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Quant systems / Active
S&P 500 broker-aware forecasting
Cross-sectional forecasting and portfolio translation pipeline for XTB-tradable S&P 500 stocks.
S&P 500PortfolioMIQPExecution
Problem
A forecasting signal only matters if it survives portfolio, horizon alignment and execution constraints.
Approach
Canonical weekly model, monthly alignment branch, train-only feature selection, MIQP optimization and execution-oriented replay evaluation.
Evidence
Broker-aware architecture with portfolio-side economic filtering.
Active test stack with 549 passing tests in the README snapshot.
The meta-model was removed in favor of a clearer economic portfolio filter.