Pyfolio Performance

基于 pyfolio-reloaded 的投资组合绩效分析：一键生成 tear sheet（夏普、回撤、 年化、换手、个股往返交易、行业归因）。适用于回测后的标准化报告。

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

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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.