Pyfolio Performance

---
name: pyfolio-performance
description: |-
  基于 pyfolio-reloaded 的投资组合绩效分析：一键生成 tear sheet（夏普、回撤、
  年化、换手、个股往返交易、行业归因）。适用于回测后的标准化报告。
license: Proprietary. See LICENSE.txt in project root.
compatibility: Designed for Doramagic-host ecosystem (Claude Code / openclaw / Cursor). Requires Python 3.12+ with uv package manager.
metadata:
  version: "v6.1"
  blueprint_id: "finance-bp-106"
  compiled_at: "2026-04-22T13:00:50.454770+00:00"
  capability_markets: "multi-market"
  capability_activities: "backtesting, factor-research"
  sop_version: "crystal-compilation-v6.1"
---
# Pyfolio 业绩分析 (pyfolio-performance)

> 给你的回测结果一键出 tear sheet——夏普、回撤、年化、换手、行业归因 全套图表，不用自己画。

## Pipeline

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

## Top Use Cases (7 total)

### Sphinx Documentation Deployment (`UC-101`)
Automates the build and deployment of Sphinx-generated documentation for the pyfolio library, ensuring consistent documentation deployment across envi
**Triggers**: documentation, deploy, sphinx

### Sphinx Documentation Configuration (`UC-102`)
Configures Sphinx documentation build settings including theme, extensions, and project metadata for generating pyfolio library documentation
**Triggers**: documentation, sphinx config, configuration

### Round Trip Trade Analysis with Tear Sheets (`UC-103`)
Analyzes individual round trip trades (entry/exit) in a portfolio, computing profitability metrics by trade and sector to understand trading efficienc
**Triggers**: round trip, trade analysis, tear sheet

For all **7** use cases, see [references/USE_CASES.md](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)

| ID | Rule | On Violation |
|---|---|---|
| `SL-01` | Execute sell orders before buy orders in every trading cycle | halt |
| `SL-02` | Trading signals MUST use next-bar execution (no look-ahead) | halt |
| `SL-03` | Entity IDs MUST follow format entity_type_exchange_code | halt |
| `SL-04` | DataFrame index MUST be MultiIndex (entity_id, timestamp) | halt |
| `SL-05` | TradingSignal MUST have EXACTLY ONE of: position_pct, order_money, order_amount | halt |
| `SL-06` | filter_result column semantics: True=BUY, False=SELL, None/NaN=NO ACTION | halt |
| `SL-07` | Transformer MUST run BEFORE Accumulator in factor pipeline | halt |
| `SL-08` | MACD parameters locked: fast=12, slow=26, signal=9 | halt |

Full lock definitions: [references/LOCKS.md](references/LOCKS.md)

## Top Anti-Patterns (25 total)

- **`AP-ZVT-183`**: 除权因子为 inf/NaN 时直接参与乘法导致复权静默失败
- **`AP-ZVT-179`**: 第三方数据接口超限后异常被吞噬，数据静默缺失
- **`AP-ZVT-183B`**: HFQ（后复权）与 QFQ（前复权）K 线表使用错误导致因子计算漂移

All 25 anti-patterns: [references/ANTI_PATTERNS.md](references/ANTI_PATTERNS.md)

## Evidence Quality Notice

> [QUALITY NOTICE] This crystal was compiled from blueprint finance-bp-106. Evidence verify ratio = 41.5% and audit fail total = 16. Generated results may have uncaptured requirement gaps. Verify critical decisions against source files (LATEST.yaml / LATEST.jsonl).

## Reference Files

| File | Contents | When to Load |
|---|---|---|
| [references/seed.yaml](references/seed.yaml) | V6+ 全量权威 (source-of-truth) | 有行为/决策争议时必读 |
| [references/ANTI_PATTERNS.md](references/ANTI_PATTERNS.md) | 25 条跨项目反模式 | 开始实现前 |
| [references/WISDOM.md](references/WISDOM.md) | 跨项目精华借鉴 | 架构决策时 |
| [references/CONSTRAINTS.md](references/CONSTRAINTS.md) | domain + fatal 约束 | 规则冲突时 |
| [references/USE_CASES.md](references/USE_CASES.md) | 全量 KUC-* 业务场景 | 需要完整示例时 |
| [references/LOCKS.md](references/LOCKS.md) | SL-* + preconditions + hints | 生成回测/交易代码前 |
| [references/COMPONENTS.md](references/COMPONENTS.md) | AST 组件地图（按 module 拆分）| 查 API 时 |

---

*Compiled by Doramagic crystal-compilation-v6.1 from `finance-bp-106` blueprint at 2026-04-22T13:00:50.454770+00:00.*
*See [human_summary.md](human_summary.md) for non-technical overview.*