docs: record covariance estimator decision

README.md

@@ -139,15 +139,15 @@ print(factor_backtest.benchmark_stats(benchmark_returns))
 
 # 下游稳定交付：显式提供代码版本、数据快照和时区，不在核心层写数据库。
 from quant_engine.artifact import build_research_run_artifact
-from quant_engine.risk import CovarianceSnapshot
+from quant_engine.risk import estimate_covariance_snapshot
 
 risk_date = factor_backtest.position_weights.index[-1].date()
-risk_snapshot = CovarianceSnapshot(
-    snapshot_id="<covariance-snapshot-id>",
+risk_snapshot = estimate_covariance_snapshot(
+    daily_asset_returns,
     as_of_date=risk_date,
-    covariance=daily_return_covariance,
-    return_frequency="1d",
-    periods_per_year=252,
+    lookback_sessions=252,
+    min_observations=120,
+    data_snapshot_id="<risk-return-data-snapshot-id>",
 )
 
 artifact = build_research_run_artifact(

docs/OPEN_SOURCE_REFERENCES.md

@@ -33,6 +33,19 @@ component-risk 语义结合，但只保留本项目需要的轻量合同：协
 component risk 闭合到年化组合波动，percentage contribution 闭合到 1。未来日期、资产
 标签不完整和零方差组合都直接失败，不以默认值伪造结果。
 
+## 2026-08-21：协方差快照估计
+
+| 项目 | 借鉴内容 | 当前决策 |
+|---|---|---|
+| [PyPortfolioOpt risk models](https://github.com/PyPortfolio/PyPortfolioOpt/blob/main/pypfopt/risk_models.py) | 将收益输入、协方差估计器和组合优化解耦；sample / EWM / shrinkage 使用统一标签输出 | 借鉴可替换估计器边界，不引入完整包 |
+| [scikit-learn covariance](https://github.com/scikit-learn/scikit-learn/blob/main/sklearn/covariance/_shrunk_covariance.py) | 维护成熟的 Ledoit–Wolf / OAS shrinkage 实现 | 未来作为可选 adapter；不复制统计公式 |
+| [Qlib structured risk model](https://github.com/microsoft/qlib/blob/main/qlib/model/riskmodel/structured.py) | PCA/FA 结构化协方差和固定随机状态 | 留作因子风险模型阶段，不进入当前 baseline |
+
+当前 `estimate_covariance_snapshot` 只编排 pandas 的 sample covariance：先按 `as_of_date`
+截断，再取固定 session 窗口，使用 complete-case 行并拒绝历史不足；禁止 pandas 默认的
+pairwise 样本集合产生含义不一致的矩阵。snapshot ID 对窗口数据、缺失掩码、上游数据
+快照身份和估计参数做 SHA-256，追加未来数据不会改变历史快照。
+
 ## hikyuu 的定位
 
 [hikyuu](https://github.com/fasiondog/hikyuu) 的 SG / MM / CN / PG 部件化思想、

docs/handoff/2026-08-21-research-artifact-contract.md

@@ -24,7 +24,7 @@
 
 ## Verification
 
-- `pytest -q`: 526 passed，9 个既有 SciPy warning；
+- `pytest -q`: 529 passed，9 个既有 SciPy warning；
 - risk/artifact focused coverage 87.85%；
 - `mypy --strict src/`: 16 source files passed；
 - changed-scope Ruff: passed；
@@ -38,8 +38,11 @@
 - `risk_snapshots` 按研究交易日映射，可只生成需要的风险观察日；
 - 使用成交后实际持仓，不包含现金风险资产；协方差资产标签必须与研究资产全集一致；
 - `covariance_as_of_date` 不得晚于 `trade_date`；无正组合方差时拒绝产物。
+- `estimate_covariance_snapshot` 从显式数据快照的日收益生成无前视、complete-case、
+  SHA-256 可复现的 per-period sample covariance；不包含 I/O 或未来行。
 
 ## Next action
 
 保持 Draft PR #5，不绕过堆叠顺序合并；下游 `research_results` / `research_platform`
-已在各自 Draft 分支兼容 1.0.0 / 1.1.0，下一阶段以真实数据适配器提供可复现协方差快照。
+已在各自 Draft 分支兼容 1.0.0 / 1.1.0，下一阶段让市场数据适配器提供带稳定
+`data_snapshot_id` 的资产日收益，再评估可选 scikit-learn shrinkage adapter。

src/quant_engine/risk.py

@@ -5,6 +5,8 @@
 
 from __future__ import annotations
 
+import hashlib
+import json
 from dataclasses import dataclass
 from datetime import date
 from typing import Any
@@ -17,6 +19,7 @@ __all__ = [
     "ComponentRiskResult",
     "CovarianceSnapshot",
     "component_var",
+    "estimate_covariance_snapshot",
     "labeled_component_risk",
     "marginal_risk_contribution",
     "risk_contribution",
@@ -32,6 +35,14 @@ class CovarianceSnapshot:
     _covariance: pd.DataFrame
     return_frequency: str
     periods_per_year: int
+    method: str
+    window_start_date: date | None
+    window_end_date: date | None
+    observations: int | None
+    lookback_sessions: int | None
+    missing_policy: str
+    data_snapshot_id: str
+    input_sha256: str
 
     def __init__(
         self,
@@ -41,6 +52,14 @@ class CovarianceSnapshot:
         covariance: pd.DataFrame,
         return_frequency: str,
         periods_per_year: int,
+        method: str = "provided",
+        window_start_date: str | date | pd.Timestamp | None = None,
+        window_end_date: str | date | pd.Timestamp | None = None,
+        observations: int | None = None,
+        lookback_sessions: int | None = None,
+        missing_policy: str = "provided",
+        data_snapshot_id: str = "",
+        input_sha256: str = "",
     ) -> None:
         if not isinstance(snapshot_id, str) or not snapshot_id.strip():
             raise ValueError("snapshot_id must be non-empty")
@@ -54,18 +73,59 @@ class CovarianceSnapshot:
             raise TypeError("covariance must be a pandas DataFrame")
         if covariance.empty:
             raise ValueError("covariance must contain at least one asset")
-        try:
-            normalized_as_of = pd.Timestamp(as_of_date)
-        except (TypeError, ValueError) as error:
-            raise ValueError("as_of_date must be a valid date") from error
-        if pd.isna(normalized_as_of):
-            raise ValueError("as_of_date must be a valid date")
+        if not isinstance(method, str) or not method.strip():
+            raise ValueError("method must be non-empty")
+        if not isinstance(missing_policy, str) or not missing_policy.strip():
+            raise ValueError("missing_policy must be non-empty")
+        for value, name in (
+            (observations, "observations"),
+            (lookback_sessions, "lookback_sessions"),
+        ):
+            if value is not None and (
+                isinstance(value, bool) or not isinstance(value, int) or value <= 0
+            ):
+                raise ValueError(f"{name} must be a positive integer when provided")
+        if input_sha256 and (
+            len(input_sha256) != 64
+            or any(character not in "0123456789abcdef" for character in input_sha256)
+        ):
+            raise ValueError("input_sha256 must be a lowercase SHA-256 digest")
+
+        normalized_as_of = _normalized_date(as_of_date, "as_of_date")
+        normalized_window_start = (
+            None
+            if window_start_date is None
+            else _normalized_date(window_start_date, "window_start_date")
+        )
+        normalized_window_end = (
+            None
+            if window_end_date is None
+            else _normalized_date(window_end_date, "window_end_date")
+        )
+        if (normalized_window_start is None) != (normalized_window_end is None):
+            raise ValueError("window_start_date and window_end_date must be provided together")
+        if (
+            normalized_window_start is not None
+            and normalized_window_end is not None
+            and normalized_window_start > normalized_window_end
+        ):
+            raise ValueError("window_start_date must not be after window_end_date")
+        if normalized_window_end is not None and normalized_window_end > normalized_as_of:
+            raise ValueError("window_end_date must not be after as_of_date")
 
         object.__setattr__(self, "snapshot_id", snapshot_id.strip())
-        object.__setattr__(self, "as_of_date", normalized_as_of.date())
+        object.__setattr__(self, "as_of_date", normalized_as_of)
         object.__setattr__(self, "_covariance", covariance.copy(deep=True))
         object.__setattr__(self, "return_frequency", return_frequency.strip())
         object.__setattr__(self, "periods_per_year", periods_per_year)
+        object.__setattr__(self, "method", method.strip())
+        object.__setattr__(self, "window_start_date", normalized_window_start)
+        object.__setattr__(self, "window_end_date", normalized_window_end)
+        object.__setattr__(self, "observations", observations)
+        object.__setattr__(self, "lookback_sessions", lookback_sessions)
+        object.__setattr__(self, "missing_policy", missing_policy.strip())
+        object.__setattr__(self, "data_snapshot_id", data_snapshot_id.strip())
+        object.__setattr__(self, "input_sha256", input_sha256)
 
     @property
     def covariance(self) -> pd.DataFrame:
@@ -73,6 +133,144 @@ class CovarianceSnapshot:
         return self._covariance.copy(deep=True)
 
 
+def _normalized_date(value: object, name: str) -> date:
+    try:
+        timestamp = pd.Timestamp(value)
+    except (TypeError, ValueError) as error:
+        raise ValueError(f"{name} must be a valid date") from error
+    if pd.isna(timestamp):
+        raise ValueError(f"{name} must be a valid date")
+    return date(int(timestamp.year), int(timestamp.month), int(timestamp.day))
+
+
+def _positive_integer(value: int, name: str, *, minimum: int = 1) -> int:
+    if isinstance(value, bool) or not isinstance(value, int) or value < minimum:
+        raise ValueError(f"{name} must be an integer of at least {minimum}")
+    return value
+
+
+def _input_fingerprint(window: pd.DataFrame, session_dates: list[date]) -> str:
+    values = window.to_numpy(dtype=float, copy=True)
+    missing = np.isnan(values)
+    normalized = np.where(missing, 0.0, values).astype("<f8", copy=False)
+    metadata = {
+        "assets": [str(asset) for asset in window.columns],
+        "sessions": [session.isoformat() for session in session_dates],
+        "shape": list(values.shape),
+    }
+    digest = hashlib.sha256(
+        json.dumps(metadata, sort_keys=True, separators=(",", ":")).encode("utf-8")
+    )
+    digest.update(missing.astype(np.uint8, copy=False).tobytes(order="C"))
+    digest.update(normalized.tobytes(order="C"))
+    return digest.hexdigest()
+
+
+def estimate_covariance_snapshot(
+    asset_returns: pd.DataFrame,
+    *,
+    as_of_date: str | date | pd.Timestamp,
+    lookback_sessions: int,
+    min_observations: int,
+    data_snapshot_id: str,
+    return_frequency: str = "1d",
+    periods_per_year: int = 252,
+) -> CovarianceSnapshot:
+    """Estimate a deterministic per-period sample covariance without look-ahead.
+
+    The selected lookback window is truncated at ``as_of_date`` before any
+    calculation. Rows containing a missing asset return are removed as complete
+    cases, preventing pairwise sample sets from producing an ambiguous matrix.
+    """
+    if not isinstance(asset_returns, pd.DataFrame):
+        raise TypeError("asset_returns must be a pandas DataFrame")
+    if asset_returns.empty or asset_returns.shape[1] == 0:
+        raise ValueError("asset_returns must contain observations and assets")
+    if not isinstance(asset_returns.index, pd.DatetimeIndex):
+        raise TypeError("asset_returns index must be a DatetimeIndex")
+    if not asset_returns.index.is_unique or not asset_returns.index.is_monotonic_increasing:
+        raise ValueError("asset_returns index must be unique and strictly increasing")
+    if not asset_returns.columns.is_unique:
+        raise ValueError("asset_returns must contain unique asset labels")
+    if any(not isinstance(asset, str) or not asset.strip() for asset in asset_returns.columns):
+        raise ValueError("asset_returns asset labels must be non-empty strings")
+
+    lookback = _positive_integer(lookback_sessions, "lookback_sessions")
+    minimum = _positive_integer(min_observations, "min_observations", minimum=2)
+    if minimum > lookback:
+        raise ValueError("min_observations must not exceed lookback_sessions")
+    normalized_data_snapshot_id = data_snapshot_id.strip()
+    if not normalized_data_snapshot_id:
+        raise ValueError("data_snapshot_id must be non-empty")
+    normalized_as_of = _normalized_date(as_of_date, "as_of_date")
+
+    returns = asset_returns.astype(float, copy=True)
+    values = returns.to_numpy()
+    if np.isinf(values).any():
+        raise ValueError("asset_returns must not contain infinite values")
+    session_dates = [
+        _normalized_date(index_value, "asset_returns index") for index_value in returns.index
+    ]
+    if len(set(session_dates)) != len(session_dates):
+        raise ValueError("asset_returns must contain at most one observation per session date")
+    historical_mask = [session <= normalized_as_of for session in session_dates]
+    window = returns.loc[historical_mask].tail(lookback)
+    if window.empty:
+        raise ValueError("asset_returns contain no observations on or before as_of_date")
+    window_dates = [
+        _normalized_date(index_value, "asset_returns index") for index_value in window.index
+    ]
+    complete = window.dropna(axis=0, how="any")
+    if len(complete) < minimum:
+        raise ValueError(
+            f"complete observations must be at least {minimum}; received {len(complete)}"
+        )
+
+    covariance = complete.cov(ddof=1)
+    covariance_values = covariance.to_numpy()
+    if not np.isfinite(covariance_values).all():
+        raise ValueError("sample covariance must be finite")
+    input_sha256 = _input_fingerprint(window, window_dates)
+    identity = {
+        "as_of_date": normalized_as_of.isoformat(),
+        "assets": list(returns.columns),
+        "data_snapshot_id": normalized_data_snapshot_id,
+        "estimator": "sample-cov-v1",
+        "input_sha256": input_sha256,
+        "lookback_sessions": lookback,
+        "min_observations": minimum,
+        "missing_policy": "complete_case",
+        "observations": len(complete),
+        "periods_per_year": periods_per_year,
+        "return_frequency": return_frequency,
+        "window_end_date": window_dates[-1].isoformat(),
+        "window_start_date": window_dates[0].isoformat(),
+    }
+    identity_bytes = json.dumps(
+        identity,
+        sort_keys=True,
+        separators=(",", ":"),
+    ).encode("utf-8")
+    digest = hashlib.sha256(identity_bytes)
+    digest.update(covariance_values.astype("<f8", copy=False).tobytes(order="C"))
+    snapshot_id = f"sample-cov-v1:{digest.hexdigest()}"
+    return CovarianceSnapshot(
+        snapshot_id=snapshot_id,
+        as_of_date=normalized_as_of,
+        covariance=covariance,
+        return_frequency=return_frequency,
+        periods_per_year=periods_per_year,
+        method="sample",
+        window_start_date=window_dates[0],
+        window_end_date=window_dates[-1],
+        observations=len(complete),
+        lookback_sessions=lookback,
+        missing_policy="complete_case",
+        data_snapshot_id=normalized_data_snapshot_id,
+        input_sha256=input_sha256,
+    )
+
+
 @dataclass(frozen=True, slots=True, eq=False)
 class ComponentRiskResult:
     """Label-preserving Euler decomposition of portfolio volatility."""

tests/test_risk.py

@@ -10,12 +10,114 @@ from quant_engine.risk import (
     ComponentRiskResult,
     CovarianceSnapshot,
     component_var,
+    estimate_covariance_snapshot,
     labeled_component_risk,
     marginal_risk_contribution,
     risk_contribution,
 )
 
 
+def test_estimate_covariance_snapshot_is_complete_case_and_reproducible() -> None:
+    dates = pd.date_range("2026-01-05", periods=6, freq="B")
+    returns = pd.DataFrame(
+        {
+            "A": [0.01, 0.02, 0.03, 0.04, 0.05, 99.0],
+            "B": [0.02, 0.01, np.nan, 0.03, 0.04, -99.0],
+        },
+        index=dates,
+    )
+    as_of = dates[4]
+
+    snapshot = estimate_covariance_snapshot(
+        returns,
+        as_of_date=as_of,
+        lookback_sessions=4,
+        min_observations=3,
+        data_snapshot_id="market-returns-20260109-v1",
+        return_frequency="1d",
+        periods_per_year=252,
+    )
+
+    expected_window = returns.loc[:as_of].tail(4)
+    expected = expected_window.dropna(how="any").cov()
+    pd.testing.assert_frame_equal(snapshot.covariance, expected)
+    assert snapshot.snapshot_id.startswith("sample-cov-v1:")
+    assert snapshot.as_of_date == as_of.date()
+    assert snapshot.method == "sample"
+    assert snapshot.window_start_date == expected_window.index[0].date()
+    assert snapshot.window_end_date == as_of.date()
+    assert snapshot.observations == 3
+    assert snapshot.lookback_sessions == 4
+    assert snapshot.missing_policy == "complete_case"
+    assert snapshot.data_snapshot_id == "market-returns-20260109-v1"
+    assert len(snapshot.input_sha256) == 64
+
+    future_changed = returns.copy()
+    future_changed.loc[dates[-1], :] = [1_000_000.0, -1_000_000.0]
+    repeated = estimate_covariance_snapshot(
+        future_changed,
+        as_of_date=as_of,
+        lookback_sessions=4,
+        min_observations=3,
+        data_snapshot_id="market-returns-20260109-v1",
+        return_frequency="1d",
+        periods_per_year=252,
+    )
+    assert repeated.snapshot_id == snapshot.snapshot_id
+    pd.testing.assert_frame_equal(repeated.covariance, snapshot.covariance)
+
+
+def test_covariance_snapshot_identity_captures_data_and_estimator_contract() -> None:
+    dates = pd.date_range("2026-01-05", periods=4, freq="B")
+    returns = pd.DataFrame(
+        {"A": [0.01, 0.02, -0.01, 0.03], "B": [0.02, -0.01, 0.01, 0.04]},
+        index=dates,
+    )
+    base = estimate_covariance_snapshot(
+        returns,
+        as_of_date=dates[-1],
+        lookback_sessions=4,
+        min_observations=3,
+        data_snapshot_id="snapshot-a",
+    )
+    different_source = estimate_covariance_snapshot(
+        returns,
+        as_of_date=dates[-1],
+        lookback_sessions=4,
+        min_observations=3,
+        data_snapshot_id="snapshot-b",
+    )
+
+    assert base.snapshot_id != different_source.snapshot_id
+    assert base.covariance.equals(different_source.covariance)
+
+
+def test_estimate_covariance_snapshot_rejects_ambiguous_or_insufficient_history() -> None:
+    dates = pd.date_range("2026-01-05", periods=4, freq="B")
+    returns = pd.DataFrame(
+        {"A": [0.01, np.nan, 0.03, 0.04], "B": [0.02, 0.01, np.nan, 0.03]},
+        index=dates,
+    )
+
+    with pytest.raises(ValueError, match="complete observations"):
+        estimate_covariance_snapshot(
+            returns,
+            as_of_date=dates[-1],
+            lookback_sessions=4,
+            min_observations=3,
+            data_snapshot_id="snapshot-a",
+        )
+
+    with pytest.raises(ValueError, match="strictly increasing"):
+        estimate_covariance_snapshot(
+            returns.iloc[::-1],
+            as_of_date=dates[-1],
+            lookback_sessions=4,
+            min_observations=2,
+            data_snapshot_id="snapshot-a",
+        )
+
+
 def test_covariance_snapshot_is_validated_and_immutable_by_interface() -> None:
     covariance = pd.DataFrame(
         [[0.04, 0.01], [0.01, 0.09]],