portfolio-optimization

投资组合优化 (portfolio-optimization)

提供多策略投资组合优化框架，支持均值-方差、Black-Litterman 和分层风险平价（HRP）算法，内置多种协方差估计方法对比分析。

Pipeline

data_collection -> data_storage -> factor_computation -> target_selection -> trading_execution -> visualization

Top Use Cases (6 total)

Risk Model Comparison Analysis (UC-101)

Compares multiple covariance estimation methods (sample, semicovariance, exponential, Ledoit-Wolf variants, oracle approximating) to evaluate which pr Triggers: risk model comparison, covariance estimation methods, portfolio risk analysis

Basic Mean-Variance Optimization (UC-102)

Constructs a minimum volatility portfolio using mean-variance optimization with CAPM-based expected returns and compares sample covariance vs Ledoit-W Triggers: mean-variance optimization, minimum volatility portfolio, Efficient Frontier

Mean-Variance Optimization with Transaction Costs (UC-103)

Implements advanced mean-variance optimization that accounts for broker transaction costs when rebalancing from an initial portfolio allocation, using Triggers: transaction cost optimization, portfolio rebalancing, semicovariance risk

For all 6 use cases, see references/USE_CASES.md.

Execute trigger: When user intent matches intent_router.uc_entries[].positive_terms AND user uses action verb (run/execute/跑/执行/backtest/fetch/collect)

What I'll Ask You

• Target market: A-share (default), HK, or crypto? (US stocks in ZVT are half-baked — stockus_nasdaq_AAPL exists but coverage is thin)
• Data source / provider: eastmoney (free, no account), joinquant (account+paid), baostock (free, good history), akshare, or qmt (broker)?
• Strategy type: MACD golden-cross, MA crossover, volume breakout, fundamental screen, or custom factor?
• Time range: start_timestamp and end_timestamp for backtest period
• Target entity IDs: specific stocks (stock_sh_600000) or index components (SZ1000)?

Semantic Locks (Fatal)

Full lock definitions: references/LOCKS.md

Top Anti-Patterns (14 total)

• AP-PORTFOLIO-ANALYTICS-001: Division by zero in price ratio calculations corrupts rebalancing
• AP-PORTFOLIO-ANALYTICS-002: Look-ahead bias from unshifted signal generation and position calculations
• AP-PORTFOLIO-ANALYTICS-003: Non-positive-semidefinite covariance matrix breaks CVXPY optimization

All 14 anti-patterns: references/ANTI_PATTERNS.md

Evidence Quality Notice

[QUALITY NOTICE] This crystal was compiled from blueprint finance-bp-093. Evidence verify ratio = 34.6% and audit fail total = 40. Generated results may have uncaptured requirement gaps. Verify critical decisions against source files (LATEST.yaml / LATEST.jsonl).

Reference Files

---

Compiled by Doramagic crystal-compilation-v6.1 from finance-bp-093 blueprint at 2026-04-22T13:00:40.212744+00:00. See human_summary.md for non-technical overview.