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feat: operationalize local Tushare Qlib research

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This commit is contained in:
zebzhang
2026-07-31 01:26:49 +08:00
parent f81c116bfe
commit 6275370afc
21 changed files with 4438 additions and 401 deletions
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Makefile
+69 -1
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@@ -3,8 +3,11 @@ PROJECT_PYTHONPATH := src:.
SMOKE_DIR := artifacts/local-smoke
RESEARCH_DIR := artifacts/research-smoke
PARITY_REPORT := artifacts/mock-parity/report.json
TUSHARE_PROVIDER ?= data/qlib/tushare-csi500-2018-2025-v2
TUSHARE_SNAPSHOT ?= artifacts/local-tushare/scoped-source-manifest.json
TUSHARE_EVIDENCE_DIR ?= artifacts/tushare
.PHONY: test architecture standard bundle smoke verify research research-verify parity parity-verify doctor secret-scan status status-check notebook-check notebook-smoke local
.PHONY: test architecture standard bundle smoke verify research research-verify parity parity-verify doctor secret-scan status status-check notebook-check notebook-smoke tushare-check-root tushare-snapshot tushare-build tushare-verify tushare-lineage tushare-backtest tushare-replay local
test:
PYTHONPATH=$(PROJECT_PYTHONPATH) $(PYTHON) -m unittest discover -s tests -p '*.py' -q
@@ -56,4 +59,69 @@ notebook-check:
notebook-smoke:
$(PYTHON) tools/run_colab_notebook.py notebooks/quant_os_colab.ipynb --execute
tushare-check-root:
@test -n "$(TUSHARE_MIRROR_ROOT)" || (echo "set TUSHARE_MIRROR_ROOT=/path/to/tushare-mirror" >&2; exit 2)
tushare-snapshot: tushare-check-root
$(PYTHON) tools/tushare_snapshot.py \
--mirror-root "$(TUSHARE_MIRROR_ROOT)" \
--start 2018-01-01 \
--end 2025-12-31 \
--apis daily adj_factor trade_cal stock_basic index_daily index_weight \
--index-codes 000905.SH \
--output "$(TUSHARE_SNAPSHOT)"
tushare-build: tushare-check-root
$(PYTHON) tools/tushare_qlib.py build \
--mirror-root "$(TUSHARE_MIRROR_ROOT)" \
--output-dir "$(TUSHARE_PROVIDER)" \
--start 2018-01-01 \
--end 2025-12-31 \
--market-name tushare_csi500 \
--benchmark-index-code 000905.SH \
--universe-index-code 000905.SH \
--minimum-observations 60 \
--ohlc-policy fail \
--output-json "$(TUSHARE_EVIDENCE_DIR)/csi500-build.json"
tushare-verify:
$(PYTHON) tools/tushare_qlib.py verify "$(TUSHARE_PROVIDER)" \
--output-json "$(TUSHARE_EVIDENCE_DIR)/csi500-verify.json"
tushare-lineage:
$(PYTHON) tools/tushare_lineage.py \
--source-manifest "$(TUSHARE_SNAPSHOT)" \
--provider-dir "$(TUSHARE_PROVIDER)" \
--output-json "$(TUSHARE_EVIDENCE_DIR)/csi500-lineage.json"
tushare-backtest:
PYTHONHASHSEED=0 PYTHONPATH=$(PROJECT_PYTHONPATH) $(PYTHON) -m platforms.qlib_runner \
--provider-uri "$(TUSHARE_PROVIDER)" \
--market tushare_csi500 \
--benchmark SH000905 \
--start 2019-01-02 \
--end 2025-12-30 \
--feature-start 2018-01-02 \
--lookback 20 \
--topk 50 \
--n-drop 5 \
--rebalance weekly \
--output-json "$(TUSHARE_EVIDENCE_DIR)/csi500-momentum-run-1.json"
tushare-replay: tushare-backtest
PYTHONHASHSEED=0 PYTHONPATH=$(PROJECT_PYTHONPATH) $(PYTHON) -m platforms.qlib_runner \
--provider-uri "$(TUSHARE_PROVIDER)" \
--market tushare_csi500 \
--benchmark SH000905 \
--start 2019-01-02 \
--end 2025-12-30 \
--feature-start 2018-01-02 \
--lookback 20 \
--topk 50 \
--n-drop 5 \
--rebalance weekly \
--output-json "$(TUSHARE_EVIDENCE_DIR)/csi500-momentum-run-2.json"
cmp "$(TUSHARE_EVIDENCE_DIR)/csi500-momentum-run-1.json" \
"$(TUSHARE_EVIDENCE_DIR)/csi500-momentum-run-2.json"
local: architecture standard test bundle smoke verify research research-verify parity parity-verify doctor secret-scan status-check notebook-check notebook-smoke