 ao gong
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741d5f1ad3
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feat(data): snapshot asset returns with stable lineage
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2026-08-24 10:42:34 +08:00 |
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ao gong
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8ef8e3208e
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test: define deterministic covariance estimator contract
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2026-08-21 23:45:40 +08:00 |
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ao gong
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a5dc04bf7e
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test: define reproducible risk snapshot contract
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2026-08-21 23:24:41 +08:00 |
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ao gong
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d6c3614301
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test: require deterministic trade identity
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2026-08-21 22:32:14 +08:00 |
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ao gong
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2071d508d0
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test: cover sortino boundary contracts
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2026-08-21 22:30:28 +08:00 |
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ao gong
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b2f3da9d66
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test: require signal facts in research artifact
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2026-08-21 22:29:32 +08:00 |
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ao gong
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a9465e6479
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test: define versioned research artifact contract
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2026-08-21 22:26:51 +08:00 |
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ao gong
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1b5b353098
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test: define realized ledger weight projection contract
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2026-08-21 22:21:03 +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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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 ageorge156
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60027c8d3e
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fix(ci): publish quant engine lite verification (#1)
CI / lite (push) Successful in 3s
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2026-08-20 21:36:32 +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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