7 Commits

Include renames

Author	SHA1	Message	Date
GitHub	155328df8b	release: v1.16.2 — 三轮审计质量加固（B6.9→A7.9） ... 经三轮代码审计后的综合质量加固版本，覆盖协议核心层、数据正确性、 错误处理、测试真实度与可维护性。761 单测全绿（+58），ruff/mypy 全过。 主要修复： - 离线 .day 写入原子化（fsync + _repair_tail + 读取校验，CQS 守住） - 回测止损前视偏差（延迟下一根开盘 + 跳空保护） - VWAP 权重索引 / bar_time fail-fast / 绩效除零保护 - 闭包绑定 / 路径穿越 / naive datetime 跨时区 / ruff UP038 重构： - 抽 AsyncHeartbeatMixin 收敛 4 处心跳副本（12→1） - 统一 _RETRY_DELAYS 退避序列 / scanner 失败可观测性 新增 5 个测试文件 + 公共 API 类型契约，CI 加 Windows 矩阵 + trusted publishing 签名 + 锁文件。 详见 CHANGELOG.md	2026-07-02 03:37:37 +08:00
GitHubandClaude	c54071e85e	release: v1.14.1 — 高级回测 ExecutionModel 路径 3 个真实数据兼容 Bug 修复 ... - datetime 类型分歧（致命）：Trade.datetime 转 int 与 PortfolioTracker 的 Timestamp key 失配，TWAP/VWAP/Limit 路径交易全部静默丢失、权益曲线恒定、收益归零 - volume 列名分歧：回测认 volume 而真实行情为 vol，滑点 volume 恒 0 退化百分比模式，VWAP 退化为等权 - date/datetime 列名分歧：日线返回 date 列引擎要 datetime，run() 入口由 date 派生下游无感兼容 新增 3 个回归测试（均红灯验证）。650 单测通过，backtest 模块 ruff + mypy strict 清洁。 Co-Authored-By: Claude <noreply@anthropic.com>	2026-06-15 20:50:49 +08:00
Justin Gu	5fc398255d	fix(types): 修复 CI mypy strict + ruff format 失败 ... mypy (13 errors → 0): - portfolio/optimizer: register_optimizer 返回类型改为 Callable 装饰器签名 (原标注 type[WeightOptimizer] 导致 4 个子类 Too many arguments) - factor/engine: _datetime_to_int 用 isinstance 收窄替代 object→int 强转 - factor/analysis: 删多余 type:ignore（改由 mypy override 统一处理 scipy） - backtest/orders, execution: np.sqrt 表达式用 float() 包裹消除 no-any-return - MyTT.pyi: MACD 签名删除错误的 LOW/HIGH 参数（与 MyTT.py 实际签名对齐） - pyproject: 新增 scipy mypy override (ignore_missing_imports) ruff format: 8 个 test 文件格式化 验证: 564 passed, mypy 192 文件零错误, ruff check/format 全绿	2026-06-13 21:21:33 +08:00
Justin Gu	be41746aa9	fix(backtest): _find_bar_index 用 to_numpy().argmax() 取真实位置 ... idxmax() 返回 index label，后续 iloc[] 按位置取行；当 df.index 非默认 RangeIndex 时 label != position，撮合会取错 K 线。两处分支统一改为位置索引。 新增 2 例非连续 index 回归测试。	2026-06-13 21:10:15 +08:00
GitHub	6414c2cc11	feat(backtest): integrate SlippageModel into OrderSimulator	2026-06-12 20:50:42 +08:00
Justin Gu	815b3ddf7c	feat: implement stop-loss/take-profit execution in backtest engine ... - Track SL/TP conditions from BUY signals in _generate_signals loop - Check active conditions against each bar's high/low price range - Auto-generate SELL signal at trigger price when condition is met - Modify OrderSimulator to respect signal.price for direct execution (previously signal.price was stored but never used in execution) - SL/TP activates on bar AFTER BUY signal (consistent with next_open) - Stop-loss checked before take-profit (conservative for holder) - Add 4 tests: SL trigger, TP trigger, no-trigger, priority over manual sell	2026-06-11 01:53:11 +08:00
GitHubandClaude Opus 4.8	16dc2e7da9	feat(backtest): add OrderSimulator with 5 execution modes and reject policy ... - Implement OrderSimulator class for order matching simulation - Support 5 execution modes: next_open, next_close, this_close, worst, best - Support 3 position modes: full, fixed, percent - Support 2 reject policies: reduce (partial fill), skip (reject) - Implement fee model: commission (min 5 CNY), stamp tax (0.1% sell only), slippage - Add future_leak_warning flag for this_close mode - Handle both int and datetime column types in DataFrame - Add comprehensive test suite with 24 test cases covering all modes Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>	2026-06-09 17:52:31 +08:00