Validation Dashboard

This page tracks the maintained public-data validation snapshot for ml-quant-trading. It is designed as a reproducibility dashboard, not a live trading scoreboard.

Latest Snapshot

Field	Value
Snapshot date	2026-07-29
Primary report	AkShare CSI 300 Daily 213-Factor Validation
Source	AkShare public A-share data
Universe	Current CSI 300 constituents
Date range	2021-01-04 to 2024-12-31
Panel shape	969 dates x 300 stocks
Factor set	Full registered factor library, 213 factors
Main cadence	Daily evaluation and daily cost accounting
Effective cost	7 bps

Headline Results

This chart is a cost stress test, not a time-series equity curve. The downward slope shows how final equity changes as the assumed transaction cost increases.

Strategy	Annual return	Sharpe	Max drawdown	Turnover	Cost drag	Final equity
equal_weight_daily	17.75%	0.882	25.76%	0.0010	0.13%	1.8744
factor_mean_daily	15.80%	0.701	32.51%	0.3627	49.16%	1.7579
factor_mean_buffered_daily	22.20%	0.919	27.76%	0.1397	18.94%	2.1616

What The Snapshot Shows

• The 213-factor mean signal has positive gross evidence: gross annual return is 31.57% versus 17.79% for equal weight.
• The naive daily factor portfolio loses much of that edge to turnover and costs, which is the expected failure mode for rough daily rank selection.
• The buffered daily factor rule still evaluates scores daily, but avoids replacing a position until it falls out of a wider exit band. In this run that reduces turnover enough for the factor portfolio to beat equal weight after costs.
• The useful takeaway is framework-level: factor construction has to be paired with cost-aware portfolio construction before public-data backtests are interpreted as alpha evidence.

Caveats

• This is not an exact paper reproduction. The paper data is not redistributed, and this public run uses current CSI 300 membership resolved at runtime.
• The public AkShare path does not include industry, size, liquidity, beta, or production execution metadata.
• Results can change when AkShare endpoints revise data or when the current CSI 300 constituent list changes.
• The dashboard is updated manually for maintained validation snapshots. A scheduled refresh should be treated as monitoring, not as a source of trading claims.

Acknowledgements

• Thanks to @redamancy231-create for contributing the AkShare zero-auth A-share data loader in PR #42. That data path made the CSI 300 public validation workflow possible without account registration.
• Thanks to the AkShare project and its maintainers for providing public Python access to A-share market data. Public endpoints can change, so this dashboard treats AkShare as a reproducibility aid rather than a production data vendor.

Reproduce

python scripts/akshare_csi300_full_pipeline.py \
  --factor-set all \
  --max-tickers 300 \
  --start 2021-01-01 \
  --end 2025-01-01 \
  --rebalance-step 1 \
  --cost-grid-bps 0,7,15,30