Repository navigation
docs(strategies): align delta-neutral config and metrics - #1228
collinsezedike merged 1 commit into
Conversation
|
@maxx-GENIUS is attempting to deploy a commit to the Collins' projects Team on Vercel. A member of the Team first needs to authorize it. |
collinsezedike
left a comment
collinsezedike
left a comment
There was a problem hiding this comment.
@maxx-GENIUS, thank you for the work on this. Two items need changes before this can merge.
The commit header is 76 characters, over the 72-character limit in commitlint.config.mjs, which is why Commit Messages fails. Shorten it to 72 characters or fewer.
| | `hedgeVenue` | Optional modeled hedge execution venue | `HedgeVenue` (optional) | | ||
| | `id` | Optional stable identifier recorded in the snapshot | String (optional) | | ||
|
|
||
| Scenario-level parameters (e.g. `initialCapitalQuote`, time steps, and seeds) |
There was a problem hiding this comment.
initialCapitalQuote is not a scenario field. ScenarioSchema uses startingCapital, and no initialCapitalQuote property exists in the source. Replace it with startingCapital.
There was a problem hiding this comment.
Updated! Replaced initialCapitalQuote with startingCapital to align with ScenarioSchema.
- Update DeltaNeutralConfig options table with actual interface properties (asset, targetLeverage, rebalanceBandBps, fundingRate, priceFeed, hedgeFeed, hedgeVenue) - Align RunReport metrics table to document exposed report metrics (riskMetrics, eventCounts, finalState) and clearly mark unexposed attribution metrics as planned - Clarify scenario-level parameters (startingCapital, time steps, seeds) versus strategy configuration Closes drydocs#1142
bdb5916 to
5f48b0a
Compare
maxx-GENIUS
changed the title
|
@collinsezedike Thanks for the review! I have addressed both items:
All 749 unit/integration tests and typecheck pass locally. |
collinsezedike
left a comment
collinsezedike
left a comment
There was a problem hiding this comment.
@maxx-GENIUS Thank you for the update. The docs now match the current implementation and CI is green. Please pick up another open issue when you have time.
|
Thank you for starring the repository, @maxx-GENIUS. |
Summary
Aligns
apps/docs/strategies/delta-neutral.mdwith the underlyingDeltaNeutralConfiginterface andRunReportmetrics structure as audited in #1142.Key Changes
DeltaNeutralConfig):DeltaNeutralConfigproperties:asset,targetLeverage,rebalanceBandBps,fundingRate,priceFeed,hedgeFeed,hedgeVenue, andid.initialCapitalQuotebelong to the backtestScenarioconfiguration rather than the strategy options.RunReport):RunReport:riskMetrics.maxDrawdown,riskMetrics.sharpeProxy,riskMetrics.volatility,eventCounts.rebalances, andfinalState.totalValue.netPnl,carryPnl,pricePnl,maxNetDeltaBps,withinNeutralityBand) as planned analytical metrics.Verification
pnpm --filter @meridian/strategies test: 38 test files, 749/749 tests passed.pnpm --filter @meridian/strategies typecheck: Passed cleanly with 0 type errors.pnpm --filter @meridian/docs build: VitePress build completed successfully with 0 errors.pnpm prettier --check apps/docs/strategies/delta-neutral.md: Clean formatting verified.Closes #1142