Empyrical Risk Metrics

计算投资组合风险指标，包括年化收益率、夏普比率、索提诺比率、最大回撤和卡玛比率，支持滚动窗口统计和 NaN 数据处理，适用于多市场数据。。

投资风险指标 (empyrical-risk-metrics)

计算投资组合风险指标，包括年化收益率、夏普比率、索提诺比率、最大回撤和卡玛比率，支持滚动窗口统计和 NaN 数据处理，适用于多市场数据。

Pipeline

data_collection -> data_storage -> factor_computation -> target_selection -> trading_execution -> visualization

Top Use Cases (3 total)

Sphinx Documentation Build Configuration (UC-101)

Configuring Sphinx to automatically generate API documentation from docstrings and source code comments for the empyrical library Triggers: sphinx configuration, documentation build, autodoc setup

Documentation Deployment Automation (UC-102)

Automating the process of cleaning, building, and deploying Sphinx documentation to a hosting platform for the empyrical project Triggers: documentation deployment, automated deployment, CI/CD documentation

Advanced Sphinx Documentation Source Setup (UC-103)

Configuring advanced Sphinx extensions including autodoc filtering, numpydoc integration, and markdown support for comprehensive documentation generat Triggers: sphinx extensions, numpydoc, autodoc filtering

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-107. Evidence verify ratio = 45.3% and audit fail total = 21. 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

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Compiled by Doramagic crystal-compilation-v6.1 from finance-bp-107 blueprint at 2026-04-22T13:00:51.147425+00:00. See human_summary.md for non-technical overview.