research: point-in-time factor research harness (research/lab)

Event-driven long-only simulator with next-open fills, CN tradability
(halts, limit-up/down, stamp duty), PIT S&P 500 / CSI 300 membership,
rebalance-phase averaging, factor IC scans, maximin stepwise composite
search across 5-year blocks, walk-forward LightGBM/ridge combiners,
overlays, and deflated Sharpe. Fetchers pull 20y US OHLCV from Yahoo and
CSI 300/500 ever-members (membership snapshot from baostock, bars from
Yahoo). Research data lives in data/research/ (ignored).

Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
This commit is contained in:
2026-09-25 19:11:59 +08:00
parent 83495bcd23
commit 0e378efa67
19 changed files with 2201 additions and 0 deletions

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.gitignore vendored
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@@ -59,3 +59,6 @@ memory/
# Web UI state and precomputed backtests (web/src/server/paths.ts)
data/web/
data/precomputed/
# Research panels and results — fetched/rebuilt by research/lab
data/research/