Advanced Financial Ml
📖 技能介紹
name: advanced-financial-ml description: |- MlFinLab 提供金融機器學習高階實現，包括資訊驅動 bars（tick/volume/dollar/imbalance bars）、分數階差分和回測工具，支援多市場因子研究與策略驗證。 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-115" compiled_at: "2026-04-22T13:00:55.567727+00:00" capability_markets: "multi-market" capability_activities: "backtesting, factor-research" sop_version: "crystal-compilation-v6.1"
金融機器學習 (advanced-financial-ml)
MlFinLab 提供金融機器學習高階實現，包括資訊驅動 bars（tick/volume/dollar/imbalance bars）、分數階差分和回測工具，支援多市場因子研究與策略驗證。
Pipeline
data_collection -> data_storage -> factor_computation -> target_selection -> trading_execution -> visualization
Top Use Cases (1 total)
Sphinx Documentation Configuration (UC-101)
How to configure and generate project documentation using Sphinx autodoc and extensions for API documentation coverage Triggers: documentation, sphinx, autodoc
Execute trigger: When user intent matches intent_router.uc_entries[].positive_terms AND user uses action verb (run/execute/跑/執行/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
Top Anti-Patterns (25 total)
AP-ZVT-183: 除權因子為 inf/NaN 時直接參與乘法導致復權靜默失敗AP-ZVT-179: 第三方資料介面超限後異常被吞噬，資料靜默缺失AP-ZVT-183B: HFQ（後復權）與 QFQ（前復權）K 線表使用錯誤導致因子計算漂移
All 25 anti-patterns: references/ANTI_PATTERNS.md
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Evidence Quality Notice
[QUALITY NOTICE] This crystal was compiled from blueprint finance-bp-115. Evidence verify ratio = 43.7% and audit fail total = 34. 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 | V6+ 全量權威 (source-of-truth) | 有行為/決策爭議時必讀 |
| references/ANTI_PATTERNS.md | 25 條跨專案反模式 | 開始實現前 |
| references/WISDOM.md | 跨專案精華借鑑 | 架構決策時 |
| references/CONSTRAINTS.md | domain + fatal 約束 | 規則衝突時 |
| references/USE_CASES.md | 全量 KUC-* 業務場景 | 需要完整示例時 |
| references/LOCKS.md | SL-* + preconditions + hints | 生成回測/交易程式碼前 |
| references/COMPONENTS.md | AST 元件地圖（按 module 拆分） | 查 API 時 |
Compiled by Doramagic crystal-compilation-v6.1 from finance-bp-115 blueprint at 2026-04-22T13:00:55.567727+00:00.
See human_summary.md for non-technical overview.
🤖 AI 評測
這個 Skill 內容豐富，涵蓋了量化投資回測的各種坑和約束規則，適合有一定經驗的開發者使用。優點是文件詳細、約束條件多，能幫助避免常見錯誤；不足是證據質量一般，部分內容可能過時或不夠準確，且只有1個示例可參考。整體質量中等偏上，適合做參考但不能完全依賴。
