fa-quant 1.2.1__py3-none-any.whl

fa_quant-1.2.1.dist-info/METADATA

@@ -0,0 +1,236 @@
+Metadata-Version: 2.5
+Name: fa-quant
+Version: 1.2.1
+Import-Name: financial_agent
+Summary: Risk-managed systematic ETF trading, statistical validation, and financial research
+Project-URL: Homepage, https://github.com/BichengWang/financial-agent
+Project-URL: Repository, https://github.com/BichengWang/financial-agent
+Project-URL: Documentation, https://github.com/BichengWang/financial-agent/tree/main/docs/quant
+Project-URL: Issues, https://github.com/BichengWang/financial-agent/issues
+Project-URL: Changelog, https://github.com/BichengWang/financial-agent/blob/main/CHANGELOG.md
+Author-email: "Bicheng (Kenneth)" <31808103+BichengWang@users.noreply.github.com>
+License-Expression: MIT
+License-File: LICENSE
+Keywords: backtesting,portfolio,reinforcement-learning,risk-management,systematic-trading
+Classifier: Development Status :: 4 - Beta
+Classifier: Intended Audience :: Developers
+Classifier: Operating System :: POSIX
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Requires-Python: >=3.12
+Requires-Dist: gymnasium
+Requires-Dist: numpy<2.0,>=1.24.0
+Requires-Dist: pandas<3,>=2.0
+Requires-Dist: requests<3,>=2.32
+Requires-Dist: yfinance
+Provides-Extra: all
+Requires-Dist: beautifulsoup4; extra == 'all'
+Requires-Dist: ipython; extra == 'all'
+Requires-Dist: keras-nightly; extra == 'all'
+Requires-Dist: matplotlib; extra == 'all'
+Requires-Dist: notebook; extra == 'all'
+Requires-Dist: pyfolio-reloaded; extra == 'all'
+Requires-Dist: scikit-learn; extra == 'all'
+Requires-Dist: seaborn; extra == 'all'
+Requires-Dist: stable-baselines3; extra == 'all'
+Requires-Dist: stockstats; extra == 'all'
+Requires-Dist: tensorflow; extra == 'all'
+Provides-Extra: dev
+Requires-Dist: black>=22.0.0; extra == 'dev'
+Requires-Dist: flake8>=6.0.0; extra == 'dev'
+Requires-Dist: mypy>=1.0.0; extra == 'dev'
+Requires-Dist: pytest-cov; extra == 'dev'
+Requires-Dist: pytest-custom-exit-code; extra == 'dev'
+Requires-Dist: pytest>=7.0.0; extra == 'dev'
+Provides-Extra: dl
+Requires-Dist: ipython; extra == 'dl'
+Requires-Dist: keras-nightly; extra == 'dl'
+Requires-Dist: matplotlib; extra == 'dl'
+Requires-Dist: scikit-learn; extra == 'dl'
+Requires-Dist: seaborn; extra == 'dl'
+Requires-Dist: tensorflow; extra == 'dl'
+Provides-Extra: notebooks
+Requires-Dist: ipython; extra == 'notebooks'
+Requires-Dist: matplotlib; extra == 'notebooks'
+Requires-Dist: notebook; extra == 'notebooks'
+Requires-Dist: seaborn; extra == 'notebooks'
+Provides-Extra: research
+Requires-Dist: openpyxl<4,>=3.1; extra == 'research'
+Provides-Extra: rl
+Requires-Dist: beautifulsoup4; extra == 'rl'
+Requires-Dist: matplotlib; extra == 'rl'
+Requires-Dist: pyfolio-reloaded; extra == 'rl'
+Requires-Dist: scikit-learn; extra == 'rl'
+Requires-Dist: stable-baselines3; extra == 'rl'
+Requires-Dist: stockstats; extra == 'rl'
+Requires-Dist: tensorflow; extra == 'rl'
+Description-Content-Type: text/markdown
+
+# financial-agent
+
+A Python platform for systematic ETF research, cost-aware portfolio backtesting,
+statistical certification, paper trading and explicitly gated Alpaca and IBKR execution.
+It also retains an equity-research harness and separate RL/deep-learning research
+stacks. The platform is **beta**: live performance is unproven, and neither a
+historical gate pass nor paper results guarantee profit.
+
+## Five-minute offline quickstart
+
+Install [uv](https://docs.astral.sh/uv/getting-started/installation/); Python 3.12
+is selected by `.python-version`. From the repository root:
+
+```sh
+uv sync --locked
+uv run fa-quant demo
+uv run fa-quant --help
+```
+
+The demo uses seeded synthetic data with a planted trend. It runs backtest,
+validation/certificate creation, 25 local paper sessions and status without
+network access after dependencies are installed. Its printed numbers demonstrate
+software behavior, not market performance. To keep the artifacts, use a fresh
+state directory:
+
+```sh
+uv run fa-quant demo --sessions 25 --state-dir /tmp/fa-quant-demo-release
+```
+
+Core dependencies include NumPy `<2`, pandas `>=2,<3`, yfinance, Gymnasium and
+requests. Default development tools are installed by `uv sync`; optional `rl`,
+`dl`, `notebooks` and `research` extras add the heavier research stacks. Full
+release verification uses `uv sync --locked --all-extras`.
+
+Once a release is published to PyPI, `pip install fa-quant` installs the
+`fa-quant` command and the `financial_agent` import package. The PyPI project
+`financial-agent` is unrelated. Python 3.12 is the tested version; on 3.13+ the
+NumPy `<2` pin builds NumPy from source. Examples, docs and evidence stay in this
+repository; see [releasing](https://github.com/BichengWang/financial-agent/blob/v1.2.1/docs/releasing.md).
+
+## Real-data research
+
+The example uses SPY, QQQ, IWM, EFA, EEM, TLT, IEF, LQD, GLD, DBC and VNQ,
+weekly next-open fills, whole shares and a 2% cash buffer. Downloads are cached
+under gitignored `var/`. Use the latest completed session as the inclusive end:
+
+```sh
+uv run fa-quant backtest --config examples/quant/paper.toml --end 2026-10-12 --json
+uv run fa-quant validate --config examples/quant/paper.toml --end 2026-10-12 --json
+uv run fa-quant certify --config examples/quant/paper.toml --end 2026-10-12 \
+  --output var/quant-paper/certificate.json
+```
+
+`validate`/`certify` return 2 when any gate fails; failed certificates can be saved
+but cannot authorize live trading. With `--config`, settings come from the TOML;
+standalone strategy/provider/start flags do not override it. See
+[strategy research](https://github.com/BichengWang/financial-agent/blob/v1.2.1/docs/quant/strategy-research.md) for grids and interpretation.
+
+The [committed real-data evidence](https://github.com/BichengWang/financial-agent/blob/v1.2.1/reports/quant/2026-10-default-strategy-evidence.md)
+uses the earliest common ETF date, **2006-02-06 through 2026-10-12**, unchanged
+default costs and the disclosed four-variant trend grid. All four full-period
+default comparisons are shown here:
+
+| Strategy | CAGR | Net Sharpe | Max drawdown | Turnover/year |
+|---|---:|---:|---:|---:|
+| Trend vol target | 5.625% | 0.740 | 16.533% | 14.375× |
+| Dual momentum | 11.100% | 0.754 | 26.397% | 10.550× |
+| SPY buy-and-hold | 11.122% | 0.652 | 54.299% | 0.048× |
+| 60/40 SPY/IEF | 8.212% | 0.785 | 31.979% | 0.206× |
+
+Trend passes all eight historical checks: OOS Sharpe 0.729, DSR 0.996, OOS
+maximum drawdown 17.114%. PBO 0.650 warns that in-sample parameter selection adds
+no reliable value. Single-default dual momentum and 60/40 also pass all eight
+statistical checks; SPY fails the OOS drawdown limit. For a single pre-registered
+variant, CSCV computes absolute OOS loss frequency; PBO and degradation slope
+are not applicable. Warmup/OOS windows differ; read the report for dates, exact
+checks, costs, bootstrap intervals, stress results and data caveats. No parameters
+or thresholds were tuned to pass. Statistical passes do not override execution
+limits: default dual momentum's three slots allocate 33.3% each versus the 30%
+per-name cap, and concentrated SPY/60-40 benchmarks also exceed runtime caps.
+
+The dated equity `research_forecast` strategy also [fails its real-ledger gate](https://github.com/BichengWang/financial-agent/blob/v1.2.1/reports/quant/research-forecast-validation.md):
+there is too little history to support promotion. This is the retained result
+for the LLM research signal, not an implied trading edge.
+
+## Paper trading and live gate
+
+Load Alpaca **paper** keys into the process environment as `APCA_API_KEY_ID` and
+`APCA_API_SECRET_KEY`; keep them out of TOML, git and command history. With keys
+loaded, preview and run before the opening auction (around 08:45 New York time):
+
+```sh
+uv run fa-quant run --config examples/quant/paper.toml --dry-run
+uv run fa-quant run --config examples/quant/paper.toml
+uv run fa-quant status --config examples/quant/paper.toml
+```
+
+IBKR uses the locally running **Client Portal Gateway**, with daily browser login.
+Copy [ibkr-paper.toml](https://github.com/BichengWang/financial-agent/blob/v1.2.1/examples/quant/ibkr-paper.toml), set your USD paper account
+ID (`DU…`/`DF…`) and gateway port, then use the same `fa-quant run` command.
+TLS verification can be disabled only on loopback; remote gateways require a
+trusted certificate or CA path. Order questions halt unless every message ID is
+explicitly allowed. Follow the [gateway setup](https://github.com/BichengWang/financial-agent/blob/v1.2.1/docs/quant/operations.md#ibkr-client-portal-gateway).
+
+The release verifies execution through local paper and fake Alpaca/IBKR transports;
+a real credentialed paper run is still an owner step. A dry run suppresses new
+orders but journals observations and can synchronize earlier fills.
+
+Live needs `mode = "live"`, `FA_QUANT_ALLOW_LIVE=1`, a passing certificate no older
+than 90 days matching the exact strategy/params, at least 20 distinct clean
+paper sessions from the same broker (Alpaca or IBKR), no recent risk halts/reconciliation breaks, and observed
+paper slippage within twice modeled allowance. Runtime risk limits cannot be
+loosened by config. MCP exposes research and paper previews only. Read
+[safety and go-live steps](https://github.com/BichengWang/financial-agent/blob/v1.2.1/docs/quant/safety.md) before changing mode, and
+[operations](https://github.com/BichengWang/financial-agent/blob/v1.2.1/docs/quant/operations.md) for scheduling, kill/unkill and incidents.
+Kill stops new submissions; it does not cancel orders or liquidate positions.
+
+## Research harness, equity workflow and RL
+
+The [native ticker workflow](https://github.com/BichengWang/financial-agent/blob/v1.2.1/docs/research/README.md) combines sourced evidence,
+Decimal arithmetic, optional earnings/DCF/comps models and structural audits;
+[retained research](https://github.com/BichengWang/financial-agent/blob/v1.2.1/docs/research/index.md) remains provisional. The
+[daily equity workflow](https://github.com/BichengWang/financial-agent/blob/v1.2.1/agents/equity/daily_investment_system/main.md) produces
+dated source/prediction packages. The harness provides deterministic report
+checks and ledger audits, not autonomous completion of every prompt stage:
+
+```sh
+uv run python -m financial_agent.harness --help
+uv run python -m financial_agent.harness audit --output-dir agents/equity/output
+```
+
+Generic RL supplies tabular Q-learning, GridWorld, Gymnasium wrappers and bounded
+training/evaluation loops. [Examples](https://github.com/BichengWang/financial-agent/blob/v1.2.1/example/rl/) demonstrate learning APIs;
+[notebooks](https://github.com/BichengWang/financial-agent/blob/v1.2.1/notebooks/README.md) retain historical experiment outputs. Install
+`--extra rl`, `--extra dl` or `--extra notebooks` as needed. The FinRL-derived
+`trading/` and TensorFlow `dl/` stacks are experimental; they do not feed capital
+unless adapted to `Strategy` and passed through the same gates. The historical
+autotrain entrypoint has unresolved signature/name issues and is not turnkey.
+
+## Repository map
+
+| Path | Purpose |
+|---|---|
+| [src/financial_agent/quant](https://github.com/BichengWang/financial-agent/blob/v1.2.1/src/financial_agent/quant/) | Data, strategies, backtest, validation, risk, execution, runner and CLI/MCP |
+| [docs/quant](https://github.com/BichengWang/financial-agent/blob/v1.2.1/docs/quant/) | [Architecture](https://github.com/BichengWang/financial-agent/blob/v1.2.1/docs/quant/architecture.md), safety, operations, strategy guide |
+| [examples/quant](https://github.com/BichengWang/financial-agent/blob/v1.2.1/examples/quant/) / [deploy/quant](https://github.com/BichengWang/financial-agent/blob/v1.2.1/deploy/quant/) | Paper TOML and cron/launchd/systemd templates |
+| [reports/quant](https://github.com/BichengWang/financial-agent/blob/v1.2.1/reports/quant/) | Computed default and research-forecast evidence |
+| [tests/quant](https://github.com/BichengWang/financial-agent/blob/v1.2.1/tests/quant/) | Deterministic offline regression coverage |
+| [src/financial_agent/harness](https://github.com/BichengWang/financial-agent/blob/v1.2.1/src/financial_agent/harness/) | Equity schemas, gates, kernels and policy |
+| [agents/equity](https://github.com/BichengWang/financial-agent/blob/v1.2.1/agents/equity/) / [skills](https://github.com/BichengWang/financial-agent/blob/v1.2.1/skills/) | Daily/native equity workflows and Turtle research |
+| [src/financial_agent/rl](https://github.com/BichengWang/financial-agent/blob/v1.2.1/src/financial_agent/rl/) / [example/rl](https://github.com/BichengWang/financial-agent/blob/v1.2.1/example/rl/) | Generic RL APIs and examples |
+| [src/financial_agent/trading](https://github.com/BichengWang/financial-agent/blob/v1.2.1/src/financial_agent/trading/) / [src/financial_agent/dl](https://github.com/BichengWang/financial-agent/blob/v1.2.1/src/financial_agent/dl/) | Financial RL and prediction research |
+| [notebooks](https://github.com/BichengWang/financial-agent/blob/v1.2.1/notebooks/) / [archive](https://github.com/BichengWang/financial-agent/blob/v1.2.1/archive/) | Saved research outputs; avoid incidental reruns |
+
+## Limitations
+
+Yahoo's retrospectively adjusted OHLCV can change and is not raw auction
+execution data. The fixed ETF universe retains selection bias. Simulations omit
+taxes, cash interest, capacity/market impact and exact live corporate-action
+accounting. Statistics measure this historical sample, not future profitability.
+The scheduled runner does not continuously monitor intraday loss or guarantee
+fills; reference-price limits do not eliminate gap risk. State/journal hashes
+are integrity checks, not signatures. The POSIX runner targets macOS/Linux.
+
+## License
+
+[MIT](https://github.com/BichengWang/financial-agent/blob/v1.2.1/LICENSE). Software is provided as is, without warranty.

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fa_quant-1.2.1.dist-info/WHEEL

@@ -0,0 +1,4 @@
+Wheel-Version: 1.0
+Generator: hatchling 1.32.4
+Root-Is-Purelib: true
+Tag: py3-none-any

fa_quant-1.2.1.dist-info/entry_points.txt

@@ -0,0 +1,2 @@
+[console_scripts]
+fa-quant = financial_agent.quant.__main__:main

fa_quant-1.2.1.dist-info/licenses/LICENSE

@@ -0,0 +1,21 @@
+MIT License
+
+Copyright (c) 2025 Kenneth
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

financial_agent/__init__.py

@@ -0,0 +1 @@
+"""financial-agent: RL framework for financial agents."""

financial_agent/dl/models/baseline_model.py

@@ -0,0 +1,23 @@
+import os
+import datetime
+
+import IPython
+import IPython.display
+import matplotlib as mpl
+import matplotlib.pyplot as plt
+import numpy as np
+import pandas as pd
+import seaborn as sns
+import tensorflow as tf
+
+
+class Baseline(tf.keras.Model):
+    def __init__(self, label_index=None):
+        super().__init__()
+        self.label_index = label_index
+
+    def call(self, inputs):
+        if self.label_index is None:
+            return inputs
+        result = inputs[:, :, self.label_index]
+        return result[:, :, tf.newaxis]

financial_agent/dl/preprocessing/data_windowing.py

@@ -0,0 +1,135 @@
+import os
+import datetime
+
+import IPython
+import IPython.display
+import matplotlib as mpl
+import matplotlib.pyplot as plt
+import numpy as np
+import pandas as pd
+import seaborn as sns
+import tensorflow as tf
+
+
+class WindowGenerator:
+    """
+    train_df
+    input_width: the length of time series input
+    label_width: the
+
+    """
+    def __init__(self, train_df, test_df,
+                 input_width, label_width, shift,
+                 label_columns=None):
+        # Store the raw data.
+        self.train_df = train_df
+        self.test_df = test_df
+
+        # Work out the label column indices.
+        self.label_columns = label_columns
+        if label_columns is not None:
+            self.label_columns_indices = {name: i for i, name in
+                                          enumerate(label_columns)}
+        self.column_indices = {name: i for i, name in
+                           enumerate(train_df.columns)}
+
+        # Work out the window parameters.
+        self.input_width = input_width
+        self.label_width = label_width
+        self.shift = shift
+
+        self.total_window_size = input_width + shift
+
+        self.input_slice = slice(0, input_width)
+        self.input_indices = np.arange(self.total_window_size)[self.input_slice]
+
+        self.label_start = self.total_window_size - self.label_width
+        self.labels_slice = slice(self.label_start, None)
+        self.label_indices = np.arange(self.total_window_size)[self.labels_slice]
+
+    def __repr__(self):
+        return '\n'.join([
+            f'Total window size: {self.total_window_size}',
+            f'Input indices: {self.input_indices}',
+            f'Label indices: {self.label_indices}',
+            f'Label column name(s): {self.label_columns}'])
+
+    def split_window(self, features):
+        inputs = features[:, self.input_slice, :]
+        labels = features[:, self.labels_slice, :]
+        if self.label_columns is not None:
+            labels = tf.stack(
+                [labels[:, :, self.column_indices[name]] for name in self.label_columns],
+                axis=-1)
+
+        # Slicing doesn't preserve static shape information, so set the shapes
+        # manually. This way the `tf.data.Datasets` are easier to inspect.
+        inputs.set_shape([None, self.input_width, None])
+        labels.set_shape([None, self.label_width, None])
+
+        return inputs, labels
+
+    def plot(self, model=None, plot_col='T (degC)', max_subplots=3):
+        inputs, labels = self.example
+        plt.figure(figsize=(12, 8))
+        plot_col_index = self.column_indices[plot_col]
+        max_n = min(max_subplots, len(inputs))
+        for n in range(max_n):
+            plt.subplot(max_n, 1, n + 1)
+            plt.ylabel(f'{plot_col} [normed]')
+            plt.plot(self.input_indices, inputs[n, :, plot_col_index],
+                     label='Inputs', marker='.', zorder=-10)
+
+            if self.label_columns:
+                label_col_index = self.label_columns_indices.get(plot_col, None)
+            else:
+                label_col_index = plot_col_index
+
+            if label_col_index is None:
+                continue
+
+            plt.scatter(self.label_indices, labels[n, :, label_col_index],
+                        edgecolors='k', label='Labels', c='#2ca02c', s=64)
+            if model is not None:
+                predictions = model(inputs)
+                plt.scatter(self.label_indices, predictions[n, :, label_col_index],
+                            marker='X', edgecolors='k', label='Predictions',
+                            c='#ff7f0e', s=64)
+
+            if n == 0:
+                plt.legend()
+
+        plt.xlabel('Time [h]')
+
+    def make_dataset(self, data):
+        data = np.array(data, dtype=np.float32)
+        ds = tf.keras.preprocessing.timeseries_dataset_from_array(
+            data=data,
+            targets=None,
+            sequence_length=self.total_window_size,
+            sequence_stride=1,
+            shuffle=True,
+            batch_size=32, )
+
+        ds = ds.map(self.split_window)
+
+        return ds
+
+    @property
+    def train(self):
+        return self.make_dataset(self.train_df)
+
+    @property
+    def test(self):
+        return self.make_dataset(self.test_df)
+
+    @property
+    def example(self):
+        """Get and cache an example batch of `inputs, labels` for plotting."""
+        result = getattr(self, '_example', None)
+        if result is None:
+            # No example batch was found, so get one from the `.train` dataset
+            result = next(iter(self.train))
+            # And cache it for next time
+            self._example = result
+        return result

financial_agent/harness/__init__.py

@@ -0,0 +1,73 @@
+"""Deterministic harness for LLM-driven financial research runs (spike, v0).
+
+The harness owns everything that must be exact -- arithmetic, provenance,
+schemas, gates, and run lifecycle -- so the model only contributes judgment.
+Skills (open Agent Skills format, ``SKILL.md`` directories) tell a model
+*when and why* to call harness tools; the harness decides *what is allowed*.
+
+Design and spike findings: ``plan/2026-09-28-financial-harness-and-skills.md``.
+Standard library only, like the helpers in
+``agents/equity/daily_investment_system/``.
+"""
+
+from financial_agent.harness.audit import AuditReport, audit_output_dir, audit_record
+from financial_agent.harness.gates import (
+    Reachability,
+    StatusDecision,
+    decide_status,
+    go_reachability,
+    investability,
+)
+from financial_agent.harness.kernels import (
+    EquityInputs,
+    Holding,
+    KernelError,
+    MarketInputs,
+    PortfolioRisk,
+    equity_record,
+    market_forecast_records,
+    portfolio_feasibility,
+    price_risk,
+)
+from financial_agent.harness.ledger import LedgerRow, SourceLedger
+from financial_agent.harness.lifecycle import RunLifecycle, RunState
+from financial_agent.harness.market_calendar import Session, session
+from financial_agent.harness.policy import Policy, load_policy
+from financial_agent.harness.schema import validate_payload
+from financial_agent.harness.scoring import NameInputs, Scoreboard, score_universe
+from financial_agent.harness.skills import Skill, SkillRegistry, validate_skill_dir
+
+__all__ = [
+    "AuditReport",
+    "EquityInputs",
+    "Holding",
+    "KernelError",
+    "LedgerRow",
+    "MarketInputs",
+    "NameInputs",
+    "Policy",
+    "PortfolioRisk",
+    "Reachability",
+    "RunLifecycle",
+    "RunState",
+    "Scoreboard",
+    "Session",
+    "Skill",
+    "SkillRegistry",
+    "SourceLedger",
+    "StatusDecision",
+    "audit_output_dir",
+    "audit_record",
+    "decide_status",
+    "equity_record",
+    "go_reachability",
+    "investability",
+    "load_policy",
+    "market_forecast_records",
+    "portfolio_feasibility",
+    "price_risk",
+    "score_universe",
+    "session",
+    "validate_payload",
+    "validate_skill_dir",
+]