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Changelog

All notable changes to this project will be documented in this file.

The format is based on Keep a Changelog.

[Unreleased]

⚠️ Backtest Correctness Fixes (P0)

Users of previous versions should re-run their backtests. Several bugs caused strategies to appear significantly more profitable than they would be in practice.

C1 — Look-ahead bias in stock selection filters (⚠️ previous results inaccurate)

  • Root cause: filter_low_price_stocks, filter_high_pe_stocks, and fetch_factor_data called the live-data API (get_current_data) even during historical backtests, filtering stocks with today's PE/price.
  • Fix: In backtest mode (preloaded OHLCV panel), OHLCV fields now use the preloaded bar at context.current_dt; PE/PB return NaN with a warning instead of silently using the live snapshot.

C2 — Alpha/beta fillna(0) contaminates benchmark returns (⚠️ previous results inaccurate)

  • Root cause: _calc_alpha_beta and fama_french_analysis treated missing benchmark days as "0% return" via reindex(...).fillna(0), biasing beta downward and alpha upward.
  • Fix: Use raw intersection / dropna series.

C3 — Monthly rebalance skips when month-start is a holiday

  • Root cause: _should_run_schedule checked day.day == N; A-share January 1 is always a holiday so monthly:1 never fired.
  • Fix: New _is_first_trading_day_ge(day, n) fires on the first trading day ≥ N using the preloaded trading calendar.

C4 — No price-limit enforcement

  • Fix: Added _get_price_limit_ratio() (10% main board, 20% ChiNext/STAR) and an optional check via set_option('check_price_limit', True) (default False — existing backtests unaffected).

C5 — MaxSharpe arithmetic-mean annualization (⚠️ previous Sharpe values too high)

  • Root cause: _annual_stats used mean * 252, which diverges significantly from geometric return at high volatility.
  • Fix: Geometric formula: (1 + port_ret).prod() ** (252/n) - 1.

C6 — Paper-trade fills orders before any strategy orders exist

  • Fix: Added _warmup_done flag; skips _fill_pending_orders on the first calendar-day transition.

Added

  • simple_factor_analysis() — renamed from fama_french_analysis() to accurately reflect that it does not implement the Fama-French 3-factor model. The old name is retained as a deprecated alias with a DeprecationWarning.
  • walk_forward() and WFAResult in eqlib.wfa — walk-forward / rolling out-of-sample validation framework.
  • StrategyConfig.use_local field — promotes use_local from a hardcoded True to a user-configurable parameter in run_portfolio_backtest.
  • Glossary page (docs/glossary.md) added to documentation site.
  • tools/profiling/ directory for performance benchmarking scripts (moved from examples/21_combined_strategy/).

Changed

  • attribute_history(..., fq='post') now raises ValueError in backtest mode (the preloaded panel only stores qfq / forward-adjusted data); use fq='pre'.
  • _get_trading_days() now prefers ak.tool_trade_date_hist_sina() over the 601390 stock history (more complete, no listing-date gaps).
  • data._cache and data._spot_cache are now protected by threading.Lock for safe use in multi-threaded back-testing scenarios.
  • Sortino ratio now uses MAR = 0 (industry standard) and ddof=0, consistent with the Sharpe ratio implementation.
  • analyze_returns() excess Sharpe is now the correct Information Ratio (excess.mean() / excess.std() * sqrt(252)); the prior double-subtraction of the risk-free rate has been removed.

Fixed

  • Monthly schedule: monthly:1 now correctly fires on the first A-share trading day of each month (previously missed January and months where day 1 falls on a weekend/holiday).
  • fama_french_analysis / _calc_alpha_beta no longer distort beta/alpha by treating missing benchmark days as 0% returns.

Web Strategy Studio

  • S1: CORS allow_origins is now configurable via EQ_STUDIO_CORS_ALLOWED_ORIGINS; defaults to localhost:5173 and localhost:8080 only (removes the ["*"] + allow_credentials=True violation).
  • S2: security_scanner.py now documents its limitations as a "friendly lint" tool, not a security sandbox.
  • S3: Subprocess environment is now filtered to an allowlist (PATH, HOME, EQ_*, etc.) to prevent host secrets from leaking into user strategy processes.
  • S4: StreamHub now cleans up empty run_id entries after every unsubscribe and on terminal events (done/error), preventing unbounded memory growth on long-running instances.
  • S5: backtest_executor.py now parses "Backtest progress N/M" lines from the engine's stdout for true fractional progress instead of the crude log_lines // 2 heuristic.
  • S6: Idempotency map entries now expire after 24 h (configurable via EQ_STUDIO_IDEMPOTENCY_TTL_SEC); a background task purges stale entries.
  • S7: Dockerfile adds a non-root studio user and a HEALTHCHECK for container orchestrators.
  • S8: cancel_run now awaits subprocess exit (up to 5 s) before committing "cancelled" to the DB, eliminating duplicate SSE done events.

Documentation

  • M10: mkdocs nav now points to the split-by-chapter user guide (doc/user_guide/index.md); the old single-page version is still accessible but no longer in the top nav.
  • M11: CHANGELOG, CONTRIBUTING, and SECURITY added to the nav under "项目动态 / Project Updates".
  • E6: doc/utils_reference.md added to the API reference section of the nav.
  • E9: Glossary page added (docs/glossary.md).

Risk Disclosures Added

  • Strategy examples 14, 15, 16, 17 now include ⚠️ RISK DISCLOSURE headers warning that examples are for teaching purposes only and should not be deployed to live trading without thorough out-of-sample validation.

[0.1.1] — 2025-07 (P0 patch)

See [Unreleased] section for the full list. This will be tagged once all P0 backtest correctness fixes are merged.

[0.1.0] — 2025-05

Initial release.

Added

  • Event-driven backtest engine (eqlib/engine.py)
  • Fluent query API (eqlib/stock_query.py)
  • Data layer with akshare integration and local CSV caching
  • Strategy templates: MACD+Volume, Bollinger, Grid Trading, Multi-Factor
  • Matplotlib chart generation and Markdown report export
  • PTrade/QMT adapter for live deployment
  • Comprehensive test suite
  • Dual index charts (CSI300 + SSE) in HTML backtest reports
  • Support/Resistance strategy (examples/20_sr_strategy/)
  • Stock selection strategy (examples/22_stock_selection_strategy.py)
  • Local data backtest (examples/19_local_data_backtest.py) with CSV cache
  • Portfolio backtesting with equal-weight rebalancing (examples/12_portfolio_backtest.py)
  • Brinson attribution and factor analysis
  • HTML report with interactive charts via Lightweight Charts
  • MkDocs documentation site with CI/CD via GitHub Pages