投资组合优化 (portfolio-optimization)
提供多策略投资组合优化框架，支持均值-方差、Black-Litterman 和分层风险平价（HRP）算法，内置多种协方差估计方法对比分析。
Pipeline
data_collection -> data_storage -> factor_computation -> target_selection -> trading_execution -> visualization
Top Use Cases (6 total)
Risk Model Comparison Analysis (UC-101)
Compares multiple covariance estimation methods (sample, semicovariance, exponential, Ledoit-Wolf variants, oracle approximating) to evaluate which pr Triggers: risk model comparison, covariance estimation methods, portfolio risk analysis
Basic Mean-Variance Optimization (UC-102)
Constructs a minimum volatility portfolio using mean-variance optimization with CAPM-based expected returns and compares sample covariance vs Ledoit-W Triggers: mean-variance optimization, minimum volatility portfolio, Efficient Frontier
Mean-Variance Optimization with Transaction Costs (UC-103)
Implements advanced mean-variance optimization that accounts for broker transaction costs when rebalancing from an initial portfolio allocation, using Triggers: transaction cost optimization, portfolio rebalancing, semicovariance risk
For all 6 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 (14 total)
AP-PORTFOLIO-ANALYTICS-001: Division by zero in price ratio calculations corrupts rebalancingAP-PORTFOLIO-ANALYTICS-002: Look-ahead bias from unshifted signal generation and position calculationsAP-PORTFOLIO-ANALYTICS-003: Non-positive-semidefinite covariance matrix breaks CVXPY optimization
All 14 anti-patterns: references/ANTI_PATTERNS.md
Evidence Quality Notice
[QUALITY NOTICE] This crystal was compiled from blueprint finance-bp-093. Evidence verify ratio = 34.6% and audit fail total = 40. 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 | 14 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-093 blueprint at 2026-04-22T13:00:40.212744+00:00.
See human_summary.md for non-technical overview.