The simulator charges (cost_bps + slippage_bps) on each fill, so a full
round trip is charged twice. Correct the cost-model doc, the reversal_5d
report, and the report generator to state the rate is one-way per-trade
(~20 bps round trip for 5+5), rather than mislabeling it round-trip.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Runs the 5-day reversal signal through data→alpha→combo→portfolio on the
full A-share universe and documents the finding: the naive z-score book
loses to outlier concentration, rank weighting on a liquid universe
recovers a real edge, and turnover-driven cost is the binding constraint.
Includes the e2e driver and figure generator that produce the report.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
reversal_rank weights the 5-day reversal signal by bounded cross-sectional
rank instead of z-score, so a few extreme A-share pct_change outliers
(newly listed / post-suspension / limit-up names) can no longer dominate
the book. compute_alpha gains an optional per-date investable-universe
mask (tradable, non-ST, seasoned, top-liquidity) applied to the signal
before weighting, exposed via --liquid-universe/--universe-top-n.
combo combine now accepts a single alpha as an identity passthrough so a
one-alpha pipeline run needs no synthetic second input.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Weights formed from close[t] now earn the t→t+1 return: forward returns
are computed on the full market calendar before selecting signal dates,
so a sparse signal grid earns the next available return rather than the
next signal date, and the final signal date (no forward return) is
dropped. Signal pct_change uses fill_method=None so suspended names do
not inherit stale prices.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Adds a fourth pipeline phase modeling A-share microstructure: lot sizes,
the 2023-08-10 Main Board increment change, STAR 200-share minimum/odd-lot
rules, limit-up/down, suspensions, volume caps, costs, and slippage.
Two layers: research (continuous weights → return/Sharpe/turnover/Fitness,
no IC per repo convention) and execution (state-dependent lot rounding +
two-stage greedy exposure repair + next-open reference simulator).
Wires `portfolio build/simulate/eval` into the CLI and adds the
POSITION/FILL/PNL schema contracts. Covered by tests/test_portfolio.py.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Migrate dependency management from requirements.txt to uv. Runtime deps
move to pyproject.toml with pytest in the dev group; uv.lock pins the
resolved set. Docs updated to use `uv sync` / `uv run`.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Joins the bar dataset with one or more alpha parquet files on (symbol, date)
for a given symbol and date range. Standalone tools/alphaview.py wired as
`cli.py alphaview`, plus README docs.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
A standalone tools/pqcat.py (head/tail/columns/info) wired as `cli.py pqcat`
and runnable directly via a PATH symlink, plus README docs.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Batch download now pulls baostock's preclose, turn, pctChg, tradestatus,
isST, and peTTM/pbMRQ/psTTM/pcfNcfTTM on top of OHLCV+amount, plus a
derived daily VWAP (amount/volume). VWAP is raw-price scale and not
comparable with adjusted OHLC under qfq/hfq — documented in the schema.
Richer fields live only in the batch path (download_daily_batch ->
download_universe); single-symbol download_daily keeps the legacy
8-column schema that test_downloader.py pins. Also flags intraday/L1-L2
microstructure data as a future phase in the README roadmap.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
baostock drops a session after a few hundred queries; every later query
then returned 用户未登录 and the symbol failed. download_daily_batch now
refreshes the session every relogin_every symbols and re-logs in + retries
once on a detected session loss. akshare fallback now defaults off in the
batch path since it is slow/unreliable on this network and the re-login
keeps baostock as the fast primary.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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>
Yuxuan Yan