docs: add realized ledger weights to handoff

This commit is contained in:
ao gong
2026-08-21 22:22:00 +08:00
parent 3b1ad07c69
commit 55eeff3951
2 changed files with 4 additions and 1 deletions
+2
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@@ -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()
@@ -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;