refactor: class-based alpha factory + month-partitioned data pipeline

Replace the old signal/strategy/backtest modules with a decoupled
data → alpha → combo pipeline (parquet between phases, .pq extension).

Alphas:
- BaseAlpha + @register_alpha factory/plugin registry; one file per
  built-in (reversal, reversal_vol, momentum); external alphas via
  --alpha-module. Alphas are z-scored position weights, not predictors.

Data:
- baostock primary / akshare fallback, treated consistently.
- New --universe all (~5000 A-shares via query_all_stock, filtered).
- login-once batch downloader; empty-string OHLCV coerced to NaN.
- Month-partitioned dataset {output_dir}/{universe}/month=YYYY-MM/*.pq
  with chunked durability flushes; --data-path is the dataset dir.

CLI logs at INFO by default (--log-level) so progress is visible.
Docs (README, CLAUDE.md) updated incl. pipeline diagram and roadmap
TODOs for portfolio construction / backtest / paper trading.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
This commit is contained in:
Yuxuan Yan
2026-06-09 14:07:07 +08:00
parent 769cf25daa
commit 1caa63faeb
54 changed files with 1640 additions and 1120 deletions
+6
View File
@@ -4,3 +4,9 @@ __pycache__/
*.egg-info/
.venv/
venv/
# Pipeline outputs (regenerated by the CLI; can be large)
data/daily_bars/
alphas/
combos/
reports/