Sentinel Research
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40 lines
1.8 KiB
Markdown
40 lines
1.8 KiB
Markdown
# Lookahead Bias in Vectorized Backtesting: A Noise Harness Diagnostic
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Repository for the paper documenting a lookahead-bias defect found in a
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vectorized backtester (the "K12" kernel), and a noise-harness methodology
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to detect this class of bug using pure Geometric Brownian Motion data.
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## Structure
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```
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paper/ LaTeX source (revtex4-2)
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experiments/ Description and specs of the 5 planned experiments
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data/ Instructions to obtain the BTCUSDT 1m dataset (no large binaries in git)
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results/ Raw experiment outputs (json/csv), git-tracked once produced
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audit/input/ Forensic copy of the original K12 code/data/results for reproduction
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```
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## How to reproduce
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1. Read `experiments/README.md` for the experiment list and what each one tests.
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2. Read `data/README.md` to obtain the dataset (or regenerate synthetic GBM data).
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3. Run the scripts under `experiments/` (CI runs the noise harness automatically
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on every PR, see `.github/workflows/noise-harness.yml`).
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4. Compare your output against the reference files in `results/`.
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## License — read this before reusing anything
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This repository carries **two separate licenses** for two separate kinds of content:
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| Content | License | File |
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|---|---|---|
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| Code: experiment scripts, harness, CI workflows, anything under `experiments/`, `data/`, `.github/` | **MIT** | [`LICENSE`](LICENSE) |
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| Paper text and figures, anything under `paper/` | **CC-BY 4.0** | [`LICENSE-TEXT-CC-BY-4.0.md`](LICENSE-TEXT-CC-BY-4.0.md) |
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Use the code freely, commercially or not, with attribution (MIT terms).
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Reuse the paper text/figures freely, commercially or not, with attribution (CC-BY 4.0 terms).
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These are independent grants — reusing the code does not require complying with CC-BY, and vice versa.
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## Authorship
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See [`AUTHORS.md`](AUTHORS.md).
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