mlquantx 0.2.5__py3-none-any.whl

mlquant/utils/seed.py

@@ -0,0 +1,35 @@
+"""Deterministic seeding across numpy, python, and (optionally) torch."""
+from __future__ import annotations
+
+import os
+import random
+
+
+def seed_everything(seed: int = 42, *, deterministic_torch: bool = True) -> None:
+    """Seed all RNGs the project touches.
+
+    Parameters
+    ----------
+    seed : int
+        Master seed. Each library is seeded with the same value.
+    deterministic_torch : bool
+        If True and torch is importable, set deterministic cuDNN flags so
+        that runs are bit-reproducible on the same hardware. Marginally
+        slower; turn off for production training.
+    """
+    random.seed(seed)
+    os.environ["PYTHONHASHSEED"] = str(seed)
+    try:
+        import numpy as np
+        np.random.seed(seed)
+    except ImportError:
+        pass
+    try:
+        import torch
+        torch.manual_seed(seed)
+        torch.cuda.manual_seed_all(seed)
+        if deterministic_torch:
+            torch.backends.cudnn.deterministic = True
+            torch.backends.cudnn.benchmark = False
+    except ImportError:
+        pass

mlquantx-0.2.5.dist-info/METADATA

@@ -0,0 +1,108 @@
+Metadata-Version: 2.4
+Name: mlquantx
+Version: 0.2.5
+Summary: Reference implementation of ‘ML-Enhanced Multi-Factor Quantitative Trading’ (arXiv:2507.07107).
+Author: Yimin Du
+License-Expression: MIT
+Project-URL: Homepage, https://github.com/initial-d/ml-quant-trading
+Project-URL: Documentation, https://initial-d.github.io/ml-quant-trading/
+Project-URL: Paper, https://arxiv.org/abs/2507.07107
+Project-URL: Issues, https://github.com/initial-d/ml-quant-trading/issues
+Project-URL: Changelog, https://github.com/initial-d/ml-quant-trading/blob/main/CHANGELOG.md
+Keywords: quant,alpha,factor,portfolio,pytorch,markowitz
+Classifier: Development Status :: 4 - Beta
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
+Classifier: Programming Language :: Python :: 3 :: Only
+Classifier: Programming Language :: Python :: 3.9
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Topic :: Scientific/Engineering :: Artificial Intelligence
+Requires-Python: >=3.9
+Description-Content-Type: text/markdown
+License-File: LICENSE
+License-File: NOTICE.md
+Requires-Dist: numpy>=1.24
+Requires-Dist: pandas>=2.0
+Requires-Dist: scipy>=1.10
+Requires-Dist: scikit-learn>=1.3
+Requires-Dist: torch>=2.0
+Requires-Dist: cvxpy>=1.4
+Requires-Dist: scs>=3.2
+Requires-Dist: pyyaml>=6.0
+Requires-Dist: click>=8.1
+Requires-Dist: rich>=13.0
+Requires-Dist: tqdm>=4.65
+Requires-Dist: yfinance>=0.2.0
+Requires-Dist: baostock>=0.8.8
+Requires-Dist: akshare>=1.18.0
+Provides-Extra: mosek
+Requires-Dist: Mosek>=10.0; extra == "mosek"
+Provides-Extra: ecos
+Requires-Dist: ecos>=2.0; extra == "ecos"
+Provides-Extra: gpu
+Requires-Dist: cupy-cuda12x>=12.0; extra == "gpu"
+Provides-Extra: dev
+Requires-Dist: pytest>=7.4; extra == "dev"
+Requires-Dist: pytest-cov>=4.1; extra == "dev"
+Requires-Dist: ruff>=0.4; extra == "dev"
+Requires-Dist: mypy>=1.7; extra == "dev"
+Requires-Dist: hypothesis>=6.90; extra == "dev"
+Dynamic: license-file
+
+# mlquant
+
+**A reproducible PyTorch research stack for machine-learning multi-factor
+trading: 213 factors, bias correction, portfolio optimization, and vectorized
+backtesting.**
+
+[![CI](https://github.com/initial-d/ml-quant-trading/actions/workflows/ci.yml/badge.svg)](https://github.com/initial-d/ml-quant-trading/actions/workflows/ci.yml)
+[![arXiv](https://img.shields.io/badge/arXiv-2507.07107-b31b1b.svg)](https://arxiv.org/abs/2507.07107)
+[![Python 3.9+](https://img.shields.io/badge/python-3.9%2B-blue.svg)](https://www.python.org/downloads/)
+
+## Install and run
+
+```bash
+python -m pip install mlquantx
+mlquant demo
+```
+
+The demo needs no market-data account or API key. It runs the deterministic
+synthetic pipeline from data generation through 213 factor dimensions, model
+training, portfolio construction, cost-aware backtesting, and Markdown/JSON
+report generation. The default config ships inside the wheel, so the command
+works outside a repository checkout.
+
+## What is included
+
+- 204 hand-crafted factors plus 9 curated Alpha101-style factors
+- mask-aware PyTorch tensor primitives for cross-sectional panels
+- limit-up, limit-down, halt, and missing-data bias handling
+- MLP and Transformer research baselines
+- constrained Markowitz portfolio construction
+- vectorized backtesting with turnover and transaction costs
+- AkShare, Baostock, yfinance, and deterministic synthetic data paths
+- auditable public-data validation reports, including negative results
+
+## Start here
+
+- [Source and full documentation](https://github.com/initial-d/ml-quant-trading)
+- [Google Colab quick start](https://colab.research.google.com/github/initial-d/ml-quant-trading/blob/main/notebooks/quickstart_colab.ipynb)
+- [Public validation dashboard](https://github.com/initial-d/ml-quant-trading/blob/main/docs/validation_dashboard.md)
+- [Research card and limitations](https://github.com/initial-d/ml-quant-trading/blob/main/docs/research_card.md)
+- [100,000-row synthetic dataset](https://huggingface.co/datasets/dddyym/ml-quant-trading-synthetic)
+- [213-input MLP checkpoint](https://huggingface.co/dddyym/ml-quant-trading-synthetic-mlp)
+- [Paper: arXiv:2507.07107](https://arxiv.org/abs/2507.07107)
+
+## Research boundary
+
+`mlquant` is research and educational software. It is not investment advice or
+a production trading system. Synthetic smoke tests verify engineering behavior,
+not profitability. Public-data backtests depend on data quality, survivorship,
+transaction costs, slippage, and modeling assumptions and do not represent live
+or guaranteed out-of-sample performance.
+
+## License
+
+MIT. See the [repository license](https://github.com/initial-d/ml-quant-trading/blob/main/LICENSE).

mlquantx-0.2.5.dist-info/RECORD

@@ -0,0 +1,54 @@
+mlquant/__init__.py,sha256=uVaPEuJhOkokTGzFL25IE3qfr_Yfh3i_Bw4zjuXgqBA,754
+mlquant/features.py,sha256=ZIVzEAaYF9_CQs-05vzDGKnLCLABCp_H87ylQj2pKc0,24406
+mlquant/backtest/__init__.py,sha256=s97dmR-zuxk9BmRhyGkh9KG_RVsdUkMs5hMJjBlUmFY,481
+mlquant/backtest/engine.py,sha256=uDWtW--3LeopJPhK_eBVLLwmCC0JJG2V0F-9-9xPjLo,4133
+mlquant/backtest/metrics.py,sha256=z6oRMQ3uI8EleKtqXKsIzq4Y3arjuNseOAQjgUDeBy4,3092
+mlquant/cli/__init__.py,sha256=H4glUfFV2xFtdABrNKMXCPDuKq4fxAJi7RoBNvFQ5h4,87
+mlquant/cli/main.py,sha256=DMnow9uMpET6UqLYqXXiRnxTnS4_zFAJ_ruOW6-gHIo,10580
+mlquant/configs/__init__.py,sha256=3EU0PeW_1PtralYIn9UM7ZIcVLZbx7Etz7-U6RntKbc,68
+mlquant/configs/small.yaml,sha256=6OU_EkAcvtdl-meV1UH1qAbUE5VuGvJPS70UTB2vVzU,837
+mlquant/data/__init__.py,sha256=hyUgEKDv70M-N08ZwBIqzEFpva5ozFZ_vsNw2Mr6dpA,3484
+mlquant/data/akshare_loader.py,sha256=ngZ6bber8xz7ztP-S9T6z8Yrk-ig6uRbu14VNFYdAgY,5292
+mlquant/data/baostock_loader.py,sha256=kVzVD9v-7mMPPbuecUABELzA5VmeqKM7-FOuRx5eau4,4692
+mlquant/data/loaders.py,sha256=tjwYn0sZPAVo-39oEV2ifbI8HJvEYUZVQAihl8op3Z8,4454
+mlquant/data/panel.py,sha256=hrVmz9nUigV4zeK1lA8neAqOhz8XI0ix-smdXhe294U,8259
+mlquant/data/synthetic.py,sha256=ZpBxXolSi7B0xY2kNXRt7u2nb0IhVejBHO9fn6zkxco,5826
+mlquant/data/yfinance_loader.py,sha256=GezSUEabJqntR0FJsBlWtpzwjnTD6dpbinOn8m-_TIo,3322
+mlquant/features/__init__.py,sha256=aYmj_n8Jph9d3pDsksYo1LulIIKa-oni0bvzkd7C5tk,1266
+mlquant/features/_factors_add.py,sha256=WNat44Ai8_Uxz9pLpdm5tf6wzyxOgvMDLHdh8D1GHvg,9885
+mlquant/features/_factors_alpha101.py,sha256=s7m5MECtkmSzDZDg1hA48bWIFnw9Bgg7dpYienXPVvE,3423
+mlquant/features/_factors_best.py,sha256=RRbHmLDf5-L289BxYzLcC8NzhmY_tyrWSTDHrU8WCTU,5912
+mlquant/features/_factors_better.py,sha256=Hq8MiXdm-_rraWTuSkFtaRTMqY2oGVylPOlujo_kVAs,14217
+mlquant/features/_factors_change.py,sha256=ljfa2rbay961me8EQPPaxWXlau77ab-B5FutXLB97V0,1773
+mlquant/features/_factors_extra.py,sha256=gK3Lo3SrfGQPKtAKns68ua0KNrhYGvv18R521RQjk18,4958
+mlquant/features/_factors_market.py,sha256=jwr4D3w_PzKRD5VYFyV5afJt_tx4St0nL6m-wOsomKs,1999
+mlquant/features/_factors_old.py,sha256=I-5LlK1ZEpUhdie_k3wkESmSAAw1K9wIeIEZq8xVsig,19750
+mlquant/features/_factors_original.py,sha256=DflSuk4Rmfh4WOo7NuT5VkQB6wq6IrjPJf3fm7r-Whk,7247
+mlquant/features/_factors_stock.py,sha256=hFZNLmWMSVCM-uI4u-kT5H6eKQF33onGpnqdBw7qj4o,10076
+mlquant/features/alpha101.py,sha256=_ZI3zmO1y0awE-leNeGNGfvjMgBZVf_iZ581Sa-lShs,2605
+mlquant/features/bias.py,sha256=YLq0FxdHrAG5dBCLYgGhhKFo0QmV8FMzN4sac17sIIs,3160
+mlquant/features/legacy_factors.py,sha256=CT7SwCinwHs0_X9GOkbsWrqf0FiRXZNJ9FWSemqoi94,4449
+mlquant/features/market_breadth.py,sha256=JQdPKG8q8YDwJ0pP58QaaxTvLEel00kKu2QguEFd6z8,7021
+mlquant/features/neutralize.py,sha256=FbiY85KirckMjl1Atoch089mct6V3u2gpTft1SbzgXk,2479
+mlquant/features/target.py,sha256=L-2d1BnTf8hV4Ye4eBanuhQfMSaZCrg2QHyy3L3haEk,1857
+mlquant/features/tensor_factors.py,sha256=SGHVJFUKz59rgkl9TDZ2qQCMFD3eFZXIb8Nq3qTp1LY,12759
+mlquant/models/__init__.py,sha256=lJnTTRu9pv3_y6ynsDZFAjwUL8m6grUYkV7ozagcKSw,259
+mlquant/models/losses.py,sha256=iWEjXidVY-n8v1duXkQJBMgY10YxRTxsn_QprV0W5P0,3235
+mlquant/models/nets.py,sha256=wb4NfGbDXSYhjsj9-Vzm8spIvbqbEOmzpBv6Fua42XA,2360
+mlquant/portfolio/__init__.py,sha256=DGg4bzdr2WKGGwVTf5KKQ1xzgecoRdB4P6iwT-QR_2k,242
+mlquant/portfolio/frontier.py,sha256=NC9gAO-as9-FAqAEKOlR1K8k-wMjqSA7Q0lcDhp9WNo,1629
+mlquant/portfolio/markowitz.py,sha256=tPYKKOMtW7TygT4nuo8LFzdfT3rE6xCcDIYlEgD6NLU,5104
+mlquant/training/__init__.py,sha256=ZNR6ZLCJD2P3lBMNyD7UG6z6UU_tjUI5SEnW1NMCKng,237
+mlquant/training/augment.py,sha256=KlrXPlYLDKeQNNpqHfBWZtNmcqOR9ISp14J6MOBuYzU,3546
+mlquant/training/dataset.py,sha256=y45uMK8eke3ogKAplXIYTlprR9AgrG41n8Gf2hy4aC8,1882
+mlquant/training/trainer.py,sha256=FIxE2me54axG3If6NDETWO0wtSBc0kDpR2iDOosQ3FQ,3898
+mlquant/utils/__init__.py,sha256=9OrXGFAnfUD70SBV2gNH5qpGVzGfVTCq15rGtjdJ5UM,195
+mlquant/utils/config.py,sha256=VgS7Dy4MPrGoODLhd7NwyebZhiV3LXC0jBQ49AYipyQ,1804
+mlquant/utils/seed.py,sha256=DGEHljgpF7U_FGtCW_PaoSu8CZeLayhzmAKhM5IE2sI,1052
+mlquantx-0.2.5.dist-info/licenses/LICENSE,sha256=92uRftTq4Ikic-EIrJb1F2Z2TvFO5fv0qLaGnDuRBDU,1065
+mlquantx-0.2.5.dist-info/licenses/NOTICE.md,sha256=gybGh0pbDjXoCRKvcD6CdTatz-IICFgA_yKpWc_DX2M,333
+mlquantx-0.2.5.dist-info/METADATA,sha256=pmABT3SwOpp9OQMjmo7Y9Q-7DqxVXG8JZBRhhJdRzrE,4776
+mlquantx-0.2.5.dist-info/WHEEL,sha256=YVMoNqKzERt-wjUZwJ33xBGAwnFl-4cqbYkTtWa4itE,91
+mlquantx-0.2.5.dist-info/entry_points.txt,sha256=mqFmTmkhepJU6wI6yZsfIVtyEBuHXiefTixBr42P24s,50
+mlquantx-0.2.5.dist-info/top_level.txt,sha256=DWYIR6afD0xGLmSkRZne8HtmT8gpEX9U2LYf4TxqnNs,8
+mlquantx-0.2.5.dist-info/RECORD,,

mlquantx-0.2.5.dist-info/WHEEL

@@ -0,0 +1,5 @@
+Wheel-Version: 1.0
+Generator: setuptools (84.0.0)
+Root-Is-Purelib: true
+Tag: py3-none-any
+

mlquantx-0.2.5.dist-info/entry_points.txt

@@ -0,0 +1,2 @@
+[console_scripts]
+mlquant = mlquant.cli.main:main

mlquantx-0.2.5.dist-info/licenses/LICENSE

@@ -0,0 +1,21 @@
+MIT License
+
+Copyright (c) 2025 Yimin Du
+
+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.

mlquantx-0.2.5.dist-info/licenses/NOTICE.md

@@ -0,0 +1,5 @@
+# Notices
+
+This repository is distributed under the MIT License. Some optional third-party dependencies have their own licenses and terms.
+
+In particular, MOSEK is an optional solver backend and may require a commercial or academic license from MOSEK ApS. The default install path uses open-source solvers available through `cvxpy`.

mlquantx-0.2.5.dist-info/top_level.txt

@@ -0,0 +1 @@
+mlquant