Yuxuan Yan
1caa63faeb
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>
34 lines
1.1 KiB
Python
34 lines
1.1 KiB
Python
"""Column contracts for pipeline parquet files."""
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from typing import Final
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# Required columns for data parquet files (daily bars, alternative data, etc.)
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DATA_COLUMNS: Final[list[str]] = [
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"symbol_id", # str: internal code like 'sh600000'
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"symbol_name", # str: stock name like '浦发银行'
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"date", # date
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"open", # float64
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"high", # float64
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"low", # float64
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"close", # float64
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"volume", # float64 (shares)
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"amount", # float64 (turnover in yuan)
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]
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# Required columns for alpha parquet files.
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# Alphas are position WEIGHTS: positive=long, negative=short.
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ALPHA_COLUMNS: Final[list[str]] = [
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"symbol_id", # str: matches DATA_COLUMNS symbol_id
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"date", # date: aligned with data dates
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"alpha_name", # str: identifies which alpha (e.g. 'reversal_5d')
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"weight", # float64: position weight, signed
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]
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# Required columns for combo parquet files.
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COMBO_COLUMNS: Final[list[str]] = [
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"symbol_id", # str
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"date", # date
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"combo_name", # str: identifies which combo (e.g. 'equal_weight')
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"weight", # float64: combined weight, signed
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]
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