feat: dump alpha values + daily PnL as parquet (pyarrow)

run_example.py

@@ -11,7 +11,7 @@ import logging
 
 import pandas as pd
 
-from analysis.report import generate_report
+from analysis.report import dump_daily_pnl, dump_signals, generate_report
 from backtest.config import BacktestConfig
 from backtest.runner import BacktestRunner
 from data.downloader import download_batch
@@ -36,7 +36,8 @@ def _forward_returns(data: dict[str, pd.DataFrame], horizon: int) -> pd.DataFram
     return pd.DataFrame(forward_returns)
 
 
-def main(forward_horizon: int = 5, universe: str = "csi500", signal_name: str = "reversal_vol"):
+def main(forward_horizon: int = 5, universe: str = "csi500", signal_name: str = "reversal_vol",
+         dump_dir: str = "results/"):
     universes = {"hs300": SYMBOLS, "csi500": CSI500_SYMBOLS}
     symbols = universes.get(universe, CSI500_SYMBOLS)[:30]
 
@@ -97,6 +98,10 @@ def main(forward_horizon: int = 5, universe: str = "csi500", signal_name: str =
         results, signal_eval, output_dir="reports/", initial_cash=initial_cash
     )
 
+    # 7b. Dump signals and daily PnL.
+    dump_signals(signals_df, dump_dir)
+    dump_daily_pnl(results, dump_dir, initial_cash=initial_cash)
+
     # 8. Print summary.
     print("\nSIGNAL IC")
     print("=" * 50)
@@ -122,5 +127,6 @@ if __name__ == "__main__":
     parser = argparse.ArgumentParser(description="Chinese equity quant backtest")
     parser.add_argument("--universe", default="csi500", choices=["hs300", "csi500"])
     parser.add_argument("--signal", default="reversal_vol", choices=["reversal", "reversal_vol"])
+    parser.add_argument("--dump-dir", default="results/")
     args = parser.parse_args()
-    main(universe=args.universe, signal_name=args.signal)
+    main(universe=args.universe, signal_name=args.signal, dump_dir=args.dump_dir)