Files
quant-trading/research/lab/stepwise.py
Gahow Wang 0e378efa67 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>
2026-09-25 19:11:59 +08:00

117 lines
4.5 KiB
Python

"""
Forward stepwise selection of equal-weight rank composites, scored on the
DESIGN period only; the holdout is evaluated once for the final picks.
PYTHONPATH=. uv run python -m research.lab.stepwise --market us --max-k 4
Every evaluated composite is appended to the trial ledger
(data/research/results/trials_{market}.csv) so deflated Sharpe can count them.
"""
import argparse
import os
import time
import warnings
import numpy as np
import pandas as pd
from research.lab.factor_scan import RESULTS, load, phase_avg
from research.lab.factors import FACTORS, zrank
warnings.filterwarnings("ignore")
# Four ~5-year blocks; "maximin" scores a composite by its worst block Sharpe.
SUBPERIODS = {
"us": [("2006-09-27", "2011-09-26"), ("2011-09-27", "2016-09-26"),
("2016-09-27", "2021-09-26"), ("2021-09-27", "2026-09-24")],
"cn": [("2010-01-01", "2013-06-30"), ("2013-07-01", "2016-09-26"),
("2016-09-27", "2021-09-26"), ("2021-09-27", "2026-09-24")],
}
def main() -> None:
ap = argparse.ArgumentParser()
ap.add_argument("--market", default="us")
ap.add_argument("--max-k", type=int, default=4)
ap.add_argument("--top-n", type=int, default=20)
ap.add_argument("--every", type=int, default=5)
ap.add_argument("--beam", type=int, default=3)
ap.add_argument("--objective", default="sharpe")
ap.add_argument("--exclude", nargs="*", default=[])
ap.add_argument("--buffer", type=float, default=0.0)
args = ap.parse_args()
mk = "us" if args.market == "us" else "cn"
p, periods = load(args.market)
names = [n for n, f in FACTORS.items() if mk in f.markets and n not in args.exclude]
t = time.time()
ranks = {}
for n in names:
try:
ranks[n] = zrank(FACTORS[n](p), p.member)
except Exception as exc: # noqa: BLE001
print(f"skip {n}: {exc}")
names = list(ranks)
print(f"{len(names)} factor ranks in {time.time() - t:.0f}s", flush=True)
a, b = periods["design"]
ledger = []
subs = SUBPERIODS[mk]
def evaluate(combo: tuple[str, ...]) -> dict:
s = sum(ranks[n] for n in combo) / len(combo)
if args.objective == "maximin":
per = [phase_avg(p, s, sa, sb, args.top_n, args.every, buffer=args.buffer) for sa, sb in subs]
st = {k: float(np.mean([x[k] for x in per])) for k in per[0]}
st["maximin"] = min(x["sharpe"] for x in per)
st["sub_sharpes"] = " ".join(f"{x['sharpe']:.2f}" for x in per)
st["sub_cagrs"] = " ".join(f"{x['cagr']*100:.0f}" for x in per)
else:
st = phase_avg(p, s, a, b, args.top_n, args.every, buffer=args.buffer)
ledger.append({"combo": "+".join(combo), "objective": args.objective, **st})
return st
beam = [()]
best_overall = []
for k in range(1, args.max_k + 1):
cands = {}
for base in beam:
for n in names:
if n in base:
continue
combo = tuple(sorted(base + (n,)))
if combo in cands:
continue
cands[combo] = evaluate(combo)
ranked = sorted(cands.items(), key=lambda kv: -kv[1][args.objective])
beam = [c for c, _ in ranked[:args.beam]]
print(f"--- k={k}: {len(cands)} combos", flush=True)
for c, st in ranked[:6]:
extra = (f" min {st['maximin']:.2f} subSh [{st['sub_sharpes']}] subCAGR [{st['sub_cagrs']}]"
if "maximin" in st else "")
print(f" {'+'.join(c):55s} sh {st['sharpe']:.2f} cagr {st['cagr']*100:5.1f}% "
f"mdd {st['mdd']*100:5.1f}% turn {st['turnover']:.0f}x{extra}", flush=True)
best_overall += ranked[:args.beam]
if args.objective == "maximin":
_save(ledger, args.market)
return
# holdout, once, for the beam winners of each k
print("=== holdout of design winners ===")
ha, hb = periods["holdout"]
for c, st in best_overall:
s = sum(ranks[n] for n in c) / len(c)
hs = phase_avg(p, s, ha, hb, args.top_n, args.every)
print(f" {'+'.join(c):55s} D sh {st['sharpe']:.2f} cagr {st['cagr']*100:5.1f}% | "
f"H sh {hs['sharpe']:.2f} cagr {hs['cagr']*100:5.1f}% mdd {hs['mdd']*100:5.1f}%", flush=True)
_save(ledger, args.market)
def _save(ledger: list[dict], market: str) -> None:
os.makedirs(RESULTS, exist_ok=True)
path = os.path.join(RESULTS, f"trials_{market}.csv")
pd.DataFrame(ledger).to_csv(path, mode="a", header=not os.path.exists(path), index=False)
if __name__ == "__main__":
main()