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