foundation (56 tests)
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- [x] Factor expansion (quality, size, macro, technical)
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- [x] Paper trading (Alpaca integration)
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- [x] Backtesting engine + walk-forward validation
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### Data Pipeline
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#### Phase 3: Strategy Execution Pipeline
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- [x] `src/stonks/strategy/executor.py` - orchestration
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- [x] `src/stonks/strategy/rebalancer.py` - weight → orders
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- [x] `src/stonks/strategy/scheduler.py` - automated runs
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- [x] `scripts/run_strategy.py` - CLI entry point
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- [x] 17 strategy tests (73 total Python tests)
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#### Phase 4: Research Notebooks
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- [x] `notebooks/01_factor_exploration.qmd` - factor distributions, correlations
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- [x] `notebooks/02_garch_volatility.qmd` - R GARCH analysis
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- [x] `notebooks/03_pairs_trading.qmd` - cointegration + signals
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- [x] `notebooks/04_backtest_analysis.qmd` - strategy performance
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#### Phase 5: CI/CD & R Tests
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- [x] `.github/workflows/test.yml` - GitHub Actions for Python + R
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- [x] `tests/R/test_db.R` - 14 tests for R database functions
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- [x] `tests/R/test_garch.R` - 18 tests for GARCH modeling
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## Quick Commands
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```bash
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# Run all Python tests
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uv run pytest tests/ -v --ignore=tests/R/
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# Run R tests
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Rscript -e "testthat::test_dir('tests/R')"
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# Strategy dry run
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uv run python scripts/run_strategy.py --strategy momentum --dry-run
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# Strategy execution (requires Alpaca credentials)
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uv run python scripts/run_strategy.py --strategy momentum --execute
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# Render notebooks
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quarto preview notebooks/
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# Daily data update
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uv run python scripts/update_data.py
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```
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## Remaining Backlog
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### Data Pipeline Enhancements
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- [ ] FRED macro data loader
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- [ ] SEC EDGAR filings integration
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- [ ] Universe management (S&P 500, Russell 2000)
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### Factor Library
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- [ ] Classic factors (momentum, value, quality, size)
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- [ ] Macro factors from FRED
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- [ ] GARCH volatility (R)
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### Bayesian/Stats (R)
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### Advanced Bayesian/Stats (R)
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- [ ] brms hierarchical factor model
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- [ ] Cointegration pairs detection
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- [ ] Dynamic hedge ratio via Kalman filter
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### ML
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- [ ] LightGBM factor selection
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- [ ] SHAP interpretability
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- [ ] Walk-forward validation
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### ML Enhancements
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- [ ] Feature importance dashboard
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- [ ] Hyperparameter tuning pipeline
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- [ ] Ensemble methods
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### Backtesting
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- [ ] Transaction cost model
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- [ ] Performance metrics (Sharpe, Calmar)
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### Production Readiness
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- [ ] Alerting/monitoring (Slack/email notifications)
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- [ ] Position sizing optimization
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- [ ] Multi-strategy portfolio allocation
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## Blockers
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## Architecture Summary
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None currently.
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```
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Data Flow:
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OpenBB → Parquet (raw/) → DuckDB → Factors → Signals → Backtest
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↓
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Paper Trading
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(Alpaca API)
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## Notes
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Languages:
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Python: Data ingestion, factors, ML, backtesting, execution
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R: GARCH volatility, Bayesian models, cointegration
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```
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---
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*Last updated: 2026-01-24*

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