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Rewrite reversal report as tutorial

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This commit is contained in:
Yuxuan Yan
2026-06-12 17:12:29 +08:00
parent 2c0ca53bd6
commit 16b4988f16
2 changed files with 426 additions and 133 deletions
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scripts/generate_reversal_5d_report.py
+4 -4
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@@ -527,7 +527,7 @@ def render_report(results: dict, data_summary: dict, timings: dict,
])
storage = _md_table(
["run", "schema ok", "null w", "non-finite w", "dup keys",
"max |daily mean|", "weight range", "combo identity Δ"],
"max \\|daily mean\\|", "weight range", "combo identity Δ"],
storage_rows,
)
@@ -547,7 +547,7 @@ def render_report(results: dict, data_summary: dict, timings: dict,
_money(p["l1_tracking_mean"]),
])
closeness = _md_table(
["run", "target_value identity max|Δ|", "alpha→target max|Δ|",
["run", "target_value identity max\\|Δ\\|", "alpha→target max\\|Δ\\|",
"research corr(alpha,portfolio)", "mean integer gross", "mean L1 tracking"],
close_rows,
)
@@ -647,8 +647,8 @@ constraints, 5 bps commission + 5 bps slippage.*
## 1. Are Alpha Values Properly Stored?
All alpha artifacts conform to `ALPHA_COLUMNS` (`symbol_id, date, alpha_name,
weight`), carry no null / non-finite weights, no duplicate `(symbol_id, date)`
All alpha artifacts conform to `ALPHA_COLUMNS` (`symbol_id`, `date`, `alpha_name`,
`weight`), carry no null / non-finite weights, no duplicate `(symbol_id, date)`
keys, and have numerically-zero daily cross-sectional means (weights are
demeaned per date).