 ao gong
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2bb9f52080
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wip: hand off ledger-backed attribution
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2026-08-21 22:19:20 +08:00 |
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ao gong
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76bb5494a2
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docs: record lightweight attribution design references
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2026-08-21 22:18:24 +08:00 |
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ao gong
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f7ad82534a
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feat: add label-safe component risk decomposition
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2026-08-21 22:17:05 +08:00 |
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ao gong
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35a52d781e
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test: define labeled component risk contract
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2026-08-21 22:16:24 +08:00 |
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ao gong
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f14ab464f7
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feat: add strict benchmark-relative performance metrics
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2026-08-21 22:15:47 +08:00 |
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ao gong
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de2f9494fc
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test: define benchmark-relative performance contract
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2026-08-21 22:15:05 +08:00 |
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ao gong
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19fe22b01a
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feat: add ledger-backed daily return attribution
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2026-08-21 22:14:18 +08:00 |
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ao gong
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212351e984
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test: define post-execution return attribution contract
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2026-08-21 22:13:04 +08:00 |
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ao gong
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5fb4b85cc3
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wip: hand off stacked daily ledger
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2026-08-21 22:06:51 +08:00 |
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ao gong
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a421278527
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fix: align ledger performance with signal window
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2026-08-21 22:05:28 +08:00 |
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ao gong
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c774a4546a
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test: exclude factor warmup from performance window
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2026-08-21 22:04:52 +08:00 |
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ao gong
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022b87fdac
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feat: expose platform-neutral ledger projection
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2026-08-21 22:03:21 +08:00 |
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ao gong
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1b39c53f18
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test: define daily ledger projection contract
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2026-08-21 22:02:58 +08:00 |
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ao gong
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b794ab2e8f
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feat: add post-execution daily ledger
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2026-08-21 22:01:35 +08:00 |
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ao gong
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a44e2d306a
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test: define post-execution daily ledger contract
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2026-08-21 21:58:01 +08:00 |
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ao gong
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15b283bdf9
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docs: distinguish signal execution and holding times
CI / lite (pull_request) Successful in 4s
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2026-08-21 21:49:07 +08:00 |
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ao gong
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f9b7f2ab1a
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feat: schedule factor weights for next-session execution
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2026-08-21 21:47:53 +08:00 |
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ao gong
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213aa88deb
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test: require execution-price input snapshot
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2026-08-21 21:46:47 +08:00 |
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ao gong
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b7f77e2a6c
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test: define lagged factor-to-execution contract
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2026-08-21 21:46:00 +08:00 |
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ao gong
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c9fb5978f0
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docs: clarify execution audit result contract
CI / lite (pull_request) Successful in 3s
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2026-08-21 21:39:12 +08:00 |
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ao gong
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b2af2a10a6
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docs: document auditable execution workflow
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2026-08-21 21:38:08 +08:00 |
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ao gong
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da2ca51ff7
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fix: enforce cash-backed long-only rebalancing
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2026-08-21 21:37:02 +08:00 |
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ao gong
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ee22d1eb9d
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test: reproduce execution cash and long-only violations
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2026-08-21 21:35:47 +08:00 |
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ao gong
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17b680604d
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fix: derive multi-day trades from target-weight deltas
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2026-08-21 21:35:15 +08:00 |
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ao gong
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c51d803daf
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test: reproduce multi-day execution audit gaps
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2026-08-21 21:31:52 +08:00 |
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ao gong
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5578851d85
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fix: enforce chronological rebalance scores
CI / lite (pull_request) Canceled after 0s
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2026-08-21 21:25:27 +08:00 |
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ao gong
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b4f7b74c04
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test: reject unsorted rebalance dates
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2026-08-21 21:25:11 +08:00 |
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ao gong
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0a236622f3
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docs: add factor-to-backtest portfolio workflow
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2026-08-21 21:24:41 +08:00 |
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ao gong
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88af157ee7
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fix: validate unique rebalance dates
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2026-08-21 21:24:17 +08:00 |
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ao gong
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a1130ea43b
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test: reject ambiguous duplicate rebalance dates
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2026-08-21 21:24:03 +08:00 |
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ao gong
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96e8f1ad62
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feat: build target weights from factor scores
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2026-08-21 21:23:25 +08:00 |
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ao gong
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ecf6b4e4bf
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test: add red factor-to-weights portfolio contract
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2026-08-21 21:22:36 +08:00 |
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ao gong
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979166ad16
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docs: document unified backtest result workflow
CI / lite (pull_request) Successful in 3s
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2026-08-21 21:11:52 +08:00 |
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|
ao gong
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cdf41edf1f
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feat: add unified weight backtest result facade
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2026-08-21 21:11:06 +08:00 |
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ao gong
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585a635797
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test: add red contract for unified backtest result
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2026-08-21 21:10:33 +08:00 |
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ao gong
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2ff0630973
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refactor: clarify quant core validation internals
CI / lite (pull_request) Successful in 3s
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2026-08-21 21:00:19 +08:00 |
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ao gong
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bae4dedf70
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test: satisfy metric contract lint
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2026-08-21 20:59:27 +08:00 |
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ao gong
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e359792ef5
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fix: harden quant core calculation boundaries
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2026-08-21 20:58:30 +08:00 |
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ao gong
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0c3a375b1e
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test: add red contracts for quant core boundaries
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2026-08-21 20:57:49 +08:00 |
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|
George BerkshireandMavis
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c04acf0ab6
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feat: quant_engine 独立量化引擎（v1.2.0 重构 bootstrap）
从 research_results 抽出纯回测核心能力，形成独立成员仓。
## 模块（10 个核心）
| 模块 | 内容 |
|---|---|
| alpha_factors | 158 alpha 公式 + 24 基础算子（移植自 qlib alpha158）+ JSONB 工具 |
| execution | 执行仿真（成本/滑点/T+1/涨跌停/部分成交/价差）+ 多日 NAV + PnL 拆解 |
| indicators | 50+ 技术指标（MACD/KDJ/布林/ATR/ADX/等） |
| data_adapter | 桥接 qtdb_pro 长表与新模块（rename/long-wide/复权/vwap 代理） |
| backtest | weight-based 多日仿真 |
| metrics / perf_stats | 绩效指标 |
| factor_library | 通用方法（turnover/IC/winsorize/OLS） |
| portfolio_decomp / risk | 组合分解 + 风险指标 |
| logging | 统一 logger（标准库 + 可选 loguru） |
## 设计原则
- 零重型依赖（numpy/pandas/scipy）
- mypy strict 0 errors（12 source files）
- 394 tests passed（从 research_results 复制 + 适配）
- ruff clean
## 与 research_results 的关系
- research_results 通过 re-export wrapper 保持向后兼容（src.shared.X → quant_engine.X）
- 47 proj 的 import 路径暂时不变，后续逐步迁移
- 本仓角色：researchhub_workspace 引擎层
Co-Authored-By: Mavis <noreply@mavis.local>
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2026-08-19 15:50:01 +08:00 |
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