LightGBM ML Strategy Research

Paper Performance / 模拟盘业绩 (Alpaca Paper Trading)

Paper Alpha Attribution / 模拟盘超额收益归因

Account equity is the source of truth. Lagged ETF-factor regressions and reconstructed fills split actual return versus SPY; unexplained P&L remains visible as reconciliation residual.

Paper Positions / 模拟盘持仓

Backtest / 回测净值曲线

LightGBM walk-forward backtest. Rebalance every 21 trading days, 10bps cost + 5bps slippage + Almgren-Chriss market impact. Subject to survivorship bias. 模拟回测，非真实收益。