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>

pipeline/alpha/base.py

@@ -0,0 +1,57 @@
+"""Base class for alphas.
+
+An alpha maps a wide close matrix (date index × symbol_id columns) to signed
+position weights. Subclasses implement :meth:`signal` — the raw, unnormalized
+score. The base class turns a signal into cross-sectionally z-scored weights
+via :meth:`to_weights` (override it for a different normalization).
+"""
+from abc import ABC, abstractmethod
+
+import numpy as np
+import pandas as pd
+
+
+class BaseAlpha(ABC):
+    """A position-weight alpha over a cross-section of stocks.
+
+    Concrete subclasses must set a unique class-level :attr:`name` (the registry
+    key) and implement :meth:`signal`. Construct subclasses with their own typed
+    parameters (e.g. ``lookback``); the factory passes only the parameters a
+    given ``__init__`` accepts.
+    """
+
+    #: Unique registry key. Every concrete alpha must set this to a non-empty str.
+    name: str = ""
+
+    @abstractmethod
+    def signal(self, close: pd.DataFrame) -> pd.DataFrame:
+        """Compute the raw signal.
+
+        Args:
+            close: Wide close prices, date index × ``symbol_id`` columns.
+
+        Returns:
+            A wide DataFrame aligned to ``close`` where higher values indicate a
+            stronger long. Use NaN where the signal is undefined.
+        """
+
+    def to_weights(self, signal: pd.DataFrame) -> pd.DataFrame:
+        """Cross-sectionally z-score a signal into signed position weights.
+
+        Each date is demeaned and scaled by its cross-sectional std; undefined
+        cells become a 0 weight. Override for a custom scheme (rank, neutralized,
+        capped, etc.).
+        """
+        signal = signal.dropna(how="all")
+        demeaned = signal.subtract(signal.mean(axis=1), axis=0)
+        std = signal.std(axis=1).replace(0, np.nan)
+        weights = demeaned.divide(std, axis=0)
+        return weights.fillna(0.0)
+
+    def weights(self, close: pd.DataFrame) -> pd.DataFrame:
+        """Full pipeline for one alpha: raw signal → normalized weights."""
+        return self.to_weights(self.signal(close))
+
+    def __repr__(self) -> str:
+        params = ", ".join(f"{k}={v!r}" for k, v in vars(self).items())
+        return f"{type(self).__name__}({params})"

pipeline/alpha/cli.py

@@ -0,0 +1,174 @@
+"""CLI for alpha computation and evaluation."""
+
+import json
+import os
+
+import click
+import pandas as pd
+
+from pipeline.alpha.compute import compute_alpha, evaluate_alpha
+from pipeline.alpha.registry import available_alphas, load_alpha_module
+
+
+@click.group(name="alpha")
+def alpha():
+    """Compute and evaluate alpha weights."""
+
+
+def _coerce(value: str):
+    """Best-effort coercion of a CLI string to int, then float, else str."""
+    for cast in (int, float):
+        try:
+            return cast(value)
+        except ValueError:
+            continue
+    return value
+
+
+def _parse_params(pairs: tuple[str, ...]) -> dict:
+    """Parse repeated ``name=value`` options into a params dict."""
+    params: dict = {}
+    for pair in pairs:
+        if "=" not in pair:
+            raise click.BadParameter(f"--param must be name=value, got '{pair}'")
+        key, value = pair.split("=", 1)
+        params[key.strip()] = _coerce(value.strip())
+    return params
+
+
+@alpha.command("list")
+@click.option(
+    "--alpha-module", "alpha_modules", multiple=True,
+    help="External module(s) to import first (dotted path or .py file)",
+)
+def list_(alpha_modules):
+    """List the registered alpha types."""
+    for spec in alpha_modules:
+        load_alpha_module(spec)
+    for name in available_alphas():
+        click.echo(name)
+
+
+@alpha.command("compute")
+@click.option("--data-path", required=True, help="Path to data parquet file")
+@click.option("--alpha-name", required=True, help="Name for this alpha")
+@click.option("--alpha-type", required=True, help="Registry key of the alpha class")
+@click.option("--output-dir", default="alphas", help="Directory to save alpha parquet")
+@click.option("--lookback", default=5, type=int, help="Lookback days")
+@click.option("--vol-window", default=20, type=int, help="Volatility window (reversal_vol only)")
+@click.option(
+    "--alpha-module", "alpha_modules", multiple=True,
+    help="External module(s) to import so their alphas register (dotted path or .py file)",
+)
+@click.option(
+    "--param", "extra_params", multiple=True,
+    help="Extra alpha constructor param as name=value (repeatable)",
+)
+def compute(data_path, alpha_name, alpha_type, output_dir, lookback, vol_window,
+            alpha_modules, extra_params):
+    """Compute one alpha from raw data and save as parquet."""
+    for spec in alpha_modules:
+        load_alpha_module(spec)
+
+    options = available_alphas()
+    if alpha_type not in options:
+        raise click.BadParameter(
+            f"Unknown alpha-type '{alpha_type}'. Available: {options}. "
+            f"Use --alpha-module to register an external alpha.",
+            param_hint="--alpha-type",
+        )
+
+    params = {"lookback": lookback, "vol_window": vol_window}
+    params.update(_parse_params(extra_params))
+
+    data = pd.read_parquet(data_path)
+    click.echo(f"Loaded data: {len(data):,} rows from {data_path}")
+
+    result = compute_alpha(
+        data=data,
+        alpha_name=alpha_name,
+        alpha_type=alpha_type,
+        **params,
+    )
+
+    os.makedirs(output_dir, exist_ok=True)
+    out_path = f"{output_dir}/{alpha_name}.pq"
+    result.to_parquet(out_path, index=False)
+    click.echo(f"Saved alpha: {out_path}  ({len(result):,} rows)")
+    click.echo(
+        f"Weight stats — min: {result['weight'].min():.4f}, "
+        f"max: {result['weight'].max():.4f}, "
+        f"mean: {result['weight'].mean():.4f}"
+    )
+
+
+@alpha.command("reversal")
+@click.option("--data-path", required=True, help="Path to data parquet file")
+@click.option("--output-dir", default="alphas", help="Directory to save alpha parquet")
+@click.option("--lookback", default=5, type=int, help="Lookback days")
+def reversal(data_path, output_dir, lookback):
+    """Shortcut: compute a reversal alpha."""
+    alpha_name = f"reversal_{lookback}d"
+    ctx = click.get_current_context()
+    ctx.invoke(
+        compute,
+        data_path=data_path,
+        alpha_name=alpha_name,
+        alpha_type="reversal",
+        output_dir=output_dir,
+        lookback=lookback,
+    )
+
+
+@alpha.command("reversal-vol")
+@click.option("--data-path", required=True, help="Path to data parquet file")
+@click.option("--output-dir", default="alphas", help="Directory to save alpha parquet")
+@click.option("--lookback", default=5, type=int, help="Lookback days")
+@click.option("--vol-window", default=20, type=int, help="Volatility window")
+def reversal_vol(data_path, output_dir, lookback, vol_window):
+    """Shortcut: compute a volatility-scaled reversal alpha."""
+    alpha_name = f"reversal_vol_{lookback}d_{vol_window}d"
+    ctx = click.get_current_context()
+    ctx.invoke(
+        compute,
+        data_path=data_path,
+        alpha_name=alpha_name,
+        alpha_type="reversal_vol",
+        output_dir=output_dir,
+        lookback=lookback,
+        vol_window=vol_window,
+    )
+
+
+@alpha.command("eval")
+@click.option("--alpha-path", required=True, help="Path to alpha parquet file")
+@click.option("--data-path", required=True, help="Path to data parquet (for price data)")
+def eval_(alpha_path, data_path):
+    """Evaluate an alpha's performance (return, Sharpe, turnover).
+
+    Alphas are interpreted as position WEIGHTS, not return predictors.
+    No IC/IR metrics — these are not predictors of future returns.
+    """
+    alpha_df = pd.read_parquet(alpha_path)
+    data_df = pd.read_parquet(data_path)
+
+    metrics = evaluate_alpha(alpha_df, data_df)
+
+    click.echo("\n" + "=" * 50)
+    click.echo("ALPHA EVALUATION")
+    click.echo("=" * 50)
+    click.echo(f"Cumulative Return:  {metrics['cumulative_return']:>10.4%}")
+    click.echo(f"Annual Sharpe:      {metrics['sharpe_annual']:>10.4f}")
+    click.echo(f"Annual Turnover:    {metrics['turnover_annual']:>10.2%}")
+    click.echo(f"Max Drawdown:       {metrics['max_drawdown']:>10.4%}")
+    click.echo(f"Hit Rate:           {metrics['hit_rate']:>10.2%}")
+    click.echo(f"Trading Days:       {metrics['n_dates']:>10d}")
+    click.echo("=" * 50)
+
+    # Also dump JSON
+    os.makedirs("reports", exist_ok=True)
+    alpha_name = alpha_df["alpha_name"].iloc[0]
+    json_path = f"reports/{alpha_name}_eval.json"
+    with open(json_path, "w") as f:
+        json.dump(metrics, f, indent=2)
+    click.echo(f"\nReport saved: {json_path}")

pipeline/alpha/compute.py

@@ -0,0 +1,153 @@
+"""Alpha computation and evaluation.
+
+Alphas are position WEIGHTS — positive=long, negative=short. They are NOT
+predictors of future returns. Concrete alphas are classes that live in
+``pipeline/alpha/library/`` (or any external module) and are resolved by name
+through :mod:`pipeline.alpha.registry`.
+"""
+
+import logging
+
+import numpy as np
+import pandas as pd
+
+from pipeline.alpha.registry import get_alpha
+from pipeline.common.schema import ALPHA_COLUMNS
+
+logger = logging.getLogger(__name__)
+
+
+def _pivot_close(df: pd.DataFrame) -> pd.DataFrame:
+    """Pivot data to wide format: date index, columns = symbol_id, values = close."""
+    pivot = df.pivot_table(
+        index="date", columns="symbol_id", values="close", aggfunc="first"
+    )
+    return pivot.sort_index()
+
+
+def _daily_returns(close: pd.DataFrame) -> pd.DataFrame:
+    """Compute daily returns from wide close DataFrame."""
+    return close.pct_change()
+
+
+def compute_alpha(
+    data: pd.DataFrame,
+    alpha_name: str,
+    alpha_type: str,
+    **params,
+) -> pd.DataFrame:
+    """Compute alpha weights from raw data.
+
+    Args:
+        data: DataFrame with DATA_COLUMNS.
+        alpha_name: Label stored in the ``alpha_name`` output column.
+        alpha_type: Registry key of the alpha class (e.g. ``reversal``).
+        **params: Constructor parameters for the alpha (e.g. ``lookback``,
+            ``vol_window``). Only the params the alpha's ``__init__`` accepts are
+            used; extras are ignored.
+
+    Returns:
+        DataFrame with ALPHA_COLUMNS.
+
+    Raises:
+        KeyError: If ``alpha_type`` is not registered.
+    """
+    alpha = get_alpha(alpha_type, **params)
+    close = _pivot_close(data)
+    weights = alpha.weights(close)
+
+    # Melt to long format
+    weights_melted = weights.reset_index().melt(
+        id_vars="date", var_name="symbol_id", value_name="weight"
+    )
+    weights_melted["alpha_name"] = alpha_name
+    weights_melted = weights_melted[ALPHA_COLUMNS]
+    weights_melted = weights_melted.dropna(subset=["weight"])
+    weights_melted = weights_melted.sort_values(["symbol_id", "date"]).reset_index(drop=True)
+
+    logger.info(
+        "Alpha '%s' (%r): %d symbols × %d dates, weight range [%.4f, %.4f]",
+        alpha_name,
+        alpha,
+        weights_melted["symbol_id"].nunique(),
+        weights_melted["date"].nunique(),
+        weights_melted["weight"].min(),
+        weights_melted["weight"].max(),
+    )
+    return weights_melted
+
+
+def evaluate_alpha(alpha_df: pd.DataFrame, data_df: pd.DataFrame) -> dict:
+    """Evaluate an alpha's performance as position weights.
+
+    Computes return, annualized Sharpe, annualized turnover, max drawdown.
+
+    Alpha is interpreted as POSITION WEIGHTS, not predictions.
+    Return on date t = sum(weight[s,t] * realized_return[s,t]) / sum(abs(weight[s,t]))
+
+    Args:
+        alpha_df: DataFrame with ALPHA_COLUMNS.
+        data_df: DataFrame with DATA_COLUMNS (for price data).
+
+    Returns:
+        Dict with metrics: cumulative_return, sharpe_annual, turnover_annual,
+        max_drawdown, hit_rate, n_dates.
+    """
+    close = _pivot_close(data_df)
+    returns = _daily_returns(close)
+
+    # Pivot alpha weights to wide format
+    weights = alpha_df.pivot_table(
+        index="date", columns="symbol_id", values="weight", aggfunc="first"
+    ).sort_index()
+
+    # Align dates
+    common_dates = weights.index.intersection(returns.index)
+    weights = weights.loc[common_dates]
+    returns = returns.loc[common_dates]
+
+    if len(common_dates) < 2:
+        return {
+            "cumulative_return": 0.0,
+            "sharpe_annual": 0.0,
+            "turnover_annual": 0.0,
+            "max_drawdown": 0.0,
+            "hit_rate": 0.0,
+            "n_dates": len(common_dates),
+        }
+
+    # Daily portfolio return = sum(w * r) / sum(|w|)  — normalized by gross exposure
+    daily_returns = (weights * returns).sum(axis=1) / weights.abs().sum(axis=1)
+
+    # Cumulative return
+    cumulative_return = float((1.0 + daily_returns).prod() - 1.0)
+
+    # Annualized Sharpe (sqrt(252) * mean / std)
+    mu = daily_returns.mean()
+    sigma = daily_returns.std()
+    sharpe_annual = float(np.sqrt(252) * mu / sigma) if sigma > 0 else 0.0
+
+    # Annualized turnover: avg daily turnover * 252
+    # Daily turnover = sum(|w_t - w_{t-1}|) / sum(|w_{t-1}|)
+    weight_change = weights.diff().abs().sum(axis=1)
+    gross_exposure = weights.abs().sum(axis=1).shift(1)
+    daily_turnover = weight_change / gross_exposure
+    turnover_annual = float(daily_turnover.mean() * 252)
+
+    # Max drawdown
+    equity = (1.0 + daily_returns).cumprod()
+    peak = equity.cummax()
+    drawdown = (equity - peak) / peak
+    max_drawdown = float(drawdown.min())
+
+    # Hit rate
+    hit_rate = float((daily_returns > 0).mean())
+
+    return {
+        "cumulative_return": cumulative_return,
+        "sharpe_annual": sharpe_annual,
+        "turnover_annual": turnover_annual,
+        "max_drawdown": max_drawdown,
+        "hit_rate": hit_rate,
+        "n_dates": len(common_dates),
+    }

pipeline/alpha/library/__init__.py

@@ -0,0 +1,7 @@
+"""Built-in alpha library.
+
+Importing this package imports each alpha module, which registers the alpha via
+the ``@register_alpha`` decorator. Add a new built-in by dropping a module here
+and importing it below.
+"""
+from pipeline.alpha.library import momentum, reversal, reversal_vol  # noqa: F401

pipeline/alpha/library/momentum.py

@@ -0,0 +1,18 @@
+"""Short-horizon momentum alpha."""
+import pandas as pd
+
+from pipeline.alpha.base import BaseAlpha
+from pipeline.alpha.registry import register_alpha
+
+
+@register_alpha
+class MomentumAlpha(BaseAlpha):
+    """Positive trailing return: stocks that rose score high."""
+
+    name = "momentum"
+
+    def __init__(self, lookback: int = 5):
+        self.lookback = lookback
+
+    def signal(self, close: pd.DataFrame) -> pd.DataFrame:
+        return close.pct_change(self.lookback)

pipeline/alpha/library/reversal.py

@@ -0,0 +1,18 @@
+"""Short-horizon reversal alpha."""
+import pandas as pd
+
+from pipeline.alpha.base import BaseAlpha
+from pipeline.alpha.registry import register_alpha
+
+
+@register_alpha
+class ReversalAlpha(BaseAlpha):
+    """Negative trailing return: oversold stocks score high."""
+
+    name = "reversal"
+
+    def __init__(self, lookback: int = 5):
+        self.lookback = lookback
+
+    def signal(self, close: pd.DataFrame) -> pd.DataFrame:
+        return -close.pct_change(self.lookback)

pipeline/alpha/library/reversal_vol.py

@@ -0,0 +1,26 @@
+"""Volatility-scaled short-horizon reversal alpha."""
+import pandas as pd
+
+from pipeline.alpha.base import BaseAlpha
+from pipeline.alpha.registry import register_alpha
+
+
+@register_alpha
+class ReversalVolAlpha(BaseAlpha):
+    """Reversal scaled by trailing volatility.
+
+    The raw reversal ``-close.pct_change(lookback)`` is divided by the rolling
+    standard deviation of daily returns over ``vol_window``, so the score favors
+    oversold names whose move is large *relative* to their own volatility.
+    """
+
+    name = "reversal_vol"
+
+    def __init__(self, lookback: int = 5, vol_window: int = 20):
+        self.lookback = lookback
+        self.vol_window = vol_window
+
+    def signal(self, close: pd.DataFrame) -> pd.DataFrame:
+        reversal = -close.pct_change(self.lookback)
+        vol = close.pct_change().rolling(self.vol_window).std()
+        return reversal / vol

pipeline/alpha/registry.py

@@ -0,0 +1,102 @@
+"""Registry and factory for alphas.
+
+Built-in alphas live in :mod:`pipeline.alpha.library` and self-register via the
+:func:`register_alpha` decorator. External alphas authored anywhere can be made
+available with :func:`load_alpha_module` (a dotted module path or a ``.py`` file),
+which is how you test an alpha written outside this repo.
+"""
+import importlib
+import importlib.util
+import inspect
+from pathlib import Path
+from typing import Optional, Type
+
+from pipeline.alpha.base import BaseAlpha
+
+_REGISTRY: dict[str, Type[BaseAlpha]] = {}
+_builtins_loaded = False
+
+
+def register_alpha(cls: Type[BaseAlpha]) -> Type[BaseAlpha]:
+    """Class decorator that registers an alpha under its :attr:`~BaseAlpha.name`.
+
+    Raises:
+        TypeError: If ``cls`` is not a ``BaseAlpha`` subclass.
+        ValueError: If ``name`` is empty or already used by a different class.
+    """
+    if not (isinstance(cls, type) and issubclass(cls, BaseAlpha)):
+        raise TypeError(f"{cls!r} is not a BaseAlpha subclass")
+    key = getattr(cls, "name", "")
+    if not key:
+        raise ValueError(f"{cls.__name__} must set a non-empty class attribute `name`")
+    existing = _REGISTRY.get(key)
+    if existing is not None and existing is not cls:
+        raise ValueError(
+            f"Alpha name '{key}' already registered by {existing.__name__}"
+        )
+    _REGISTRY[key] = cls
+    return cls
+
+
+def available_alphas() -> list[str]:
+    """Sorted names of all registered alphas (built-ins are loaded lazily)."""
+    _ensure_builtins()
+    return sorted(_REGISTRY)
+
+
+def get_alpha(name: str, **params) -> BaseAlpha:
+    """Instantiate a registered alpha by name.
+
+    Only the parameters accepted by the alpha's ``__init__`` are forwarded, so a
+    caller may pass a superset (e.g. both ``lookback`` and ``vol_window``) and
+    each alpha picks what it needs.
+
+    Raises:
+        KeyError: If ``name`` is not registered.
+    """
+    _ensure_builtins()
+    if name not in _REGISTRY:
+        raise KeyError(f"Unknown alpha '{name}'. Available: {sorted(_REGISTRY)}")
+    cls = _REGISTRY[name]
+    accepted = _accepted_params(cls)
+    kwargs = params if accepted is None else {k: v for k, v in params.items() if k in accepted}
+    return cls(**kwargs)
+
+
+def load_alpha_module(spec: str) -> None:
+    """Import an external module so its ``@register_alpha`` classes register.
+
+    Args:
+        spec: A dotted module path (``my_pkg.my_alpha``) on ``sys.path``, or a
+            filesystem path to a ``.py`` file (``/path/to/my_alpha.py``).
+
+    Raises:
+        FileNotFoundError: If a ``.py`` path is given but does not exist.
+    """
+    looks_like_file = spec.endswith(".py") or Path(spec).expanduser().exists()
+    if looks_like_file:
+        path = Path(spec).expanduser().resolve()
+        if not path.exists():
+            raise FileNotFoundError(f"Alpha module not found: {path}")
+        module_spec = importlib.util.spec_from_file_location(path.stem, path)
+        if module_spec is None or module_spec.loader is None:
+            raise ImportError(f"Cannot load alpha module from {path}")
+        module = importlib.util.module_from_spec(module_spec)
+        module_spec.loader.exec_module(module)
+    else:
+        importlib.import_module(spec)
+
+
+def _accepted_params(cls: Type[BaseAlpha]) -> Optional[set[str]]:
+    """Param names ``cls.__init__`` accepts, or None if it takes ``**kwargs``."""
+    sig = inspect.signature(cls.__init__)
+    if any(p.kind is p.VAR_KEYWORD for p in sig.parameters.values()):
+        return None
+    return {name for name in sig.parameters if name != "self"}
+
+
+def _ensure_builtins() -> None:
+    global _builtins_loaded
+    if not _builtins_loaded:
+        import pipeline.alpha.library  # noqa: F401  (importing registers built-ins)
+        _builtins_loaded = True