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
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"""Column contracts for pipeline parquet files."""
from typing import Final
# Required columns for data parquet files (daily bars, alternative data, etc.)
DATA_COLUMNS: Final[list[str]] = [
"symbol_id", # str: internal code like 'sh600000'
"symbol_name", # str: stock name like '浦发银行'
"date", # date
"open", # float64
"high", # float64
"low", # float64
"close", # float64
"volume", # float64 (shares)
"amount", # float64 (turnover in yuan)
]
# Required columns for alpha parquet files.
# Alphas are position WEIGHTS: positive=long, negative=short.
ALPHA_COLUMNS: Final[list[str]] = [
"symbol_id", # str: matches DATA_COLUMNS symbol_id
"date", # date: aligned with data dates
"alpha_name", # str: identifies which alpha (e.g. 'reversal_5d')
"weight", # float64: position weight, signed
]
# Required columns for combo parquet files.
COMBO_COLUMNS: Final[list[str]] = [
"symbol_id", # str
"date", # date
"combo_name", # str: identifies which combo (e.g. 'equal_weight')
"weight", # float64: combined weight, signed
]