Add comprehensive project documentation and fix data pipeline
- Add detailed README with architecture diagram and usage instructions - Add API, configuration, and development documentation - Fix price data column handling for yfinance auto_adjust=True - Fix model feature dimension indexing and temporal attention batching - Add missing imports and position tracking in paper broker - Add python-dotenv support for environment variables - Update .gitignore with Python artifacts and environment files
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@@ -58,8 +58,8 @@ def main():
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# Initialize model
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logger.info("Initializing GNN model")
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# Get number of features from first data point
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num_features = train_dataset[0].x.shape[1]
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# x has shape (num_stocks, seq_len, num_features); features are in the last dim
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num_features = train_dataset[0].x.shape[2]
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model = CorporateActionAwareGNN(num_features)
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# Optimize model for AMD GPU
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@@ -95,9 +95,9 @@ def main():
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backtester = GNNBacktester(model, pipeline)
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portfolio_values, trade_log = backtester.run_backtest(val_dataset)
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# Get benchmark data
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# Get benchmark data (auto_adjust=True means 'Close' already contains adjusted prices)
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benchmark_data = pipeline.price_data[config.INDEX_TICKER]
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benchmark_values = benchmark_data.loc[portfolio_values.index]["Adj Close"]
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benchmark_values = benchmark_data.loc[portfolio_values.index]["Close"]
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# Calculate performance metrics
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logger.info("Calculating performance metrics")
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