docs: record covariance estimator decision

2026-08-21 23:49:06 +08:00
parent 524fc73852
commit cbb56d2f52
3 changed files with 24 additions and 8 deletions
@@ -139,15 +139,15 @@ print(factor_backtest.benchmark_stats(benchmark_returns))

 # 下游稳定交付：显式提供代码版本、数据快照和时区，不在核心层写数据库。
 from quant_engine.artifact import build_research_run_artifact
-from quant_engine.risk import CovarianceSnapshot
+from quant_engine.risk import estimate_covariance_snapshot

 risk_date = factor_backtest.position_weights.index[-1].date()
-risk_snapshot = CovarianceSnapshot(
-    snapshot_id="<covariance-snapshot-id>",
+risk_snapshot = estimate_covariance_snapshot(
+    daily_asset_returns,
    as_of_date=risk_date,
-    covariance=daily_return_covariance,
-    return_frequency="1d",
-    periods_per_year=252,
+    lookback_sessions=252,
+    min_observations=120,
+    data_snapshot_id="<risk-return-data-snapshot-id>",
 )

 artifact = build_research_run_artifact(