ml4t-book-notebooks
I help you build quant strategies on A-share with ZVT — from data fetch to backtest, one flow. Just tell me what you want; I'll write the code, you don't have to dig docs. (Heads up: ZVT natively supports A-share, HK, and crypto. US stocks — stockus_nasdaq_AAPL — are half-baked; don't bother for serious work.)
Pipeline
data_collection -> data_storage -> factor_computation -> target_selection -> trading_execution -> visualization
Top Use Cases (0 total)
Install
# One-time setup before first use
bash scripts/install.sh
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
Top Anti-Patterns (15 total)
AP-TIME-SERIES-ML-001: TimeSeries values array dimensionality mismatchAP-TIME-SERIES-ML-002: Non-floating-point dtype in TimeSeries valuesAP-TIME-SERIES-ML-003: Irregular or non-monotonic time index
All 15 anti-patterns: references/ANTI_PATTERNS.md
Evidence Quality Notice
[QUALITY NOTICE] This crystal was compiled from blueprint finance-bp-121. Evidence verify ratio = 31.8% and audit fail total = 35. 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+ 全量权威 (source-of-truth) |
有行为/决策争议时必读 |
| references/ANTI_PATTERNS.md |
15 条跨项目反模式 |
开始实现前 |
| references/WISDOM.md |
跨项目精华借鉴 |
架构决策时 |
| references/CONSTRAINTS.md |
domain + fatal 约束 |
规则冲突时 |
| references/USE_CASES.md |
全量 KUC-* 业务场景 |
需要完整示例时 |
| references/LOCKS.md |
SL-* + preconditions + hints |
生成回测/交易代码前 |
| 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-121 blueprint at 2026-04-22T13:00:59.543591+00:00.
See human_summary.md for non-technical overview.
1---2name: ml4t-book-notebooks3description: 基于《Machine Learning for Trading》第二版配套 notebooks 实现量化交易策略开发与回测，涵盖多市场金融数据的时间序列机器学习分析。触发场景：(1) 用户要复现书中的机器学习交易策略代码；(2) 用户要将 ML 模型用于 A 股或美股市场预测；(3) 用户要获取金融数据并训练自己的量化模型。4license: Proprietary. See LICENSE.txt in project root.5---6# ml4t-book-notebooks
7
8> I help you build quant strategies on A-share with ZVT — from data fetch to backtest, one flow. Just tell me what you want; I'll write the code, you don't have to dig docs. (Heads up: ZVT natively supports A-share, HK, and crypto. US stocks — stockus_nasdaq_AAPL — are half-baked; don't bother for serious work.)
9
10## Pipeline
11
12`data_collection -> data_storage -> factor_computation -> target_selection -> trading_execution -> visualization`
13
14## Top Use Cases (0 total)
15
16## Install
17
18```bash
19# One-time setup before first use
20bash scripts/install.sh
21```
22
23**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)`
24
25## What I'll Ask You
26
27- Target market: A-share (default), HK, or crypto? (US stocks in ZVT are half-baked — stockus_nasdaq_AAPL exists but coverage is thin)
28- Data source / provider: eastmoney (free, no account), joinquant (account+paid), baostock (free, good history), akshare, or qmt (broker)?
29- Strategy type: MACD golden-cross, MA crossover, volume breakout, fundamental screen, or custom factor?
30- Time range: start_timestamp and end_timestamp for backtest period
31- Target entity IDs: specific stocks (stock_sh_600000) or index components (SZ1000)?
32
33## Semantic Locks (Fatal)
34
35| ID | Rule | On Violation |
36|---|---|---|
37| `SL-01` | Execute sell orders before buy orders in every trading cycle | halt |
38| `SL-02` | Trading signals MUST use next-bar execution (no look-ahead) | halt |
39| `SL-03` | Entity IDs MUST follow format entity_type_exchange_code | halt |
40| `SL-04` | DataFrame index MUST be MultiIndex (entity_id, timestamp) | halt |
41| `SL-05` | TradingSignal MUST have EXACTLY ONE of: position_pct, order_money, order_amount | halt |
42| `SL-06` | filter_result column semantics: True=BUY, False=SELL, None/NaN=NO ACTION | halt |
43| `SL-07` | Transformer MUST run BEFORE Accumulator in factor pipeline | halt |
44| `SL-08` | MACD parameters locked: fast=12, slow=26, signal=9 | halt |
45
46Full lock definitions: [references/LOCKS.md](references/LOCKS.md)
47
48## Top Anti-Patterns (15 total)
49
50- **`AP-TIME-SERIES-ML-001`**: TimeSeries values array dimensionality mismatch
51- **`AP-TIME-SERIES-ML-002`**: Non-floating-point dtype in TimeSeries values
52- **`AP-TIME-SERIES-ML-003`**: Irregular or non-monotonic time index
53
54All 15 anti-patterns: [references/ANTI_PATTERNS.md](references/ANTI_PATTERNS.md)
55
56## Evidence Quality Notice
57
58> [QUALITY NOTICE] This crystal was compiled from blueprint finance-bp-121. Evidence verify ratio = 31.8% and audit fail total = 35. Generated results may have uncaptured requirement gaps. Verify critical decisions against source files (LATEST.yaml / LATEST.jsonl).
59
60## Reference Files
61
62| File | Contents | When to Load |
63|---|---|---|
64| [references/seed.yaml](references/seed.yaml) | V6+ 全量权威 (source-of-truth) | 有行为/决策争议时必读 |
65| [references/ANTI_PATTERNS.md](references/ANTI_PATTERNS.md) | 15 条跨项目反模式 | 开始实现前 |
66| [references/WISDOM.md](references/WISDOM.md) | 跨项目精华借鉴 | 架构决策时 |
67| [references/CONSTRAINTS.md](references/CONSTRAINTS.md) | domain + fatal 约束 | 规则冲突时 |
68| [references/USE_CASES.md](references/USE_CASES.md) | 全量 KUC-* 业务场景 | 需要完整示例时 |
69| [references/LOCKS.md](references/LOCKS.md) | SL-* + preconditions + hints | 生成回测/交易代码前 |
70| [references/COMPONENTS.md](references/COMPONENTS.md) | AST 组件地图（按 module 拆分）| 查 API 时 |
71
72---
73
74*Compiled by Doramagic crystal-compilation-v6.1 from `finance-bp-121` blueprint at 2026-04-22T13:00:59.543591+00:00.*
75*See [human_summary.md](human_summary.md) for non-technical overview.*
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