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Author	SHA1	Message	Date
GitHub	00b8c6374a	fix(backtest): v1.20.1 修复回测引擎 3 个 bug（issues #22 #23 #25）排查发现用户反馈的"回测统计数据缺失/异常"并非服务器连接问题，而是回测引擎与组合优化器自身的代码缺陷： #23: 首根 bar 访问 close[-1] 崩溃 _SeriesAccessor 负向越界改返回 NaN（不抛 IndexError）； BacktestEngine 新增 warmup_bars 参数跳过指标预热期。 #25-A: FactorWeightedOptimizer 权重坍缩 n_stocks=2 且得分接近时，减最小值把低分标的权重压到 ~6e-8，等于单股满仓、n_stocks 被无视，进而出现持仓1只/-99.98%回撤。新增 _apply_weight_floor 权重下限保证入选标的都有实质权重。 #25-B: RebalanceEngine total_trades 统计错误 total_trades = len(equity_curve)（天数）改为 len(trades_df)（真实笔数）。 #22: 绩效别名键 + 数据异常诊断 performance dict 新增 sharpe_ratio/start_cash/end_value 别名键；资金曲线异常时返回 diagnostic_warning 而非静默全 0，CLI 显示提示。文档：README 加入回测手册导航；backtest_usage.md 补充 warmup 说明。测试：新增 6 个回归测试，更新 3 个；932 passed。	2026-07-09 20:16:12 +08:00
GitHubandClaude Opus 4.8	04c2be1d7f	fix(backtest): resolve mypy and ruff lint issues - dsl.py: use NDArray type annotations, fix None narrowing - cli.py: add type annotations, fix import sorting - strategy.py: fix UP038 isinstance, add noqa for I() method name - tests: fix E712 bool comparison assertions Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>	2026-06-09 18:21:25 +08:00
GitHubandClaude Opus 4.8	687851fc67	feat(backtest): add Strategy base class with DataProxy and crossover - Add _SeriesAccessor for relative indexed data access ([0] current, [-1] previous) - Add StrategyDataProxy for efficient DataFrame column access via numpy arrays - Add crossover() function for golden cross detection (fast line crosses above slow line) - Add Strategy abstract base class with: - init() for indicator registration via self.I() - next() for signal generation via buy()/sell() - Internal engine hooks (_bind_data, _call_init, _set_bar_index, etc.) - All code is mypy strict compliant with full type annotations - 25 unit tests covering all components Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>	2026-06-09 16:53:57 +08:00

Author

SHA1

Message

Date

GitHub

00b8c6374a

fix(backtest): v1.20.1 修复回测引擎 3 个 bug（issues #22 #23 #25）

排查发现用户反馈的"回测统计数据缺失/异常"并非服务器连接问题，
而是回测引擎与组合优化器自身的代码缺陷：

#23: 首根 bar 访问 close[-1] 崩溃
  _SeriesAccessor 负向越界改返回 NaN（不抛 IndexError）；
  BacktestEngine 新增 warmup_bars 参数跳过指标预热期。

#25-A: FactorWeightedOptimizer 权重坍缩
  n_stocks=2 且得分接近时，减最小值把低分标的权重压到 ~6e-8，
  等于单股满仓、n_stocks 被无视，进而出现持仓1只/-99.98%回撤。
  新增 _apply_weight_floor 权重下限保证入选标的都有实质权重。

#25-B: RebalanceEngine total_trades 统计错误
  total_trades = len(equity_curve)（天数）改为 len(trades_df)（真实笔数）。

#22: 绩效别名键 + 数据异常诊断
  performance dict 新增 sharpe_ratio/start_cash/end_value 别名键；
  资金曲线异常时返回 diagnostic_warning 而非静默全 0，CLI 显示提示。

文档：README 加入回测手册导航；backtest_usage.md 补充 warmup 说明。
测试：新增 6 个回归测试，更新 3 个；932 passed。

2026-07-09 20:16:12 +08:00

GitHubandClaude Opus 4.8

04c2be1d7f

fix(backtest): resolve mypy and ruff lint issues

- dsl.py: use NDArray type annotations, fix None narrowing
- cli.py: add type annotations, fix import sorting
- strategy.py: fix UP038 isinstance, add noqa for I() method name
- tests: fix E712 bool comparison assertions

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>

2026-06-09 18:21:25 +08:00

GitHubandClaude Opus 4.8

687851fc67

feat(backtest): add Strategy base class with DataProxy and crossover

- Add _SeriesAccessor for relative indexed data access ([0] current, [-1] previous)
- Add StrategyDataProxy for efficient DataFrame column access via numpy arrays
- Add crossover() function for golden cross detection (fast line crosses above slow line)
- Add Strategy abstract base class with:
  - init() for indicator registration via self.I()
  - next() for signal generation via buy()/sell()
  - Internal engine hooks (_bind_data, _call_init, _set_bar_index, etc.)
- All code is mypy strict compliant with full type annotations
- 25 unit tests covering all components

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>

2026-06-09 16:53:57 +08:00