start experiment 67 (exp/67-scheduled-algo-retrain-on-2026-09-01-tac)

code/MANIFEST.txt

@@ -0,0 +1,34 @@
+# TradeAC custom-qlib-code snapshot (auto-generated)
+# parent repo HEAD : f1bd6d99c323c5939e4baf03e108e93b0f6caade
+#   tac-qlib/tac_qlib/contrib
+#   tac-qlib/tac_qlib/data
+# per-file hashes (git hash-object):
+  1b6298c4a5652f2e863cbdc385a1014a570fcd59  tac-qlib/tac_qlib/contrib/__init__.py
+  6c57851807631dfa1a525f87538a1b0a495fd7b2  tac-qlib/tac_qlib/contrib/__pycache__/__init__.cpython-312.pyc
+  2224424d0ff193be4f55d1b791f8fce89439c5d2  tac-qlib/tac_qlib/contrib/backtest/__init__.py
+  0bf40dee440ddbded357d7bbb4efc67c62c4b084  tac-qlib/tac_qlib/contrib/backtest/tradeac_exchange.py
+  c76a9f17f680e74eea766eff27f7624359749ed6  tac-qlib/tac_qlib/contrib/data/__init__.py
+  1acd2cb845eac1bcee54450004a4af36484544ed  tac-qlib/tac_qlib/contrib/data/__pycache__/__init__.cpython-312.pyc
+  2ef18965f77e8955580334d2edc09bd381204355  tac-qlib/tac_qlib/contrib/data/__pycache__/handler.cpython-312.pyc
+  3bba0f1696e4ab4b3deebec3f31f269b2e713899  tac-qlib/tac_qlib/contrib/data/handler.py
+  b151d139a0dcde87d74b21e7c4b729176ba5c39b  tac-qlib/tac_qlib/contrib/model/__init__.py
+  c975d2b978f2cc08a388a5d921938704a3dd592d  tac-qlib/tac_qlib/contrib/model/__pycache__/__init__.cpython-312.pyc
+  009ebd83c5156ca3d7039a112e0d277dd416ca86  tac-qlib/tac_qlib/contrib/model/__pycache__/rank_ensemble.cpython-312.pyc
+  1716b680b5623394229f7600ad4c81ad07fa6a2b  tac-qlib/tac_qlib/contrib/model/__pycache__/rank_gbdt.cpython-312.pyc
+  d3f051f3a8650c42fedc7b367b966f7c74fb5789  tac-qlib/tac_qlib/contrib/model/rank_ensemble.py
+  d03e6611338918d4aac5eea4adf26f85a3763652  tac-qlib/tac_qlib/contrib/model/rank_gbdt.py
+  184f80da8edf944bad3c8fb4d4d3d189bf4f082b  tac-qlib/tac_qlib/contrib/strategy/__init__.py
+  9c9f7743970b1a3827bb72768bb6e8be03040759  tac-qlib/tac_qlib/contrib/strategy/__pycache__/__init__.cpython-312.pyc
+  6e38a7fa8584b80410ccc88e5feff228a7ece38b  tac-qlib/tac_qlib/contrib/strategy/__pycache__/long_short.cpython-312.pyc
+  f983d5c2472cd16ef9f14a240674ec0a7f41e81c  tac-qlib/tac_qlib/contrib/strategy/__pycache__/optimal_stop.cpython-312.pyc
+  896ef74ae47bcd1ed388e1e5d9c8d70c28097fe9  tac-qlib/tac_qlib/contrib/strategy/kelly_dropout.py
+  9090fc6dfbd339f2f4df4b0c9b87f400ecb5c9d5  tac-qlib/tac_qlib/contrib/strategy/long_short.py
+  79aaad9e39fcc740a773f4f63c512ce1086cfde0  tac-qlib/tac_qlib/contrib/strategy/optimal_stop.py
+  5b9acfb4340111b204249add7760bd53c6ae03f1  tac-qlib/tac_qlib/contrib/strategy/regime_gate.py
+  fe60bacdfedd48617863be31f24b7c7daebfac5a  tac-qlib/tac_qlib/contrib/strategy/weekly_rebalance.py
+  92e6e90eb0cd0a25142034560f27adb6b705b1a8  tac-qlib/tac_qlib/data/__init__.py
+  a0e969bd6504bb8d9220f4641cc01e960c3120e4  tac-qlib/tac_qlib/data/__pycache__/__init__.cpython-312.pyc
+  2f8c537d11135155539276bee342d087aad8743e  tac-qlib/tac_qlib/data/__pycache__/config.cpython-312.pyc
+  53cf7828c425f6b5032b206b93a238607111a6ed  tac-qlib/tac_qlib/data/__pycache__/providers.cpython-312.pyc
+  1953fb2a6371525db7f7b0e1c9dfbf3492d82110  tac-qlib/tac_qlib/data/config.py
+  8d0644f6f0d1efb94798ed444cc73e63b643459b  tac-qlib/tac_qlib/data/providers.py

code/tac-qlib/tac_qlib/contrib/__init__.py

@@ -0,0 +1,11 @@
+from . import data  # noqa: F401  (registers tac_qlib.contrib.data)
+from . import model, strategy  # noqa: F401
+from .data import TACHandler  # noqa: F401
+from .model import RankICLGBModel  # noqa: F401
+from .strategy import OptimalStopControl  # noqa: F401
+
+__all__ = [
+    "TACHandler",
+    "RankICLGBModel",
+    "OptimalStopControl",
+]

code/tac-qlib/tac_qlib/contrib/backtest/__init__.py

@@ -0,0 +1 @@
+from .tradeac_exchange import TradeACExchange

code/tac-qlib/tac_qlib/contrib/backtest/tradeac_exchange.py

@@ -0,0 +1,432 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+"""
+TradeACExchange
+
+A short/borrow enabled Exchange implementation built on top of qlib.backtest.exchange.Exchange.
+This exchange adds simple, configurable margin logic (initial/maintenance), borrowing support for
+shorts, a borrow fee, and a lightweight SMA (Special Memorandum Account) concept to emulate
+behaviors similar to brokers such as IBKR and Alpaca for backtesting purposes.
+
+Notes / limitations
+- This implementation is intentionally lightweight and conservative: it implements the
+  key behaviors needed for strategy/backtest experiments (allowing short selling, computing
+  margin requirements, performing margin-call checks, and tracking SMA-like excess equity).
+- It makes some simplifying assumptions compared to real brokers (no per-product house margins,
+  simplified SMA bookkeeping, borrow availability modeled only by a per-symbol boolean/limit).
+- The Position class in qlib.backtest.position was not changed. To support shorts we update the
+  position.position dict directly when necessary. This keeps integration simple but bypasses some
+  internal Position helpers. Use with care.
+
+API additions
+- allow_short: enable short selling (bool)
+- initial_margin_long/short: fraction required to open a position
+- maintenance_margin_long/short: fraction required to keep a position
+- borrow_fee_rate: periodic borrow fee applied on short value (applied at trade time as additional cost)
+- borrowable: dict mapping stock_id -> bool or float (max borrowable shares). Symbols missing from
+  the dict follow `borrow_default` (default True = unlimited; set False for a strict whitelist)
+- get_sma(position): returns SMA-like excess equity available as "buying power credit"
+- check_margin_call(position): returns True if position is below maintenance requirement
+
+"""
+from __future__ import annotations
+
+from typing import Any, Dict, Optional, Tuple
+
+import numpy as np
+
+from qlib.backtest.decision import Order
+from qlib.backtest.exchange import Exchange
+from qlib.backtest.position import BasePosition
+
+
+class TradeACExchange(Exchange):
+    """An exchange that supports short selling / borrowing and basic margin rules.
+
+    The implementation aims to be compatible with the Exchange API used by Account and
+    Position classes in qlib.backtest. It overrides only the minimum methods required to
+    enable short/borrow behavior and margin calculations.
+    """
+
+    def __init__(
+        self,
+        *args: Any,
+        allow_short: bool = True,
+        initial_margin_long: float = 0.5,
+        initial_margin_short: float = 0.5,
+        maintenance_margin_long: float = 0.25,
+        maintenance_margin_short: float = 0.3,
+        borrow_fee_rate: float = 0.0,
+        borrowable: Optional[Dict[str, float]] = None,
+        borrow_default: bool = True,
+        sma_enabled: bool = True,
+        **kwargs: Any,
+    ) -> None:
+        """Create TradeACExchange.
+
+        Parameters mirror Exchange with additional tradeac-specific options.
+        """
+        super().__init__(*args, **kwargs)
+        self.allow_short = allow_short
+        self.initial_margin_long = initial_margin_long
+        self.initial_margin_short = initial_margin_short
+        self.maintenance_margin_long = maintenance_margin_long
+        self.maintenance_margin_short = maintenance_margin_short
+        self.borrow_fee_rate = borrow_fee_rate
+        # borrowable can be a dict with per-symbol max borrowable amount, or None (unlimited)
+        self.borrowable = borrowable or {}
+        # borrow_default: policy for symbols absent from `borrowable`.
+        #   True  -> unlisted symbols are unlimited-borrowable (legacy behavior)
+        #   False -> unlisted symbols are NOT borrowable; only listed ones can be shorted
+        self.borrow_default = bool(borrow_default)
+        # sma_enabled: whether to expose lightweight SMA calculation
+        self.sma_enabled = sma_enabled
+
+    # --------------------------- Helper calculations ---------------------------
+    def _initial_margin_requirement(self, position: BasePosition) -> float:
+        """Compute the initial margin requirement (money) for the given position.
+
+        We treat longs and shorts separately and sum their required initial margins.
+        """
+        im_req = 0.0
+        for sid in position.get_stock_list():
+            amt = position.get_stock_amount(sid)
+            price = position.get_stock_price(sid)
+            val = amt * price
+            if val > 0:
+                im_req += abs(val) * self.initial_margin_long
+            elif val < 0:
+                im_req += abs(val) * self.initial_margin_short
+        return im_req
+
+    def _maintenance_margin_requirement(self, position: BasePosition) -> float:
+        """Compute the maintenance margin requirement (money) for the given position."""
+        mm_req = 0.0
+        for sid in position.get_stock_list():
+            amt = position.get_stock_amount(sid)
+            price = position.get_stock_price(sid)
+            val = amt * price
+            if val > 0:
+                mm_req += abs(val) * self.maintenance_margin_long
+            elif val < 0:
+                mm_req += abs(val) * self.maintenance_margin_short
+        return mm_req
+
+    def get_equity(self, position: BasePosition) -> float:
+        """Return account equity (position value + cash)."""
+        return position.calculate_value()
+
+    def get_sma(self, position: BasePosition) -> float:
+        """Return a simplified SMA: excess equity above initial margin requirement.
+
+        Note: This is a synthetic/Simplified SMA used for strategy/backtest logic. Real-broker
+        SMA accounting (e.g. credits/debits across days) can be more complex.
+        """
+        if not self.sma_enabled:
+            return 0.0
+        equity = self.get_equity(position)
+        im_req = self._initial_margin_requirement(position)
+        return max(0.0, equity - im_req)
+
+    def check_margin_call(self, position: BasePosition) -> bool:
+        """Return True when the account is under maintenance margin (margin call).
+
+        Margin call condition here is simple: equity < maintenance requirement.
+        """
+        equity = self.get_equity(position)
+        mm_req = self._maintenance_margin_requirement(position)
+        return equity < mm_req
+
+    def get_buying_power(self, position: BasePosition) -> float:
+        """Estimate buying power for new long positions assuming opening margin requirement.
+
+        Simplified: the maximum notional long value = equity / initial_margin_long.
+        """
+        equity = self.get_equity(position)
+        if self.initial_margin_long <= 0:
+            return 0.0
+        return equity / self.initial_margin_long
+
+    # --------------------------- Order / execution overrides ---------------------------
+    def _borrow_headroom(self, stock_id: str, current_short: float) -> float:
+        """Remaining borrowable shares for `stock_id` given an already-open short of `current_short` shares.
+
+        borrowable values: bool (True=unlimited, False=not borrowable) or numeric max shares.
+        Missing symbols follow `borrow_default` (True = unlimited when allow_short is enabled).
+        """
+        if not self.allow_short:
+            return 0.0
+        v = self.borrowable.get(stock_id, self.borrow_default)
+        if isinstance(v, bool):
+            return float("inf") if v else 0.0
+        try:
+            limit = float(v)
+        except (TypeError, ValueError):
+            return float("inf")
+        return max(0.0, limit - max(current_short, 0.0))
+
+    def _calc_trade_info_by_order(
+        self,
+        order: Order,
+        position: Optional[BasePosition],
+        dealt_order_amount: Dict[str, float],
+    ) -> Tuple[float, float, float]:
+        """Override to allow (optionally) short selling and to apply borrow fees.
+
+        The original Exchange implementation forbids selling more than you own. Here we allow
+        sell orders to create/expand short positions when allow_short is True. We still rely on
+        most base logic (price discovery, impact, cost calculation) by calling super(), but we
+        adjust the sell-side clipping behavior before delegating to the base implementation.
+        """
+        # When selling and shorts are allowed, temporarily relax the clipping logic in the base
+        # implementation by monkey-patching current position check. Simpler: replicate minimal
+        # parts of logic from Exchange._calc_trade_info_by_order with the key change.
+
+        # Get basic trade price & volume info using Exchange helpers
+        trade_price = float(self.get_deal_price(order.stock_id, order.start_time, order.end_time, direction=order.direction))
+        total_trade_val = float(self.get_volume(order.stock_id, order.start_time, order.end_time) or 0.0) * trade_price
+
+        order.factor = self.get_factor(order.stock_id, order.start_time, order.end_time)
+        order.deal_amount = order.amount  # attempt full
+
+        # volume clipping (same as base)
+        self._clip_amount_by_volume(order, dealt_order_amount)
+
+        # approximate adjusted cost ratio based on liquidity
+        if not total_trade_val or np.isnan(total_trade_val) or total_trade_val <= 0:
+            adj_cost_ratio = self.impact_cost
+        else:
+            trade_val_tmp = order.deal_amount * trade_price
+            adj_cost_ratio = self.impact_cost * (trade_val_tmp / total_trade_val) ** 2
+
+        # Differentiate buy / sell
+        if order.direction == Order.SELL:
+            cost_ratio = self.close_cost + adj_cost_ratio
+            current_amount = (
+                position.get_stock_amount(order.stock_id) if (position is not None and position.check_stock(order.stock_id)) else 0.0
+            )
+            long_held = max(current_amount, 0.0)
+            short_open = max(-current_amount, 0.0)
+
+            if position is not None:
+                if not self.allow_short:
+                    # clip by current holdings only
+                    if not np.isclose(order.deal_amount, current_amount):
+                        order.deal_amount = self.round_amount_by_trade_unit(
+                            min(long_held, order.deal_amount), order.factor
+                        )
+                else:
+                    # allow selling beyond holdings up to the remaining borrow limit;
+                    # later when updating the position we create/expand a short if necessary.
+                    max_sell = long_held + self._borrow_headroom(order.stock_id, short_open)
+                    if order.deal_amount > max_sell and not np.isclose(order.deal_amount, max_sell):
+                        order.deal_amount = self.round_amount_by_trade_unit(max_sell, order.factor)
+
+        elif order.direction == Order.BUY:
+            cost_ratio = self.open_cost + adj_cost_ratio
+            if position is not None:
+                cash = position.get_cash()
+                trade_val = order.deal_amount * trade_price
+                if cash < max(trade_val * cost_ratio, self.min_cost):
+                    order.deal_amount = 0
+                    self.logger.debug(f"Order clipped due to cost higher than cash: {order}")
+                elif cash < trade_val + max(trade_val * cost_ratio, self.min_cost):
+                    max_buy_amount = self._get_buy_amount_by_cash_limit(trade_price, cash, cost_ratio)
+                    order.deal_amount = self.round_amount_by_trade_unit(min(max_buy_amount, order.deal_amount), order.factor)
+                    self.logger.debug(f"Order clipped due to cash limitation: {order}")
+                else:
+                    order.deal_amount = self.round_amount_by_trade_unit(order.deal_amount, order.factor)
+            else:
+                order.deal_amount = self.round_amount_by_trade_unit(order.deal_amount, order.factor)
+        else:
+            raise NotImplementedError("order direction {} error".format(order.direction))
+
+        # compute final trade_val & trade_cost
+        trade_val = order.deal_amount * trade_price
+        # base trade_cost
+        trade_cost = max(trade_val * cost_ratio, self.min_cost)
+        # apply borrow fee only on the net-new short portion of the sell
+        if order.direction == Order.SELL and self.allow_short:
+            new_short = max(0.0, order.deal_amount - long_held)
+            trade_cost += new_short * trade_price * self.borrow_fee_rate
+
+        if trade_val <= 1e-5:
+            trade_cost = 0
+
+        return trade_price, trade_val, trade_cost
+
+    def deal_order(
+        self,
+        order: Order,
+        trade_account: Optional[Any] = None,
+        position: Optional[BasePosition] = None,
+        dealt_order_amount: Dict[str, float] = None,
+    ) -> Tuple[float, float, float]:
+        """Deal order and handle short position bookkeeping.
+
+        This method mirrors Exchange.deal_order but when a position is provided and shorts are
+        allowed it will update the Position.position dict directly to support negative amounts.
+        """
+        if dealt_order_amount is None:
+            dealt_order_amount = {}
+
+        if not self.check_order(order):
+            order.deal_amount = 0.0
+            self.logger.debug(f"Order failed due to trading limitation: {order}")
+            return 0.0, 0.0, np.nan
+
+        if trade_account is not None and position is not None:
+            raise ValueError("trade_account and position can only choose one")
+
+        pos = position or (trade_account.current_position if trade_account is not None else None)
+        trade_price, trade_val, trade_cost = self._calc_trade_info_by_order(order, pos, dealt_order_amount)
+
+        if trade_val > 1e-5:
+            if trade_account is not None:
+                cp = trade_account.current_position
+                if not cp.skip_update():
+                    held = cp.check_stock(order.stock_id)
+                    # Account-level bookkeeping (turnover/cost/returns). Mirrors
+                    # Account._update_state_from_order except for fresh short sales,
+                    # where no prior price exists to compute order profit from.
+                    if order.direction == Order.SELL and not held:
+                        trade_account.accum_info.add_turnover(trade_val)
+                        trade_account.accum_info.add_cost(trade_cost)
+                        trade_account.accum_info.add_return_value(0.0)
+                    if order.direction == Order.SELL:
+                        # sell: update account state first (stock entry may be deleted)
+                        if held:
+                            trade_account._update_state_from_order(order, trade_val, trade_cost, trade_price)
+                        self._position_sell(cp, order, trade_val, trade_cost, trade_price)
+                    else:
+                        # buy: update position first (entry may be created), then account state
+                        # A buy that covers a short to exactly flat deletes the entry inside
+                        # _position_buy; re-seed a transient zero-amount stub so the
+                        # account's order-profit lookup still finds the trade price,
+                        # then drop it (_update_state_from_order never mutates entries).
+                        sid = order.stock_id
+                        had_entry = isinstance(cp.position.get(sid), dict)
+                        self._position_buy(cp, order, trade_val, trade_cost, trade_price)
+                        covered_to_flat = had_entry and not isinstance(cp.position.get(sid), dict)
+                        if covered_to_flat:
+                            cp.position[sid] = {"amount": 0.0, "price": trade_price, "weight": 0}
+                        trade_account._update_state_from_order(order, trade_val, trade_cost, trade_price)
+                        if covered_to_flat:
+                            cp.position.pop(sid, None)
+            elif position is not None:
+                if order.direction == Order.BUY:
+                    self._position_buy(position, order, trade_val, trade_cost, trade_price)
+                else:
+                    self._position_sell(position, order, trade_val, trade_cost, trade_price)
+        return trade_val, trade_cost, trade_price
+
+    # --------------------------- Position mutation helpers ---------------------------
+    def _position_buy(self, position: BasePosition, order: Order, trade_val: float, cost: float, trade_price: float) -> None:
+        """Handle buy order bookkeeping against a BasePosition while supporting shorts.
+
+        Rules implemented (simplified):
+        - If there is an existing short (amount < 0), the buy will first cover the short.
+        - If covering closes the short completely, the remaining buy becomes a long
+        - Cash updates mimic Position._buy_stock/_sell_stock (cash decreases by trade_val+cost for buys)
+        """
+        trade_amount = trade_val / trade_price
+        sid = order.stock_id
+        current_amount = position.get_stock_amount(sid) if position.check_stock(sid) else 0.0
+
+        # covering existing short
+        if current_amount < -1e-12:
+            # amount is negative -> we are short. Buying reduces the short.
+            new_amount = current_amount + trade_amount
+            if abs(new_amount) <= 1e-8:
+                # short fully covered exactly -> remove entry
+                if sid in position.position:
+                    del position.position[sid]
+            elif new_amount > 0:
+                # short fully covered with leftover buy amount -> leftover becomes a long position
+                position.position[sid] = {"amount": new_amount, "price": trade_price, "weight": 0}
+            else:
+                # partially cover
+                position.position[sid]["amount"] = new_amount
+                position.position[sid]["price"] = trade_price
+        else:
+            # normal or increasing long
+            if sid not in position.position or not isinstance(position.position[sid], dict):
+                # initialize stock
+                position.position[sid] = {"amount": trade_amount, "price": trade_price, "weight": 0}
+            else:
+                position.position[sid]["amount"] = position.position[sid].get("amount", 0.0) + trade_amount
+                position.position[sid]["price"] = trade_price
+
+        # cash effect same as Position._buy_stock
+        position.position["cash"] -= trade_val + cost
+
+    def _position_sell(self, position: BasePosition, order: Order, trade_val: float, cost: float, trade_price: float) -> None:
+        """Handle sell order bookkeeping against a BasePosition while supporting shorts.
+
+        Rules implemented (simplified):
+        - If holding enough long shares, sell will reduce/close the long position normally.
+        - If not holding enough long shares and shorts are allowed, the remaining sold amount will create/expand a short position.
+        - Cash update for sells follows Position._sell_stock logic (cash increases by trade_val - cost)
+        """
+        trade_amount = trade_val / trade_price
+        sid = order.stock_id
+        current_amount = position.get_stock_amount(sid) if position.check_stock(sid) else 0.0
+
+        if current_amount > 1e-12:
+            # we have long shares; sell from them first
+            if trade_amount >= current_amount - 1e-8:
+                # selling all or more than holdings
+                # remove long position
+                if sid in position.position:
+                    del position.position[sid]
+                # remaining sold amount becomes short if allowed
+                remain = trade_amount - current_amount
+                if remain > 1e-8:
+                    if not self.allow_short:
+                        # should not happen due to clipping earlier, but guard anyway
+                        raise ValueError(f"Attempt to short {sid} while shorting disabled")
+                    # create short entry
+                    position.position[sid] = {"amount": -remain, "price": trade_price, "weight": 0}
+            else:
+                # partial sell
+                position.position[sid]["amount"] = current_amount - trade_amount
+                position.position[sid]["price"] = trade_price
+        else:
+            # currently flat or already short
+            if not self.allow_short:
+                raise ValueError(f"Attempt to short {sid} while shorting disabled")
+            # expand short
+            new_amount = current_amount - trade_amount
+            if sid not in position.position or not isinstance(position.position[sid], dict):
+                position.position[sid] = {"amount": new_amount, "price": trade_price, "weight": 0}
+            else:
+                position.position[sid]["amount"] = new_amount
+                position.position[sid]["price"] = trade_price
+
+        # cash effect same as Position._sell_stock
+        new_cash = trade_val - cost
+        if getattr(position, "_settle_type", None) == position.ST_CASH:
+            position.position["cash_delay"] = position.position.get("cash_delay", 0.0) + new_cash
+        else:
+            position.position["cash"] = position.position.get("cash", 0.0) + new_cash
+
+    # --------------------------- Borrow availability helpers ---------------------------
+    def is_borrowable(self, stock_id: str, amount: float) -> bool:
+        """Check whether the requested amount is borrowable for the given stock.
+
+        If a borrowable dict is provided, it may contain either booleans or numeric limits (maximum borrowable shares).
+        Symbols absent from the dict follow `borrow_default`.
+        """
+        if not self.allow_short:
+            return False
+        if stock_id not in self.borrowable:
+            return self.borrow_default
+        v = self.borrowable[stock_id]
+        if isinstance(v, bool):
+            return v
+        try:
+            limit = float(v)
+            return amount <= limit
+        except Exception:
+            return True
+

code/tac-qlib/tac_qlib/contrib/data/__init__.py

@@ -0,0 +1,3 @@
+from .handler import TACHandler
+
+__all__ = ["TACHandler"]

code/tac-qlib/tac_qlib/contrib/data/handler.py

@@ -0,0 +1,428 @@
+"""TACHandler: a qlib DataHandlerLP that builds datasets from the TradeAC lake.
+
+This is the "custom DataHandler" entry point (Option B): the handler is referenced from the
+workflow yaml's ``dataset.handler`` and reads OHLCV + pre-computed ta-lib features straight
+from the lake parquet files through ``QLibDataLoader`` + the tac_qlib feature provider.
+
+The standard qlib processor pipeline (``infer_processors`` / ``learn_processors``) still runs
+on top, so existing recipes such as ``DropnaLabel``, ``CSZScoreNorm`` or ``RobustZScoreNorm``
+keep working unchanged.
+"""
+
+from __future__ import annotations
+
+import os
+from inspect import getfullargspec
+from typing import List, Optional, Tuple, Union
+
+import numpy as np
+import pandas as pd
+
+from qlib.data.dataset import processor as processor_module
+from qlib.data.dataset.handler import DataHandlerLP
+from qlib.utils import get_callable_kwargs
+
+from ...data.config import (
+    LakeConfig,
+    timeframe_for_freq,
+    FEATURE_FAMILIES,
+    NON_FEATURE_COLUMNS,
+)
+
+DEFAULT_INFER_PROCESSORS = [
+    {"class": "DropAllNaN", "kwargs": {}},
+    {"class": "ProcessInf", "kwargs": {}},
+    {"class": "ZScoreNorm", "kwargs": {}},
+    {"class": "Fillna", "kwargs": {}},
+]
+DEFAULT_LEARN_PROCESSORS = [
+    {"class": "DropnaLabel"},
+    {"class": "CSZScoreNorm", "kwargs": {"fields_group": "label"}},
+]
+
+#: always include raw OHLCV; ta-lib columns are discovered from the lake and appended.
+RAW_FEATURE_FIELDS = ("$open", "$high", "$low", "$close", "$vwap", "$volume")
+
+DEFAULT_LABEL = "Ref($close,-2)/Ref($close,-1)-1"
+
+
+def check_transform_proc(proc_l, fit_start_time, fit_end_time):
+    """Port of ``qlib.contrib.data.handler.check_transform_proc`` (inject fit window into procs)."""
+    new_l = []
+    for p in proc_l:
+        if not isinstance(p, processor_module.Processor):
+            klass, pkwargs = get_callable_kwargs(p, processor_module)
+            args = getfullargspec(klass).args
+            if "fit_start_time" in args and "fit_end_time" in args:
+                assert fit_start_time is not None and fit_end_time is not None, (
+                    "Make sure `fit_start_time` and `fit_end_time` are not None."
+                )
+                pkwargs.update({"fit_start_time": fit_start_time, "fit_end_time": fit_end_time})
+            proc_config = {"class": klass.__name__, "kwargs": pkwargs}
+            if isinstance(p, dict) and "module_path" in p:
+                proc_config["module_path"] = p["module_path"]
+            new_l.append(proc_config)
+        else:
+            new_l.append(p)
+    return new_l
+
+
+def get_common_feature_fields(lake_root=None, market="US", timeframe="1d") -> List[str]:
+    """Discover feature columns present in *every* feature file of the lake.
+
+    Walks the `family=ta|sp` partition layout (plus any legacy flat files).
+    TA and SP columns are disjoint by construction, so the common set is
+    computed per family (columns shared by all symbol files of that family),
+    then the per-family results are unioned. Returns sorted field names
+    (without the ``$`` prefix). Empty if no features are persisted.
+    """
+    cfg = LakeConfig(lake_root, market)
+    feat_dir = cfg.features_dir(timeframe)
+    if not feat_dir.exists():
+        return []
+    import pyarrow.parquet as pq
+
+    def _family_common(fam_dir: Path) -> set:
+        common = None
+        for p in sorted(fam_dir.glob("symbol=*.parquet")):
+            try:
+                cols = set(pq.read_schema(p).names) - set(NON_FEATURE_COLUMNS)
+            except Exception:  # pragma: no cover - skip unreadable files
+                continue
+            common = cols if common is None else (common & cols)
+            if not common:
+                break
+        return common or set()
+
+    common: set = set()
+    # family tier: features/market=*/timeframe=*/family=*/symbol=*.parquet
+    for fam in FEATURE_FAMILIES:
+        fam_dir = feat_dir / f"family={fam}"
+        if fam_dir.is_dir():
+            common |= _family_common(fam_dir)
+    # legacy flat: features/market=*/timeframe=*/symbol=*.parquet
+    if (feat_dir / "family=ta").exists() or (feat_dir / "family=sp").exists():
+        pass  # family layout already covered
+    else:
+        common |= _family_common(feat_dir)
+    return sorted(common)
+
+
+class DropAllNaN(processor_module.Processor):
+    """Drop feature columns that are all-NaN over the fit window.
+
+    The lake can hold fully-empty indicator columns (e.g. a ta-lib output that was NaN
+    from the start). Such columns carry no learnable signal and make ``ZScoreNorm.fit``
+    warn on empty slices, so we drop them before any other processor runs. The drop set
+    is fixed on the fit window once (during ``fit``), then applied consistently to every
+    segment so train/valid/test keep identical feature columns.
+    """
+
+    def __init__(self, fit_start_time=None, fit_end_time=None):
+        self.fit_start_time = fit_start_time
+        self.fit_end_time = fit_end_time
+        self.cols_to_drop = []
+
+    def fit(self, df=None):
+        if df is None or len(df) == 0:
+            return self
+        window = df
+        if self.fit_start_time is not None and self.fit_end_time is not None:
+            try:
+                from qlib.data.dataset.utils import fetch_df_by_index
+
+                window = fetch_df_by_index(
+                    df, slice(self.fit_start_time, self.fit_end_time), level="datetime"
+                )
+            except Exception:  # pragma: no cover - defensive
+                window = df
+        if len(window) == 0:
+            return self
+        self.cols_to_drop = [c for c in window.columns if window[c].isna().all()]
+        return self
+
+    def __call__(self, df):
+        if self.cols_to_drop:
+            return df.drop(columns=self.cols_to_drop, errors="ignore")
+        return df
+
+
+class BenchResidual(processor_module.Processor):
+    """Subtract a benchmark instrument's forward return from the label, per datetime.
+
+    Turns the training target from an absolute-return rank into a *residual* rank:
+    ``r_i - r_bench`` is ranked cross-sectionally by the downstream ``CSRankNorm`` /
+    ``CSZScoreNorm`` processors instead of ``r_i`` alone. Must be inserted BEFORE any
+    per-date normalization so the ranking itself is computed on residual returns
+    (ordering flips exactly where the benchmark trends).
+
+    Stateless: ``fit`` is a no-op and the benchmark forward return is recomputed from
+    the lake parquet on first ``__call__``. Rows whose benchmark value is missing are
+    left untouched. Accepts ``fit_start_time``/``fit_end_time`` (ignored) so
+    ``check_transform_proc`` can inject the fit window uniformly.
+
+    NOTE: under any cross-sectional normalization downstream (``CSRankNorm`` /
+    ``CSZScoreNorm``) this processor is a mathematical no-op: subtracting the same
+    per-date constant preserves ranks, and z-scoring absorbs constant shifts. Use
+    ``BenchBetaResidual`` for a target that actually reorders.
+    """
+
+    def __init__(
+        self,
+        benchmark="SPY",
+        fields_group="label",
+        lake_root=None,
+        market="US",
+        timeframe=None,
+        freq="day",
+        fit_start_time=None,
+        fit_end_time=None,
+    ):
+        self.benchmark = benchmark
+        self.fields_group = fields_group
+        self.lake_root = lake_root
+        self.market = market
+        self.timeframe = timeframe or timeframe_for_freq(freq)
+        self.fit_start_time = fit_start_time
+        self.fit_end_time = fit_end_time
+        self._bench_label = None
+
+    def _load_bench_label(self):
+        if self._bench_label is not None:
+            return self._bench_label
+        cfg = LakeConfig(self.lake_root, self.market)
+        p = cfg.bar_path(self.timeframe, self.benchmark)
+        if not p.exists():
+            raise FileNotFoundError(f"BenchResidual: benchmark bar file not found: {p}")
+        df = pd.read_parquet(p)
+        s = pd.Series(df["c"].astype(float).values, index=pd.to_datetime(df["t"])).sort_index()
+        s.index = s.index.normalize()
+        # mirror Ref($close,-6)/Ref($close,-1)-1 on the benchmark's own calendar
+        bench_label = s.shift(-6) / s.shift(-1) - 1
+        self._bench_label = bench_label[~bench_label.index.duplicated(keep="last")]
+        return self._bench_label
+
+    def fit(self, df=None):
+        return self
+
+    def __call__(self, df):
+        bl = self._load_bench_label()
+        cols = processor_module.get_group_columns(df, self.fields_group)
+        dt = df.index.get_level_values("datetime")
+        aligned = bl.reindex(pd.DatetimeIndex(dt.unique())).reindex(dt)
+        mask = aligned.notna().values
+        out = df.copy()
+        for c in cols:
+            vals = df[c].values
+            res = vals.copy()
+            res[mask] = np.asarray(vals[mask], dtype=float) - aligned[mask].values
+            out[c] = res
+        return out
+
+
+class BenchBetaResidual(processor_module.Processor):
+    """Residualize the label against a beta-scaled benchmark move: ``r_i - b_i * r_bench``.
+
+    Unlike a plain constant subtraction (see ``BenchResidual``), the name-specific rolling
+    beta ``b_i`` makes this survive cross-sectional normalization: in up-weeks high-beta
+    names lose rank, in down-weeks they gain — exactly the relative structure an absolute-
+    return ranking hides.
+
+    Beta is estimated from *past* data only (rolling ``window`` trading days of daily close
+    returns of each instrument vs the benchmark, both read up to and including ``t``), so
+    no lookahead enters the target. The benchmark leg uses the same horizon as the label
+    expression (``Ref($close,-6)/Ref($close,-1)-1`` by default via ``horizon``/``base``,
+    matching the yaml's 6-day label). Rows with missing beta or benchmark values keep
+    their raw label.
+
+    Requires ``$close`` to be present in the feature group (it always is for TACHandler).
+    Stateless; accepts ``fit_start_time``/``fit_end_time`` (ignored) for uniform kwargs
+    injection. Must be inserted BEFORE any per-date normalization processor.
+    """
+
+    def __init__(
+        self,
+        benchmark="SPY",
+        fields_group="label",
+        lake_root=None,
+        market="US",
+        timeframe=None,
+        freq="day",
+        window=63,
+        horizon=6,
+        base=1,
+        feature_field="$close",
+        fit_start_time=None,
+        fit_end_time=None,
+    ):
+        self.benchmark = benchmark
+        self.fields_group = fields_group
+        self.lake_root = lake_root
+        self.market = market
+        self.timeframe = timeframe or timeframe_for_freq(freq)
+        self.window = int(window)
+        self.horizon = int(horizon)
+        self.base = int(base)
+        self.feature_field = feature_field
+        self.fit_start_time = fit_start_time
+        self.fit_end_time = fit_end_time
+        self._bench = None
+
+    def _load_bench_close(self):
+        if self._bench is not None:
+            return self._bench
+        cfg = LakeConfig(self.lake_root, self.market)
+        p = cfg.bar_path(self.timeframe, self.benchmark)
+        if not p.exists():
+            raise FileNotFoundError(f"BenchBetaResidual: benchmark bar file not found: {p}")
+        df = pd.read_parquet(p)
+        s = pd.Series(df["c"].astype(float).values, index=pd.to_datetime(df["t"])).sort_index()
+        s.index = s.index.normalize()
+        self._bench = s[~s.index.duplicated(keep="last")]
+        return self._bench
+
+    def fit(self, df=None):
+        return self
+
+    def __call__(self, df):
+        bench = self._load_bench_close()
+
+        # benchmark forward return over the same horizon as the label expression
+        fwd = bench.shift(-(self.base + self.horizon - 1)) / bench.shift(-self.base) - 1
+
+        px_col = ("feature", self.feature_field)
+        if px_col not in df.columns:
+            raise KeyError(f"BenchBetaResidual: {self.feature_field} not found in features")
+        px = df[px_col].unstack("instrument").sort_index()
+        rets = px / px.shift(1) - 1
+        bret = bench.reindex(px.index).pct_change()
+
+        # rolling beta per instrument using data <= t (no lookahead)
+        cov = rets.rolling(self.window, min_periods=max(10, self.window // 2)).cov(bret)
+        var = bret.rolling(self.window, min_periods=max(10, self.window // 2)).var()
+        beta = cov.div(var, axis=0)
+
+        contrib = beta.mul(fwd.reindex(px.index), axis=0)
+        cols = list(processor_module.get_group_columns(df, self.fields_group))
+        out = df.copy()
+        for c in cols:
+            lab = df[c].unstack("instrument").reindex(px.index)
+            resid = lab - contrib.where(contrib.notna() & lab.notna(), 0.0)
+            new_vals = resid.stack()
+            new_vals.index.names = df.index.names
+            # residual where available, raw label otherwise (e.g. beta warm-up rows)
+            out[c] = new_vals.reindex(out.index).fillna(df[c])
+        return out
+
+
+class TACHandler(DataHandlerLP):
+    """DataHandlerLP backed by the TradeAC parquet lake.
+
+    Parameters mirror ``Alpha158``: ``instruments``/``start_time``/``end_time``/``freq`` define
+    the queried window; ``feature_fields`` selects the features (default: raw OHLCV + all common
+    ta-lib columns found in the lake); ``label`` is a qlib expression for the target.
+    """
+
+    def __init__(
+        self,
+        instruments="all",
+        start_time=None,
+        end_time=None,
+        freq="day",
+        infer_processors=DEFAULT_INFER_PROCESSORS,
+        learn_processors=DEFAULT_LEARN_PROCESSORS,
+        fit_start_time=None,
+        fit_end_time=None,
+        process_type=DataHandlerLP.PTYPE_A,
+        filter_pipe=None,
+        feature_fields=None,
+        label=DEFAULT_LABEL,
+        lake_root=None,
+        market="US",
+        **kwargs,
+    ):
+        # default the processor fit window to the queried window (like Alpha158 without a split)
+        if fit_start_time is None:
+            fit_start_time = start_time
+        if fit_end_time is None:
+            fit_end_time = end_time
+
+        infer_processors = check_transform_proc(infer_processors, fit_start_time, fit_end_time)
+        learn_processors = check_transform_proc(learn_processors, fit_start_time, fit_end_time)
+
+        feature_fields = self._normalize_feature_fields(feature_fields, freq, lake_root, market)
+        if not feature_fields:
+            raise ValueError(
+                "no feature fields available for the lake; set `feature_fields` explicitly "
+                "(e.g. ['$close', '$rsi_14', '$sma_20'])"
+            )
+
+        label_expr, label_names = self._normalize_label(label)
+
+        data_loader = {
+            "class": "QlibDataLoader",
+            "kwargs": {
+                "config": {
+                    "feature": (feature_fields, feature_fields),
+                    "label": (label_expr, label_names),
+                },
+                "filter_pipe": filter_pipe,
+                "freq": freq,
+            },
+        }
+        super().__init__(
+            instruments=instruments,
+            start_time=start_time,
+            end_time=end_time,
+            data_loader=data_loader,
+            infer_processors=infer_processors,
+            learn_processors=learn_processors,
+            process_type=process_type,
+            **kwargs,
+        )
+
+    # ------------------------------------------------------------------ config
+    @staticmethod
+    def _normalize_feature_fields(feature_fields, freq, lake_root, market) -> List[str]:
+        if feature_fields is None:
+            common = get_common_feature_fields(lake_root, market, timeframe_for_freq(freq))
+            feature_fields = list(RAW_FEATURE_FIELDS) + ["$" + f for f in common if "$" + f not in RAW_FEATURE_FIELDS]
+        elif isinstance(feature_fields, str):
+            feature_fields = [f.strip() for f in feature_fields.split(",") if f.strip()]
+        fields = [f if f.startswith("$") else "$" + f for f in feature_fields]
+        # de-dup while preserving order
+        seen, out = set(), []
+        for f in fields:
+            if f not in seen:
+                seen.add(f)
+                out.append(f)
+        return out
+
+    @staticmethod
+    def _normalize_label(label) -> Tuple[List[str], List[str]]:
+        if isinstance(label, str):
+            return [label], ["LABEL0"]
+        if isinstance(label, (list, tuple)):
+            if len(label) == 2 and isinstance(label[0], str):
+                return [label[0]], list(label[1]) if isinstance(label[1], (list, tuple)) else [label[1]]
+            return list(label), ["LABEL%d" % i for i in range(len(label))]
+        raise TypeError(f"unsupported label config: {label!r}")
+
+    # ------------------------------------------------------------------ utils
+    def get_label_config(self):
+        return DEFAULT_LABEL
+
+    @staticmethod
+    def discover_feature_fields(lake_root=None, market="US", freq="day") -> List[str]:
+        return get_common_feature_fields(lake_root, market, timeframe_for_freq(freq))
+
+
+__all__ = ["TACHandler", "DropAllNaN", "BenchResidual", "BenchBetaResidual", "get_common_feature_fields"]
+
+
+# Make `DropAllNaN`/`BenchResidual`/`BenchBetaResidual` resolvable by bare name from processor
+# configs (e.g. the default ``infer_processors`` and workflow yamls that reference them without a
+# ``module_path``), mirroring how qlib registers its own processors in ``qlib.data.dataset.processor``.
+processor_module.DropAllNaN = DropAllNaN
+processor_module.BenchResidual = BenchResidual
+processor_module.BenchBetaResidual = BenchBetaResidual

code/tac-qlib/tac_qlib/contrib/model/__init__.py

@@ -0,0 +1,4 @@
+from .rank_ensemble import RankICEnsembleLGBModel  # noqa: F401
+from .rank_gbdt import RankICLGBModel, rankic_feval  # noqa: F401
+
+__all__ = ["RankICLGBModel", "rankic_feval", "RankICEnsembleLGBModel"]

code/tac-qlib/tac_qlib/contrib/model/rank_ensemble.py

@@ -0,0 +1,189 @@
+"""Seed-ensembled LightGBM that early-stops on cross-sectional RankIC.
+
+``RankICEnsembleLGBModel`` wraps ``RankICLGBModel`` (per-day RankIC feval +
+``metric='None'`` + ``first_metric_only`` early stopping) over a seed ensemble:
+one sub-model is trained per seed with identical hyper-parameters, and
+predictions are averaged across seeds. This is the model class the
+``tac-rd-rank-ensemble-isolated`` reference run wires into its workflow
+(``module_path: tac_qlib.contrib.model.rank_ensemble``).
+
+The ensemble inherits the RankIC early-stopping behaviour of the single-seed
+model (valid RankIC drives the stopping iteration) while the seed averaging
+stabilizes the prediction against any single seed's early-stopping path.
+
+Training is parallelized: the seed sub-models train in a thread pool —
+``lgb.train`` is C++ and releases the GIL, so concurrent seeds do not block on
+the GIL (5 seeds ~40min/5 on this box). Measured on a 6-physical-core / 12 SMT
+host: the seeds scale ~2x, not linearly — the runs are memory-bandwidth bound
+and each Booster caps its threads at ``cores // workers`` so 5 concurrent
+boosters don't oversubscribe; larger-core hosts scale better. The qlib data
+pipeline is warmed once on the calling thread (fills the handler cache), and
+each worker then prepares its **own** ``lgb.Dataset`` (independent handle, so
+no concurrent ``construct()`` on a shared handle — LightGBM's ``Dataset`` is
+not thread-safe to build). qlib's ``R`` recorder is also not thread-safe, so
+the per-seed evaluation curves are logged on the calling thread after the pool
+finishes.
+
+Wired into a workflow yaml like:
+
+    model:
+        class: RankICEnsembleLGBModel
+        module_path: tac_qlib.contrib.model.rank_ensemble
+        kwargs:
+            loss: mse
+            learning_rate: 0.02
+            num_leaves: 31
+            n_estimators: 3000
+            num_boost_round: 3000
+            early_stopping_rounds: 200
+            min_data_in_leaf: 20
+            lambda_l2: 0.5
+            colsample_bytree: 0.8
+            subsample: 0.8
+            subsample_freq: 1
+            reg_alpha: 0.1
+            reg_lambda: 1.0
+            seeds: "42,7,2026,99,123"
+            parallel: 5
+
+Any ``**kwargs`` other than ``seeds``/``parallel`` are forwarded unchanged to
+every ``RankICLGBModel`` sub-model (same params, different ``seed``).
+"""
+
+from __future__ import annotations
+
+import os
+from concurrent.futures import ThreadPoolExecutor
+from typing import List, Optional
+
+import pandas as pd
+
+from qlib.data.dataset import DatasetH
+from qlib.data.dataset.handler import DataHandlerLP
+
+from tac_qlib.contrib.model.rank_gbdt import RankICLGBModel
+
+__all__ = ["RankICEnsembleLGBModel"]
+
+
+class RankICEnsembleLGBModel(RankICLGBModel):
+    """Seed ensemble of RankIC-early-stopping LightGBM models.
+
+    Parameters
+    ----------
+    seeds : comma-separated integers, one sub-model per seed.
+    parallel : number of seeds to train concurrently. ``0`` (default) = auto
+        (all seeds, bounded by the available cores); ``1`` = sequential.
+    **kwargs : forwarded to every ``RankICLGBModel`` sub-model (model
+        hyper-parameters). ``seeds``/``parallel`` are consumed here and not
+        forwarded.
+    """
+
+    def __init__(self, seeds: str = "42", parallel: int = 0, **kwargs):
+        self.seeds = [int(s.strip()) for s in str(seeds).split(",") if s.strip()]
+        if not self.seeds:
+            raise ValueError("seeds must contain at least one integer")
+        self.parallel = int(parallel)
+        # drop seed/parallel handling from the base kwargs, keep everything else
+        self._model_kwargs = dict(kwargs)
+        super().__init__(**self._model_kwargs)
+        self._models: List[RankICLGBModel] = []
+
+    # --------------------------------------------------------------- helpers
+    @staticmethod
+    def _cores() -> int:
+        try:
+            return max(1, len(os.sched_getaffinity(0)))
+        except AttributeError:
+            return max(1, os.cpu_count() or 1)
+
+    def _worker_count(self) -> int:
+        if self.parallel > 0:
+            return min(len(self.seeds), self.parallel)
+        return min(len(self.seeds), self._cores())
+
+    # ------------------------------------------------------------------ fit
+    def fit(
+        self,
+        dataset: DatasetH,
+        num_boost_round: Optional[int] = None,
+        early_stopping_rounds: Optional[int] = None,
+        verbose_eval: int = 20,
+        evals_result=None,
+        reweighter=None,
+        **kwargs,
+    ):
+        """Train one RankICLGBModel per seed and keep them for prediction.
+
+        The qlib data pipeline is warmed once on this thread (handler cache),
+        then each seed sub-model trains in a parallel worker thread on its own
+        ``lgb.Dataset`` (LightGBM releases the GIL in ``lgb.train``). Evals
+        are logged on this thread after the pool (qlib's ``R`` is not
+        thread-safe).
+        """
+        n_round = num_boost_round or self.num_boost_round
+        n_es = early_stopping_rounds or self.early_stopping_rounds
+
+        if len(self.seeds) == 1:
+            m = RankICLGBModel(seed=self.seeds[0], **self._model_kwargs)
+            m.fit(
+                dataset,
+                num_boost_round=n_round,
+                early_stopping_rounds=n_es,
+                verbose_eval=verbose_eval,
+                evals_result=evals_result,
+                reweighter=reweighter,
+                **kwargs,
+            )
+            self._models = [m]
+            return
+
+        # Warm the qlib handler cache once on this thread so the workers'
+        # concurrent prepare() calls only hit cached frames (no first-write race).
+        proto = RankICLGBModel(seed=self.seeds[0], **self._model_kwargs)
+        proto._prepare_data(dataset, reweighter)
+
+        workers = self._worker_count()
+        # Cap per-Booster threads so concurrent seeds don't oversubscribe
+        # (LightGBM's num_threads=0 uses ALL cores per Booster).
+        per_booster = max(1, self._cores() // workers)
+
+        def fit_seed(seed):
+            m = RankICLGBModel(seed=seed, **self._model_kwargs)
+            if workers > 1 and "num_threads" not in m.params:
+                m.params["num_threads"] = per_booster
+            ds_l = m._prepare_data(dataset, reweighter)
+            booster, evals, names = m._train_from_datasets(
+                ds_l,
+                num_boost_round=n_round,
+                early_stopping_rounds=n_es,
+                verbose_eval=verbose_eval,
+                **kwargs,
+            )
+            m.model = booster
+            return m, evals, names
+
+        with ThreadPoolExecutor(max_workers=workers) as ex:
+            results = list(ex.map(fit_seed, self.seeds))
+
+        self._models = [m for m, _, _ in results]
+
+        # Merge + log evals on the main thread (qlib's R is not thread-safe).
+        if evals_result is not None:
+            for m, evals, names in results:
+                for k in names:
+                    for key, val in evals.get(k, {}).items():
+                        evals_result.setdefault(f"{k}.seed{m.params['seed']}", {})[key] = val
+        for m, evals, names in results:
+            self._log_evals(evals, names, prefix=f"seed{m.params['seed']}.")
+
+    # -------------------------------------------------------------- predict
+    def predict(self, dataset: DatasetH, segment="test") -> pd.Series:
+        """Average the per-seed predictions over the given segment."""
+        if not self._models:
+            raise ValueError("model is not fitted yet!")
+        preds = [m.predict(dataset, segment=segment) for m in self._models]
+        if len(preds) == 1:
+            return preds[0]
+        frame = pd.concat(preds, axis=1)
+        return frame.mean(axis=1)

code/tac-qlib/tac_qlib/contrib/model/rank_gbdt.py

@@ -0,0 +1,238 @@
+"""LGBModel variant that early-stops on cross-sectional RankIC instead of l2.
+
+Standard qlib ``LGBModel`` early-stops on the regression loss (mse). For
+cross-sectional alpha signals the quantity we actually care about is the per-day
+rank correlation (Rank IC), which mse early-stopping does not optimize for.
+Experiments on the 50-ETF lake (SP-5d 55-feature panel) show that early-stopping
+on a custom RankIC feval lifts RankIC 0.047 -> 0.075 vs. the mse-stopped model.
+
+This class reuses ``LGBModel``'s data preparation but:
+
+  - tags each ``lgb.Dataset`` with per-day query ``group`` sizes so a ranking
+    metric can be computed per trading day;
+  - injects a custom ``feval`` (mean per-day Spearman of pred vs label) into
+    ``lgb.train``; early stopping then selects the iteration that maximizes
+    RankIC on the valid set;
+  - forces ``metric='None'`` + ``first_metric_only=True`` so early-stopping
+    tracks RankIC only (not the regression loss).
+
+Wired into a workflow yaml like:
+
+    model:
+        class: RankICLGBModel
+        module_path: tac_qlib.contrib.model.rank_gbdt
+        kwargs:
+            loss: mse
+            learning_rate: 0.03
+            num_leaves: 31
+            n_estimators: 500
+            ...
+
+The rank feval is used for early-stopping selection only; the objective stays
+the configured loss (default mse). Set ``rank_eval=False`` to fall back to the
+plain LGBModel behaviour (early-stop on the loss).
+
+Generic: works for any cross-sectional panel whose qlib dataset index has a
+``datetime`` level (each level value = one query group). The per-day groups are
+derived automatically, so no universe-specific configuration is needed.
+"""
+
+from __future__ import annotations
+
+from typing import List, Optional, Tuple
+
+import numpy as np
+import pandas as pd
+import lightgbm as lgb
+
+from qlib.data.dataset import DatasetH
+from qlib.data.dataset.handler import DataHandlerLP
+from qlib.contrib.model.gbdt import LGBModel
+from qlib.workflow import R
+
+__all__ = ["RankICLGBModel", "rankic_feval"]
+
+
+def _group_averaged_rank(values: np.ndarray, gid: np.ndarray, offs: np.ndarray) -> np.ndarray:
+    """Averaged (tie-corrected) rank of ``values`` within each group, vectorized.
+
+    ``gid`` maps each row to its group id; ``offs`` holds the cumulative row
+    offsets so that group ``i`` occupies rows ``[offs[i], offs[i+1])``. Returns
+    the same result as ``pandas.Series.rank(method='average')`` applied per
+    group, but in one pass (``np.lexsort`` is the only non-linear step).
+    """
+    n = len(values)
+    order = np.lexsort((values, gid))
+    ord_rank = np.empty(n, dtype=np.float64)
+    ord_rank[order] = np.arange(n, dtype=np.float64) - offs[gid[order]] + 1.0
+    sg = gid[order]
+    sv = values[order]
+    newblock = np.empty(n, dtype=bool)
+    newblock[0] = True
+    newblock[1:] = (sg[1:] != sg[:-1]) | (sv[1:] != sv[:-1])
+    blockid = np.cumsum(newblock) - 1
+    block_mean = np.bincount(blockid, weights=ord_rank[order]) / np.bincount(blockid)
+    out = np.empty(n)
+    out[order] = block_mean[blockid]
+    return out
+
+
+def _per_day_spearman(preds: np.ndarray, labels: np.ndarray, group: np.ndarray) -> float:
+    """Mean per-day Spearman rank correlation of preds vs labels.
+
+    ``group`` holds the number of rows of each trading day (query group), in
+    order. Days with <3 valid rows or a constant pred/label are skipped.
+
+    Vectorized: per-day Spearman == Pearson of the per-day rank transforms,
+    and the Pearson moments (``sum``, ``sum`` of products/squares) aggregate
+    over each day with ``np.bincount``. Runs ~10x faster than the per-day
+    ``pd.Series.rank()`` loop that preceded it — this feval is invoked on the
+    train and valid panels every boosting round, per seed.
+    """
+    if group is None or len(group) == 0:
+        return 0.0
+    offs = np.concatenate([[0], np.cumsum(group.astype(int))])
+    gid = np.repeat(np.arange(len(group)), group.astype(int))
+    rp = _group_averaged_rank(preds, gid, offs)
+    rl = _group_averaged_rank(labels, gid, offs)
+    n_g = group.astype(float)
+    s_p = np.bincount(gid, weights=rp)
+    s_l = np.bincount(gid, weights=rl)
+    s_pl = np.bincount(gid, weights=rp * rl)
+    s_pp = np.bincount(gid, weights=rp * rp)
+    s_ll = np.bincount(gid, weights=rl * rl)
+    cov = n_g * s_pl - s_p * s_l
+    var_p = n_g * s_pp - s_p ** 2
+    var_l = n_g * s_ll - s_l ** 2
+    denom = np.sqrt(var_p * var_l)
+    valid = (n_g >= 3) & (denom > 0)
+    corr = np.where(valid, cov / np.where(denom == 0, 1, denom), 0.0)
+    return float(corr[valid].mean()) if valid.any() else 0.0
+
+
+def rankic_feval(preds, dataset):
+    """LightGBM feval: mean RankIC (higher is better in lgb convention)."""
+    labels = dataset.get_label()
+    group = dataset.get_group()
+    ric = _per_day_spearman(preds, labels, group)
+    return "rankic", ric, True  # (name, value, higher_is_better)
+
+
+class RankICLGBModel(LGBModel):
+    """LGBModel that early-stops on per-day RankIC via a custom feval."""
+
+    def __init__(self, rank_eval: bool = True, **kwargs):
+        super().__init__(**kwargs)
+        self.rank_eval = rank_eval
+
+    def _prepare_data(self, dataset: DatasetH, reweighter=None) -> List[Tuple[lgb.Dataset, str]]:
+        ds_l = []
+        assert "train" in dataset.segments
+        for key in ["train", "valid"]:
+            if key in dataset.segments:
+                df = dataset.prepare(key, col_set=["feature", "label"], data_key=DataHandlerLP.DK_L)
+                if df.empty:
+                    raise ValueError("Empty data from dataset, please check your dataset config.")
+                x, y = df["feature"], df["label"]
+                if y.values.ndim == 2 and y.values.shape[1] == 1:
+                    y = np.squeeze(y.values)
+                else:
+                    raise ValueError("LightGBM doesn't support multi-label training")
+
+                if reweighter is None:
+                    w = None
+                elif hasattr(reweighter, "reweight"):
+                    w = reweighter.reweight(df)
+                else:
+                    raise ValueError("Unsupported reweighter type.")
+
+                # per-day query groups: each trading day is one group
+                if self.rank_eval and isinstance(df.index, pd.MultiIndex) and "datetime" in df.index.names:
+                    group = df.groupby(level="datetime").size().to_numpy(dtype=np.int32)
+                else:
+                    group = None
+
+                d = lgb.Dataset(x.values, label=y, weight=w, group=group, free_raw_data=False)
+                ds_l.append((d, key))
+        return ds_l
+
+    def _train_from_datasets(
+        self,
+        ds_l: List[Tuple[lgb.Dataset, str]],
+        num_boost_round: Optional[int] = None,
+        early_stopping_rounds: Optional[int] = None,
+        verbose_eval: int = 20,
+        evals_result=None,
+        **kwargs,
+    ) -> Tuple[lgb.Booster, dict, List[str]]:
+        """Train a Booster from already-prepared ``lgb.Dataset`` objects.
+
+        Pure training — no ``R.log_metrics`` — so it can be called from worker
+        threads (qlib's ``R`` recorder is not thread-safe; the caller decides
+        when/where to log). Returns ``(booster, evals_result, segment_names)``.
+        """
+        if evals_result is None:
+            evals_result = {}
+        ds, names = list(zip(*ds_l))
+
+        callbacks = [
+            lgb.early_stopping(
+                self.early_stopping_rounds if early_stopping_rounds is None else early_stopping_rounds
+            ),
+            lgb.log_evaluation(period=verbose_eval),
+            lgb.record_evaluation(evals_result),
+        ]
+        if self.rank_eval:
+            # early-stopping must be driven ONLY by the RankIC feval, not l2.
+            # metric='None' suppresses the default l2 metric; first_metric_only
+            # makes early_stopping track the single remaining (rankic) metric.
+            self.params["metric"] = "None"
+            self.params["first_metric_only"] = True
+            feval = rankic_feval
+        else:
+            self.params.pop("metric", None)
+            self.params.pop("first_metric_only", None)
+            feval = None
+
+        booster = lgb.train(
+            self.params,
+            ds[0],
+            num_boost_round=self.num_boost_round if num_boost_round is None else num_boost_round,
+            valid_sets=ds,
+            valid_names=names,
+            feval=feval,
+            callbacks=callbacks,
+            **kwargs,
+        )
+        return booster, evals_result, list(names)
+
+    def _log_evals(self, evals_result, names: List[str], prefix: str = "") -> None:
+        """Log recorded evaluation curves to qlib's active recorder."""
+        for k in names:
+            for key, val in evals_result.get(k, {}).items():
+                name = f"{prefix}{key}.{k}"
+                for epoch, m in enumerate(val):
+                    R.log_metrics(**{name.replace("@", "_"): m}, step=epoch)
+
+    def fit(
+        self,
+        dataset: DatasetH,
+        num_boost_round: Optional[int] = None,
+        early_stopping_rounds: Optional[int] = None,
+        verbose_eval: int = 20,
+        evals_result=None,
+        reweighter=None,
+        **kwargs,
+    ):
+        if evals_result is None:
+            evals_result = {}
+        ds_l = self._prepare_data(dataset, reweighter)
+        self.model, evals_result, names = self._train_from_datasets(
+            ds_l,
+            num_boost_round=num_boost_round,
+            early_stopping_rounds=early_stopping_rounds,
+            verbose_eval=verbose_eval,
+            evals_result=evals_result,
+            **kwargs,
+        )
+        self._log_evals(evals_result, names)

code/tac-qlib/tac_qlib/contrib/strategy/__init__.py

@@ -0,0 +1,4 @@
+from .optimal_stop import OptimalStopControl  # noqa: F401
+from .long_short import LongShortTopkStrategy  # noqa: F401
+
+__all__ = ["OptimalStopControl", "LongShortTopkStrategy"]

code/tac-qlib/tac_qlib/contrib/strategy/kelly_dropout.py

@@ -0,0 +1,201 @@
+"""Fractional-Kelly dropout strategy for cross-sectional signals.
+
+Sizing rule variant of ``qlib.contrib.strategy.signal_strategy.TopkDropoutStrategy``:
+the topk/n_drop SELECTION is identical to the reference, but the buy size is
+proportional to the score MAGNITUDE (edge) instead of equal-weight, capped at a
+fraction ``cap_frac`` of the equal-weight notional so a single name cannot
+over-concentrate the book.
+
+``cap_frac`` is the fraction of the equal-weight per-name notional that a top
+signal can deploy at most (e.g. 0.5 = at most half the equal-weight size).
+Names whose score is below the median of the buy set get a proportionally
+smaller slice; the residual stays in cash (that is the point of the rule:
+throw away less edge per name, deploy less capital when conviction is low).
+"""
+
+from __future__ import annotations
+
+from typing import List
+
+import numpy as np
+import pandas as pd
+
+from qlib.backtest import Order
+from qlib.backtest.decision import OrderDir, TradeDecisionWO
+from qlib.contrib.strategy.signal_strategy import TopkDropoutStrategy
+
+__all__ = ["FractionalKellyDropoutStrategy"]
+
+DEFAULT_CAP_FRAC = 0.5
+
+
+class FractionalKellyDropoutStrategy(TopkDropoutStrategy):
+    """TopkDropout selection with score-magnitude (fractional-Kelly) sizing.
+
+    Parameters
+    ----------
+    topk, n_drop, method_sell, method_buy, hold_thresh, only_tradable,
+    forbid_all_trade_at_limit : same as ``TopkDropoutStrategy``.
+    cap_frac : max buy notional as a fraction of the equal-weight notional.
+    """
+
+    def __init__(self, *, topk, n_drop, cap_frac: float = DEFAULT_CAP_FRAC, **kwargs):
+        super().__init__(topk=topk, n_drop=n_drop, **kwargs)
+        self.cap_frac = cap_frac
+
+    def generate_trade_decision(self, execute_result=None):
+        import copy
+
+        trade_step = self.trade_calendar.get_trade_step()
+        trade_start_time, trade_end_time = self.trade_calendar.get_step_time(trade_step)
+        pred_start_time, pred_end_time = self.trade_calendar.get_step_time(trade_step, shift=1)
+        pred_score = self.signal.get_signal(start_time=pred_start_time, end_time=pred_end_time)
+        if isinstance(pred_score, pd.DataFrame):
+            pred_score = pred_score.iloc[:, 0]
+        if pred_score is None:
+            return TradeDecisionWO([], self)
+
+        if self.only_tradable:
+
+            def get_first_n(li, n, reverse=False):
+                cur_n = 0
+                res = []
+                for si in reversed(li) if reverse else li:
+                    if self.trade_exchange.is_stock_tradable(
+                        stock_id=si, start_time=trade_start_time, end_time=trade_end_time
+                    ):
+                        res.append(si)
+                        cur_n += 1
+                        if cur_n >= n:
+                            break
+                return res[::-1] if reverse else res
+
+            def get_last_n(li, n):
+                return get_first_n(li, n, reverse=True)
+
+            def filter_stock(li):
+                return [
+                    si
+                    for si in li
+                    if self.trade_exchange.is_stock_tradable(
+                        stock_id=si, start_time=trade_start_time, end_time=trade_end_time
+                    )
+                ]
+
+        else:
+
+            def get_first_n(li, n):
+                return list(li)[:n]
+
+            def get_last_n(li, n):
+                return list(li)[-n:]
+
+            def filter_stock(li):
+                return li
+
+        current_temp: "object" = copy.deepcopy(self.trade_position)
+        sell_order_list: List[Order] = []
+        buy_order_list: List[Order] = []
+        cash = current_temp.get_cash()
+        current_stock_list = current_temp.get_stock_list()
+        last = pred_score.reindex(current_stock_list).sort_values(ascending=False).index
+
+        if self.method_buy == "top":
+            today = get_first_n(
+                pred_score[~pred_score.index.isin(last)].sort_values(ascending=False).index,
+                self.n_drop + self.topk - len(last),
+            )
+        elif self.method_buy == "random":
+            topk_candi = get_first_n(pred_score.sort_values(ascending=False).index, self.topk)
+            candi = list(filter(lambda x: x not in last, topk_candi))
+            n = self.n_drop + self.topk - len(last)
+            try:
+                today = np.random.choice(candi, n, replace=False)
+            except ValueError:
+                today = candi
+        else:
+            raise NotImplementedError(f"This type of input is not supported")
+
+        comb = pred_score.reindex(last.union(pd.Index(today))).sort_values(ascending=False).index
+
+        if self.method_sell == "bottom":
+            sell = last[last.isin(get_last_n(comb, self.n_drop))]
+        elif self.method_sell == "random":
+            candi = filter_stock(last)
+            try:
+                sell = pd.Index(np.random.choice(candi, self.n_drop, replace=False) if len(last) else [])
+            except ValueError:
+                sell = candi
+        else:
+            raise NotImplementedError(f"This type of input is not supported")
+
+        buy = today[: len(sell) + self.topk - len(last)]
+        for code in current_stock_list:
+            if not self.trade_exchange.is_stock_tradable(
+                stock_id=code,
+                start_time=trade_start_time,
+                end_time=trade_end_time,
+                direction=None if self.forbid_all_trade_at_limit else OrderDir.SELL,
+            ):
+                continue
+            if code in sell:
+                time_per_step = self.trade_calendar.get_freq()
+                if current_temp.get_stock_count(code, bar=time_per_step) < self.hold_thresh:
+                    continue
+                sell_amount = current_temp.get_stock_amount(code=code)
+                sell_order = Order(
+                    stock_id=code,
+                    amount=sell_amount,
+                    start_time=trade_start_time,
+                    end_time=trade_end_time,
+                    direction=Order.SELL,
+                )
+                if self.trade_exchange.check_order(sell_order):
+                    sell_order_list.append(sell_order)
+                    trade_val, trade_cost, trade_price = self.trade_exchange.deal_order(
+                        sell_order, position=current_temp
+                    )
+                    cash += trade_val - trade_cost
+
+        if len(buy) == 0:
+            return TradeDecisionWO(sell_order_list, self)
+
+        # ---- fractional-Kelly sizing --------------------------------------
+        # equal-weight notional (reference baseline)
+        eq_notional = cash * self.risk_degree / len(buy)
+        buy_scores = pred_score.reindex(buy).astype(float)
+        lo, hi = buy_scores.min(), buy_scores.max()
+        if hi == lo:
+            w = pd.Series(1.0, index=buy_scores.index)
+        else:
+            w = (buy_scores - lo) / (hi - lo)  # [0,1] edge magnitude
+            w = w.clip(lower=0.0)
+            w_max = w.max()
+            w = w / w_max if w_max > 0 else w  # max == 1.0
+        for code in buy:
+            if not self.trade_exchange.is_stock_tradable(
+                stock_id=code,
+                start_time=trade_start_time,
+                end_time=trade_end_time,
+                direction=None if self.forbid_all_trade_at_limit else OrderDir.BUY,
+            ):
+                continue
+            buy_price = self.trade_exchange.get_deal_price(
+                stock_id=code, start_time=trade_start_time, end_time=trade_end_time, direction=OrderDir.BUY
+            )
+            notional = eq_notional * min(self.cap_frac, float(w.get(code, 0.0)))
+            buy_amount = notional / buy_price
+            factor = self.trade_exchange.get_factor(
+                stock_id=code, start_time=trade_start_time, end_time=trade_end_time
+            )
+            buy_amount = self.trade_exchange.round_amount_by_trade_unit(buy_amount, factor)
+            buy_order = Order(
+                stock_id=code,
+                amount=buy_amount,
+                start_time=trade_start_time,
+                end_time=trade_end_time,
+                direction=Order.BUY,
+            )
+            buy_order_list.append(buy_order)
+
+        return TradeDecisionWO(sell_order_list + buy_order_list, self)

code/tac-qlib/tac_qlib/contrib/strategy/long_short.py

@@ -0,0 +1,361 @@
+"""Long-short Top-K strategy for cross-sectional signals.
+
+Each day the strategy ranks the cross-section by prediction score and rebalances
+to an equal-weight two-sided book: the ``topk`` highest-ranked names go long and
+the ``k_short`` lowest-ranked names go short. Net-new shorts are opened by
+selling beyond current holdings, which requires a short-aware exchange such as
+``tac_qlib.contrib.backtest.tradeac_exchange.TradeACExchange`` with
+``allow_short=True`` (borrow limits, margin requirements and borrow fees are
+enforced there, not here).
+
+Sizing deploys ``equity * risk_degree`` as gross notional split evenly across
+all long and short legs, so the book is approximately market neutral.
+``allow_short=False`` disables the short side entirely (long-only ``topk``).
+
+Short eligibility can be restricted further, with static or dynamic gates:
+``short_whitelist`` limits shorts to an explicit symbol set; ``short_vol_top_pct``
+requires a candidate's trailing realized volatility to rank in the top fraction
+of that day's cross-section; ``short_max_mom`` (falling-knife filter) only
+allows shorting names whose own trailing momentum is at/below a threshold;
+``short_regime_sma`` disables shorts entirely while the benchmark trades above
+its moving average (risk-on). Borrow availability itself is enforced by the
+exchange (``borrowable`` whitelist / per-symbol caps via ``TradeACExchange``).
+
+Wired into qrun workflows like any ``BaseStrategy`` (see ``PortAnaRecord``
+config). Mirrors the API usage of qlib's ``TopkDropoutStrategy``: ``Order`` /
+``OrderDir`` from ``qlib.backtest.decision``, ``trade_calendar`` /
+``trade_exchange`` / ``trade_position`` injected by the backtest executor.
+"""
+
+from __future__ import annotations
+
+import copy
+from typing import Dict, List, Optional
+
+import pandas as pd
+
+from qlib.backtest import Order
+from qlib.backtest.decision import OrderDir, TradeDecisionWO
+from qlib.contrib.strategy.signal_strategy import BaseSignalStrategy
+from qlib.log import get_module_logger
+
+__all__ = ["LongShortTopkStrategy"]
+
+
+class LongShortTopkStrategy(BaseSignalStrategy):
+    """Equal-weight long-short Top-K strategy over a cross-sectional signal.
+
+    Parameters
+    ----------
+    topk : number of long legs (highest-ranked names).
+    k_short : number of short legs (lowest-ranked names).
+    hold_thresh : minimum holding days before a leg may be closed/reduced.
+    only_tradable : only select candidates tradable on the trade date.
+    rebalance_tol : skip rebalances smaller than this fraction of a leg's
+        target notional (turnover control).
+    allow_short : enable/disable the short side. With ``False`` the bottom-ranked
+        legs are dropped and the book is long-only ``topk``; pair with
+        ``allow_short=False`` on the exchange for a fully borrow-free run.
+        Legacy alias ``enable_short`` is accepted.
+    short_whitelist : optional list of symbols eligible for shorting; candidates
+        outside the list are skipped (``None`` = all names eligible).
+    short_vol_window : trailing window (trading days) for realized-vol estimation.
+    short_vol_top_pct : if set, a short candidate's trailing realized volatility
+        must rank at or above this percentile of that day's cross-section
+        (e.g. ``0.5`` = only the more volatile half may be shorted). Candidates
+        without measurable vol are never shorted.
+    short_mom_window : trailing window (trading days) for the candidate momentum
+        used by the falling-knife gate.
+    short_max_mom : if set, a candidate's trailing ``short_mom_window``-day return
+        must be <= this value to be shortable (e.g. ``0.0`` = only short names
+        that are actually falling). Candidates without measurable momentum are
+        never shorted.
+    short_regime_symbol : benchmark symbol for the regime gate (default SPY).
+    short_regime_sma : if set, shorts are only allowed on days where the regime
+        symbol's last close (strictly before the execution bar) is BELOW its
+        ``short_regime_sma``-day moving average — i.e. shorts are disabled in
+        risk-on regimes and enabled in drawdowns.
+    """
+
+    def __init__(
+        self,
+        *,
+        signal=None,
+        topk: int = 4,
+        k_short: int = 2,
+        hold_thresh: int = 1,
+        only_tradable: bool = True,
+        rebalance_tol: float = 0.05,
+        allow_short: Optional[bool] = None,
+        enable_short: Optional[bool] = None,
+        short_whitelist: Optional[List[str]] = None,
+        short_vol_window: int = 20,
+        short_vol_top_pct: Optional[float] = None,
+        short_mom_window: int = 20,
+        short_max_mom: Optional[float] = None,
+        short_regime_symbol: str = "SPY",
+        short_regime_sma: Optional[int] = None,
+        risk_degree: float = 0.95,
+        trade_exchange=None,
+        level_infra=None,
+        common_infra=None,
+        **kwargs,
+    ):
+        super().__init__(
+            signal=signal,
+            risk_degree=risk_degree,
+            trade_exchange=trade_exchange,
+            level_infra=level_infra,
+            common_infra=common_infra,
+            **kwargs,
+        )
+        if allow_short is None:
+            allow_short = True if enable_short is None else bool(enable_short)
+        self.allow_short = bool(allow_short)
+        self.topk = topk
+        self.k_short = k_short
+        self.hold_thresh = hold_thresh
+        self.only_tradable = only_tradable
+        self.rebalance_tol = rebalance_tol
+        self.short_whitelist = set(short_whitelist) if short_whitelist is not None else None
+        if not 0 < float(short_vol_window) <= 1000:
+            raise ValueError(f"short_vol_window must be in (0, 1000], got {short_vol_window}")
+        self.short_vol_window = int(short_vol_window)
+        if short_vol_top_pct is not None and not 0.0 < float(short_vol_top_pct) <= 1.0:
+            raise ValueError(f"short_vol_top_pct must be in (0, 1], got {short_vol_top_pct}")
+        self.short_vol_top_pct = None if short_vol_top_pct is None else float(short_vol_top_pct)
+        if not 0 < float(short_mom_window) <= 1000:
+            raise ValueError(f"short_mom_window must be in (0, 1000], got {short_mom_window}")
+        self.short_mom_window = int(short_mom_window)
+        self.short_max_mom = None if short_max_mom is None else float(short_max_mom)
+        self.short_regime_symbol = str(short_regime_symbol)
+        if short_regime_sma is not None and not 1 < int(short_regime_sma) <= 1000:
+            raise ValueError(f"short_regime_sma must be in (1, 1000], got {short_regime_sma}")
+        self.short_regime_sma = None if short_regime_sma is None else int(short_regime_sma)
+        # per-day caches (keyed by trade date)
+        self._vol_cache_key: Optional[str] = None
+        self._vol_cache_val: Dict[str, Dict[str, float]] = {}
+        self._regime_cache: Dict[str, bool] = {}
+
+    # ------------------------------------------------------------------ utils
+    def _is_tradable(self, code, start, end) -> bool:
+        if not self.only_tradable:
+            return True
+        try:
+            return self.trade_exchange.is_stock_tradable(stock_id=code, start_time=start, end_time=end)
+        except TypeError:
+            return True
+
+    def _mark_price(self, code, start, end) -> Optional[float]:
+        try:
+            px = self.trade_exchange.get_deal_price(
+                stock_id=code, start_time=start, end_time=end, direction=OrderDir.BUY
+            )
+        except (KeyError, ValueError):
+            return None
+        if px is None or px != px or px <= 0:
+            return None
+        return float(px)
+
+    def _day_stats(self, codes: List[str], trade_start) -> Dict[str, Dict[str, float]]:
+        """Per-day cross-sectional stats used by the dynamic short gates.
+
+        For each code, returns ``{"vol_rank": r}`` (percentile of trailing
+        realized vol over ``short_vol_window`` bars across that day's
+        cross-section) when the vol gate is on, and ``{"mom": m}`` (trailing
+        ``short_mom_window``-bar return) when the falling-knife gate is on.
+        All series end on the last bar strictly BEFORE the execution bar (no
+        lookahead). Codes without measurable data are simply absent — such
+        candidates are never shorted (fail-closed).
+        """
+        if self.short_vol_top_pct is None and self.short_max_mom is None:
+            return {}
+        key = str(pd.Timestamp(trade_start))
+        if self._vol_cache_key == key:
+            return self._vol_cache_val
+        out: Dict[str, Dict[str, float]] = {}
+        try:
+            from qlib.data import D
+
+            end = pd.Timestamp(trade_start)
+            buf = max(self.short_vol_window, self.short_mom_window) * 3 + 30
+            df = D.features(
+                sorted(codes),
+                ["$close"],
+                start_time=end - pd.Timedelta(days=buf),
+                end_time=end - pd.Timedelta(days=1),
+            )
+            close = df["$close"].unstack(level="instrument") if isinstance(df.index, pd.MultiIndex) else df["$close"]
+            if self.short_vol_top_pct is not None:
+                vol = close.pct_change().rolling(self.short_vol_window).std().iloc[-1]
+                for code, rank in vol.rank(pct=True).dropna().items():
+                    out.setdefault(str(code), {})["vol_rank"] = float(rank)
+            if self.short_max_mom is not None:
+                w = min(self.short_mom_window, len(close) - 1)
+                mom = close.iloc[-1] / close.iloc[-(w + 1)] - 1
+                for code, m in mom.items():
+                    if m == m:
+                        out.setdefault(str(code), {})["mom"] = float(m)
+        except Exception as e:  # noqa: BLE001 - degrade to fail-closed (no shorts)
+            get_module_logger(self.__class__.__name__).warning(
+                f"short gates unavailable ({type(e).__name__}: {e}); no shorts this step"
+            )
+        self._vol_cache_key, self._vol_cache_val = key, out
+        return out
+
+    def _regime_ok(self, trade_start) -> bool:
+        """True when shorting is allowed by the benchmark-regime gate.
+
+        With ``short_regime_sma`` set, shorts are permitted only while the
+        regime symbol's last close strictly before the execution bar sits below
+        its moving average (risk-off). Data failure fails closed (no shorts).
+        """
+        if self.short_regime_sma is None:
+            return True
+        key = str(pd.Timestamp(trade_start))
+        cached = self._regime_cache.get(key)
+        if cached is not None:
+            return cached
+        ok = False
+        try:
+            from qlib.data import D
+
+            end = pd.Timestamp(trade_start)
+            df = D.features(
+                [self.short_regime_symbol],
+                ["$close"],
+                start_time=end - pd.Timedelta(days=int(self.short_regime_sma * 3 + 30)),
+                end_time=end - pd.Timedelta(days=1),
+            )
+            s = df["$close"]
+            if isinstance(s.index, pd.MultiIndex):
+                s = s.droplevel("instrument")
+            sma = s.rolling(self.short_regime_sma).mean().iloc[-1]
+            px = s.iloc[-1]
+            ok = bool(px < sma)
+        except Exception as e:  # noqa: BLE001 - degrade to fail-closed (no shorts)
+            get_module_logger(self.__class__.__name__).warning(
+                f"regime gate unavailable ({type(e).__name__}: {e}); no shorts this step"
+            )
+        self._regime_cache[key] = ok
+        return ok
+
+    # ------------------------------------------------------------- decision
+    def generate_trade_decision(self, execute_result=None):
+        trade_step = self.trade_calendar.get_trade_step()
+        trade_start, trade_end = self.trade_calendar.get_step_time(trade_step)
+        pred_start, pred_end = self.trade_calendar.get_step_time(trade_step, shift=1)
+        pred_score = self.signal.get_signal(start_time=pred_start, end_time=pred_end)
+        if isinstance(pred_score, pd.DataFrame):
+            pred_score = pred_score.iloc[:, 0]
+        if pred_score is None or len(pred_score) == 0:
+            return TradeDecisionWO([], self)
+        pred_score = pred_score.dropna()
+        if pred_score.empty:
+            return TradeDecisionWO([], self)
+
+        time_per_step = self.trade_calendar.get_freq()
+        current_temp = copy.deepcopy(self.trade_position)
+
+        # ---- signed current holdings ---------------------------------------
+        cur_amount: Dict[str, float] = {}
+        for code in current_temp.get_stock_list():
+            amt = float(current_temp.get_stock_amount(code))
+            if abs(amt) > 1e-6:
+                cur_amount[code] = amt
+
+        # ---- targets: top-k long, bottom-k_short short ----------------------
+        ranked = list(pred_score.sort_values(ascending=False).index)
+        longs: List[str] = []
+        for code in ranked:
+            if len(longs) >= self.topk:
+                break
+            if self._is_tradable(code, trade_start, trade_end):
+                longs.append(code)
+        shorts: List[str] = []
+        if self.allow_short and self._regime_ok(trade_start):
+            stats = self._day_stats(list(ranked), trade_start)
+            for code in reversed(ranked):
+                if len(shorts) >= self.k_short:
+                    break
+                if code in longs:
+                    continue
+                if not self._is_tradable(code, trade_start, trade_end):
+                    continue
+                if self.short_whitelist is not None and code not in self.short_whitelist:
+                    continue
+                st = stats.get(code)
+                if self.short_vol_top_pct is not None:
+                    rank = None if st is None else st.get("vol_rank")
+                    if rank is None or rank < self.short_vol_top_pct:
+                        continue
+                if self.short_max_mom is not None:
+                    mom = None if st is None else st.get("mom")
+                    if mom is None or mom > self.short_max_mom:
+                        continue
+                shorts.append(code)
+
+        # ---- marks & equity --------------------------------------------------
+        marks: Dict[str, float] = {}
+        for code in set(cur_amount) | set(longs) | set(shorts):
+            px = self._mark_price(code, trade_start, trade_end)
+            if px is not None:
+                marks[code] = px
+
+        equity = current_temp.get_cash()
+        for code, amt in cur_amount.items():
+            if code in marks:
+                equity += amt * marks[code]
+        if equity <= 0:
+            return TradeDecisionWO([], self)
+
+        n_legs = len([c for c in longs if c in marks]) + len([c for c in shorts if c in marks])
+        if n_legs == 0:
+            return TradeDecisionWO([], self)
+        per_leg = equity * self.risk_degree / n_legs
+
+        target_signed: Dict[str, float] = {}
+        for code in longs:
+            if code in marks:
+                target_signed[code] = per_leg / marks[code]
+        for code in shorts:
+            if code in marks:
+                target_signed[code] = -(per_leg / marks[code])
+
+        # ---- order generation -------------------------------------------------
+        sell_orders: List[Order] = []
+        buy_orders: List[Order] = []
+
+        def submit(code: str, amount: float, direction: int) -> None:
+            factor = self.trade_exchange.get_factor(stock_id=code, start_time=trade_start, end_time=trade_end)
+            amount = self.trade_exchange.round_amount_by_trade_unit(amount, factor)
+            if amount <= 1e-6:
+                return
+            o = Order(stock_id=code, amount=amount, start_time=trade_start, end_time=trade_end, direction=direction)
+            if self.trade_exchange.check_order(o):
+                (buy_orders if direction == Order.BUY else sell_orders).append(o)
+
+        # close holdings that are no longer targeted (frees cash / unwinds shorts)
+        for code, amt in cur_amount.items():
+            if code in target_signed:
+                continue
+            if marks.get(code) is None:
+                continue
+            if current_temp.get_stock_count(code, bar=time_per_step) < self.hold_thresh:
+                continue
+            submit(code, abs(amt), Order.SELL if amt > 0 else Order.BUY)
+
+        # rebalance targeted legs toward their signed target quantity
+        for code, tgt in target_signed.items():
+            cur = cur_amount.get(code, 0.0)
+            delta = tgt - cur
+            if abs(delta * marks[code]) < max(self.rebalance_tol * per_leg, 1.0):
+                continue
+            if delta > 0:
+                submit(code, delta, Order.BUY)
+            else:
+                if cur > 0 and current_temp.get_stock_count(code, bar=time_per_step) < self.hold_thresh:
+                    continue
+                submit(code, -delta, Order.SELL)
+
+        return TradeDecisionWO(sell_orders + buy_orders, self)

code/tac-qlib/tac_qlib/contrib/strategy/optimal_stop.py

@@ -0,0 +1,217 @@
+"""Optimal-stopping / stochastic-control strategy for cross-sectional signals.
+
+Entry is a control policy: a symbol opens a position only when its cross-sectional
+signal percentile is at or above ``entry_pct`` (i.e. it is one of the top-ranked
+names) and the portfolio has fewer than ``topk`` open positions.
+
+Exit is an optimal-stopping rule: a held position is stopped (closed) when its
+signal percentile falls below ``exit_pct`` (the continuation value of holding is
+no longer worth the risk), OR after ``max_hold_days`` (time stop / finite
+horizon), OR when the position P&L breaches ``sl`` (loss control) and the
+position has been held at least ``min_hold_days``.
+
+Sizing is fixed ``notional`` per position (equal-weight control), unlike the
+TopkDropout cash-allocation heuristic.
+
+Wired into qrun workflows like any ``BaseStrategy`` (see ``PortAnaRecord``
+config). Mirrors the API usage of qlib's ``TopkDropoutStrategy``: ``Order``/
+``OrderDir`` from ``qlib.backtest.decision``, ``trade_calendar`` /
+``trade_exchange`` / ``trade_position`` injected by the backtest executor.
+"""
+
+from __future__ import annotations
+
+from typing import List
+
+import pandas as pd
+
+from qlib.backtest import Order
+from qlib.backtest.decision import OrderDir, TradeDecisionWO
+from qlib.contrib.strategy.signal_strategy import BaseSignalStrategy
+
+__all__ = ["OptimalStopControl"]
+
+DEFAULT_NOTIONAL = 20_000.0
+DEFAULT_ENTRY_PCT = 0.80
+DEFAULT_EXIT_PCT = 0.50
+DEFAULT_MAX_HOLD_DAYS = 10
+DEFAULT_MIN_HOLD_DAYS = 2
+DEFAULT_SL = -0.06
+
+
+class OptimalStopControl(BaseSignalStrategy):
+    """Optimal-stopping long-only strategy over a cross-sectional signal.
+
+    Parameters
+    ----------
+    topk : max number of concurrent positions.
+    entry_pct : min cross-sectional score percentile required to OPEN (0..1).
+    exit_pct : held positions are stopped when score percentile < exit_pct.
+    max_hold_days : hard time stop (finite-horizon close).
+    min_hold_days : minimum holding days before stop-loss is evaluated.
+    notional : $ per position (equal-weight control).
+    sl : stop-loss threshold as fraction of entry price (<= 0), disabled if 0.
+    """
+
+    def __init__(
+        self,
+        *,
+        signal=None,
+        topk: int = 10,
+        entry_pct: float = DEFAULT_ENTRY_PCT,
+        exit_pct: float = DEFAULT_EXIT_PCT,
+        max_hold_days: int = DEFAULT_MAX_HOLD_DAYS,
+        min_hold_days: int = DEFAULT_MIN_HOLD_DAYS,
+        notional: float = DEFAULT_NOTIONAL,
+        sl: float = DEFAULT_SL,
+        risk_degree: float = 0.95,
+        trade_exchange=None,
+        level_infra=None,
+        common_infra=None,
+        **kwargs,
+    ):
+        super().__init__(
+            signal=signal,
+            trade_exchange=trade_exchange,
+            level_infra=level_infra,
+            common_infra=common_infra,
+            **kwargs,
+        )
+        self.topk = topk
+        self.entry_pct = entry_pct
+        self.exit_pct = exit_pct
+        self.max_hold_days = max_hold_days
+        self.min_hold_days = min_hold_days
+        self.notional = notional
+        self.sl = sl
+
+    # ------------------------------------------------------------------ utils
+    @staticmethod
+    def _pct_rank(score: pd.Series) -> pd.Series:
+        return score.rank(pct=True)
+
+    def _entry_price(self, pos) -> float:
+        # Position stores avg entry price under key "price" (see Position.position)
+        price = pos.position.get("price")
+        if price is None:
+            price = pos.get_stock_amount("price")
+        return float(price)
+
+    def _pnl_pct(self, pos, mark: float) -> float:
+        entry = self._entry_price(pos)
+        if not entry or entry != entry:
+            return 0.0
+        return mark / entry - 1.0
+
+    def _is_tradable(self, code, start, end, direction) -> bool:
+        try:
+            return self.trade_exchange.is_stock_tradable(
+                stock_id=code, start_time=start, end_time=end, direction=direction
+            )
+        except TypeError:  # some exchanges take no direction kwarg
+            return self.trade_exchange.is_stock_tradable(stock_id=code, start_time=start, end_time=end)
+
+    # ------------------------------------------------------------ decision
+    def generate_trade_decision(self, execute_result=None):
+        trade_step = self.trade_calendar.get_trade_step()
+        trade_start, trade_end = self.trade_calendar.get_step_time(trade_step)
+        pred_start, pred_end = self.trade_calendar.get_step_time(trade_step, shift=1)
+        pred_score = self.signal.get_signal(start_time=pred_start, end_time=pred_end)
+        if isinstance(pred_score, pd.DataFrame):
+            pred_score = pred_score.iloc[:, 0]
+        if pred_score is None or len(pred_score) == 0:
+            return TradeDecisionWO([], self)
+
+        pct = self._pct_rank(pred_score)
+        time_per_step = self.trade_calendar.get_freq()
+        current_temp = __import__("copy").deepcopy(self.trade_position)
+
+        holdings = {}
+        for code in current_temp.get_stock_list():
+            if abs(current_temp.get_stock_amount(code)) > 1e-6:
+                holdings[code] = current_temp
+
+        # ---- optimal stopping: close held positions -----------------------
+        sell_orders: List[Order] = []
+        closed_today = set()
+        kept = {}
+        for code, pos in holdings.items():
+            held = current_temp.get_stock_count(code, bar=time_per_step)
+            mark = self.trade_exchange.get_deal_price(
+                stock_id=code, start_time=trade_start, end_time=trade_end, direction=Order.SELL
+            )
+            if mark is None or mark != mark:
+                continue
+            rank = pct.get(code, 0.0)
+            stop_pnl = held >= self.min_hold_days and self.sl < 0 and self._pnl_pct(pos, mark) <= self.sl
+            if held >= self.max_hold_days or rank < self.exit_pct or stop_pnl:
+                amt = abs(current_temp.get_stock_amount(code))
+                o = Order(stock_id=code, amount=amt, start_time=trade_start,
+                          end_time=trade_end, direction=Order.SELL)
+                if self.trade_exchange.check_order(o):
+                    sell_orders.append(o)
+                    self.trade_exchange.deal_order(o, position=current_temp)
+                closed_today.add(code)
+            else:
+                kept[code] = mark
+
+        # ---- equal-weight control: target notional per name -----------------
+        # candidate opens: top-ranked names whose signal pct >= entry_pct
+        rank_desc = pred_score.sort_values(ascending=False)
+        held_codes = set(kept)
+        opens = []
+        for sym in rank_desc.index:
+            if len(opens) >= self.topk:
+                break
+            if sym in held_codes:
+                continue
+            if pct.get(sym, 0.0) < self.entry_pct:
+                continue
+            if not self._is_tradable(sym, trade_start, trade_end, OrderDir.BUY):
+                continue
+            opens.append(sym)
+
+        targets = held_codes | set(opens)
+        if not targets:
+            return TradeDecisionWO(sell_orders, self)
+
+        # total value (cash + marked positions) -> per-target notional
+        total_value = current_temp.get_cash()
+        for code, mark in kept.items():
+            total_value += abs(current_temp.get_stock_amount(code)) * mark
+
+        target_notional = total_value * self.risk_degree / max(1, len(targets))
+
+        # ---- rebalance kept positions toward target weight ------------------
+        buy_orders: List[Order] = []
+        for code, mark in kept.items():
+            cur = abs(current_temp.get_stock_amount(code)) * mark
+            diff_notional = target_notional - cur
+            if abs(diff_notional) / target_notional < 0.02:
+                continue  # skip tiny rebalances
+            amount_delta = diff_notional / mark
+            direction = Order.BUY if amount_delta > 0 else Order.SELL
+            o = Order(stock_id=code, amount=abs(amount_delta), start_time=trade_start,
+                      end_time=trade_end, direction=direction)
+            if self.trade_exchange.check_order(o):
+                (buy_orders if direction == Order.BUY else sell_orders).append(o)
+                self.trade_exchange.deal_order(o, position=current_temp)
+
+        # ---- open new positions at target weight ----------------------------
+        for sym in opens:
+            px = self.trade_exchange.get_deal_price(
+                stock_id=sym, start_time=trade_start, end_time=trade_end, direction=OrderDir.BUY
+            )
+            if px is None or px != px or px <= 0:
+                continue
+            amount = target_notional / px
+            factor = self.trade_exchange.get_factor(
+                stock_id=sym, start_time=trade_start, end_time=trade_end
+            )
+            amount = self.trade_exchange.round_amount_by_trade_unit(amount, factor)
+            o = Order(stock_id=sym, amount=amount, start_time=trade_start,
+                      end_time=trade_end, direction=Order.BUY)
+            if self.trade_exchange.check_order(o):
+                buy_orders.append(o)
+
+        return TradeDecisionWO(sell_orders + buy_orders, self)

code/tac-qlib/tac_qlib/contrib/strategy/regime_gate.py

@@ -0,0 +1,231 @@
+"""HMM-regime overlay TopkDropout strategy.
+
+Regime-gate overlay on ``qlib.contrib.strategy.signal_strategy.TopkDropoutStrategy``:
+selection and sizing are identical to the reference, but a name is only BOUGHT
+(entry gate) when its per-symbol HMM regime posterior ``sp_hmm_p_regime1`` on
+the signal date is >= ``regime_threshold``; otherwise it is held in cash instead
+of being opened.
+
+The regime posterior is read from the lake feature provider on the fly via
+``qlib.data.D.features`` (field ``$sp_hmm_p_regime1``) for the signal window, so
+no regime column needs to enter the model's ``feature_fields`` — the gate is a
+pure overlay (book ch.01: regime flags regressed as model features, survived
+only as an overlay). The HMM itself was fit with ``fit_end=<train end>`` when
+the lake features were backfilled, so there is no lookahead.
+
+Names already held are NOT force-sold when the regime turns unfavourable
+(entry gate only, matching the queue-10 design).
+"""
+
+from __future__ import annotations
+
+from typing import List
+
+import numpy as np
+import pandas as pd
+
+from qlib.backtest import Order
+from qlib.backtest.decision import OrderDir, TradeDecisionWO
+from qlib.contrib.strategy.signal_strategy import TopkDropoutStrategy
+
+try:
+    from qlib.data import D
+except ImportError:  # pragma: no cover - qlib always present in this stack
+    D = None
+
+__all__ = ["RegimeGateDropoutStrategy"]
+
+DEFAULT_REGIME_THRESHOLD = 0.5
+REGIME_FIELD = "$sp_hmm_p_regime1"
+
+
+class RegimeGateDropoutStrategy(TopkDropoutStrategy):
+    """TopkDropout with an HMM-regime entry gate on buy candidates.
+
+    Parameters
+    ----------
+    topk, n_drop, method_sell, method_buy, hold_thresh, only_tradable,
+    forbid_all_trade_at_limit : same as ``TopkDropoutStrategy``.
+    regime_threshold : minimum ``sp_hmm_p_regime1`` posterior required to open a
+        new position (default 0.5).
+    """
+
+    def __init__(self, *, topk, n_drop, regime_threshold: float = DEFAULT_REGIME_THRESHOLD, **kwargs):
+        super().__init__(topk=topk, n_drop=n_drop, **kwargs)
+        self.regime_threshold = regime_threshold
+
+    def _regime_for(self, codes, pred_start, pred_end) -> pd.Series:
+        """Return {code: sp_hmm_p_regime1} for the signal window (last day)."""
+        if D is None:
+            return pd.Series(dtype=float)
+        try:
+            df = D.features(list(codes), [REGIME_FIELD], start_time=pred_start, end_time=pred_end, freq="day")
+        except Exception:  # noqa: BLE001 - a regime read failure should gate open, not crash
+            return pd.Series(dtype=float)
+        if df is None or len(df) == 0:
+            return pd.Series(dtype=float)
+        # df index is MultiIndex (datetime, instrument); take the last day's values
+        df = df.reset_index()
+        ts_col = "datetime" if "datetime" in df.columns else df.columns[0]
+        sym_col = "instrument" if "instrument" in df.columns else df.columns[1]
+        last_ts = df[ts_col].max()
+        last = df[df[ts_col] == last_ts]
+        out = {}
+        for _, row in last.iterrows():
+            sym = str(row[sym_col]).split("/")[-1].upper()
+            val = row.iloc[-1]
+            out[sym] = float(val) if val == val else np.nan
+        return pd.Series(out)
+
+    def generate_trade_decision(self, execute_result=None):
+        import copy
+
+        trade_step = self.trade_calendar.get_trade_step()
+        trade_start_time, trade_end_time = self.trade_calendar.get_step_time(trade_step)
+        pred_start_time, pred_end_time = self.trade_calendar.get_step_time(trade_step, shift=1)
+        pred_score = self.signal.get_signal(start_time=pred_start_time, end_time=pred_end_time)
+        if isinstance(pred_score, pd.DataFrame):
+            pred_score = pred_score.iloc[:, 0]
+        if pred_score is None:
+            return TradeDecisionWO([], self)
+
+        if self.only_tradable:
+
+            def get_first_n(li, n, reverse=False):
+                cur_n = 0
+                res = []
+                for si in reversed(li) if reverse else li:
+                    if self.trade_exchange.is_stock_tradable(
+                        stock_id=si, start_time=trade_start_time, end_time=trade_end_time
+                    ):
+                        res.append(si)
+                        cur_n += 1
+                        if cur_n >= n:
+                            break
+                return res[::-1] if reverse else res
+
+            def get_last_n(li, n):
+                return get_first_n(li, n, reverse=True)
+
+            def filter_stock(li):
+                return [
+                    si
+                    for si in li
+                    if self.trade_exchange.is_stock_tradable(
+                        stock_id=si, start_time=trade_start_time, end_time=trade_end_time
+                    )
+                ]
+
+        else:
+
+            def get_first_n(li, n):
+                return list(li)[:n]
+
+            def get_last_n(li, n):
+                return list(li)[-n:]
+
+            def filter_stock(li):
+                return li
+
+        current_temp: "object" = copy.deepcopy(self.trade_position)
+        sell_order_list: List[Order] = []
+        buy_order_list: List[Order] = []
+        cash = current_temp.get_cash()
+        current_stock_list = current_temp.get_stock_list()
+        last = pred_score.reindex(current_stock_list).sort_values(ascending=False).index
+
+        if self.method_buy == "top":
+            today = get_first_n(
+                pred_score[~pred_score.index.isin(last)].sort_values(ascending=False).index,
+                self.n_drop + self.topk - len(last),
+            )
+        elif self.method_buy == "random":
+            topk_candi = get_first_n(pred_score.sort_values(ascending=False).index, self.topk)
+            candi = list(filter(lambda x: x not in last, topk_candi))
+            n = self.n_drop + self.topk - len(last)
+            try:
+                today = np.random.choice(candi, n, replace=False)
+            except ValueError:
+                today = candi
+        else:
+            raise NotImplementedError(f"This type of input is not supported")
+
+        comb = pred_score.reindex(last.union(pd.Index(today))).sort_values(ascending=False).index
+
+        if self.method_sell == "bottom":
+            sell = last[last.isin(get_last_n(comb, self.n_drop))]
+        elif self.method_sell == "random":
+            candi = filter_stock(last)
+            try:
+                sell = pd.Index(np.random.choice(candi, self.n_drop, replace=False) if len(last) else [])
+            except ValueError:
+                sell = candi
+        else:
+            raise NotImplementedError(f"This type of input is not supported")
+
+        buy = today[: len(sell) + self.topk - len(last)]
+
+        # ---- regime gate -----------------------------------------------------
+        if buy:
+            regime = self._regime_for(buy, pred_start_time, pred_end_time)
+            gated = [c for c in buy if regime.get(c, np.nan) >= self.regime_threshold]
+        else:
+            gated = []
+
+        for code in current_stock_list:
+            if not self.trade_exchange.is_stock_tradable(
+                stock_id=code,
+                start_time=trade_start_time,
+                end_time=trade_end_time,
+                direction=None if self.forbid_all_trade_at_limit else OrderDir.SELL,
+            ):
+                continue
+            if code in sell:
+                time_per_step = self.trade_calendar.get_freq()
+                if current_temp.get_stock_count(code, bar=time_per_step) < self.hold_thresh:
+                    continue
+                sell_amount = current_temp.get_stock_amount(code=code)
+                sell_order = Order(
+                    stock_id=code,
+                    amount=sell_amount,
+                    start_time=trade_start_time,
+                    end_time=trade_end_time,
+                    direction=Order.SELL,
+                )
+                if self.trade_exchange.check_order(sell_order):
+                    sell_order_list.append(sell_order)
+                    trade_val, trade_cost, trade_price = self.trade_exchange.deal_order(
+                        sell_order, position=current_temp
+                    )
+                    cash += trade_val - trade_cost
+
+        if len(gated) == 0:
+            return TradeDecisionWO(sell_order_list, self)
+
+        value = cash * self.risk_degree / len(gated)
+        for code in gated:
+            if not self.trade_exchange.is_stock_tradable(
+                stock_id=code,
+                start_time=trade_start_time,
+                end_time=trade_end_time,
+                direction=None if self.forbid_all_trade_at_limit else OrderDir.BUY,
+            ):
+                continue
+            buy_price = self.trade_exchange.get_deal_price(
+                stock_id=code, start_time=trade_start_time, end_time=trade_end_time, direction=OrderDir.BUY
+            )
+            buy_amount = value / buy_price
+            factor = self.trade_exchange.get_factor(
+                stock_id=code, start_time=trade_start_time, end_time=trade_end_time
+            )
+            buy_amount = self.trade_exchange.round_amount_by_trade_unit(buy_amount, factor)
+            buy_order = Order(
+                stock_id=code,
+                amount=buy_amount,
+                start_time=trade_start_time,
+                end_time=trade_end_time,
+                direction=Order.BUY,
+            )
+            buy_order_list.append(buy_order)
+
+        return TradeDecisionWO(sell_order_list + buy_order_list, self)

code/tac-qlib/tac_qlib/contrib/strategy/weekly_rebalance.py

@@ -0,0 +1,202 @@
+"""Weekly-rebalance TopkDropout strategy.
+
+Turnover-reduction variant of ``qlib.contrib.strategy.signal_strategy.TopkDropoutStrategy``:
+the topk/n_drop selection and sizing are identical to the reference, but the
+target book is recomputed only on the first trading day of each ISO week; on the
+other days the strategy issues NO orders (holds the book untouched).
+
+The weekly cadence is derived from the qlib trade calendar: a rebalance happens
+when the current trade step's date belongs to a different ISO ``(year, week)``
+than the previous trade step. ``hold_band_pct`` (default 0) optionally skips
+tiny rebalances: when a name's existing position differs from the new target by
+less than this fraction, no order is generated for it.
+"""
+
+from __future__ import annotations
+
+from typing import List
+
+import numpy as np
+import pandas as pd
+
+from qlib.backtest import Order
+from qlib.backtest.decision import OrderDir, TradeDecisionWO
+from qlib.contrib.strategy.signal_strategy import TopkDropoutStrategy
+
+__all__ = ["WeeklyRebalanceDropoutStrategy"]
+
+DEFAULT_HOLD_BAND_PCT = 0.0
+
+
+class WeeklyRebalanceDropoutStrategy(TopkDropoutStrategy):
+    """TopkDropout rebalanced once per ISO week; holds otherwise.
+
+    Parameters
+    ----------
+    topk, n_drop, method_sell, method_buy, hold_thresh, only_tradable,
+    forbid_all_trade_at_limit : same as ``TopkDropoutStrategy``.
+    hold_band_pct : skip order for a name whose deviation from target weight is
+        below this fraction of the target (no-trade buffer band).
+    """
+
+    def __init__(self, *, topk, n_drop, hold_band_pct: float = DEFAULT_HOLD_BAND_PCT, **kwargs):
+        super().__init__(topk=topk, n_drop=n_drop, **kwargs)
+        self.hold_band_pct = hold_band_pct
+
+    @staticmethod
+    def _iso_week(ts) -> tuple:
+        return (ts.year, ts.week)
+
+    def generate_trade_decision(self, execute_result=None):
+        import copy
+
+        trade_step = self.trade_calendar.get_trade_step()
+        trade_start_time, trade_end_time = self.trade_calendar.get_step_time(trade_step)
+
+        cur_week = self._iso_week(trade_start_time)
+        prev_week = getattr(self, "_last_week", None)
+        self._last_week = cur_week
+
+        if prev_week is not None and prev_week == cur_week:
+            # not the first trading day of this ISO week -> hold
+            return TradeDecisionWO([], self)
+
+        pred_start_time, pred_end_time = self.trade_calendar.get_step_time(trade_step, shift=1)
+        pred_score = self.signal.get_signal(start_time=pred_start_time, end_time=pred_end_time)
+        if isinstance(pred_score, pd.DataFrame):
+            pred_score = pred_score.iloc[:, 0]
+        if pred_score is None:
+            return TradeDecisionWO([], self)
+
+        if self.only_tradable:
+
+            def get_first_n(li, n, reverse=False):
+                cur_n = 0
+                res = []
+                for si in reversed(li) if reverse else li:
+                    if self.trade_exchange.is_stock_tradable(
+                        stock_id=si, start_time=trade_start_time, end_time=trade_end_time
+                    ):
+                        res.append(si)
+                        cur_n += 1
+                        if cur_n >= n:
+                            break
+                return res[::-1] if reverse else res
+
+            def get_last_n(li, n):
+                return get_first_n(li, n, reverse=True)
+
+            def filter_stock(li):
+                return [
+                    si
+                    for si in li
+                    if self.trade_exchange.is_stock_tradable(
+                        stock_id=si, start_time=trade_start_time, end_time=trade_end_time
+                    )
+                ]
+
+        else:
+
+            def get_first_n(li, n):
+                return list(li)[:n]
+
+            def get_last_n(li, n):
+                return list(li)[-n:]
+
+            def filter_stock(li):
+                return li
+
+        current_temp: "object" = copy.deepcopy(self.trade_position)
+        sell_order_list: List[Order] = []
+        buy_order_list: List[Order] = []
+        cash = current_temp.get_cash()
+        current_stock_list = current_temp.get_stock_list()
+        last = pred_score.reindex(current_stock_list).sort_values(ascending=False).index
+
+        if self.method_buy == "top":
+            today = get_first_n(
+                pred_score[~pred_score.index.isin(last)].sort_values(ascending=False).index,
+                self.n_drop + self.topk - len(last),
+            )
+        elif self.method_buy == "random":
+            topk_candi = get_first_n(pred_score.sort_values(ascending=False).index, self.topk)
+            candi = list(filter(lambda x: x not in last, topk_candi))
+            n = self.n_drop + self.topk - len(last)
+            try:
+                today = np.random.choice(candi, n, replace=False)
+            except ValueError:
+                today = candi
+        else:
+            raise NotImplementedError(f"This type of input is not supported")
+
+        comb = pred_score.reindex(last.union(pd.Index(today))).sort_values(ascending=False).index
+
+        if self.method_sell == "bottom":
+            sell = last[last.isin(get_last_n(comb, self.n_drop))]
+        elif self.method_sell == "random":
+            candi = filter_stock(last)
+            try:
+                sell = pd.Index(np.random.choice(candi, self.n_drop, replace=False) if len(last) else [])
+            except ValueError:
+                sell = candi
+        else:
+            raise NotImplementedError(f"This type of input is not supported")
+
+        buy = today[: len(sell) + self.topk - len(last)]
+        for code in current_stock_list:
+            if not self.trade_exchange.is_stock_tradable(
+                stock_id=code,
+                start_time=trade_start_time,
+                end_time=trade_end_time,
+                direction=None if self.forbid_all_trade_at_limit else OrderDir.SELL,
+            ):
+                continue
+            if code in sell:
+                time_per_step = self.trade_calendar.get_freq()
+                if current_temp.get_stock_count(code, bar=time_per_step) < self.hold_thresh:
+                    continue
+                sell_amount = current_temp.get_stock_amount(code=code)
+                sell_order = Order(
+                    stock_id=code,
+                    amount=sell_amount,
+                    start_time=trade_start_time,
+                    end_time=trade_end_time,
+                    direction=Order.SELL,
+                )
+                if self.trade_exchange.check_order(sell_order):
+                    sell_order_list.append(sell_order)
+                    trade_val, trade_cost, trade_price = self.trade_exchange.deal_order(
+                        sell_order, position=current_temp
+                    )
+                    cash += trade_val - trade_cost
+
+        if len(buy) == 0:
+            return TradeDecisionWO(sell_order_list, self)
+
+        value = cash * self.risk_degree / len(buy)
+        for code in buy:
+            if not self.trade_exchange.is_stock_tradable(
+                stock_id=code,
+                start_time=trade_start_time,
+                end_time=trade_end_time,
+                direction=None if self.forbid_all_trade_at_limit else OrderDir.BUY,
+            ):
+                continue
+            buy_price = self.trade_exchange.get_deal_price(
+                stock_id=code, start_time=trade_start_time, end_time=trade_end_time, direction=OrderDir.BUY
+            )
+            buy_amount = value / buy_price
+            factor = self.trade_exchange.get_factor(
+                stock_id=code, start_time=trade_start_time, end_time=trade_end_time
+            )
+            buy_amount = self.trade_exchange.round_amount_by_trade_unit(buy_amount, factor)
+            buy_order = Order(
+                stock_id=code,
+                amount=buy_amount,
+                start_time=trade_start_time,
+                end_time=trade_end_time,
+                direction=Order.BUY,
+            )
+            buy_order_list.append(buy_order)
+
+        return TradeDecisionWO(sell_order_list + buy_order_list, self)

code/tac-qlib/tac_qlib/data/__init__.py

@@ -0,0 +1,25 @@
+from .config import (
+    LakeConfig,
+    BAR_FIELD_MAP,
+    FREQ_TO_TIMEFRAME,
+    UNKNOWN_FIELD_NAMES,
+    timeframe_for_freq,
+    resolve_lake_root,
+)
+from .providers import (
+    LakeCalendarProvider,
+    LakeInstrumentProvider,
+    LakeFeatureProvider,
+)
+
+__all__ = [
+    "LakeConfig",
+    "BAR_FIELD_MAP",
+    "FREQ_TO_TIMEFRAME",
+    "UNKNOWN_FIELD_NAMES",
+    "timeframe_for_freq",
+    "resolve_lake_root",
+    "LakeCalendarProvider",
+    "LakeInstrumentProvider",
+    "LakeFeatureProvider",
+]

code/tac-qlib/tac_qlib/data/config.py

@@ -0,0 +1,207 @@
+"""TradeAC lake configuration helpers.
+
+The lake is a hive-partitioned parquet store (see ``tac-engine/skills/tradeac-lake``):
+
+    $TAC_LAKE_DIR/
+    ├── market=US/
+    │   └── timeframe=1d/
+    │       └── symbol=AAPL.parquet        # OHLCV bars: t, date, o, h, l, c, v, n, vw
+    ├── features/                          # indicators, wide format, family tier
+    │   └── market=US/
+    │       └── timeframe=1d/
+    │           ├── family=ta/symbol=AAPL.parquet  # t, sma_5, sma_20, rsi_14, ...
+    │           └── family=sp/symbol=AAPL.parquet  # t, sp_ou_*, sp_hmm_*, ...
+    ├── calendar.parquet                   # trading days per market
+    ├── coverage.parquet                   # per (market,timeframe,symbol) loaded windows
+    └── symbols.parquet                    # asset master
+"""
+
+from __future__ import annotations
+
+import os
+from pathlib import Path
+from typing import Dict, List, Optional
+
+import pandas as pd
+
+#: qlib freq string (Freq.__str__) -> lake timeframe partition name
+FREQ_TO_TIMEFRAME: Dict[str, str] = {
+    "day": "1d",
+    "1d": "1d",
+    "min": "1m",
+    "1min": "1m",
+    "5min": "5m",
+    "10min": "10m",
+    "15min": "15m",
+    "30min": "30m",
+    "hour": "1h",
+    "1hour": "1h",
+    "2hour": "2h",
+    "4hour": "4h",
+    "week": "1w",
+    "1week": "1w",
+    "month": "1M",
+    "1month": "1M",
+}
+
+#: bar-field map: qlib field name (without the leading ``$``) -> lake bar column
+BAR_FIELD_MAP: Dict[str, str] = {
+    "open": "o",
+    "high": "h",
+    "low": "l",
+    "close": "c",
+    "volume": "v",
+    "vwap": "vw",
+    "avg_amount": "vw",  # amount / volume
+}
+
+#: fields that qlib core/backtest queries but the lake does not store -> all-NaN
+UNKNOWN_FIELD_NAMES = ("factor", "change", "trade_unit", "suspend_flag")
+
+#: columns in the parquet files that are not features
+NON_FEATURE_COLUMNS = ("t", "date", "market", "timeframe", "symbol")
+
+#: Feature-family partitions merged by ``LakeConfig.load_features`` and scanned
+#: by the handler's field discovery. ``macro`` holds broadcast market-state
+#: columns (see skills/tac-qlib-custom/examples/persist_macro_broadcast.py).
+FEATURE_FAMILIES = ("ta", "sp", "macro")
+
+
+def timeframe_for_freq(freq: str) -> str:
+    """Map a qlib frequency (e.g. ``day``, ``1min``) to a lake timeframe (e.g. ``1d``)."""
+    f = str(freq).lower()
+    if f not in FREQ_TO_TIMEFRAME:
+        raise ValueError(
+            f"unsupported qlib freq {freq!r}; supported freqs: {sorted(set(FREQ_TO_TIMEFRAME))}"
+        )
+    return FREQ_TO_TIMEFRAME[f]
+
+
+def resolve_lake_root(lake_root: Optional[str] = None) -> Path:
+    """Resolve the lake root: explicit arg > ``TAC_LAKE_DIR`` (no fallback).
+
+    ``TAC_LAKE_DIR`` is **mandatory** — there is deliberately no default
+    A missing/empty value raises so a
+    misconfigured environment never silently points at a wrong directory.
+    """
+    if lake_root is None:
+        lake_root = os.environ.get("TAC_LAKE_DIR")
+    if not lake_root:
+        raise RuntimeError(
+            "TAC_LAKE_DIR is not set. Point it at the TradeAC lake root, e.g. "
+            "export TAC_LAKE_DIR=/home/data/lake (docker) or set an absolute "
+            "path in your local .env."
+        )
+    return Path(str(lake_root)).expanduser().resolve()
+
+
+class LakeConfig:
+    """Path helpers + cached readers for a (lake_root, market) combination."""
+
+    def __init__(self, lake_root: Optional[str] = None, market: str = "US"):
+        self.lake_root: Path = resolve_lake_root(lake_root)
+        self.market: str = (market or "US").upper()
+
+    # ---- paths --------------------------------------------------------------
+    def bar_dir(self, timeframe: str) -> Path:
+        return self.lake_root / f"market={self.market}" / f"timeframe={timeframe}"
+
+    def bar_path(self, timeframe: str, symbol: str) -> Path:
+        return self.bar_dir(timeframe) / f"symbol={str(symbol).upper()}.parquet"
+
+    def features_dir(self, timeframe: str) -> Path:
+        return self.lake_root / "features" / f"market={self.market}" / f"timeframe={timeframe}"
+
+    def features_path(self, timeframe: str, symbol: str) -> Path:
+        # Legacy flat path (no family tier). Prefer `load_features` which
+        # resolves the family=ta|sp partition layout.
+        return self.features_dir(timeframe) / f"symbol={str(symbol).upper()}.parquet"
+
+    def load_features(self, timeframe: str, symbol: str) -> pd.DataFrame:
+        """All feature columns for a symbol, merging the `family=ta|sp|macro`
+        partitions by timestamp. Returns an empty frame when no
+        feature files exist (legacy flat layout falls back transparently)."""
+        sym = str(symbol).upper()
+        frames = []
+        for family in FEATURE_FAMILIES:
+            p = self.features_dir(timeframe) / f"family={family}" / f"symbol={sym}.parquet"
+            if p.exists():
+                frames.append(pd.read_parquet(p))
+        if not frames:
+            flat = self.features_dir(timeframe) / f"symbol={sym}.parquet"
+            if flat.exists():
+                return pd.read_parquet(flat)
+            return pd.DataFrame()
+        if len(frames) == 1:
+            return frames[0]
+        merged = frames[0]
+        for extra in frames[1:]:
+            merged = merged.merge(extra, on="t", how="outer", suffixes=("", "_dup"))
+            for c in [c for c in merged.columns if c.endswith("_dup")]:
+                merged = merged.drop(columns=c)
+        return merged
+
+    def calendar_path(self) -> Path:
+        return self.lake_root / "calendar.parquet"
+
+    def symbols_path(self) -> Path:
+        return self.lake_root / "symbols.parquet"
+
+    def coverage_path(self) -> Path:
+        return self.lake_root / "coverage.parquet"
+
+    # ---- metadata readers ----------------------------------------------------
+    def load_symbols(self) -> List[str]:
+        """All symbols known to the lake (from ``symbols.parquet``)."""
+        p = self.symbols_path()
+        if not p.exists():
+            return []
+        df = pd.read_parquet(p)
+        if "symbol" not in df.columns:
+            return []
+        return sorted(df["symbol"].astype(str).str.upper().tolist())
+
+    def symbol_spans(self, symbol: str, timeframe: str) -> List[tuple]:
+        """Listing span(s) ``[(start_iso, end_iso)]`` for a symbol from coverage.parquet."""
+        p = self.coverage_path()
+        if p.exists():
+            try:
+                df = pd.read_parquet(p)
+            except Exception:  # pragma: no cover - defensive
+                df = pd.DataFrame()
+            if len(df):
+                df = df[
+                    (df.get("market") == self.market)
+                    & (df.get("timeframe") == timeframe)
+                    & (df.get("symbol") == str(symbol).upper())
+                ]
+                if len(df):
+                    row = df.iloc[0]
+                    first = pd.Timestamp(row["first_t"]).date()
+                    last = pd.Timestamp(row["last_t"]).date()
+                    return [(first.isoformat(), last.isoformat())]
+        # fallback: derive from the bar file itself
+        p = self.bar_path(timeframe, symbol)
+        if p.exists():
+            import pyarrow.parquet as pq
+
+            tbl = pq.read_table(p, columns=["t"])
+            first = pd.Timestamp(tbl.column("t")[0].as_py()).date()
+            last = pd.Timestamp(tbl.column("t")[-1].as_py()).date()
+            return [(first.isoformat(), last.isoformat())]
+        return [("1970-01-01", "2099-12-31")]
+
+    def load_calendar_dates(self) -> List[pd.Timestamp]:
+        """Trading days (midnight timestamps) for the market, from ``calendar.parquet``."""
+        p = self.calendar_path()
+        if p.exists():
+            df = pd.read_parquet(p)
+            if "date" in df.columns:
+                if "market" in df.columns:
+                    df = df[df["market"] == self.market]
+                dates = pd.to_datetime(df["date"]).dt.normalize().sort_values().unique()
+                return [pd.Timestamp(x) for x in dates]
+        return []
+
+    def __repr__(self) -> str:  # pragma: no cover
+        return f"LakeConfig(lake_root={self.lake_root}, market={self.market})"

code/tac-qlib/tac_qlib/data/providers.py

@@ -0,0 +1,230 @@
+"""qlib data providers backed by the TradeAC parquet lake.
+
+These providers plug into the standard qlib mechanism: ``qlib.init(calendar_provider=...,
+instrument_provider=..., feature_provider=...)`` instantiates them and binds them to the
+``Cal`` / ``Inst`` / ``FeatureD`` wrappers (see ``qlib.data.data.register_all_wrappers``).
+The rest of qlib (``LocalDatasetProvider`` expression engine, backtest ``Exchange``) keeps
+working unchanged because the interface contract is identical to the file-based providers:
+
+- ``feature()`` returns a ``pd.Series`` indexed by the **calendar position** range
+  ``[start_index, end_index]`` (matching ``FileFeatureStorage.__getitem__`` semantics).
+- ``list_instruments()`` returns ``{symbol: [(start, end), ...]}``.
+- ``load_calendar()`` returns a list of ``pd.Timestamp`` trading days.
+"""
+
+from __future__ import annotations
+
+import bisect
+from typing import Dict, List, Optional, Union
+
+import numpy as np
+import pandas as pd
+
+from qlib.data.data import CalendarProvider, FeatureProvider, InstrumentProvider
+from qlib.log import get_module_logger
+
+from .config import (
+    BAR_FIELD_MAP,
+    LakeConfig,
+    UNKNOWN_FIELD_NAMES,
+    timeframe_for_freq,
+)
+
+logger = get_module_logger("tac_qlib.data.providers")
+
+
+def _day_freq(freq: str) -> bool:
+    return str(freq).lower() in ("day", "1d")
+
+
+def _calendar_keys(cal: List[pd.Timestamp], freq: str) -> pd.Index:
+    """Convert calendar timestamps into the same key space as the lake parquet."""
+    if _day_freq(freq):
+        return pd.Index([pd.Timestamp(x).date() for x in cal])
+    return pd.Index([pd.Timestamp(x) for x in cal])
+
+
+class LakeCalendarProvider(CalendarProvider):
+    """Trading calendar read from ``<lake>/calendar.parquet`` (fallback: derived from bars)."""
+
+    def __init__(self, lake_root: Optional[str] = None, market: str = "US"):
+        super().__init__()
+        self.cfg = LakeConfig(lake_root, market)
+
+    def load_calendar(self, freq, future):
+        timeframe = timeframe_for_freq(freq)
+        if not _day_freq(freq):
+            raise NotImplementedError(
+                f"freq={freq!r} (timeframe={timeframe}) is not supported yet: the lake calendar "
+                f"only covers daily sessions; add a minute-level calendar to `calendar.parquet`"
+            )
+
+        dates = self.cfg.load_calendar_dates()
+        if not dates:
+            # Fallback: derive the trading-day set from the persisted bar files.
+            bar_dir = self.cfg.bar_dir(timeframe)
+            if bar_dir.exists():
+                import pyarrow.parquet as pq
+
+                cal: Dict[pd.Timestamp, None] = {}
+                for p in sorted(bar_dir.glob("symbol=*.parquet")):
+                    tbl = pq.read_table(p, columns=["t"])
+                    for v in tbl.column("t"):
+                        cal[pd.Timestamp(v.as_py()).normalize()] = None
+                dates = sorted(cal.keys())
+            if not dates:
+                return []
+
+        if future:
+            # append the next calendar day so that "today" is a valid trade date
+            last = dates[-1]
+            dates = dates + [pd.Timestamp(last) + pd.Timedelta(days=1)]
+        return dates
+
+
+class LakeInstrumentProvider(InstrumentProvider):
+    """Instruments from ``<lake>/symbols.parquet`` with listing spans from ``coverage.parquet``."""
+
+    def __init__(
+        self,
+        lake_root: Optional[str] = None,
+        market: str = "US",
+        markets: Optional[Dict[str, list]] = None,
+    ):
+        super().__init__()
+        self.cfg = LakeConfig(lake_root, market)
+        #: optional named pools, e.g. ``{"sp500": ["AAPL", "MSFT"], "etf": ["SPY"]}``.
+        #: ``all`` / any unregistered name resolves to every symbol in the lake.
+        self.markets: Dict[str, list] = markets or {}
+
+    def _resolve_symbols(self, market: Union[str, list]) -> List[str]:
+        if isinstance(market, (list, tuple, pd.Index, np.ndarray)):
+            return [str(s).upper() for s in market]
+        if isinstance(market, str) and "," in market:
+            return [s.strip().upper() for s in market.split(",") if s.strip()]
+        if market in self.markets:
+            return [str(s).upper() for s in self.markets[market]]
+        return self.cfg.load_symbols()
+
+    def list_instruments(self, instruments, start_time=None, end_time=None, freq="day", as_list=False):
+        market = instruments["market"]
+        timeframe = timeframe_for_freq(freq)
+
+        symbols = self._resolve_symbols(market)
+        if not symbols:
+            if as_list:
+                return []
+            return {}
+
+        # clip listing spans to the queried window (mirror of LocalInstrumentProvider)
+        from qlib.data.data import Cal  # pylint: disable=C0415
+
+        cal = Cal.calendar(freq=freq)
+        start_time = pd.Timestamp(start_time or cal[0])
+        end_time = pd.Timestamp(end_time or cal[-1])
+
+        out: Dict[str, list] = {}
+        for symbol in symbols:
+            spans = []
+            for begin, end in self.cfg.symbol_spans(symbol, timeframe):
+                lo = max(start_time, pd.Timestamp(begin))
+                hi = min(end_time, pd.Timestamp(end))
+                if lo <= hi:
+                    spans.append((lo, hi))
+            if spans:
+                out[symbol] = spans
+
+        filter_pipe = instruments.get("filter_pipe") or []
+        for filter_config in filter_pipe:
+            from qlib.data import filter as F  # pylint: disable=C0415
+
+            filter_t = getattr(F, filter_config["filter_type"]).from_config(filter_config)
+            out = filter_t(out, start_time, end_time, freq)
+
+        if as_list:
+            return list(out)
+        return out
+
+
+class LakeFeatureProvider(FeatureProvider):
+    """Feature data from the lake parquet (OHLCV bars + pre-computed ta-lib features).
+
+    Field routing:
+        - ``$open/$high/$low/$close/$volume/$vwap``      -> bar parquet columns
+        - ``$amount`` (= v*vw), ``$avg_amount`` (= vw)  -> derived from bar parquet
+        - ``$factor/$change/...``                        -> all-NaN (not stored)
+        - anything else                                  -> a ta-lib column in the features parquet
+    """
+
+    def __init__(self, lake_root: Optional[str] = None, market: str = "US"):
+        super().__init__()
+        self.cfg = LakeConfig(lake_root, market)
+        self._bar_cache: Dict[tuple, pd.DataFrame] = {}
+        self._feature_cache: Dict[tuple, pd.DataFrame] = {}
+
+    # ------------------------------------------------------------------ caches
+    def _load_bar_df(self, instrument: str, timeframe: str) -> pd.DataFrame:
+        key = (instrument, timeframe)
+        if key not in self._bar_cache:
+            p = self.cfg.bar_path(timeframe, instrument)
+            self._bar_cache[key] = pd.read_parquet(p) if p.exists() else pd.DataFrame()
+        return self._bar_cache[key]
+
+    def _load_feature_df(self, instrument: str, timeframe: str) -> pd.DataFrame:
+        key = (instrument, timeframe)
+        if key not in self._feature_cache:
+            self._feature_cache[key] = self.cfg.load_features(timeframe, instrument)
+        return self._feature_cache[key]
+
+    @staticmethod
+    def _keys(df: pd.DataFrame, freq: str) -> pd.Index:
+        ts = pd.to_datetime(df["t"])
+        return ts.dt.date if _day_freq(freq) else ts
+
+    # ------------------------------------------------------------------ fields
+    def _extract(self, instrument: str, field: str, timeframe: str, freq: str) -> Optional[pd.Series]:
+        """Return the field as a Series keyed by date/timestamp (None if not present in the lake)."""
+        bar = self._load_bar_df(instrument, timeframe)
+
+        if field in BAR_FIELD_MAP:
+            col = BAR_FIELD_MAP[field]
+            if col in bar.columns:
+                return bar[col].astype(float).set_axis(self._keys(bar, freq))
+            return None
+        if field == "amount":
+            if "v" in bar.columns and "vw" in bar.columns:
+                return (bar["v"] * bar["vw"]).astype(float).set_axis(self._keys(bar, freq))
+            return None
+        if field in UNKNOWN_FIELD_NAMES:
+            return None
+
+        feat = self._load_feature_df(instrument, timeframe)
+        if field in feat.columns:
+            return feat[field].astype(float).set_axis(self._keys(feat, freq))
+        return None
+
+    # ------------------------------------------------------------------ api
+    def _get_calendar(self, freq: str) -> List[pd.Timestamp]:
+        from qlib.data.data import Cal  # pylint: disable=C0415
+
+        cal = Cal.calendar(freq=freq)
+        return list(cal)
+
+    def feature(self, instrument, field, start_index, end_index, freq):
+        field = str(field)[1:]
+        timeframe = timeframe_for_freq(freq)
+
+        cal = self._get_calendar(freq)
+        n = len(cal)
+        lo = max(0, int(start_index))
+        hi = min(n - 1, int(end_index))
+        if lo > hi:
+            return pd.Series(dtype=np.float32)
+
+        keys = _calendar_keys(cal[lo : hi + 1], freq)
+        ser = self._extract(str(instrument).upper(), field, timeframe, freq)
+        if ser is None:
+            vals = np.full(len(keys), np.nan, dtype=np.float64)
+        else:
+            vals = ser.reindex(keys).to_numpy(dtype=np.float64)
+        return pd.Series(vals, index=pd.RangeIndex(lo, hi + 1))

queue/workflows/q01_m2_sharpe22_repro.yaml

@@ -0,0 +1,140 @@
+# -----------------------------------------------------------------------------
+# QUEUE-01 — M2 reproduction: risk-adjusted 22d Sharpe drift (sp_sharpe_22).
+#
+# Hypothesis (book ch.01/ch.07, EVIDENCE#018 -> exp 30): adding the
+# risk-adjusted 22d Sharpe drift feature (sp_sharpe_22) to the compact
+# stochastic reference IMPROVES net portfolio performance (exp 30: net +6.53%
+# IR 0.62 vs reference +2.13% IR 0.21) while rank metrics dip (RankIC 0.0576 vs
+# 0.0663). exp 30 is a SINGLE clean-lake run, unreproduced -> HYPOTHESIS.
+#
+# Change vs exp-26 reference (EVIDENCE#015, run 21afc6af...): ONE feature added,
+# feature_fields = compact set + sp_sharpe_22. Everything else byte-identical.
+#
+# Acceptance: net_ann_return > +2.13% AND net_IR > 0.21 (else HYPOTHESIS -> REFUTED).
+# Run: rd_run_workflow config_path=<repo>/experiments/queue/workflows/q01_m2_sharpe22_repro.yaml \
+#        experiment_name=tac-rd-q01-m2-sharpe22-repro
+# -----------------------------------------------------------------------------
+{%- set LAKE = TAC_LAKE_DIR %}
+{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
+{%- set FEATURES = "$open,$high,$low,$close,$vwap,$volume,sp_ret,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_move,sp_rv1,sp_rv5,sp_rv22,sp_vol_ratio_5_22,sp_vol_ratio_1_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead,sp_sharpe_22" %}
+
+qlib_init:
+    provider_uri: "{{ LAKE }}"
+    region: us
+    expression_cache: null
+    dataset_cache: null
+
+    calendar_provider:
+        class: tac_qlib.data.providers.LakeCalendarProvider
+        kwargs:
+            lake_root: "{{ LAKE }}"
+            market: US
+    instrument_provider:
+        class: tac_qlib.data.providers.LakeInstrumentProvider
+        kwargs:
+            lake_root: "{{ LAKE }}"
+            market: US
+            markets: {}
+    feature_provider:
+        class: tac_qlib.data.providers.LakeFeatureProvider
+        kwargs:
+            lake_root: "{{ LAKE }}"
+            market: US
+
+    exp_manager:
+        class: MLflowExpManager
+        module_path: qlib.workflow.expm
+        kwargs:
+            uri: "sqlite:///{{ LAKE }}/mlruns.db"
+            default_exp_name: "tac-rd-q01-m2-sharpe22-repro"
+
+task:
+    model:
+        class: RankICEnsembleLGBModel
+        module_path: tac_qlib.contrib.model.rank_ensemble
+        kwargs:
+            loss: mse
+            learning_rate: 0.02
+            num_leaves: 31
+            n_estimators: 3000
+            num_boost_round: 3000
+            early_stopping_rounds: 200
+            min_data_in_leaf: 20
+            lambda_l2: 0.5
+            colsample_bytree: 0.8
+            subsample: 0.8
+            subsample_freq: 1
+            reg_alpha: 0.1
+            reg_lambda: 1.0
+            seeds: "42,7,2026,99,123"
+            parallel: 5
+
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: TACHandler
+                module_path: tac_qlib.contrib.data.handler
+                kwargs:
+                    instruments: "{{ UNIVERSE }}"
+                    start_time: 2015-01-03
+                    end_time: 2026-08-10
+                    fit_start_time: 2016-01-04
+                    fit_end_time: 2025-09-01
+                    freq: day
+                    lake_root: "{{ LAKE }}"
+                    market: US
+                    label: "Ref($close,-6)/Ref($close,-1)-1"
+                    feature_fields: "{{ FEATURES }}"
+                    infer_processors:
+                        - class: DropAllNaN
+                          kwargs: {}
+                        - class: ProcessInf
+                          kwargs: {}
+                        - class: CSRankNorm
+                          kwargs: {}
+                        - class: ZScoreNorm
+                          kwargs: {}
+                        - class: Fillna
+                          kwargs: {}
+            segments:
+                train: [2016-01-04, 2025-09-01]
+                valid: [2025-09-03, 2026-01-03]
+                test: [2026-01-04, 2026-08-10]
+
+    record:
+        - class: SignalRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: {}
+        - class: SigAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs:
+              ana_long_short: true
+              ann_scaler: 252
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs:
+              config:
+                  strategy:
+                      class: TopkDropoutStrategy
+                      module_path: qlib.contrib.strategy
+                      kwargs:
+                          signal: "<PRED>"
+                          topk: 10
+                          n_drop: 1
+                          only_tradable: true
+                          risk_degree: 0.95
+                  backtest:
+                      start_time: 2026-01-04
+                      end_time: 2026-08-10
+                      account: 1000000
+                      benchmark: SPY
+                      exchange_kwargs:
+                          codes: "{{ UNIVERSE }}"
+                          deal_price: $close
+                          freq: day
+                          open_cost: 0.0005
+                          close_cost: 0.0015
+                          min_cost: 5.0
+              risk_analysis_freq: 1d

workflows/exp12_isolation_ensemble.yaml

@@ -0,0 +1,141 @@
+# -----------------------------------------------------------------------------
+# ISOLATION: multi-seed RankIC ensemble, ablate-B generic-only feature set.
+#
+# Isolates the ensemble effect on the SP-5d rank signal. Same panel, segments,
+# history (full backfilled 2016+) and feature set as the exp-9 ablate-B winner
+# (generic-only sp_* families: jump,har,trend,hurst,signature), but replaces the
+# single RankICLGBModel with a 5-seed RankICEnsembleLGBModel (42,7,2026,99,123)
+# that averages per-day predictions.
+#
+# Differs from exp-15 (tac-rd-rank-ensemble, mlflow exp 15) ONLY by dropping the
+# TA subset (rsi_14,roc_10,macd_hist,willr_14,atr_14) and the inter-asset xr_*
+# features, so any change vs exp-15 is attributable to the feature set alone,
+# and any change vs exp-9 is attributable to the ensemble + full history alone.
+#
+# Run:
+#   rd_run_workflow config_path=experiments/workflows/exp12_isolation_ensemble.yaml \
+#       experiment_name=tac-rd-rank-ensemble-isolated
+# -----------------------------------------------------------------------------
+{%- set LAKE = TAC_LAKE_DIR %}
+{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
+{%- set SP_FIELDS = "sp_ret,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_move,sp_rv1,sp_rv5,sp_rv22,sp_vol_ratio_5_22,sp_vol_ratio_1_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead" %}
+
+qlib_init:
+    provider_uri: "{{ LAKE }}"
+    region: us
+    expression_cache: null
+    dataset_cache: null
+
+    calendar_provider:
+        class: tac_qlib.data.providers.LakeCalendarProvider
+        kwargs:
+            lake_root: "{{ LAKE }}"
+            market: US
+    instrument_provider:
+        class: tac_qlib.data.providers.LakeInstrumentProvider
+        kwargs:
+            lake_root: "{{ LAKE }}"
+            market: US
+            markets: {}
+    feature_provider:
+        class: tac_qlib.data.providers.LakeFeatureProvider
+        kwargs:
+            lake_root: "{{ LAKE }}"
+            market: US
+
+    exp_manager:
+        class: MLflowExpManager
+        module_path: qlib.workflow.expm
+        kwargs:
+            uri: "sqlite:///mlruns.db"
+            default_exp_name: "tac-rd-rank-ensemble-isolated"
+
+task:
+    model:
+        class: RankICEnsembleLGBModel
+        module_path: tac_qlib.contrib.model.rank_ensemble
+        kwargs:
+            loss: mse
+            learning_rate: 0.02
+            num_leaves: 31
+            n_estimators: 3000
+            num_boost_round: 3000
+            early_stopping_rounds: 200
+            min_data_in_leaf: 20
+            lambda_l2: 0.5
+            colsample_bytree: 0.8
+            subsample: 0.8
+            subsample_freq: 1
+            reg_alpha: 0.1
+            reg_lambda: 1.0
+            seeds: "42,7,2026,99,123"
+
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: TACHandler
+                module_path: tac_qlib.contrib.data.handler
+                kwargs:
+                    instruments: "{{ UNIVERSE }}"
+                    start_time: 2015-01-03
+                    end_time: 2026-08-14
+                    fit_start_time: 2016-01-04
+                    fit_end_time: 2025-09-01
+                    freq: day
+                    lake_root: "{{ LAKE }}"
+                    market: US
+                    label: "Ref($close,-6)/Ref($close,-1)-1"
+                    feature_fields: "$open,$high,$low,$close,$vwap,$volume,{{ SP_FIELDS }}"
+                    infer_processors:
+                        - class: DropAllNaN
+                          kwargs: {}
+                        - class: ProcessInf
+                          kwargs: {}
+                        - class: CSRankNorm
+                          kwargs: {}
+                        - class: ZScoreNorm
+                          kwargs: {}
+                        - class: Fillna
+                          kwargs: {}
+            segments:
+                train: [2016-01-04, 2025-09-01]
+                valid: [2025-09-03, 2026-01-03]
+                test: [2026-01-04, 2026-08-10]
+
+    record:
+        - class: SignalRecord
+          module_path: qlib.workflow.record_temp
+          kwargs: {}
+        - class: SigAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs:
+              ana_long_short: true
+              ann_scaler: 252
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs:
+              config:
+                  strategy:
+                      class: TopkDropoutStrategy
+                      module_path: qlib.contrib.strategy
+                      kwargs:
+                          signal: "<PRED>"
+                          topk: 10
+                          n_drop: 2
+                          only_tradable: true
+                          risk_degree: 0.95
+                  backtest:
+                      start_time: 2026-01-04
+                      end_time: 2026-08-10
+                      account: 1000000
+                      benchmark: SPY
+                      exchange_kwargs:
+                          codes: "{{ UNIVERSE }}"
+                          deal_price: $close
+                          freq: day
+                          open_cost: 0.0005
+                          close_cost: 0.0015
+                          min_cost: 5.0
+              risk_analysis_freq: 1d

workflows/exp22/workflow.yaml

@@ -0,0 +1,97 @@
+# Re-run of experiment 16 with validated family=ta and family=sp lake features.
+{%- set LAKE = TAC_LAKE_DIR %}
+{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
+{%- set FEATURES = "$open,$high,$low,$close,$vwap,$volume,sma_5,sma_20,ema_12,ema_26,rsi_14,macd,macd_signal,macd_hist,bb_upper,bb_middle,bb_lower,atr_14,adx_14,sp_ret,sp_ou_half_life,sp_ou_revert,sp_ou_zscore,sp_hmm_p_regime1,sp_hmm_state,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_down,sp_max_move,sp_max_up,sp_rv1,sp_rv5,sp_rv22,sp_rv_ac1,sp_rv_cv_22,sp_vol_ratio_1_22,sp_vol_ratio_5_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_rskew_5,sp_rskew_22,sp_rkurt_5,sp_rkurt_22,sp_dsv_1,sp_dsv_5,sp_dsv_22,sp_dsv_ratio_1,sp_dsv_ratio_5,sp_dsv_ratio_22,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead,sp_sig_level2_lead_lag_5,sp_sig_level2_lag_lead_5" %}
+
+qlib_init:
+    provider_uri: "{{ LAKE }}"
+    region: us
+    expression_cache: null
+    dataset_cache: null
+    calendar_provider:
+        class: tac_qlib.data.providers.LakeCalendarProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US }
+    instrument_provider:
+        class: tac_qlib.data.providers.LakeInstrumentProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
+    feature_provider:
+        class: tac_qlib.data.providers.LakeFeatureProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US }
+    exp_manager:
+        class: MLflowExpManager
+        module_path: qlib.workflow.expm
+        kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-exp16-db-ta-sp" }
+
+task:
+    model:
+        class: RankICEnsembleLGBModel
+        module_path: tac_qlib.contrib.model.rank_ensemble
+        kwargs:
+            loss: mse
+            learning_rate: 0.02
+            num_leaves: 31
+            n_estimators: 3000
+            num_boost_round: 3000
+            early_stopping_rounds: 200
+            min_data_in_leaf: 20
+            lambda_l2: 0.5
+            colsample_bytree: 0.8
+            subsample: 0.8
+            subsample_freq: 1
+            reg_alpha: 0.1
+            reg_lambda: 1.0
+            seeds: "42,7,2026,99,123"
+
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: TACHandler
+                module_path: tac_qlib.contrib.data.handler
+                kwargs:
+                    instruments: "{{ UNIVERSE }}"
+                    start_time: 2015-01-03
+                    end_time: 2026-08-10
+                    fit_start_time: 2016-01-04
+                    fit_end_time: 2025-09-01
+                    freq: day
+                    lake_root: "{{ LAKE }}"
+                    market: US
+                    label: "Ref($close,-6)/Ref($close,-1)-1"
+                    feature_fields: "{{ FEATURES }}"
+                    infer_processors:
+                        - { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
+                        - { class: ProcessInf, kwargs: {} }
+                        - { class: CSRankNorm, kwargs: {} }
+                        - { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
+                        - { class: Fillna, kwargs: {} }
+            segments:
+                train: [2016-01-04, 2025-09-01]
+                valid: [2025-09-03, 2026-01-03]
+                test: [2026-01-04, 2026-08-10]
+
+    record:
+        - { class: SignalRecord, module_path: qlib.workflow.record_temp, kwargs: {} }
+        - { class: SigAnaRecord, module_path: qlib.workflow.record_temp, kwargs: { ana_long_short: true, ann_scaler: 252 } }
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs:
+              config:
+                  strategy:
+                      class: TopkDropoutStrategy
+                      module_path: qlib.contrib.strategy
+                      kwargs: { signal: "<PRED>", topk: 10, n_drop: 2, only_tradable: true, risk_degree: 0.95 }
+                  backtest:
+                      start_time: 2026-01-04
+                      end_time: 2026-08-10
+                      account: 1000000
+                      benchmark: SPY
+                      exchange_kwargs:
+                          codes: "{{ UNIVERSE }}"
+                          deal_price: $close
+                          freq: day
+                          open_cost: 0.0005
+                          close_cost: 0.0015
+                          min_cost: 5.0
+              risk_analysis_freq: 1d

workflows/exp23/workflow.yaml

@@ -0,0 +1,97 @@
+# General stochastic-process feature ablation: no TA, HMM, or OU fields.
+{%- set LAKE = TAC_LAKE_DIR %}
+{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
+{%- set FEATURES = "$open,$high,$low,$close,$vwap,$volume,sp_ret,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_down,sp_max_move,sp_max_up,sp_rv1,sp_rv5,sp_rv22,sp_rv_ac1,sp_rv_cv_22,sp_vol_ratio_1_22,sp_vol_ratio_5_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_rskew_5,sp_rskew_22,sp_rkurt_5,sp_rkurt_22,sp_dsv_1,sp_dsv_5,sp_dsv_22,sp_dsv_ratio_1,sp_dsv_ratio_5,sp_dsv_ratio_22,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead,sp_sig_level2_lead_lag_5,sp_sig_level2_lag_lead_5" %}
+
+qlib_init:
+    provider_uri: "{{ LAKE }}"
+    region: us
+    expression_cache: null
+    dataset_cache: null
+    calendar_provider:
+        class: tac_qlib.data.providers.LakeCalendarProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US }
+    instrument_provider:
+        class: tac_qlib.data.providers.LakeInstrumentProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
+    feature_provider:
+        class: tac_qlib.data.providers.LakeFeatureProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US }
+    exp_manager:
+        class: MLflowExpManager
+        module_path: qlib.workflow.expm
+        kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-exp22-stochastic-general" }
+
+task:
+    model:
+        class: RankICEnsembleLGBModel
+        module_path: tac_qlib.contrib.model.rank_ensemble
+        kwargs:
+            loss: mse
+            learning_rate: 0.02
+            num_leaves: 31
+            n_estimators: 3000
+            num_boost_round: 3000
+            early_stopping_rounds: 200
+            min_data_in_leaf: 20
+            lambda_l2: 0.5
+            colsample_bytree: 0.8
+            subsample: 0.8
+            subsample_freq: 1
+            reg_alpha: 0.1
+            reg_lambda: 1.0
+            seeds: "42,7,2026,99,123"
+
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: TACHandler
+                module_path: tac_qlib.contrib.data.handler
+                kwargs:
+                    instruments: "{{ UNIVERSE }}"
+                    start_time: 2015-01-03
+                    end_time: 2026-08-10
+                    fit_start_time: 2016-01-04
+                    fit_end_time: 2025-09-01
+                    freq: day
+                    lake_root: "{{ LAKE }}"
+                    market: US
+                    label: "Ref($close,-6)/Ref($close,-1)-1"
+                    feature_fields: "{{ FEATURES }}"
+                    infer_processors:
+                        - { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
+                        - { class: ProcessInf, kwargs: {} }
+                        - { class: CSRankNorm, kwargs: {} }
+                        - { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
+                        - { class: Fillna, kwargs: {} }
+            segments:
+                train: [2016-01-04, 2025-09-01]
+                valid: [2025-09-03, 2026-01-03]
+                test: [2026-01-04, 2026-08-10]
+
+    record:
+        - { class: SignalRecord, module_path: qlib.workflow.record_temp, kwargs: {} }
+        - { class: SigAnaRecord, module_path: qlib.workflow.record_temp, kwargs: { ana_long_short: true, ann_scaler: 252 } }
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs:
+              config:
+                  strategy:
+                      class: TopkDropoutStrategy
+                      module_path: qlib.contrib.strategy
+                      kwargs: { signal: "<PRED>", topk: 10, n_drop: 2, only_tradable: true, risk_degree: 0.95 }
+                  backtest:
+                      start_time: 2026-01-04
+                      end_time: 2026-08-10
+                      account: 1000000
+                      benchmark: SPY
+                      exchange_kwargs:
+                          codes: "{{ UNIVERSE }}"
+                          deal_price: $close
+                          freq: day
+                          open_cost: 0.0005
+                          close_cost: 0.0015
+                          min_cost: 5.0
+              risk_analysis_freq: 1d

workflows/exp24/workflow.yaml

@@ -0,0 +1,97 @@
+# Exact compact stochastic feature set requested for a new run in MLflow exp 25.
+{%- set LAKE = TAC_LAKE_DIR %}
+{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
+{%- set FEATURES = "$open,$high,$low,$close,$vwap,$volume,sp_ret,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_move,sp_rv1,sp_rv5,sp_rv22,sp_vol_ratio_5_22,sp_vol_ratio_1_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead" %}
+
+qlib_init:
+    provider_uri: "{{ LAKE }}"
+    region: us
+    expression_cache: null
+    dataset_cache: null
+    calendar_provider:
+        class: tac_qlib.data.providers.LakeCalendarProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US }
+    instrument_provider:
+        class: tac_qlib.data.providers.LakeInstrumentProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
+    feature_provider:
+        class: tac_qlib.data.providers.LakeFeatureProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US }
+    exp_manager:
+        class: MLflowExpManager
+        module_path: qlib.workflow.expm
+        kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-exp22-stochastic-general" }
+
+task:
+    model:
+        class: RankICEnsembleLGBModel
+        module_path: tac_qlib.contrib.model.rank_ensemble
+        kwargs:
+            loss: mse
+            learning_rate: 0.02
+            num_leaves: 31
+            n_estimators: 3000
+            num_boost_round: 3000
+            early_stopping_rounds: 200
+            min_data_in_leaf: 20
+            lambda_l2: 0.5
+            colsample_bytree: 0.8
+            subsample: 0.8
+            subsample_freq: 1
+            reg_alpha: 0.1
+            reg_lambda: 1.0
+            seeds: "42,7,2026,99,123"
+
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: TACHandler
+                module_path: tac_qlib.contrib.data.handler
+                kwargs:
+                    instruments: "{{ UNIVERSE }}"
+                    start_time: 2015-01-03
+                    end_time: 2026-08-10
+                    fit_start_time: 2016-01-04
+                    fit_end_time: 2025-09-01
+                    freq: day
+                    lake_root: "{{ LAKE }}"
+                    market: US
+                    label: "Ref($close,-6)/Ref($close,-1)-1"
+                    feature_fields: "{{ FEATURES }}"
+                    infer_processors:
+                        - { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
+                        - { class: ProcessInf, kwargs: {} }
+                        - { class: CSRankNorm, kwargs: {} }
+                        - { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
+                        - { class: Fillna, kwargs: {} }
+            segments:
+                train: [2016-01-04, 2025-09-01]
+                valid: [2025-09-03, 2026-01-03]
+                test: [2026-01-04, 2026-08-10]
+
+    record:
+        - { class: SignalRecord, module_path: qlib.workflow.record_temp, kwargs: {} }
+        - { class: SigAnaRecord, module_path: qlib.workflow.record_temp, kwargs: { ana_long_short: true, ann_scaler: 252 } }
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs:
+              config:
+                  strategy:
+                      class: TopkDropoutStrategy
+                      module_path: qlib.contrib.strategy
+                      kwargs: { signal: "<PRED>", topk: 10, n_drop: 2, only_tradable: true, risk_degree: 0.95 }
+                  backtest:
+                      start_time: 2026-01-04
+                      end_time: 2026-08-10
+                      account: 1000000
+                      benchmark: SPY
+                      exchange_kwargs:
+                          codes: "{{ UNIVERSE }}"
+                          deal_price: $close
+                          freq: day
+                          open_cost: 0.0005
+                          close_cost: 0.0015
+                          min_cost: 5.0
+              risk_analysis_freq: 1d

workflows/exp26/workflow.yaml

@@ -0,0 +1,98 @@
+# Compact stochastic feature set with reduced turnover: n_drop=1 instead of 2.
+# Same setup as exp24 (compact baseline) but replacing the TopkDropout n_drop 2 with 1.
+{%- set LAKE = TAC_LAKE_DIR %}
+{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
+{%- set FEATURES = "$open,$high,$low,$close,$vwap,$volume,sp_ret,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_move,sp_rv1,sp_rv5,sp_rv22,sp_vol_ratio_5_22,sp_vol_ratio_1_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead" %}
+
+qlib_init:
+    provider_uri: "{{ LAKE }}"
+    region: us
+    expression_cache: null
+    dataset_cache: null
+    calendar_provider:
+        class: tac_qlib.data.providers.LakeCalendarProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US }
+    instrument_provider:
+        class: tac_qlib.data.providers.LakeInstrumentProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
+    feature_provider:
+        class: tac_qlib.data.providers.LakeFeatureProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US }
+    exp_manager:
+        class: MLflowExpManager
+        module_path: qlib.workflow.expm
+        kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-exp22-stochastic-general" }
+
+task:
+    model:
+        class: RankICEnsembleLGBModel
+        module_path: tac_qlib.contrib.model.rank_ensemble
+        kwargs:
+            loss: mse
+            learning_rate: 0.02
+            num_leaves: 31
+            n_estimators: 3000
+            num_boost_round: 3000
+            early_stopping_rounds: 200
+            min_data_in_leaf: 20
+            lambda_l2: 0.5
+            colsample_bytree: 0.8
+            subsample: 0.8
+            subsample_freq: 1
+            reg_alpha: 0.1
+            reg_lambda: 1.0
+            seeds: "42,7,2026,99,123"
+
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: TACHandler
+                module_path: tac_qlib.contrib.data.handler
+                kwargs:
+                    instruments: "{{ UNIVERSE }}"
+                    start_time: 2015-01-03
+                    end_time: 2026-08-10
+                    fit_start_time: 2016-01-04
+                    fit_end_time: 2025-09-01
+                    freq: day
+                    lake_root: "{{ LAKE }}"
+                    market: US
+                    label: "Ref($close,-6)/Ref($close,-1)-1"
+                    feature_fields: "{{ FEATURES }}"
+                    infer_processors:
+                        - { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
+                        - { class: ProcessInf, kwargs: {} }
+                        - { class: CSRankNorm, kwargs: {} }
+                        - { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
+                        - { class: Fillna, kwargs: {} }
+            segments:
+                train: [2016-01-04, 2025-09-01]
+                valid: [2025-09-03, 2026-01-03]
+                test: [2026-01-04, 2026-08-10]
+
+    record:
+        - { class: SignalRecord, module_path: qlib.workflow.record_temp, kwargs: {} }
+        - { class: SigAnaRecord, module_path: qlib.workflow.record_temp, kwargs: { ana_long_short: true, ann_scaler: 252 } }
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs:
+              config:
+                  strategy:
+                      class: TopkDropoutStrategy
+                      module_path: qlib.contrib.strategy
+                      kwargs: { signal: "<PRED>", topk: 10, n_drop: 1, only_tradable: true, risk_degree: 0.95 }
+                  backtest:
+                      start_time: 2026-01-04
+                      end_time: 2026-08-10
+                      account: 1000000
+                      benchmark: SPY
+                      exchange_kwargs:
+                          codes: "{{ UNIVERSE }}"
+                          deal_price: $close
+                          freq: day
+                          open_cost: 0.0005
+                          close_cost: 0.0015
+                          min_cost: 5.0
+              risk_analysis_freq: 1d

workflows/exp30/workflow.yaml

@@ -0,0 +1,99 @@
+# M2 isolation run: base compact set + risk-adjusted drift sp_sharpe_22.
+# Exact copy of exp26 (reference: expId=25 run=21afc6afdb674a399b59dd76c97628ce)
+# except feature_fields. 5-seed ensemble.
+{%- set LAKE = TAC_LAKE_DIR %}
+{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
+{%- set FEATURES = "$open,$high,$low,$close,$vwap,$volume,sp_ret,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_move,sp_rv1,sp_rv5,sp_rv22,sp_vol_ratio_5_22,sp_vol_ratio_1_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead,sp_sharpe_22" %}
+
+qlib_init:
+    provider_uri: "{{ LAKE }}"
+    region: us
+    expression_cache: null
+    dataset_cache: null
+    calendar_provider:
+        class: tac_qlib.data.providers.LakeCalendarProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US }
+    instrument_provider:
+        class: tac_qlib.data.providers.LakeInstrumentProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
+    feature_provider:
+        class: tac_qlib.data.providers.LakeFeatureProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US }
+    exp_manager:
+        class: MLflowExpManager
+        module_path: qlib.workflow.expm
+        kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-exp30-m2-sharpe" }
+
+task:
+    model:
+        class: RankICEnsembleLGBModel
+        module_path: tac_qlib.contrib.model.rank_ensemble
+        kwargs:
+            loss: mse
+            learning_rate: 0.02
+            num_leaves: 31
+            n_estimators: 3000
+            num_boost_round: 3000
+            early_stopping_rounds: 200
+            min_data_in_leaf: 20
+            lambda_l2: 0.5
+            colsample_bytree: 0.8
+            subsample: 0.8
+            subsample_freq: 1
+            reg_alpha: 0.1
+            reg_lambda: 1.0
+            seeds: "42,7,2026,99,123"
+
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: TACHandler
+                module_path: tac_qlib.contrib.data.handler
+                kwargs:
+                    instruments: "{{ UNIVERSE }}"
+                    start_time: 2015-01-03
+                    end_time: 2026-08-10
+                    fit_start_time: 2016-01-04
+                    fit_end_time: 2025-09-01
+                    freq: day
+                    lake_root: "{{ LAKE }}"
+                    market: US
+                    label: "Ref($close,-6)/Ref($close,-1)-1"
+                    feature_fields: "{{ FEATURES }}"
+                    infer_processors:
+                        - { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
+                        - { class: ProcessInf, kwargs: {} }
+                        - { class: CSRankNorm, kwargs: {} }
+                        - { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
+                        - { class: Fillna, kwargs: {} }
+            segments:
+                train: [2016-01-04, 2025-09-01]
+                valid: [2025-09-03, 2026-01-03]
+                test: [2026-01-04, 2026-08-10]
+
+    record:
+        - { class: SignalRecord, module_path: qlib.workflow.record_temp, kwargs: {} }
+        - { class: SigAnaRecord, module_path: qlib.workflow.record_temp, kwargs: { ana_long_short: true, ann_scaler: 252 } }
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs:
+              config:
+                  strategy:
+                      class: TopkDropoutStrategy
+                      module_path: qlib.contrib.strategy
+                      kwargs: { signal: "<PRED>", topk: 10, n_drop: 1, only_tradable: true, risk_degree: 0.95 }
+                  backtest:
+                      start_time: 2026-01-04
+                      end_time: 2026-08-10
+                      account: 1000000
+                      benchmark: SPY
+                      exchange_kwargs:
+                          codes: "{{ UNIVERSE }}"
+                          deal_price: $close
+                          freq: day
+                          open_cost: 0.0005
+                          close_cost: 0.0015
+                          min_cost: 5.0
+              risk_analysis_freq: 1d

workflows/exp31/workflow.yaml

@@ -0,0 +1,99 @@
+# M3 isolation run: base compact set + GARCH(1,1) vol-regime trio.
+# Exact copy of exp26 (reference: expId=25 run=21afc6afdb674a399b59dd76c97628ce)
+# except feature_fields. 5-seed ensemble.
+{%- set LAKE = TAC_LAKE_DIR %}
+{%- set UNIVERSE = "SPY,QQQ,DIA,IWM,MDY,VTI,VOO,VEA,VWO,VT,EFA,EEM,TLT,IEF,SHY,AGG,BND,LQD,HYG,JNK,EMB,GLD,SLV,USO,UNG,DBA,DBC,XLK,XLF,XLE,XLV,XLI,XLY,XLP,XLU,XLB,XLRE,ARKK,SMH,SOXX,IBB,XBI,ITA,XAR,ICLN,TAN,FDN,IGV,ESPO,REM" %}
+{%- set FEATURES = "$open,$high,$low,$close,$vwap,$volume,sp_ret,sp_jump_ratio,sp_jump_flag,sp_jump_tail,sp_max_move,sp_rv1,sp_rv5,sp_rv22,sp_vol_ratio_5_22,sp_vol_ratio_1_22,sp_trend_slope_5,sp_trend_slope_20,sp_trend_slope_60,sp_logp,sp_hurst_exponent,sp_sig_level1_lead,sp_sig_level1_lag,sp_sig_level2_lead_lag,sp_sig_level2_lag_lead,sp_garch_cond_var,sp_garch_persistence,sp_garch_std_resid" %}
+
+qlib_init:
+    provider_uri: "{{ LAKE }}"
+    region: us
+    expression_cache: null
+    dataset_cache: null
+    calendar_provider:
+        class: tac_qlib.data.providers.LakeCalendarProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US }
+    instrument_provider:
+        class: tac_qlib.data.providers.LakeInstrumentProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US, markets: {} }
+    feature_provider:
+        class: tac_qlib.data.providers.LakeFeatureProvider
+        kwargs: { lake_root: "{{ LAKE }}", market: US }
+    exp_manager:
+        class: MLflowExpManager
+        module_path: qlib.workflow.expm
+        kwargs: { uri: "sqlite:///mlruns.db", default_exp_name: "tac-rd-exp31-m3-garch" }
+
+task:
+    model:
+        class: RankICEnsembleLGBModel
+        module_path: tac_qlib.contrib.model.rank_ensemble
+        kwargs:
+            loss: mse
+            learning_rate: 0.02
+            num_leaves: 31
+            n_estimators: 3000
+            num_boost_round: 3000
+            early_stopping_rounds: 200
+            min_data_in_leaf: 20
+            lambda_l2: 0.5
+            colsample_bytree: 0.8
+            subsample: 0.8
+            subsample_freq: 1
+            reg_alpha: 0.1
+            reg_lambda: 1.0
+            seeds: "42,7,2026,99,123"
+
+    dataset:
+        class: DatasetH
+        module_path: qlib.data.dataset
+        kwargs:
+            handler:
+                class: TACHandler
+                module_path: tac_qlib.contrib.data.handler
+                kwargs:
+                    instruments: "{{ UNIVERSE }}"
+                    start_time: 2015-01-03
+                    end_time: 2026-08-10
+                    fit_start_time: 2016-01-04
+                    fit_end_time: 2025-09-01
+                    freq: day
+                    lake_root: "{{ LAKE }}"
+                    market: US
+                    label: "Ref($close,-6)/Ref($close,-1)-1"
+                    feature_fields: "{{ FEATURES }}"
+                    infer_processors:
+                        - { class: DropAllNaN, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
+                        - { class: ProcessInf, kwargs: {} }
+                        - { class: CSRankNorm, kwargs: {} }
+                        - { class: ZScoreNorm, kwargs: { fit_start_time: "2016-01-04", fit_end_time: "2025-09-01" } }
+                        - { class: Fillna, kwargs: {} }
+            segments:
+                train: [2016-01-04, 2025-09-01]
+                valid: [2025-09-03, 2026-01-03]
+                test: [2026-01-04, 2026-08-10]
+
+    record:
+        - { class: SignalRecord, module_path: qlib.workflow.record_temp, kwargs: {} }
+        - { class: SigAnaRecord, module_path: qlib.workflow.record_temp, kwargs: { ana_long_short: true, ann_scaler: 252 } }
+        - class: PortAnaRecord
+          module_path: qlib.workflow.record_temp
+          kwargs:
+              config:
+                  strategy:
+                      class: TopkDropoutStrategy
+                      module_path: qlib.contrib.strategy
+                      kwargs: { signal: "<PRED>", topk: 10, n_drop: 1, only_tradable: true, risk_degree: 0.95 }
+                  backtest:
+                      start_time: 2026-01-04
+                      end_time: 2026-08-10
+                      account: 1000000
+                      benchmark: SPY
+                      exchange_kwargs:
+                          codes: "{{ UNIVERSE }}"
+                          deal_price: $close
+                          freq: day
+                          open_cost: 0.0005
+                          close_cost: 0.0015
+                          min_cost: 5.0
+              risk_analysis_freq: 1d