From 55eeff395176b4a29058e91d4971ba649d3990de Mon Sep 17 00:00:00 2001 From: ao gong <41768719+ageorge156@users.noreply.github.com> Date: Fri, 21 Aug 2026 22:22:00 +0800 Subject: [PATCH] docs: add realized ledger weights to handoff --- README.md | 2 ++ docs/handoff/2026-08-21-ledger-attribution.md | 3 ++- 2 files changed, 4 insertions(+), 1 deletion(-) diff --git a/README.md b/README.md index 6b5054d..2a3cf2d 100644 --- a/README.md +++ b/README.md @@ -124,6 +124,8 @@ print(factor_backtest.returns) print(factor_backtest.stats()) print(factor_backtest.execution.ledger_frame) print(factor_backtest.execution.trades_frame) +print(factor_backtest.position_weights) # 实际日末资产权重 +print(factor_backtest.cash_weights) # 所有分析都以实际成交后的 Ledger 为事实源,不直接使用目标权重伪造结果。 attribution = factor_backtest.return_attribution() diff --git a/docs/handoff/2026-08-21-ledger-attribution.md b/docs/handoff/2026-08-21-ledger-attribution.md index 750e1d6..4b6ef8a 100644 --- a/docs/handoff/2026-08-21-ledger-attribution.md +++ b/docs/handoff/2026-08-21-ledger-attribution.md @@ -9,6 +9,7 @@ - 贡献闭合到成本后日收益并显式暴露 residual; - 严格日期对齐的 TE / IR / alpha / beta; - 标签安全且可分组的 Euler component risk。 +- 从 Ledger 股数和收盘估值投影的实际资产 / 现金权重。 ## Branch stack @@ -27,7 +28,7 @@ Riskfolio-Lib 和 PyPortfolioOpt 只作为时间语义、Ledger、相对指标 ## Verification -- `pytest -q --cov=src --cov-report=term-missing`: 513 passed,9 个既有 SciPy warning,91% coverage; +- `pytest -q --cov=src --cov-report=term-missing`: 514 passed,9 个既有 SciPy warning,91% coverage; - `mypy --strict src/`: 15 source files passed; - 变更范围 `ruff check`: passed; - 全仓 Ruff:仅 13 个既有 `tests/governance/*` PT009;