Merge remote-tracking branch 'origin/main' into codex/research-alpha158-phase6-formula-con (#13)
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This commit was merged in pull request #13.
This commit is contained in:
2026-08-28 18:33:31 +08:00
parent 2bc8aea435
commit 015c1a3602
2 changed files with 289 additions and 0 deletions
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@@ -20,6 +20,9 @@ from quant_engine.alpha_factors import (
ALPHA158_PHASE5_FORMULA_CATALOG_SHA256,
ALPHA158_PHASE5_FORMULA_CONTRACT_VERSION,
ALPHA158_PHASE5_FORMULA_SPECS,
ALPHA158_PHASE6_FORMULA_CATALOG_SHA256,
ALPHA158_PHASE6_FORMULA_CONTRACT_VERSION,
ALPHA158_PHASE6_FORMULA_SPECS,
alpha_001,
alpha_002,
alpha_003,
@@ -183,11 +186,13 @@ from quant_engine.alpha_factors import (
evaluate_phase3_formula,
evaluate_phase4_formula,
evaluate_phase5_formula,
evaluate_phase6_formula,
list_phase1_operators,
list_phase2_operators,
list_phase3_formulas,
list_phase4_formulas,
list_phase5_formulas,
list_phase6_formulas,
correlation,
covariance,
decay_linear,
@@ -1962,3 +1967,193 @@ def test_phase5_contract_is_publicly_exported():
"list_phase5_formulas",
"evaluate_phase5_formula",
} <= set(alpha_factors_module.__all__)
# ── Alpha158 Phase 6: versioned alpha151-alpha158 formula contract ──────────
def test_phase6_formula_catalog_is_versioned_exact_and_content_addressed():
import hashlib
import json
from collections import Counter
expected_ids = tuple(f"alpha_{number:03d}" for number in range(151, 159))
expected_fields = {
"name",
"contract_version",
"formula",
"category",
"complexity",
"parameters",
"description",
"references",
"call_inputs",
"formula_inputs",
"input_category",
}
assert ALPHA158_PHASE6_FORMULA_CONTRACT_VERSION == "1.0.0"
assert list_phase6_formulas() == expected_ids
assert tuple(ALPHA158_PHASE6_FORMULA_SPECS) == expected_ids
assert Counter(
spec["input_category"] for spec in ALPHA158_PHASE6_FORMULA_SPECS.values()
) == {"pair": 6, "triple": 2}
for alpha_id, spec in ALPHA158_PHASE6_FORMULA_SPECS.items():
assert set(spec) == expected_fields
assert spec["name"] == alpha_id
assert spec["contract_version"] == ALPHA158_PHASE6_FORMULA_CONTRACT_VERSION
assert spec["formula"] == ALPHA158_REGISTRY[alpha_id]["formula"]
serializable_specs = {
alpha_id: {
field: list(value) if isinstance(value, tuple) else value
for field, value in spec.items()
}
for alpha_id, spec in ALPHA158_PHASE6_FORMULA_SPECS.items()
}
encoded = json.dumps(
serializable_specs,
sort_keys=True,
separators=(",", ":"),
ensure_ascii=False,
).encode()
assert hashlib.sha256(encoded).hexdigest() == ALPHA158_PHASE6_FORMULA_CATALOG_SHA256
assert ALPHA158_PHASE6_FORMULA_CATALOG_SHA256 == (
"70ffae16ca6cbb59a1e8644f5cdeec1d291fa75ff8b5647fb534af0083408219"
)
def test_phase6_formula_catalog_is_recursively_immutable():
import operator
with pytest.raises(TypeError):
operator.setitem(ALPHA158_PHASE6_FORMULA_SPECS, "alpha_151", {})
with pytest.raises(TypeError):
operator.setitem(
ALPHA158_PHASE6_FORMULA_SPECS["alpha_151"],
"formula",
"changed",
)
with pytest.raises(TypeError):
operator.setitem(
ALPHA158_PHASE6_FORMULA_SPECS["alpha_151"]["call_inputs"],
0,
"volume",
)
def test_phase6_catalog_freezes_callable_and_formula_inputs():
import inspect
for alpha_id, spec in ALPHA158_PHASE6_FORMULA_SPECS.items():
function = getattr(alpha_factors_module, alpha_id)
signature_inputs = tuple(
"open" if name == "open_" else name
for name in inspect.signature(function).parameters
)
assert spec["call_inputs"] == signature_inputs
assert spec["formula_inputs"] == tuple(ALPHA158_REGISTRY[alpha_id]["inputs"])
assert ALPHA158_PHASE6_FORMULA_SPECS["alpha_158"]["call_inputs"] == (
"high",
"low",
"volume",
)
def test_phase6_dispatch_matches_all_existing_alpha151_alpha158_functions():
inputs = _phase3_market_inputs()
for alpha_id, spec in ALPHA158_PHASE6_FORMULA_SPECS.items():
call_inputs = spec["call_inputs"]
function = getattr(alpha_factors_module, alpha_id)
expected = function(*(inputs[name] for name in call_inputs))
actual = evaluate_phase6_formula(
alpha_id,
**{name: inputs[name] for name in reversed(call_inputs)},
)
pd.testing.assert_series_equal(actual, expected)
def test_phase6_dispatch_rejects_unknown_missing_extra_and_non_series_inputs():
inputs = _phase3_market_inputs()
with pytest.raises(KeyError, match="not registered"):
evaluate_phase6_formula("alpha_150", close=inputs["close"])
with pytest.raises(KeyError, match="not registered"):
evaluate_phase6_formula("alpha_159", close=inputs["close"])
with pytest.raises(ValueError, match=r"missing inputs.*volume"):
evaluate_phase6_formula("alpha_151", close=inputs["close"])
with pytest.raises(ValueError, match=r"unexpected inputs.*vwap"):
evaluate_phase6_formula(
"alpha_151",
close=inputs["close"],
volume=inputs["volume"],
vwap=inputs["vwap"],
)
with pytest.raises(TypeError, match="volume must be a pandas Series"):
evaluate_phase6_formula( # type: ignore[arg-type]
"alpha_151",
close=inputs["close"],
volume=[1.0, 2.0],
)
def test_phase6_dispatch_rejects_length_and_index_alignment_errors():
inputs = _phase3_market_inputs()
shorter_volume = inputs["volume"].iloc[:-1]
misaligned_low = inputs["low"].rename(index={79: 80})
with pytest.raises(ValueError, match="volume length must match close"):
evaluate_phase6_formula(
"alpha_151",
close=inputs["close"],
volume=shorter_volume,
)
with pytest.raises(ValueError, match="low index must align with high"):
evaluate_phase6_formula(
"alpha_158",
high=inputs["high"],
low=misaligned_low,
volume=inputs["volume"],
)
def test_phase6_preserves_complete_alpha001_alpha158_formula_body_fingerprint():
import ast
import hashlib
import inspect
import json
import textwrap
fingerprints = {}
for number in range(1, 159):
alpha_id = f"alpha_{number:03d}"
source = textwrap.dedent(inspect.getsource(getattr(alpha_factors_module, alpha_id)))
node = ast.parse(source).body[0]
assert isinstance(node, (ast.FunctionDef, ast.AsyncFunctionDef))
body = ast.dump(
ast.Module(body=node.body, type_ignores=[]),
include_attributes=False,
)
fingerprints[alpha_id] = hashlib.sha256(body.encode()).hexdigest()
encoded = json.dumps(
fingerprints,
sort_keys=True,
separators=(",", ":"),
).encode()
assert hashlib.sha256(encoded).hexdigest() == (
"f3ae807983cf8ca083d0b924c3807ffd84a62a5bd354f9efb1a1a16ca40c7da6"
)
def test_phase6_contract_is_publicly_exported():
assert {
"ALPHA158_PHASE6_FORMULA_CONTRACT_VERSION",
"ALPHA158_PHASE6_FORMULA_CATALOG_SHA256",
"ALPHA158_PHASE6_FORMULA_SPECS",
"list_phase6_formulas",
"evaluate_phase6_formula",
} <= set(alpha_factors_module.__all__)