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>
44 lines
1.0 KiB
Python
44 lines
1.0 KiB
Python
#!/usr/bin/env python3
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"""Chinese Equity Quant Pipeline — decoupled phase CLI.
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Phases:
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data — Download daily bars to parquet
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alpha — Compute alpha weights from data
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combo — Combine alphas into a single weight
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"""
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import logging
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import click
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from pipeline.data.cli import data
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from pipeline.alpha.cli import alpha
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from pipeline.combo.cli import combo
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@click.group()
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@click.option(
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"--log-level", default="INFO",
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type=click.Choice(["DEBUG", "INFO", "WARNING", "ERROR"], case_sensitive=False),
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help="Logging verbosity (default INFO shows download/compute progress)",
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)
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def cli(log_level):
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"""Chinese Equity Quant Pipeline.
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Each phase is independent: read from parquet, write to parquet.
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"""
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logging.basicConfig(
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level=getattr(logging, log_level.upper()),
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format="%(asctime)s %(levelname)s %(name)s: %(message)s",
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datefmt="%H:%M:%S",
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)
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cli.add_command(data)
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cli.add_command(alpha)
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cli.add_command(combo)
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if __name__ == "__main__":
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cli()
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