docs: clarify execution audit result contract

.gitea/workflows/ci.yml

@@ -0,0 +1,32 @@
+name: CI
+
+on:
+  push:
+    branches: [main]
+  pull_request:
+    branches: [main]
+
+concurrency:
+  group: ci-${{ github.ref }}
+  cancel-in-progress: true
+
+permissions:
+  contents: read
+
+jobs:
+  lite:
+    runs-on: ubuntu-latest
+    steps:
+      - uses: actions/checkout@524e936cd9e579adf00e308bfdf971aebc7de09e
+        with:
+          persist-credentials: false
+      - name: Gitea 合规校验
+        run: |
+          if git ls-tree -r HEAD | awk '$1==160000' | grep -q .; then echo "HEAD 含 gitlink"; exit 1; fi
+          if git ls-files .DS_Store | grep -q .; then echo "跟踪 .DS_Store"; exit 1; fi
+          if git grep -n -I -E 'sk-[A-Za-z0-9]{20,}|AKIA[0-9A-Z]{16}|ghp_[A-Za-z0-9]{36}|xox[baprs]-[A-Za-z0-9-]{10,}' HEAD | grep -q .; then echo "检出疑似凭证"; exit 1; fi
+          echo "Gitea 合规校验通过"
+      - name: 架构模块契约测试
+        run: python3 tests/governance/test_module_spec.py
+      - name: Syntax check
+        run: git ls-files -z '*.py' | xargs -0 python3 -m py_compile

MODULE_SPEC.yaml

@@ -0,0 +1,41 @@
+{
+  "schema_version": 1,
+  "module_id": "quant_engine",
+  "authority": {"scope": "module_metadata", "subject": "quant_engine", "owner": "quant-engine-owner", "source": "MODULE_SPEC.yaml", "revision": 1, "effective_from": "2026-08-20T00:00:00+08:00"},
+  "repository": {"name": "quant_engine", "workspace_id": "researchhub", "type": "research_engine", "maturity": "operational"},
+  "bounded_context": {
+    "domain": "quantitative-research-engine",
+    "responsibility": "Own reusable quantitative research calculations for factors, indicators, execution simulation, backtesting, portfolio decomposition, risk, and performance metrics.",
+    "prohibited_responsibilities": [
+      "Presenting research calculations, simulations, backtests, or metrics as investment advice or guaranteed performance",
+      "Submitting live orders, routing trades, managing brokerage accounts, or claiming transaction execution",
+      "Owning market-data source facts, research-result publication, or platform presentation state",
+      "Loading provider credentials, brokerage credentials, or production secrets",
+      "Changing financial model semantics through module metadata"
+    ]
+  },
+  "capabilities": [
+    {"id": "factor-and-indicator-calculation", "summary": "Calculate reusable alpha factors and technical indicators from caller-supplied data.", "status": "operational"},
+    {"id": "execution-simulation", "summary": "Simulate costs, slippage, market constraints, fills, NAV, and PnL without live order routing.", "status": "operational"},
+    {"id": "portfolio-backtesting", "summary": "Run weight-based backtests and benchmark comparisons.", "status": "operational"},
+    {"id": "risk-and-performance-analysis", "summary": "Calculate portfolio decomposition, risk contribution, and performance statistics.", "status": "operational"}
+  ],
+  "data": {"owns": [
+    {"asset_id": "quantitative-model-implementations", "kind": "model", "classification": "internal"},
+    {"asset_id": "simulation-and-metric-results", "kind": "artifact", "classification": "confidential"}
+  ]},
+  "contracts": {"provides": [], "consumes": []},
+  "dependencies": [],
+  "agent_context": {
+    "default_entrypoints": [
+      {"path": "README.md", "purpose": "Current engine scope, modules, dependencies, and non-live usage examples."},
+      {"path": "pyproject.toml", "purpose": "Supported Python version, package version, dependencies, and quality configuration."}
+    ],
+    "excluded_paths": ["graphify-out", ".venv", "build", "dist"],
+    "max_default_tokens": 8000
+  },
+  "verification": {"commands": [
+    {"id": "module-metadata", "argv": ["python3", "tests/governance/test_module_spec.py"], "cwd": ".", "network": false, "required": true},
+    {"id": "unit-tests", "argv": ["python3", "-m", "pytest"], "cwd": ".", "network": false, "required": true}
+  ]}
+}

README.md

@@ -19,10 +19,11 @@
 ## 模块
 
 - `alpha_factors` — 158 alpha 公式 + 24 基础算子（移植自 qlib alpha158）
-- `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（借鉴 hikyuu 部件化思想）
+- `execution` — A 股长仓执行仿真（成本/滑点/现金约束）+ 逐日成交/拒绝/持仓/NAV 审计；T+1、涨跌停、成交量与价差提供独立约束函数
 - `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（rebalance_table / compute_nav / compare_to_benchmark）
+- `portfolio_construction` — 多期因子分数 → Top-K → 等权目标权重表
 - `metrics` — 绩效（年化收益 / 波动率 / Sharpe / 最大回撤 / Calmar）
 - `factor_library` — 通用方法（turnover / winsorize / IC / OLS / jb_test）
 - `portfolio_decomp` — 组合分解（risk_parity / mean_variance / 因子归因）
@@ -58,8 +59,10 @@ ruff check src/ tests/    # lint
 ```python
 from quant_engine.alpha_factors import alpha_001, alpha_005, ALPHA158_REGISTRY
 from quant_engine.execution import (
-    ExecutionConfig, simulate_with_daily_data, compute_realized_pnl,
+    ExecutionConfig, simulate_multi_day_with_audit, simulate_with_daily_data,
 )
+from quant_engine.backtest import run_weight_backtest
+from quant_engine.portfolio_construction import scores_to_weight_table
 from quant_engine.indicators import macd, bollinger, kdj
 from quant_engine.data_adapter import (
     long_to_wide, wide_to_long, rename_tushare_columns,
@@ -72,6 +75,37 @@ from quant_engine.data_adapter import (
 df = load_qtdb_daily(["000001.SZ"], "2024-01-01", with_adj=True)
 prices, volumes = prepare_execution_inputs(df)
 result = simulate_with_daily_data(prices, initial_cash=1_000_000.0)
+
+# 已正确滞后的目标权重 → 现金约束执行 → 唯一来源的成交/拒绝/日末持仓/NAV
+execution = simulate_multi_day_with_audit(
+    target_weights_history=[
+        ("2024-01-02", {"000001.SZ": 1.0}),
+        ("2024-01-03", {"000001.SZ": 1.0}),
+    ],
+    price_history=[
+        ("2024-01-02", {"000001.SZ": 10.0}),
+        ("2024-01-03", {"000001.SZ": 10.5}),
+    ],
+    initial_cash=1_000_000.0,
+    config=ExecutionConfig(),
+)
+print(execution.nav_series)
+print(execution.daily_executions)
+
+# 多期因子分数 → Top-K 等权组合 → 稳定回测结果
+rebalance_weights = scores_to_weight_table(
+    factor_scores,
+    top_k=20,
+    gross_exposure=1.0,
+)
+backtest = run_weight_backtest(
+    weights=rebalance_weights,
+    stock_returns=daily_returns,
+    initial_capital=1_000_000.0,
+    benchmark_nav=benchmark_nav,
+)
+print(backtest.stats())
+print(backtest.benchmark_report())
 ```
 
 ## 与 research_results 的关系

src/quant_engine/backtest.py

@@ -13,29 +13,28 @@
 
 ```python
 from quant_engine.backtest import (
-    compute_nav_from_weights,    # 调仓表 → 净值
+    rebalance_periodic,           # 周期性再平衡
-    rebalance_table,              # 周期性再平衡
+    run_weight_backtest,          # 权重 → 统一结果对象
-    compare_to_benchmark,         # 策略 vs 基准
     weights_to_long_short,        # 多空组合
 )
 
-# 1. 调仓表 → 净值
+# 调仓表 → 净值、收益、绩效与基准报告
-nav = compute_nav_from_weights(
+rebalance_table = rebalance_periodic(target_weights, rebalance_dates, returns.index)
+result = run_weight_backtest(
     weights=rebalance_table,    # 每周/每月调仓
     stock_returns=returns,      # 个股日收益
     initial_capital=1.0,
+    benchmark_nav=benchmark_nav,
 )
-
+print(result.stats())
-# 2. 跟基准比
+print(result.benchmark_report())
-result = compare_to_benchmark(nav, benchmark_nav)
-print(result.summary())
 ```
 """
 
 from __future__ import annotations
 
-from pathlib import Path
 from collections.abc import Mapping, Sequence
+from dataclasses import dataclass
 
 import numpy as np
 import pandas as pd
@@ -46,6 +45,26 @@ from quant_engine.metrics import summary as metrics_summary
 logger = get_logger(__name__)
 
 
+@dataclass(frozen=True, slots=True, eq=False)
+class BacktestResult:
+    """一次权重回测的稳定结果快照。"""
+
+    nav: pd.Series
+    returns: pd.Series
+    weights: pd.DataFrame
+    benchmark_nav: pd.Series | None = None
+
+    def stats(self, rf: float = 0.0) -> Mapping[str, float]:
+        """返回标准绩效指标。"""
+        return metrics_summary(self.returns, rf)
+
+    def benchmark_report(self, rf: float = 0.0) -> pd.DataFrame:
+        """返回策略与基准的对比报告。"""
+        if self.benchmark_nav is None:
+            raise ValueError("benchmark_nav is required for benchmark comparison")
+        return compare_to_benchmark(self.nav, self.benchmark_nav, rf)
+
+
 # ── 调仓表 → 净值 ──────────────────────────────────────
 
 
@@ -113,6 +132,29 @@ def compute_returns_from_nav(nav: pd.Series) -> pd.Series:
     return nav.pct_change().fillna(0.0)
 
 
+def run_weight_backtest(
+    weights: pd.DataFrame,
+    stock_returns: pd.DataFrame,
+    initial_capital: float = 1.0,
+    tc_rate: float = 0.0,
+    benchmark_nav: pd.Series | None = None,
+) -> BacktestResult:
+    """执行权重回测并返回隔离于调用方输入的结果快照。"""
+    weights_snapshot = weights.copy(deep=True)
+    nav = compute_nav_from_weights(
+        weights=weights_snapshot,
+        stock_returns=stock_returns,
+        initial_capital=initial_capital,
+        tc_rate=tc_rate,
+    )
+    return BacktestResult(
+        nav=nav,
+        returns=compute_returns_from_nav(nav),
+        weights=weights_snapshot,
+        benchmark_nav=None if benchmark_nav is None else benchmark_nav.copy(deep=True),
+    )
+
+
 # ── 调仓工具 ──────────────────────────────────────
 
 
@@ -131,6 +173,9 @@ def rebalance_periodic(
     Returns:
         调仓表 DataFrame（all_dates × 股票代码）
     """
+    if all_dates.empty:
+        return pd.DataFrame(index=all_dates, columns=target_weights.index, dtype=float)
+
     table = pd.DataFrame(0.0, index=all_dates, columns=target_weights.index)
     for date in rebalance_dates:
         if date not in all_dates:
@@ -201,6 +246,8 @@ def compare_to_benchmark(
     """
     # 对齐 index
     common = strategy_nav.index.intersection(benchmark_nav.index)
+    if common.empty:
+        raise ValueError("strategy and benchmark must have overlapping dates")
     s = strategy_nav.loc[common]
     b = benchmark_nav.loc[common]
 

src/quant_engine/execution.py

@@ -10,7 +10,8 @@
 借鉴 hikyuu SG/MM/CN/PG 部件化思想（不引入 hikyuu 框架）：
 - ExecutionConfig：佣金 + 印花税 + 滑点 + 最小交易额 + 止损/止盈阈值
 - simulate_execution()：从目标权重 → 实际成交金额（应用成本/滑点）
-- simulate_multi_day()：多日组合仿真（NAV 序列 + 调仓记录）
+- simulate_multi_day_with_audit()：目标权重差额调仓（成交/拒绝/持仓/NAV）
+- simulate_multi_day()：兼容的多日日末持仓快照入口
 - check_stop_loss_take_profit()：止损/止盈触发判定
 - run_end_to_end_poc()：signal → 调仓 → 执行 → NAV 端到端 POC
 
@@ -19,6 +20,7 @@
 
 from __future__ import annotations
 
+import math
 from collections.abc import Mapping
 from dataclasses import dataclass
 from typing import Any
@@ -344,19 +346,133 @@ class DailyExecution:
     """单日执行记录。"""
 
     date: str
-    executions: list[ExecutionResult]
+    executions: tuple[ExecutionResult, ...]
     nav_before: float
     nav_after: float
     rebalance_triggered: bool
 
 
-def simulate_multi_day(
+@dataclass(frozen=True)
+class ExecutionSimulationResult:
+    """单次多日仿真的持仓与执行审计结果。"""
+
+    initial_cash: float
+    positions: tuple[DailyPosition, ...]
+    daily_executions: tuple[DailyExecution, ...]
+
+    @property
+    def nav_series(self) -> pd.Series:
+        """返回按日期索引的日末 NAV 副本。"""
+        return pd.Series(
+            [position.portfolio_value for position in self.positions],
+            index=[position.date for position in self.positions],
+            dtype=float,
+        )
+
+    @property
+    def total_costs(self) -> float:
+        """汇总实际成交产生的成本。"""
+        return sum(
+            execution.total_cost
+            for daily in self.daily_executions
+            for execution in daily.executions
+        )
+
+    @property
+    def total_turnover(self) -> float:
+        """汇总实际成交金额。"""
+        return sum(
+            execution.executed_value
+            for daily in self.daily_executions
+            for execution in daily.executions
+        )
+
+    @property
+    def total_rebalances(self) -> int:
+        """返回至少有一笔实际成交的调仓日数量。"""
+        return sum(daily.rebalance_triggered for daily in self.daily_executions)
+
+    @property
+    def final_portfolio_value(self) -> float:
+        """返回最后一个日末 NAV；空输入时返回初始资金。"""
+        if not self.positions:
+            return self.initial_cash
+        return self.positions[-1].portfolio_value
+
+    @property
+    def return_pct(self) -> float:
+        """返回相对初始资金的百分比收益。"""
+        if self.initial_cash == 0:
+            return 0.0
+        return (self.final_portfolio_value / self.initial_cash - 1.0) * 100.0
+
+
+def _blocked_execution(stock_code: str, target_value: float, reason: str) -> ExecutionResult:
+    """构造未成交但可审计的执行记录。"""
+    return ExecutionResult(
+        stock_code=stock_code,
+        target_value=target_value,
+        executed_value=0.0,
+        commission=0.0,
+        stamp_tax=0.0,
+        slippage_cost=0.0,
+        total_cost=0.0,
+        net_cash_flow=0.0,
+        partial_fill_pct=0.0,
+        blocked_reason=reason,
+    )
+
+
+def _validate_target_weights(date: str, targets: Mapping[str, float]) -> dict[str, float]:
+    """校验并复制单日长仓目标权重。"""
+    normalized: dict[str, float] = {}
+    for stock_code, raw_weight in targets.items():
+        try:
+            weight = float(raw_weight)
+        except (TypeError, ValueError) as error:
+            raise ValueError(f"target weights on {date!r} must be numeric") from error
+        if not math.isfinite(weight) or weight < 0:
+            raise ValueError(f"target weights on {date!r} must be finite and non-negative")
+        normalized[stock_code] = weight
+    if sum(normalized.values()) > 1.0 + 1e-12:
+        raise ValueError(f"target weights on {date!r} must sum to at most 1.0")
+    return normalized
+
+
+def _partially_fill_buy(
+    desired: ExecutionResult,
+    fill_pct: float,
+    config: ExecutionConfig,
+) -> ExecutionResult:
+    """按同一比例缩放买入，保留原始目标金额供审计。"""
+    actual_target_value = desired.target_value * fill_pct
+    executed_value, commission, stamp_tax, slippage_cost = _apply_costs(
+        actual_target_value,
+        True,
+        config,
+    )
+    total_cost = commission + stamp_tax + slippage_cost
+    return ExecutionResult(
+        stock_code=desired.stock_code,
+        target_value=desired.target_value,
+        executed_value=executed_value,
+        commission=commission,
+        stamp_tax=stamp_tax,
+        slippage_cost=slippage_cost,
+        total_cost=total_cost,
+        net_cash_flow=-(executed_value + commission + stamp_tax),
+        partial_fill_pct=fill_pct,
+        blocked_reason="insufficient_cash_partial_fill",
+    )
+
+
+def simulate_multi_day_with_audit(
     target_weights_history: list[tuple[str, dict[str, float]]],
     price_history: list[tuple[str, dict[str, float]]],
     initial_cash: float,
     config: ExecutionConfig | None = None,
-) -> list[DailyPosition]:
+) -> ExecutionSimulationResult:
-    """多日组合仿真（NAV 序列）。
+    """按目标权重差额推进组合，并返回唯一事实来源的审计结果。
 
     Args:
         target_weights_history: [(date, {stock_code: target_weight})]
@@ -365,97 +481,146 @@ def simulate_multi_day(
         config: 执行配置
 
     Returns:
-        DailyPosition 列表（每日 NAV 快照）。
+        日末持仓快照与逐日成交记录组成的结构化审计结果。
 
     Note:
         - 调仓频率 = target_weights_history 的频率（每日 / 每周 / 每月都行）
-        - 每日先按当日 close 估值，再按当日 target 调仓（下一交易日生效）
+        - 每日先按当日 close 估值，再交易“目标市值 - 当前市值”的差额
-        - 此处简化：调仓使用当日 close 价格
+        - 此处简化为当日 close 成交；调用方必须传入已正确滞后的目标权重
     """
     if config is None:
         config = ExecutionConfig()
+    if not math.isfinite(initial_cash) or initial_cash < 0:
+        raise ValueError(f"initial_cash must be finite and non-negative, got {initial_cash}")
     if len(target_weights_history) != len(price_history):
         raise ValueError("target_weights_history and price_history must have same length")
     if not target_weights_history:
-        return []
+        return ExecutionSimulationResult(initial_cash, (), ())
+
     cash = initial_cash
     holdings: dict[str, float] = {}
     positions: list[DailyPosition] = []
-    for (date, targets), (_, prices) in zip(target_weights_history, price_history, strict=True):
+    daily_executions: list[DailyExecution] = []
-        # 1) 先按当日收盘价估值
+
-        portfolio_value = cash + sum(
+    for (date, targets), (price_date, prices) in zip(
-            shares * prices.get(code, 0.0) for code, shares in holdings.items()
+        target_weights_history, price_history, strict=True
+    ):
+        if date != price_date:
+            raise ValueError(
+                f"target and price dates must match, got {date!r} and {price_date!r}"
             )
-        positions.append(
+
-            DailyPosition(
+        normalized_targets = _validate_target_weights(date, targets)
-                date=date,
-                cash=cash,
-                holdings=dict(holdings),
-                portfolio_value=portfolio_value,
-            )
-        )
-        # 2) 计算 effective_targets（包含需要平仓的零权重）
-        effective_targets: dict[str, float] = dict(targets)
         for held_code in holdings:
-            if held_code not in effective_targets:
+            held_price = prices.get(held_code)
-                effective_targets[held_code] = 0.0
+            if held_price is None or not math.isfinite(held_price) or held_price <= 0:
-        # 3) 调仓（只对非零目标调用 simulate_execution）
+                raise ValueError(f"missing price for held asset {held_code} on {date!r}")
-        non_zero_targets = {k: v for k, v in effective_targets.items() if v != 0}
+
-        results = simulate_execution(non_zero_targets, portfolio_value, config)
+        nav_before = cash + sum(
-        # 4) 处理零目标（平仓）：构造 ExecutionResult，shares = held（全部卖出）
+            shares * prices.get(stock_code, 0.0)
-        for stock_code, weight in effective_targets.items():
+            for stock_code, shares in holdings.items()
-            if weight == 0 and stock_code in holdings and holdings[stock_code] > 0:
+        )
-                price = prices.get(stock_code, 0.0)
+        effective_targets = dict.fromkeys(holdings, 0.0)
-                if price > 0:
+        effective_targets.update(normalized_targets)
-                    held = holdings[stock_code]
+        buy_weights: dict[str, float] = {}
-                    # 全部卖出：target_shares = held
+        sell_weights: dict[str, float] = {}
-                    # executed_value = held * price（考虑滑点）
+        rejected: list[ExecutionResult] = []
-                    slippage_factor = 1.0 - config.slippage_bps / 10000.0
+
-                    target_value = -held * price
+        for stock_code, target_weight in effective_targets.items():
-                    executed_value = target_value * slippage_factor
+            price = prices.get(stock_code)
-                    commission = abs(executed_value) * config.commission_bps / 10000.0
+            target_value = float(target_weight) * nav_before
-                    stamp_tax = abs(executed_value) * config.stamp_tax_bps / 10000.0
+            if price is None or not math.isfinite(price) or price <= 0:
-                    slippage_cost = abs(executed_value - target_value)
+                if target_value != 0 or holdings.get(stock_code, 0.0) != 0:
-                    # 标记净卖出 shares = held
+                    rejected.append(_blocked_execution(stock_code, target_value, "missing_price"))
-                    results.append(
+                continue
-                        ExecutionResult(
+
-                            stock_code=stock_code,
+            current_value = holdings.get(stock_code, 0.0) * price
-                            target_value=target_value,
+            trade_value = target_value - current_value
-                            executed_value=executed_value,
+            if abs(trade_value) < config.min_trade_amount or math.isclose(
-                            commission=commission,
+                trade_value, 0.0, abs_tol=1e-12
-                            stamp_tax=stamp_tax,
+            ):
-                            slippage_cost=slippage_cost,
+                continue
-                            total_cost=commission + stamp_tax + slippage_cost,
+            if nav_before == 0:
-                            net_cash_flow=executed_value - commission - stamp_tax,
+                rejected.append(_blocked_execution(stock_code, trade_value, "zero_nav"))
+                continue
+            destination = buy_weights if trade_value > 0 else sell_weights
+            destination[stock_code] = trade_value / nav_before
+
+        sell_executions = simulate_execution(sell_weights, nav_before, config)
+        filled: list[ExecutionResult] = []
+        for execution in sell_executions:
+            price = prices[execution.stock_code]
+            share_change = abs(execution.target_value) / price
+            held = holdings.get(execution.stock_code, 0.0)
+            holdings[execution.stock_code] = max(0.0, held - share_change)
+            if holdings[execution.stock_code] < 1e-6:
+                del holdings[execution.stock_code]
+            cash += execution.net_cash_flow
+            filled.append(execution)
+
+        desired_buys = simulate_execution(buy_weights, nav_before, config)
+        required_cash = sum(-execution.net_cash_flow for execution in desired_buys)
+        buy_fill_pct = min(1.0, max(cash, 0.0) / required_cash) if required_cash > 0 else 1.0
+        for desired in desired_buys:
+            if buy_fill_pct == 0:
+                rejected.append(
+                    _blocked_execution(desired.stock_code, desired.target_value, "insufficient_cash")
+                )
+                continue
+            execution = (
+                desired
+                if buy_fill_pct == 1.0
+                else _partially_fill_buy(desired, buy_fill_pct, config)
+            )
+            price = prices[execution.stock_code]
+            share_change = (
+                execution.target_value * execution.partial_fill_pct / price
+            )
+            holdings[execution.stock_code] = (
+                holdings.get(execution.stock_code, 0.0) + share_change
+            )
+            cash += execution.net_cash_flow
+            if math.isclose(cash, 0.0, abs_tol=1e-9):
+                cash = 0.0
+            filled.append(execution)
+
+        executions = (*filled, *rejected)
+        nav_after = cash + sum(
+            shares * prices.get(stock_code, 0.0)
+            for stock_code, shares in holdings.items()
+        )
+        positions.append(DailyPosition(date, cash, dict(holdings), nav_after))
+        daily_executions.append(
+            DailyExecution(
+                date=date,
+                executions=executions,
+                nav_before=nav_before,
+                nav_after=nav_after,
+                rebalance_triggered=bool(filled),
             )
         )
-        # 5) 应用执行结果到持仓
+
-        for r in results:
+    return ExecutionSimulationResult(
-            cost = r.executed_value + r.commission + r.stamp_tax
+        initial_cash=initial_cash,
-            proceeds = r.executed_value - r.commission - r.stamp_tax
+        positions=tuple(positions),
-            price = prices.get(r.stock_code, 0.0)
+        daily_executions=tuple(daily_executions),
-            if r.target_value > 0:
+    )
-                # 买入：shares = 正数 executed_value / price，cash 减少 cost
+
-                shares = r.executed_value / price if price > 0 else 0.0
+
-                holdings[r.stock_code] = holdings.get(r.stock_code, 0.0) + shares
+def simulate_multi_day(
-                cash -= cost
+    target_weights_history: list[tuple[str, dict[str, float]]],
-            else:
+    price_history: list[tuple[str, dict[str, float]]],
-                # 卖出：cash 增加 proceeds 的绝对值（proceeds 本是负的）
+    initial_cash: float,
-                held = holdings.get(r.stock_code, 0.0)
+    config: ExecutionConfig | None = None,
-                if held > 0:
+) -> list[DailyPosition]:
-                    # 如果是 zero-target 触发的全卖（target_value 与持仓市值近似），全部卖出
+    """兼容入口：返回多日仿真的日末持仓快照。"""
-                    if abs(r.target_value) >= held * price * 0.95:
+    result = simulate_multi_day_with_audit(
-                        sell_shares = held
+        target_weights_history,
-                    else:
+        price_history,
-                        target_shares = abs(r.executed_value) / price if price > 0 else held
+        initial_cash,
-                        sell_shares = min(held, target_shares)
+        config,
-                    holdings[r.stock_code] = held - sell_shares
+    )
-                    if holdings[r.stock_code] < 1e-6:
+    return list(result.positions)
-                        del holdings[r.stock_code]
-                # proceeds 是负的（target_value 负），cash += proceeds 实际是减去
-                # 但卖出是现金流入，所以应该 cash += abs(proceeds)
-                cash += abs(proceeds)
-    return positions
 
 
 def run_end_to_end_poc(
@@ -486,64 +651,16 @@ def run_end_to_end_poc(
         config = ExecutionConfig()
     if len(signals) != len(prices):
         raise ValueError("signals and prices must have same length")
-    positions = simulate_multi_day(signals, prices, initial_cash, config)
+    audit = simulate_multi_day_with_audit(signals, prices, initial_cash, config)
-    nav_series = pd.Series(
-        [p.portfolio_value for p in positions], index=[p.date for p in positions]
-    )
-    # 计算 total_costs / total_turnover（重放所有执行）
-    total_cost_acc = 0.0
-    total_turnover_acc = 0.0
-    rebalance_count = 0
-    cash = initial_cash
-    holdings: dict[str, float] = {}
-    for (date, targets), (_, price_map) in zip(signals, prices, strict=True):
-        portfolio_value = cash + sum(
-            shares * price_map.get(code, 0.0) for code, shares in holdings.items()
-        )
-        if targets:
-            rebalance_count += 1
-        # 自动平仓：持仓但不在 target 中的股票
-        effective_targets: dict[str, float] = dict(targets)
-        for held_code in holdings:
-            if held_code not in effective_targets:
-                effective_targets[held_code] = 0.0
-        results = simulate_execution(effective_targets, portfolio_value, config)
-        total_cost_acc += total_costs(results)
-        total_turnover_acc += total_turnover(results)
-        for r in results:
-            cost = r.executed_value + r.commission + r.stamp_tax
-            proceeds = r.executed_value - r.commission - r.stamp_tax
-            if r.target_value > 0:
-                shares = (
-                    r.executed_value / price_map[r.stock_code]
-                    if price_map[r.stock_code] > 0
-                    else 0.0
-                )
-                holdings[r.stock_code] = holdings.get(r.stock_code, 0.0) + shares
-                cash -= cost
-            else:
-                held = holdings.get(r.stock_code, 0.0)
-                if held > 0:
-                    sell_shares = min(
-                        held,
-                        abs(r.executed_value / price_map[r.stock_code])
-                        if price_map[r.stock_code] > 0
-                        else held,
-                    )
-                    holdings[r.stock_code] = held - sell_shares
-                    if holdings[r.stock_code] < 1e-6:
-                        del holdings[r.stock_code]
-                cash += proceeds
     return {
-        "positions": positions,
+        "positions": list(audit.positions),
-        "nav_series": nav_series,
+        "daily_executions": list(audit.daily_executions),
-        "total_costs": total_cost_acc,
+        "nav_series": audit.nav_series,
-        "total_turnover": total_turnover_acc,
+        "total_costs": audit.total_costs,
-        "total_rebalances": rebalance_count,
+        "total_turnover": audit.total_turnover,
-        "final_portfolio_value": nav_series.iloc[-1] if len(nav_series) > 0 else initial_cash,
+        "total_rebalances": audit.total_rebalances,
-        "return_pct": ((nav_series.iloc[-1] / initial_cash) - 1) * 100
+        "final_portfolio_value": audit.final_portfolio_value,
-        if len(nav_series) > 0
+        "return_pct": audit.return_pct,
-        else 0.0,
     }
 
 
@@ -667,7 +784,9 @@ __all__ = [
     "apply_bid_ask_spread",
     "DailyPosition",
     "DailyExecution",
+    "ExecutionSimulationResult",
     "simulate_multi_day",
+    "simulate_multi_day_with_audit",
     "run_end_to_end_poc",
     "DailyPnL",
     "simulate_with_daily_data",

src/quant_engine/factor_library.py

@@ -312,8 +312,8 @@ def ols_regress(
     ss_tot = float(((y_arr - y_arr.mean()) ** 2).sum())
     r_sq = 1.0 - ss_res / ss_tot if ss_tot > 0 else np.nan
     sigma2 = ss_res / max(n - k, 1)
-    # 协方差矩阵 = sigma2 * (X'X)^-1
+    # 广义协方差矩阵 = sigma2 * (X'X)^+，伪逆兼容共线因子。
-    xtx_inv = np.linalg.inv(x_arr.T @ x_arr) if sigma2 > 0 else np.full((k, k), np.nan)
+    xtx_inv = np.linalg.pinv(x_arr.T @ x_arr) if sigma2 > 0 else np.full((k, k), np.nan)
     se = np.sqrt(np.diag(xtx_inv) * sigma2)
     t_vals = coef / se if sigma2 > 0 else np.full_like(coef, np.nan)
     if add_constant:
@@ -513,6 +513,8 @@ def apply_factor_direction(
     Returns:
         方向调整后的因子（同向 = 越大越好）
     """
+    if direction not in {"auto", "forward", "reverse"}:
+        raise ValueError(f"direction={direction!r} not supported (auto / forward / reverse)")
     if factor.empty:
         return factor.copy()
     if direction == "auto":
@@ -541,6 +543,8 @@ def cross_sectional_rank_with_direction(
     Returns:
         pd.Series（百分位排名 [0, 1]，越大越优）
     """
+    if direction not in {"auto", "forward", "reverse"}:
+        raise ValueError(f"direction={direction!r} not supported (auto / forward / reverse)")
     if df.empty or factor_col not in df.columns:
         return pd.Series(dtype=float)
     factor = df[factor_col]

src/quant_engine/metrics.py

@@ -71,7 +71,8 @@ def max_drawdown(r: pd.Series) -> float:
     if len(r) < 2:
         return 0.0
     nav = (1 + r).cumprod()
-    peak = nav.cummax()
+    # 初始资金净值为 1；否则首个观测日的亏损会被误当成新的历史高点。
+    peak = nav.cummax().clip(lower=1.0)
     drawdown = (nav - peak) / peak
     return float(drawdown.min())
 

src/quant_engine/portfolio_construction.py

@@ -0,0 +1,104 @@
+"""因子分数到目标权重的轻量组合构建闭环。"""
+
+from __future__ import annotations
+
+import numpy as np
+import pandas as pd
+from pandas.api.types import is_numeric_dtype
+
+__all__ = [
+    "select_top_k",
+    "equal_weight",
+    "scores_to_target_weights",
+    "scores_to_weight_table",
+]
+
+
+def _validate_top_k(top_k: int) -> None:
+    if isinstance(top_k, bool) or not isinstance(top_k, int) or top_k <= 0:
+        raise ValueError("top_k must be positive")
+
+
+def _validate_gross_exposure(gross_exposure: float) -> None:
+    if not np.isfinite(gross_exposure) or gross_exposure < 0:
+        raise ValueError("gross_exposure must be finite and non-negative")
+
+
+def _validate_score_series(scores: pd.Series) -> None:
+    if not isinstance(scores, pd.Series):
+        raise TypeError(f"scores must be a pandas Series, got {type(scores).__name__}")
+    if not scores.index.is_unique:
+        raise ValueError("scores must contain unique asset labels")
+    if not is_numeric_dtype(scores.dtype):
+        raise TypeError("scores must contain numeric values")
+
+
+def select_top_k(scores: pd.Series, top_k: int, *, largest: bool = True) -> pd.Index:
+    """稳定选择最高或最低的 K 个有效因子分数。"""
+    _validate_top_k(top_k)
+    _validate_score_series(scores)
+    valid_scores = scores.dropna()
+    ordered = valid_scores.sort_values(ascending=not largest, kind="mergesort")
+    return ordered.iloc[:top_k].index.copy()
+
+
+def equal_weight(assets: pd.Index, *, gross_exposure: float = 1.0) -> pd.Series:
+    """在已选资产间等权分配指定总敞口。"""
+    _validate_gross_exposure(gross_exposure)
+    if not assets.is_unique:
+        raise ValueError("assets must contain unique asset labels")
+    if assets.empty:
+        return pd.Series(index=assets.copy(), dtype=float, name="weight")
+    weight = gross_exposure / len(assets)
+    return pd.Series(weight, index=assets.copy(), dtype=float, name="weight")
+
+
+def scores_to_target_weights(
+    scores: pd.Series,
+    top_k: int,
+    *,
+    gross_exposure: float = 1.0,
+    largest: bool = True,
+) -> pd.Series:
+    """把单期因子分数转换为完整股票池目标权重。"""
+    _validate_score_series(scores)
+    selected = select_top_k(scores, top_k, largest=largest)
+    selected_weights = equal_weight(selected, gross_exposure=gross_exposure)
+    result = pd.Series(0.0, index=scores.index.copy(), dtype=float, name="weight")
+    result.loc[selected_weights.index] = selected_weights
+    return result
+
+
+def scores_to_weight_table(
+    scores: pd.DataFrame,
+    top_k: int,
+    *,
+    gross_exposure: float = 1.0,
+    largest: bool = True,
+) -> pd.DataFrame:
+    """逐调仓日独立构建目标权重表，避免使用未来分数。"""
+    if not isinstance(scores, pd.DataFrame):
+        raise TypeError(f"scores must be a pandas DataFrame, got {type(scores).__name__}")
+    _validate_top_k(top_k)
+    _validate_gross_exposure(gross_exposure)
+    if not scores.index.is_unique:
+        raise ValueError("scores must contain unique rebalance dates")
+    if not scores.index.is_monotonic_increasing:
+        raise ValueError("scores rebalance dates must be in chronological order")
+    if not scores.columns.is_unique:
+        raise ValueError("scores must contain unique asset labels")
+    if not all(is_numeric_dtype(dtype) for dtype in scores.dtypes):
+        raise TypeError("scores must contain numeric values")
+    if scores.empty:
+        return pd.DataFrame(index=scores.index.copy(), columns=scores.columns.copy(), dtype=float)
+
+    rows = [
+        scores_to_target_weights(
+            row,
+            top_k,
+            gross_exposure=gross_exposure,
+            largest=largest,
+        ).to_numpy()
+        for _, row in scores.iterrows()
+    ]
+    return pd.DataFrame(rows, index=scores.index.copy(), columns=scores.columns.copy(), dtype=float)

src/quant_engine/risk.py

@@ -5,9 +5,22 @@
 
 from __future__ import annotations
 
+from typing import Any
+
 import numpy as np
 from numpy.typing import NDArray
-from typing import Any
+
+
+def _validate_inputs(weights: NDArray[Any], cov: NDArray[Any]) -> tuple[NDArray[Any], NDArray[Any]]:
+    """Normalize a portfolio vector and its covariance matrix."""
+    w = np.asarray(weights, dtype=float).ravel()
+    covariance = np.asarray(cov, dtype=float)
+    k = w.size
+    if k == 0:
+        raise ValueError("weights must contain at least one asset")
+    if covariance.shape != (k, k):
+        raise ValueError(f"cov shape {covariance.shape} does not match weights length {k}")
+    return w, covariance
 
 
 def risk_contribution(weights: NDArray[Any], cov: NDArray[Any]) -> NDArray[Any]:
@@ -25,11 +38,8 @@ def risk_contribution(weights: NDArray[Any], cov: NDArray[Any]) -> NDArray[Any]:
     Returns:
         RC: 风险贡献向量 (k,), Σ=1
     """
-    w = np.asarray(weights, dtype=float).ravel()
+    w, cov = _validate_inputs(weights, cov)
-    cov = np.asarray(cov, dtype=float)
     k = w.size
-    if cov.shape != (k, k):
-        raise ValueError(f"cov 形状 {cov.shape} 与 weights 长度 {k} 不匹配")
 
     port_var = float(w @ cov @ w)
     if port_var <= 0:
@@ -41,13 +51,11 @@ def risk_contribution(weights: NDArray[Any], cov: NDArray[Any]) -> NDArray[Any]:
 
 def marginal_risk_contribution(weights: NDArray[Any], cov: NDArray[Any]) -> NDArray[Any]:
     """边际风险贡献 (MRC_i): (Σw)_i。"""
-    w = np.asarray(weights, dtype=float).ravel()
+    w, cov = _validate_inputs(weights, cov)
-    cov = np.asarray(cov, dtype=float)
     return cov @ w  # type: ignore[no-any-return]
 
 
 def component_var(weights: NDArray[Any], cov: NDArray[Any]) -> NDArray[Any]:
     """成分方差: w_i · (Σw)_i; 与 RC 的关系 RC_i = CV_i / w'Σw。"""
-    w = np.asarray(weights, dtype=float).ravel()
+    w, cov = _validate_inputs(weights, cov)
-    cov = np.asarray(cov, dtype=float)
     return w * (cov @ w)  # type: ignore[no-any-return]

tests/governance/test_ci_contract.py

@@ -0,0 +1,24 @@
+from __future__ import annotations
+
+import re
+import unittest
+from pathlib import Path
+
+
+ROOT = Path(__file__).resolve().parents[2]
+
+
+class CiContractTests(unittest.TestCase):
+    def test_ci_is_one_dependency_free_lite_gate(self) -> None:
+        workflow = (ROOT / ".gitea/workflows/ci.yml").read_text(encoding="utf-8")
+        jobs = workflow.split("jobs:", 1)[1]
+        self.assertEqual(re.findall(r"(?m)^  ([a-z][a-z0-9_-]*):\s*$", jobs), ["lite"])
+        self.assertIn("actions/checkout@524e936cd9e579adf00e308bfdf971aebc7de09e", workflow)
+        self.assertIn("persist-credentials: false", workflow)
+        self.assertIn("python3 tests/governance/test_module_spec.py", workflow)
+        for forbidden in ("setup-python", "pip ", "curl ", "wget ", "docker pull"):
+            self.assertNotIn(forbidden, workflow)
+
+
+if __name__ == "__main__":
+    unittest.main()

tests/governance/test_module_spec.py

@@ -0,0 +1,32 @@
+from __future__ import annotations
+
+import json
+import unittest
+from pathlib import Path
+
+
+ROOT = Path(__file__).resolve().parents[2]
+
+
+class ModuleSpecTests(unittest.TestCase):
+    def test_module_spec_declares_pure_research_engine_boundary(self) -> None:
+        spec = json.loads((ROOT / "MODULE_SPEC.yaml").read_text(encoding="utf-8"))
+        self.assertEqual(spec["module_id"], "quant_engine")
+        self.assertEqual(spec["authority"]["subject"], spec["module_id"])
+        self.assertEqual(spec["repository"]["type"], "research_engine")
+        self.assertEqual(spec["bounded_context"]["domain"], "quantitative-research-engine")
+        prohibited = " ".join(spec["bounded_context"]["prohibited_responsibilities"]).lower()
+        for term in ("investment advice", "live order", "credentials", "source facts"):
+            self.assertIn(term, prohibited)
+        self.assertEqual(spec["contracts"], {"provides": [], "consumes": []})
+        self.assertEqual(spec["dependencies"], [])
+        self.assertTrue(
+            all(
+                command["required"] and not command["network"]
+                for command in spec["verification"]["commands"]
+            )
+        )
+
+
+if __name__ == "__main__":
+    unittest.main()

tests/test_backtest.py

@@ -0,0 +1,209 @@
+"""Backtest contract tests for weights, NAV, rebalancing, and benchmarks."""
+
+from __future__ import annotations
+
+import pandas as pd
+import pytest
+
+from quant_engine.backtest import (
+    BacktestResult,
+    compare_to_benchmark,
+    compute_nav_from_weights,
+    compute_returns_from_nav,
+    rebalance_periodic,
+    run_weight_backtest,
+    weights_to_long_short,
+)
+
+
+def test_compute_nav_from_weights_forward_fills_rebalance_weights() -> None:
+    dates = pd.date_range("2026-01-05", periods=3, freq="B")
+    weights = pd.DataFrame({"A": [0.5], "B": [0.5]}, index=dates[:1])
+    returns = pd.DataFrame({"A": [0.10, 0.00, -0.10], "B": [0.00, 0.10, 0.00]}, index=dates)
+
+    nav = compute_nav_from_weights(weights, returns, initial_capital=100.0)
+
+    expected = pd.Series([105.0, 110.25, 104.7375], index=dates)
+    pd.testing.assert_series_equal(nav, expected)
+
+
+def test_compute_nav_stays_in_cash_before_first_rebalance() -> None:
+    dates = pd.date_range("2026-01-05", periods=3, freq="B")
+    weights = pd.DataFrame({"A": [1.0]}, index=dates[1:2])
+    returns = pd.DataFrame({"A": [0.50, 0.10, 0.10]}, index=dates)
+
+    nav = compute_nav_from_weights(weights, returns)
+
+    pd.testing.assert_series_equal(nav, pd.Series([1.0, 1.1, 1.21], index=dates))
+
+
+def test_compute_nav_ignores_weight_columns_without_returns() -> None:
+    dates = pd.date_range("2026-01-05", periods=2, freq="B")
+    weights = pd.DataFrame({"A": [0.5], "MISSING": [0.5]}, index=dates[:1])
+    returns = pd.DataFrame({"A": [0.10, 0.10]}, index=dates)
+
+    nav = compute_nav_from_weights(weights, returns)
+
+    pd.testing.assert_series_equal(nav, pd.Series([1.05, 1.1025], index=dates))
+
+
+def test_compute_nav_charges_configured_turnover_cost() -> None:
+    dates = pd.date_range("2026-01-05", periods=2, freq="B")
+    weights = pd.DataFrame({"A": [1.0]}, index=dates[:1])
+    returns = pd.DataFrame({"A": [0.0, 0.0]}, index=dates)
+
+    nav = compute_nav_from_weights(weights, returns, tc_rate=0.01)
+
+    pd.testing.assert_series_equal(nav, pd.Series([0.995, 0.995], index=dates))
+
+
+def test_compute_returns_from_nav_preserves_index_and_sets_initial_zero() -> None:
+    nav = pd.Series([100.0, 110.0, 99.0], index=pd.date_range("2026-01-05", periods=3))
+
+    result = compute_returns_from_nav(nav)
+
+    pd.testing.assert_series_equal(result, pd.Series([0.0, 0.1, -0.1], index=nav.index))
+
+
+def test_rebalance_periodic_maps_weekend_to_previous_trading_day() -> None:
+    dates = pd.date_range("2026-01-05", periods=5, freq="B")
+    target = pd.Series({"A": 0.6, "B": 0.4})
+
+    result = rebalance_periodic(target, [pd.Timestamp("2026-01-10")], dates)
+
+    assert result.loc[pd.Timestamp("2026-01-08")].sum() == 0.0
+    pd.testing.assert_series_equal(
+        result.loc[pd.Timestamp("2026-01-09")], target, check_names=False
+    )
+
+
+def test_rebalance_periodic_accepts_empty_trading_calendar() -> None:
+    target = pd.Series({"A": 1.0})
+
+    result = rebalance_periodic(
+        target,
+        [pd.Timestamp("2026-01-05")],
+        pd.DatetimeIndex([]),
+    )
+
+    assert result.empty
+    assert result.columns.tolist() == ["A"]
+
+
+def test_weights_to_long_short_allocates_each_leg() -> None:
+    result = weights_to_long_short(["A", "B"], ["C"], long_weight=0.6, short_weight=0.4)
+
+    assert result["A"] == pytest.approx(0.3)
+    assert result["B"] == pytest.approx(0.3)
+    assert result["C"] == pytest.approx(-0.4)
+    assert result.sum() == pytest.approx(0.2)
+
+
+def test_weights_to_long_short_keeps_explicit_universe() -> None:
+    result = weights_to_long_short(["A"], [], all_tickers=["A", "B"])
+
+    pd.testing.assert_series_equal(result, pd.Series({"A": 0.5, "B": 0.0}))
+
+
+def test_compare_to_benchmark_returns_report_table() -> None:
+    dates = pd.date_range("2026-01-05", periods=4, freq="B")
+    strategy = pd.Series([1.0, 1.1, 1.0, 1.2], index=dates)
+    benchmark = pd.Series([1.0, 1.0, 1.05, 1.1], index=dates)
+
+    result = compare_to_benchmark(strategy, benchmark)
+
+    assert result.columns.tolist() == ["策略", "基准"]
+    assert result.loc["n_days", "策略"] == 4
+    assert result.loc["累计收益", "策略"] == pytest.approx(0.2)
+    assert result.loc["累计收益", "基准"] == pytest.approx(0.1)
+
+
+def test_compare_to_benchmark_rejects_non_overlapping_dates() -> None:
+    strategy = pd.Series([1.0], index=[pd.Timestamp("2026-01-05")])
+    benchmark = pd.Series([1.0], index=[pd.Timestamp("2026-02-05")])
+
+    with pytest.raises(ValueError, match="overlapping dates"):
+        compare_to_benchmark(strategy, benchmark)
+
+
+# ── 统一回测结果门面 ──────────────────────────────────────
+
+
+def test_run_weight_backtest_returns_nav_returns_and_input_snapshot() -> None:
+    dates = pd.date_range("2026-01-05", periods=3, freq="B")
+    weights = pd.DataFrame({"A": [1.0]}, index=dates[:1])
+    stock_returns = pd.DataFrame({"A": [0.10, -0.10, 0.20]}, index=dates)
+
+    result = run_weight_backtest(weights, stock_returns, initial_capital=100.0)
+
+    assert isinstance(result, BacktestResult)
+    pd.testing.assert_series_equal(
+        result.nav,
+        pd.Series([110.0, 99.0, 118.8], index=dates),
+    )
+    pd.testing.assert_series_equal(
+        result.returns,
+        pd.Series([0.0, -0.1, 0.2], index=dates),
+    )
+    pd.testing.assert_frame_equal(result.weights, weights)
+
+
+def test_backtest_result_stats_reuses_standard_metrics_contract() -> None:
+    dates = pd.date_range("2026-01-05", periods=3, freq="B")
+    result = run_weight_backtest(
+        pd.DataFrame({"A": [1.0]}, index=dates[:1]),
+        pd.DataFrame({"A": [0.10, -0.10, 0.20]}, index=dates),
+    )
+
+    stats = result.stats(rf=0.02)
+
+    assert stats["n_days"] == 3
+    assert stats["ann_return"] == pytest.approx(
+        (1.0 * 0.9 * 1.2) ** (252 / 3) - 1.0
+    )
+    assert "sharpe" in stats
+    assert stats["drawback"] == stats["max_drawdown"]
+
+
+def test_backtest_result_builds_benchmark_report() -> None:
+    dates = pd.date_range("2026-01-05", periods=3, freq="B")
+    benchmark = pd.Series([1.0, 1.05, 1.10], index=dates, name="benchmark")
+    result = run_weight_backtest(
+        pd.DataFrame({"A": [1.0]}, index=dates[:1]),
+        pd.DataFrame({"A": [0.10, -0.10, 0.20]}, index=dates),
+        benchmark_nav=benchmark,
+    )
+
+    report = result.benchmark_report()
+
+    assert report.columns.tolist() == ["策略", "基准"]
+    assert report.loc["累计收益", "基准"] == pytest.approx(0.10)
+
+
+def test_backtest_result_requires_benchmark_for_comparison() -> None:
+    dates = pd.date_range("2026-01-05", periods=2, freq="B")
+    result = run_weight_backtest(
+        pd.DataFrame({"A": [1.0]}, index=dates[:1]),
+        pd.DataFrame({"A": [0.0, 0.0]}, index=dates),
+    )
+
+    with pytest.raises(ValueError, match="benchmark_nav"):
+        result.benchmark_report()
+
+
+def test_backtest_result_isolated_from_mutated_caller_inputs() -> None:
+    dates = pd.date_range("2026-01-05", periods=2, freq="B")
+    weights = pd.DataFrame({"A": [1.0]}, index=dates[:1])
+    benchmark = pd.Series([1.0, 1.1], index=dates)
+    result = run_weight_backtest(
+        weights,
+        pd.DataFrame({"A": [0.0, 0.0]}, index=dates),
+        benchmark_nav=benchmark,
+    )
+
+    weights.iloc[0, 0] = 0.0
+    benchmark.iloc[1] = 99.0
+
+    assert result.weights.iloc[0, 0] == 1.0
+    assert result.benchmark_nav is not None
+    assert result.benchmark_nav.iloc[1] == 1.1

tests/test_execution.py

@@ -11,6 +11,7 @@ import pytest
 from quant_engine.execution import (
     ExecutionConfig,
     ExecutionResult,
+    ExecutionSimulationResult,
     apply_bid_ask_spread,
     apply_volume_constraint,
     check_price_limit,
@@ -20,6 +21,7 @@ from quant_engine.execution import (
     run_end_to_end_poc,
     simulate_execution,
     simulate_multi_day,
+    simulate_multi_day_with_audit,
     simulate_with_daily_data,
     total_costs,
     total_turnover,
@@ -327,24 +329,26 @@ def test_simulate_multi_day_length_mismatch_raises():
 
 
 def test_simulate_multi_day_first_day_value_equals_initial():
-    """第一天 portfolio_value = initial_cash（无持仓）。"""
+    """零成本下第一天日末 NAV 等于初始资金。"""
     signals = [("d1", {"A": 1.0})]
     prices = [("d1", {"A": 10.0})]
-    positions = simulate_multi_day(signals, prices, 1_000_000.0)
+    config = ExecutionConfig(
-    # 第一天 NAV = 1_000_000（无持仓），第二天才是调仓后
+        commission_bps=0,
+        stamp_tax_bps=0,
+        slippage_bps=0,
+        min_trade_amount=0,
+    )
+    positions = simulate_multi_day(signals, prices, 1_000_000.0, config)
     assert positions[0].portfolio_value == 1_000_000.0
+    assert positions[0].holdings == {"A": 100_000.0}
 
 
 def test_simulate_multi_day_holdings_evolution():
-    """调仓后 holdings 演化。
+    """日末快照应反映当天调仓后的 holdings。"""
-
-    注意：positions[i] 是第 i 天 rebalance 之前的快照。
-    所以要看 d2 rebalance 后的 holdings，需要看 positions[2]（d3 的快照）。
-    """
     signals = [
         ("d1", {"A": 0.5, "B": 0.5}),
         ("d2", {"A": 1.0, "B": 0.0}),  # 全仓 A
-        ("d3", {"A": 1.0, "B": 0.0}),  # 第三天的快照才能看到 d2 rebalance 后的 holdings
+        ("d3", {"A": 1.0, "B": 0.0}),
     ]
     prices = [
         ("d1", {"A": 10.0, "B": 20.0}),
@@ -352,9 +356,118 @@ def test_simulate_multi_day_holdings_evolution():
         ("d3", {"A": 12.0, "B": 22.0}),
     ]
     positions = simulate_multi_day(signals, prices, 1_000_000.0)
-    # d3 的 PRE-trade snapshot 应该只有 A（B 在 d2 被平仓）
+    assert "B" not in positions[1].holdings
-    assert "B" not in positions[2].holdings
+    assert "A" in positions[1].holdings
-    assert "A" in positions[2].holdings
+
+
+def test_simulate_multi_day_with_audit_rebalances_target_weights_by_delta():
+    """相同目标权重不应在每个交易日重复买入。"""
+    config = ExecutionConfig(
+        commission_bps=0,
+        stamp_tax_bps=0,
+        slippage_bps=0,
+        min_trade_amount=0,
+    )
+    targets = [(date, {"A": 1.0}) for date in ("d1", "d2", "d3")]
+    prices = [(date, {"A": 10.0}) for date in ("d1", "d2", "d3")]
+
+    result = simulate_multi_day_with_audit(targets, prices, 1_000.0, config)
+
+    assert isinstance(result, ExecutionSimulationResult)
+    assert [len(day.executions) for day in result.daily_executions] == [1, 0, 0]
+    assert result.total_turnover == pytest.approx(1_000.0)
+    assert [position.cash for position in result.positions] == pytest.approx([0.0, 0.0, 0.0])
+    assert [position.holdings["A"] for position in result.positions] == pytest.approx(
+        [100.0, 100.0, 100.0]
+    )
+    assert [position.portfolio_value for position in result.positions] == pytest.approx(
+        [1_000.0, 1_000.0, 1_000.0]
+    )
+
+
+def test_simulate_multi_day_with_audit_records_costs_without_replay():
+    """成交成本与日末 NAV 应来自同一次状态推进。"""
+    targets = [("d1", {"A": 1.0}), ("d2", {"A": 1.0})]
+    prices = [("d1", {"A": 10.0}), ("d2", {"A": 10.0})]
+
+    result = simulate_multi_day_with_audit(targets, prices, 1_000.0)
+
+    first_day = result.daily_executions[0]
+    assert first_day.nav_before == pytest.approx(1_000.0)
+    assert first_day.nav_after == pytest.approx(result.positions[0].portfolio_value)
+    assert result.total_costs == pytest.approx(sum(r.total_cost for r in first_day.executions))
+    assert result.final_portfolio_value == pytest.approx(1_000.0 - result.total_costs)
+    assert result.daily_executions[1].executions == ()
+
+
+def test_simulate_multi_day_with_audit_never_spends_more_cash_than_available():
+    """满仓目标应按可用现金部分成交，不能用负现金隐式加杠杆。"""
+    result = simulate_multi_day_with_audit(
+        [("d1", {"A": 1.0})],
+        [("d1", {"A": 10.0})],
+        1_000.0,
+    )
+
+    execution = result.daily_executions[0].executions[0]
+    assert result.positions[0].cash >= -1e-9
+    assert 0 < execution.partial_fill_pct < 1
+    assert execution.blocked_reason == "insufficient_cash_partial_fill"
+    assert result.final_portfolio_value == pytest.approx(1_000.0 - result.total_costs)
+
+
+@pytest.mark.parametrize(
+    "targets",
+    [
+        {"A": -0.1},
+        {"A": 0.6, "B": 0.5},
+        {"A": float("nan")},
+    ],
+)
+def test_simulate_multi_day_with_audit_rejects_invalid_long_only_weights(targets):
+    """多日 A 股目标必须是有限、非负且合计不超过 100% 的权重。"""
+    with pytest.raises(ValueError, match="target weights"):
+        simulate_multi_day_with_audit(
+            [("d1", targets)],
+            [("d1", {"A": 10.0, "B": 10.0})],
+            1_000.0,
+        )
+
+
+def test_simulate_multi_day_with_audit_requires_price_for_existing_holding():
+    """已有持仓缺价时无法可信估值，必须失败而不是把市值记为零。"""
+    with pytest.raises(ValueError, match="missing price for held asset A"):
+        simulate_multi_day_with_audit(
+            [("d1", {"A": 1.0}), ("d2", {"A": 1.0})],
+            [("d1", {"A": 10.0}), ("d2", {})],
+            1_000.0,
+        )
+
+
+def test_simulate_multi_day_with_audit_records_unpriced_target_rejection():
+    """缺失价格的目标不能吞掉现金，且必须留下拒绝原因。"""
+    result = simulate_multi_day_with_audit(
+        [("d1", {"A": 1.0})],
+        [("d1", {"B": 10.0})],
+        1_000.0,
+    )
+
+    rejection = result.daily_executions[0].executions[0]
+    assert rejection.stock_code == "A"
+    assert rejection.executed_value == 0.0
+    assert rejection.partial_fill_pct == 0.0
+    assert rejection.blocked_reason == "missing_price"
+    assert result.positions[0].cash == 1_000.0
+    assert result.positions[0].holdings == {}
+
+
+def test_simulate_multi_day_with_audit_requires_matching_dates():
+    """权重与价格日期错位必须显式失败，不能按位置静默配对。"""
+    with pytest.raises(ValueError, match="dates must match"):
+        simulate_multi_day_with_audit(
+            [("d1", {"A": 1.0})],
+            [("d2", {"A": 10.0})],
+            1_000.0,
+        )
 
 
 # ── v1.2.0 Phase 1：端到端 POC（run_end_to_end_poc） ─────
@@ -449,6 +562,15 @@ def test_run_end_to_end_poc_costs_recorded():
     result = run_end_to_end_poc(signals, prices, 1_000_000.0)
     assert result["total_costs"] > 0
     assert result["total_turnover"] > 0
+    executions = [
+        execution
+        for daily in result["daily_executions"]
+        for execution in daily.executions
+    ]
+    assert result["total_costs"] == pytest.approx(sum(item.total_cost for item in executions))
+    assert result["total_turnover"] == pytest.approx(
+        sum(item.executed_value for item in executions)
+    )
 
 
 # ── v1.2.0 Phase 2: T+1 / 涨跌停 / 部分成交 / 买卖价差 ─────
@@ -741,8 +863,8 @@ def test_compute_realized_pnl_sell_realizes():
         target_weights_history=targets,
     )
     pnl_list = compute_realized_pnl(positions)
-    # 第三天（卖出兑现）应有 realized 正利润（cash 从 -800 → 2M = +2M）
+    # 第二天日末快照已包含当日卖出，现金流入应在当天反映。
-    assert pnl_list[2].realized_pnl > 0
+    assert pnl_list[1].realized_pnl > 0
 
 
 # ── O3: end-to-end 端到端测试（集成多个函数） ──────────────

tests/test_factor_library.py

@@ -0,0 +1,173 @@
+"""Contracts for reusable factor diagnostics and transformations."""
+
+from __future__ import annotations
+
+import numpy as np
+import pandas as pd
+import pytest
+
+from quant_engine.factor_library import (
+    annualized_sharpe,
+    apply_factor_direction,
+    cross_sectional_momentum,
+    cross_sectional_pct_rank,
+    cross_sectional_rank_with_direction,
+    ic_summary,
+    jb_test,
+    kurtosis,
+    ols_regress,
+    rolling_annual_vol,
+    rolling_zscore,
+    skewness,
+    spearman_ic,
+    time_series_momentum,
+    turnover,
+    winsorize,
+)
+
+
+def test_turnover_supports_one_way_and_round_trip_conventions() -> None:
+    weights = pd.DataFrame({"A": [1.0, 0.0], "B": [0.0, 1.0]})
+
+    pd.testing.assert_series_equal(turnover(weights), pd.Series([1.0], index=[1]))
+    pd.testing.assert_series_equal(
+        turnover(weights, divide_by_two=False), pd.Series([2.0], index=[1])
+    )
+    assert turnover(weights.iloc[:1]).empty
+
+
+def test_ic_functions_measure_monotonic_relationship() -> None:
+    factor = pd.Series([1.0, 2.0, 3.0, 4.0])
+    forward = pd.Series([10.0, 20.0, 30.0, 40.0])
+
+    assert spearman_ic(factor, forward) == pytest.approx(1.0)
+    result = ic_summary(factor, forward, periods=(1,), method="pearson")
+    assert result.loc[1, "ic_mean"] == pytest.approx(1.0)
+    assert result.loc[1, "n"] == 4
+
+
+def test_ic_summary_rejects_unknown_method() -> None:
+    with pytest.raises(ValueError, match="not supported"):
+        ic_summary(pd.Series([1, 2, 3]), pd.Series([1, 2, 3]), method="kendall")
+
+
+def test_winsorize_clips_tails_and_preserves_nan() -> None:
+    values = pd.Series([0.0, 1.0, 2.0, 100.0, np.nan])
+
+    result = winsorize(values, lower=0.25, upper=0.75)
+
+    assert result.iloc[0] == pytest.approx(0.75)
+    assert result.iloc[3] == pytest.approx(26.5)
+    assert pd.isna(result.iloc[4])
+
+
+def test_distribution_diagnostics_handle_short_samples() -> None:
+    assert np.isnan(skewness(pd.Series([1.0, 2.0])))
+    assert np.isnan(kurtosis(pd.Series([1.0, 2.0, 3.0])))
+    jb, p_value = jb_test(pd.Series(range(7), dtype=float))
+    assert np.isnan(jb)
+    assert np.isnan(p_value)
+
+
+def test_distribution_diagnostics_return_finite_values() -> None:
+    values = pd.Series([-2.0, -1.0, -0.5, 0.0, 0.25, 0.75, 1.0, 3.0])
+
+    assert np.isfinite(skewness(values))
+    assert np.isfinite(kurtosis(values))
+    jb, p_value = jb_test(values)
+    assert jb >= 0
+    assert 0 <= p_value <= 1
+
+
+def test_ols_recovers_linear_coefficients_and_residual_index() -> None:
+    index = pd.date_range("2026-01-01", periods=8)
+    factor = pd.Series(np.arange(8, dtype=float), index=index, name="factor")
+    target = 1.5 + 2.0 * factor
+
+    result = ols_regress(target, factor)
+
+    assert result.alpha == pytest.approx(1.5)
+    assert result.beta["factor"] == pytest.approx(2.0)
+    assert result.r_squared == pytest.approx(1.0)
+    assert result.n == 8
+    assert result.resid.index.equals(index)
+
+
+def test_ols_handles_collinear_factors_without_crashing() -> None:
+    x = pd.DataFrame({"a": np.arange(8, dtype=float), "b": np.arange(8, dtype=float)})
+    y = pd.Series(1.0 + x["a"])
+
+    result = ols_regress(y, x)
+
+    assert result.n == 8
+    assert np.isfinite(result.beta).all()
+    np.testing.assert_allclose(result.resid, 0.0, atol=1e-12)
+
+
+def test_ols_short_sample_returns_empty_estimate() -> None:
+    result = ols_regress(pd.Series([1.0, 2.0]), pd.Series([1.0, 2.0], name="x"))
+
+    assert np.isnan(result.alpha)
+    assert result.beta.empty
+    assert result.n == 2
+
+
+def test_momentum_and_rolling_transforms_match_manual_values() -> None:
+    prices = pd.DataFrame({"A": [100.0, 110.0, 121.0, 133.1]})
+    momentum = cross_sectional_momentum(prices, lookback=2, skip=0)
+    assert momentum.iloc[2, 0] == pytest.approx(0.21)
+
+    returns = pd.Series([0.1, 0.1, -0.5, -0.5])
+    pd.testing.assert_series_equal(
+        time_series_momentum(returns, lookback=2),
+        pd.Series([0, 1, -1, -1]),
+    )
+
+    values = pd.Series([1.0, 2.0, 3.0])
+    zscore = rolling_zscore(values, window=3)
+    assert zscore.iloc[-1] == pytest.approx(1.0)
+    annual_vol = rolling_annual_vol(returns, window=2, min_periods=2, trading_days=4)
+    assert annual_vol.iloc[1] == pytest.approx(0.0)
+
+
+def test_rank_helpers_support_global_and_grouped_ranking() -> None:
+    frame = pd.DataFrame(
+        {"factor": [3.0, 1.0, 2.0, 4.0], "industry": ["x", "x", "y", "y"]}
+    )
+
+    global_rank = cross_sectional_pct_rank(frame, "factor", ascending=True)
+    grouped_rank = cross_sectional_pct_rank(
+        frame, "factor", group_col="industry", ascending=True
+    )
+
+    assert global_rank.tolist() == [0.75, 0.25, 0.5, 1.0]
+    assert grouped_rank.tolist() == [1.0, 0.5, 0.5, 1.0]
+    assert cross_sectional_pct_rank(frame, "missing").empty
+
+
+def test_factor_direction_and_directional_rank() -> None:
+    pe = pd.Series([10.0, 20.0], name="pe_ttm")
+    pd.testing.assert_series_equal(apply_factor_direction(pe), -pe)
+
+    frame = pd.DataFrame({"pe_ttm": [10.0, 20.0], "roe": [0.1, 0.2]})
+    assert cross_sectional_rank_with_direction(frame, "pe_ttm").tolist() == [1.0, 0.5]
+    assert cross_sectional_rank_with_direction(frame, "roe").tolist() == [0.5, 1.0]
+
+
+@pytest.mark.parametrize("direction", ["sideways", "", "REVERSE"])
+def test_factor_direction_rejects_unknown_values(direction: str) -> None:
+    factor = pd.Series([1.0, 2.0], name="roe")
+
+    with pytest.raises(ValueError, match="direction"):
+        apply_factor_direction(factor, direction=direction)
+    with pytest.raises(ValueError, match="direction"):
+        cross_sectional_rank_with_direction(
+            pd.DataFrame({"roe": factor}), "roe", direction=direction
+        )
+
+
+def test_annualized_sharpe_handles_empty_and_nonzero_returns() -> None:
+    assert annualized_sharpe(pd.Series(dtype=float)) == 0.0
+    returns = pd.Series([0.01, -0.01, 0.02, 0.0])
+    expected = returns.mean() * 252 / (returns.std() * np.sqrt(252))
+    assert annualized_sharpe(returns) == pytest.approx(expected)

tests/test_metrics.py

@@ -0,0 +1,93 @@
+"""Mathematical contracts for the standard performance metrics."""
+
+from __future__ import annotations
+
+import numpy as np
+import pandas as pd
+import pytest
+
+from quant_engine.metrics import (
+    TRADING_DAYS_PER_YEAR,
+    annualized_return,
+    annualized_volatility,
+    calmar_ratio,
+    max_drawdown,
+    sharpe_ratio,
+    summary,
+    win_rate,
+)
+
+
+def test_annualized_return_uses_compounded_simple_returns() -> None:
+    returns = pd.Series([0.10, -0.10])
+    expected = 0.99 ** (TRADING_DAYS_PER_YEAR / 2) - 1.0
+
+    assert annualized_return(returns) == pytest.approx(expected)
+
+
+def test_annualized_volatility_uses_sample_standard_deviation() -> None:
+    returns = pd.Series([0.01, 0.03, 0.02])
+
+    assert annualized_volatility(returns) == pytest.approx(
+        returns.std() * np.sqrt(TRADING_DAYS_PER_YEAR)
+    )
+
+
+def test_sharpe_ratio_subtracts_annual_risk_free_rate() -> None:
+    returns = pd.Series([0.01, -0.005, 0.02, 0.0])
+
+    result = sharpe_ratio(returns, rf=0.02)
+
+    assert result == pytest.approx(
+        (annualized_return(returns) - 0.02) / annualized_volatility(returns)
+    )
+
+
+def test_zero_volatility_metrics_return_zero() -> None:
+    returns = pd.Series([0.0, 0.0, 0.0])
+
+    assert sharpe_ratio(returns) == 0.0
+    assert calmar_ratio(returns) == 0.0
+
+
+def test_max_drawdown_includes_loss_from_initial_capital() -> None:
+    returns = pd.Series([-0.20, 0.0])
+
+    assert max_drawdown(returns) == pytest.approx(-0.20)
+
+
+def test_max_drawdown_tracks_peak_to_trough_loss() -> None:
+    returns = pd.Series([0.10, -0.20, 0.05])
+
+    assert max_drawdown(returns) == pytest.approx(-0.20)
+
+
+def test_metrics_clean_nan_and_infinite_values() -> None:
+    returns = pd.Series([0.10, np.nan, np.inf, -0.05, -np.inf])
+
+    assert win_rate(returns) == 0.5
+    assert summary(returns)["n_days"] == 2
+
+
+def test_summary_aliases_match_canonical_fields() -> None:
+    result = summary(pd.Series([0.01, -0.02, 0.03]))
+
+    assert result["annual_yield"] == result["ann_return"]
+    assert result["annual_sd"] == result["ann_volatility"]
+    assert result["drawback"] == result["max_drawdown"]
+
+
+@pytest.mark.parametrize(
+    "metric",
+    [annualized_return, annualized_volatility, sharpe_ratio, max_drawdown, calmar_ratio, win_rate],
+)
+def test_metrics_reject_non_series_input(metric) -> None:
+    with pytest.raises(TypeError, match=r"expected pd\.Series"):
+        metric([0.01, 0.02])
+
+
+def test_short_and_empty_series_return_zero() -> None:
+    assert annualized_return(pd.Series(dtype=float)) == 0.0
+    assert annualized_volatility(pd.Series([0.01])) == 0.0
+    assert max_drawdown(pd.Series([0.01])) == 0.0
+    assert win_rate(pd.Series(dtype=float)) == 0.0

tests/test_portfolio_construction.py

@@ -0,0 +1,158 @@
+"""Factor-score portfolio construction and backtest integration contracts."""
+
+from __future__ import annotations
+
+import numpy as np
+import pandas as pd
+import pytest
+
+from quant_engine.backtest import run_weight_backtest
+from quant_engine.portfolio_construction import (
+    equal_weight,
+    scores_to_target_weights,
+    scores_to_weight_table,
+    select_top_k,
+)
+
+
+def test_select_top_k_ignores_nan_and_breaks_ties_by_input_order() -> None:
+    scores = pd.Series([1.0, 1.0, np.nan, 0.5], index=["B", "A", "C", "D"])
+
+    selected = select_top_k(scores, top_k=2)
+
+    assert selected.tolist() == ["B", "A"]
+
+
+def test_select_top_k_can_select_lowest_scores() -> None:
+    scores = pd.Series([3.0, 1.0, 2.0], index=["A", "B", "C"])
+
+    selected = select_top_k(scores, top_k=2, largest=False)
+
+    assert selected.tolist() == ["B", "C"]
+
+
+def test_equal_weight_allocates_requested_gross_exposure() -> None:
+    result = equal_weight(pd.Index(["A", "B", "C"]), gross_exposure=0.9)
+
+    pd.testing.assert_series_equal(
+        result,
+        pd.Series([0.3, 0.3, 0.3], index=["A", "B", "C"], name="weight"),
+    )
+
+
+def test_equal_weight_returns_empty_float_series_for_no_assets() -> None:
+    result = equal_weight(pd.Index([], dtype=object))
+
+    assert result.empty
+    assert result.dtype == float
+    assert result.name == "weight"
+
+
+def test_scores_to_target_weights_keeps_full_universe_with_zero_for_unselected() -> None:
+    scores = pd.Series([0.2, 0.8, 0.5], index=["A", "B", "C"])
+
+    result = scores_to_target_weights(scores, top_k=2)
+
+    pd.testing.assert_series_equal(
+        result,
+        pd.Series([0.0, 0.5, 0.5], index=scores.index, name="weight"),
+    )
+
+
+def test_scores_to_target_weights_divides_exposure_over_available_scores() -> None:
+    scores = pd.Series([1.0, np.nan, 0.5], index=["A", "B", "C"])
+
+    result = scores_to_target_weights(scores, top_k=5, gross_exposure=0.8)
+
+    pd.testing.assert_series_equal(
+        result,
+        pd.Series([0.4, 0.0, 0.4], index=scores.index, name="weight"),
+    )
+
+
+def test_scores_to_weight_table_constructs_each_rebalance_independently() -> None:
+    dates = pd.to_datetime(["2026-01-05", "2026-01-07"])
+    scores = pd.DataFrame(
+        {"A": [3.0, 1.0], "B": [2.0, 3.0], "C": [1.0, 2.0]},
+        index=dates,
+    )
+
+    result = scores_to_weight_table(scores, top_k=2)
+
+    expected = pd.DataFrame(
+        {"A": [0.5, 0.0], "B": [0.5, 0.5], "C": [0.0, 0.5]},
+        index=dates,
+    )
+    pd.testing.assert_frame_equal(result, expected)
+
+    changed_future = scores.copy()
+    changed_future.iloc[1] = [100.0, -100.0, 0.0]
+    changed_result = scores_to_weight_table(changed_future, top_k=2)
+    pd.testing.assert_series_equal(result.iloc[0], changed_result.iloc[0])
+
+
+def test_factor_scores_flow_directly_into_weight_backtest() -> None:
+    dates = pd.date_range("2026-01-05", periods=3, freq="B")
+    scores = pd.DataFrame(
+        {"A": [2.0, 0.0], "B": [1.0, 3.0]},
+        index=dates[[0, 2]],
+    )
+    stock_returns = pd.DataFrame(
+        {"A": [0.10, 0.0, 0.0], "B": [0.0, 0.0, 0.20]},
+        index=dates,
+    )
+
+    weights = scores_to_weight_table(scores, top_k=1)
+    result = run_weight_backtest(weights, stock_returns)
+
+    pd.testing.assert_series_equal(result.nav, pd.Series([1.1, 1.1, 1.32], index=dates))
+    pd.testing.assert_frame_equal(result.weights, weights)
+
+
+@pytest.mark.parametrize("top_k", [0, -1])
+def test_portfolio_construction_rejects_non_positive_top_k(top_k: int) -> None:
+    scores = pd.Series([1.0], index=["A"])
+
+    with pytest.raises(ValueError, match="top_k must be positive"):
+        select_top_k(scores, top_k=top_k)
+
+
+@pytest.mark.parametrize("gross_exposure", [-0.1, np.inf, np.nan])
+def test_equal_weight_rejects_invalid_gross_exposure(gross_exposure: float) -> None:
+    with pytest.raises(ValueError, match="gross_exposure"):
+        equal_weight(pd.Index(["A"]), gross_exposure=gross_exposure)
+
+
+def test_portfolio_construction_rejects_duplicate_assets() -> None:
+    duplicate_scores = pd.Series([1.0, 2.0], index=["A", "A"])
+
+    with pytest.raises(ValueError, match="unique asset labels"):
+        scores_to_target_weights(duplicate_scores, top_k=1)
+
+
+def test_weight_table_rejects_duplicate_rebalance_dates() -> None:
+    duplicate_date = pd.Timestamp("2026-01-05")
+    scores = pd.DataFrame(
+        {"A": [1.0, 2.0]},
+        index=[duplicate_date, duplicate_date],
+    )
+
+    with pytest.raises(ValueError, match="unique rebalance dates"):
+        scores_to_weight_table(scores, top_k=1)
+
+
+def test_weight_table_rejects_unsorted_rebalance_dates() -> None:
+    scores = pd.DataFrame(
+        {"A": [1.0, 2.0]},
+        index=pd.to_datetime(["2026-01-07", "2026-01-05"]),
+    )
+
+    with pytest.raises(ValueError, match="chronological order"):
+        scores_to_weight_table(scores, top_k=1)
+
+
+def test_weight_table_rejects_non_numeric_scores() -> None:
+    scores = pd.DataFrame({"A": ["high"], "B": ["low"]})
+
+    with pytest.raises(TypeError, match="numeric"):
+        scores_to_weight_table(scores, top_k=1)

tests/test_risk.py

@@ -0,0 +1,54 @@
+"""Risk contribution contracts and validation tests."""
+
+from __future__ import annotations
+
+import numpy as np
+import pytest
+
+from quant_engine.risk import component_var, marginal_risk_contribution, risk_contribution
+
+
+def test_risk_contribution_sums_to_one_for_positive_portfolio_variance() -> None:
+    weights = np.array([0.5, 0.5])
+    covariance = np.diag([1.0, 4.0])
+
+    result = risk_contribution(weights, covariance)
+
+    np.testing.assert_allclose(result, [0.2, 0.8])
+    assert result.sum() == pytest.approx(1.0)
+
+
+def test_zero_variance_portfolio_falls_back_to_equal_contribution() -> None:
+    result = risk_contribution(np.array([0.2, 0.3, 0.5]), np.zeros((3, 3)))
+
+    np.testing.assert_allclose(result, np.full(3, 1 / 3))
+
+
+def test_marginal_and_component_risk_follow_matrix_identities() -> None:
+    weights = np.array([0.25, 0.75])
+    covariance = np.array([[0.04, 0.01], [0.01, 0.09]])
+
+    marginal = marginal_risk_contribution(weights, covariance)
+    component = component_var(weights, covariance)
+
+    np.testing.assert_allclose(marginal, covariance @ weights)
+    np.testing.assert_allclose(component, weights * marginal)
+    assert component.sum() == pytest.approx(weights @ covariance @ weights)
+
+
+@pytest.mark.parametrize(
+    "function",
+    [risk_contribution, marginal_risk_contribution, component_var],
+)
+def test_risk_functions_reject_covariance_shape_mismatch(function) -> None:
+    with pytest.raises(ValueError, match="does not match weights length"):
+        function(np.array([0.5, 0.5]), np.eye(3))
+
+
+@pytest.mark.parametrize(
+    "function",
+    [risk_contribution, marginal_risk_contribution, component_var],
+)
+def test_risk_functions_reject_empty_portfolio(function) -> None:
+    with pytest.raises(ValueError, match="at least one asset"):
+        function(np.array([]), np.empty((0, 0)))