Pyfolio 业绩分析 (pyfolio-performance)
给你的回测结果一键出 tear sheet——夏普、回撤、年化、换手、行业归因 全套图表，不用自己画。
Pipeline
data_collection -> data_storage -> factor_computation -> target_selection -> trading_execution -> visualization
Top Use Cases (7 total)
Sphinx Documentation Deployment (UC-101)
Automates the build and deployment of Sphinx-generated documentation for the pyfolio library, ensuring consistent documentation deployment across envi Triggers: documentation, deploy, sphinx
Sphinx Documentation Configuration (UC-102)
Configures Sphinx documentation build settings including theme, extensions, and project metadata for generating pyfolio library documentation Triggers: documentation, sphinx config, configuration
Round Trip Trade Analysis with Tear Sheets (UC-103)
Analyzes individual round trip trades (entry/exit) in a portfolio, computing profitability metrics by trade and sector to understand trading efficienc Triggers: round trip, trade analysis, tear sheet
For all 7 use cases, see references/USE_CASES.md.
Execute trigger: When user intent matches intent_router.uc_entries[].positive_terms AND user uses action verb (run/execute/跑/执行/backtest/fetch/collect)
What I'll Ask You
- Target market: A-share (default), HK, or crypto? (US stocks in ZVT are half-baked — stockus_nasdaq_AAPL exists but coverage is thin)
- Data source / provider: eastmoney (free, no account), joinquant (account+paid), baostock (free, good history), akshare, or qmt (broker)?
- Strategy type: MACD golden-cross, MA crossover, volume breakout, fundamental screen, or custom factor?
- Time range: start_timestamp and end_timestamp for backtest period
- Target entity IDs: specific stocks (stock_sh_600000) or index components (SZ1000)?
Semantic Locks (Fatal)
| ID | Rule | On Violation |
|---|---|---|
SL-01 | Execute sell orders before buy orders in every trading cycle | halt |
SL-02 | Trading signals MUST use next-bar execution (no look-ahead) | halt |
SL-03 | Entity IDs MUST follow format entity_type_exchange_code | halt |
SL-04 | DataFrame index MUST be MultiIndex (entity_id, timestamp) | halt |
SL-05 | TradingSignal MUST have EXACTLY ONE of: position_pct, order_money, order_amount | halt |
SL-06 | filter_result column semantics: True=BUY, False=SELL, None/NaN=NO ACTION | halt |
SL-07 | Transformer MUST run BEFORE Accumulator in factor pipeline | halt |
SL-08 | MACD parameters locked: fast=12, slow=26, signal=9 | halt |
Full lock definitions: references/LOCKS.md
Top Anti-Patterns (25 total)
AP-ZVT-183: 除权因子为 inf/NaN 时直接参与乘法导致复权静默失败AP-ZVT-179: 第三方数据接口超限后异常被吞噬，数据静默缺失AP-ZVT-183B: HFQ（后复权）与 QFQ（前复权）K 线表使用错误导致因子计算漂移
All 25 anti-patterns: references/ANTI_PATTERNS.md
Evidence Quality Notice
[QUALITY NOTICE] This crystal was compiled from blueprint finance-bp-106. Evidence verify ratio = 41.5% and audit fail total = 16. Generated results may have uncaptured requirement gaps. Verify critical decisions against source files (LATEST.yaml / LATEST.jsonl).
Reference Files
| File | Contents | When to Load |
|---|---|---|
| references/seed.yaml | V6+ 全量权威 (source-of-truth) | 有行为/决策争议时必读 |
| references/ANTI_PATTERNS.md | 25 条跨项目反模式 | 开始实现前 |
| references/WISDOM.md | 跨项目精华借鉴 | 架构决策时 |
| references/CONSTRAINTS.md | domain + fatal 约束 | 规则冲突时 |
| references/USE_CASES.md | 全量 KUC-* 业务场景 | 需要完整示例时 |
| references/LOCKS.md | SL-* + preconditions + hints | 生成回测/交易代码前 |
| references/COMPONENTS.md | AST 组件地图（按 module 拆分） | 查 API 时 |
Compiled by Doramagic crystal-compilation-v6.1 from finance-bp-106 blueprint at 2026-04-22T13:00:50.454770+00:00.
See human_summary.md for non-technical overview.