feat: add Quant OS A-share baseline

2026-07-26 12:54:04 +08:00
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+# JoinQuant hosted backtest evidence — 2026-07-26
+
+This is a real hosted-runtime smoke record, not a cross-engine acceptance
+report and not an investment-performance claim.
+
+## Run identity
+
+- Strategy: `quant_os_portable_momentum_v1`
+- Hosted record:
+  [JoinQuant backtest detail](https://www.joinquant.com/algorithm/backtest/detail?backtestId=62de09f1e0f9e81b260a18e0ee59e953)
+- Period: 2024-01-02 through 2024-12-31
+- Initial capital: CNY 1,000,000
+- Frequency/runtime: daily, Python 3
+- Benchmark: CSI 500 (`000905.XSHG`)
+- Uploaded bundle:
+  `dist/joinquant_strategy.py`
+- Uploaded bundle SHA-256:
+  `22ddb0546beb3bd4e4bbedecb271452111324c3903e45be1f4ac3d39f38cce4f`
+- Portable core SHA-256:
+  `af29e4e5e10705cf6aff89874394c1e80d3780f093c19d90ed53ef9d0188a934`
+
+## Hosted result
+
+| Metric | Hosted value |
+| --- | ---: |
+| Strategy return | -19.98% |
+| Annualized return | -20.56% |
+| Excess return | -24.12% |
+| Benchmark return | 5.46% |
+| Alpha | -0.259 |
+| Beta | 0.830 |
+| Sharpe | -0.806 |
+| Win rate | 0.474 |
+| Profit/loss ratio | 0.816 |
+| Maximum drawdown | 32.45% |
+
+The visible completed-run log contained zero `ERROR`, `Traceback`, or
+`订单委托失败` entries. These performance numbers are negative and are recorded
+only to prove that the hosted execution path completed; they provide no
+investment-value evidence.
+
+## Defects found by the hosted runtime
+
+The real platform run found three issues that fake wiring alone did not expose:
+
+1. JoinQuant's hosted namespace shadowed Python's global `sum`. The portable
+   core now uses its own deterministic numeric reducer.
+2. STAR Market market orders require worst-price protection. The wrapper now
+   submits a documented `LimitOrderStyle`: daily upper limit for buys and daily
+   lower limit for sells, and fails closed when that price is absent or invalid.
+3. STAR Market auction orders require at least 200 shares, except a complete
+   sale of the remaining sub-200 balance. The rule now lives in the shared
+   portable core and local simulator, so JoinQuant and QMT receive the same
+   legal target/order delta.
+
+The order API and limit-style contract are documented in the
+[official JoinQuant API PDF](https://cdn.joinquant.com/help/img/JoinQuantAPI.pdf).
+The 200-share minimum and remaining-balance exception are described by the
+[Shanghai Stock Exchange](https://edu.sse.com.cn/tib/).
+
+## Evidence boundary
+
+This record proves that one real JoinQuant daily backtest completed with the
+uploaded wrapper. It does **not** pass G9 because the following evidence is
+still missing:
+
+- a complete hosted export containing input close arrays or hashes, the
+  portable plan, orders and fills;
+- a local canonical run over the exact same frozen inputs;
+- layer-by-layer L1—L4 comparison with enumerated difference reasons;
+- a real QMT peer run and at least 20 trading days of broker shadow evidence.
+
+Accordingly, `gate_scorecard.json` remains `NOT_BASELINE_60`.