quantrail 0.1.0__tar.gz

quantrail-0.1.0/.coderabbit.yaml

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+# CodeRabbit review settings. The GitHub app itself is installed by a maintainer.
+language: en-US
+reviews:
+  profile: assertive
+  request_changes_workflow: false
+  high_level_summary: true
+  path_instructions:
+    - path: "src/quantrail/**"
+      instructions: |
+        QuantRail values correctness over features. Flag:
+        - money or quantities computed with floats where Decimal is used elsewhere;
+        - any value invented when evidence is missing (it must refuse with a reason instead);
+        - market-specific constants in core, accounting or engine code (ADR 0003);
+        - silent handling of unknown provenance, price basis or availability (ADR 0002);
+        - implicit "latest" versions (ADR 0005);
+        - anything that could read data dated after a decision (look-ahead).
+    - path: "tests/**"
+      instructions: |
+        Expected values must be stated independently, not produced by the code under test.
+        Tests must not read market data or credentials; flag any committed data files.
+    - path: "docs/**"
+      instructions: |
+        English is the source of truth; translations under docs/zh-TW must not add or drop content.
+        Flag claims about features that the code does not implement yet.

quantrail-0.1.0/.github/workflows/ci.yml

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+name: CI
+
+on:
+  push:
+    branches: [main]
+  pull_request:
+
+permissions:
+  contents: read
+
+jobs:
+  test:
+    runs-on: ubuntu-latest
+    timeout-minutes: 10
+    strategy:
+      fail-fast: false
+      matrix:
+        python-version: ["3.11", "3.12", "3.13"]
+    steps:
+      - uses: actions/checkout@v4
+      - uses: astral-sh/setup-uv@v6
+        with:
+          python-version: ${{ matrix.python-version }}
+      - run: uv sync --locked
+      - run: uv run ruff check .
+      - run: uv run pytest
+
+  dco:
+    if: github.event_name == 'pull_request'
+    runs-on: ubuntu-latest
+    timeout-minutes: 5
+    steps:
+      - uses: actions/checkout@v4
+        with:
+          fetch-depth: 0
+      - name: Every commit is signed off
+        run: |
+          missing=$(git log --format='%H %(trailers:key=Signed-off-by,valueonly,separator=%x2C)' \
+            "${{ github.event.pull_request.base.sha }}..${{ github.event.pull_request.head.sha }}" \
+            | awk 'NF < 2 {print $1}')
+          if [ -n "$missing" ]; then echo "Commits without Signed-off-by:"; echo "$missing"; exit 1; fi

quantrail-0.1.0/.gitignore

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+# Environments and caches
+.venv/
+__pycache__/
+*.py[cod]
+.pytest_cache/
+.ruff_cache/
+.ipynb_checkpoints/
+dist/
+build/
+*.egg-info/
+
+# Never commit data or local configuration
+data/
+runs/
+*.parquet
+*.feather
+*.csv
+!tests/fixtures/**/*.csv
+.env
+.env.*
+!.env.example
+local.toml
+assets/social-preview.html

quantrail-0.1.0/CHANGELOG.md

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+# Changelog
+
+All notable changes to QuantRail are recorded here. The format follows
+[Keep a Changelog](https://keepachangelog.com/en/1.1.0/) and the project uses
+[Semantic Versioning](https://semver.org/); before 1.0, a minor version may break the API.
+
+## [0.1.0] - 2026-10-06
+
+First pre-release.
+
+### Added
+
+- **Core types** (`quantrail.core`): `Provenance` and `Declaration` where `unknown` is an allowed, flagged value; `TrustFlag` and `TrustReport`; `Money` with `Decimal` amounts per currency; `Instrument` with quantity steps (shares, board lots, fractional crypto).
+- **Data governance** (`quantrail.datasets`): versioned, hash-verified datasets loaded by explicit version only; `ingest()` for user tables (only a date and a close are required); `export_dataset()` refuses an unknown licence unless acknowledged.
+- **Research discipline**: append-only trial registry with code fingerprints (`quantrail.research.trials`); metrics with fixed formulas and a BRAIN-style summary (`quantrail.stats.metrics`); paired circular block bootstrap, Holm correction, deflated Sharpe ratio and CSCV PBO (`quantrail.stats.inference`).
+- **Accounting and simulation**: multi-currency ledger with settlement-dated cash (`quantrail.accounting.ledger`); next-open target-weight engine with `NO_FILL` reasons, no-trade band, buy-only dividend reinvestment and a daily NAV identity (`quantrail.engine`).
+- **Markets**: Taiwan equities and ETFs (`quantrail.markets.tw_equity`) with T+2, commission with minimum fee and a sourced, effective-dated securities transaction tax rule; a generic proportional cost model (`quantrail.markets.generic`).
+- **One-call API**: `quantrail.backtest()` on ingested data, with data-driven caveats merged into the trust report; refuses total-return prices combined with dividend events.
+- **Verification**: the engine reproduces its private reference implementation to the cent (five runs, 1,953 sessions); `tests/test_reference_parity.py` reruns the comparison when pointed at your own copy of the data.
+- **Documentation**: architecture (English and Traditional Chinese), ADRs 0001–0005, README quickstart executed by tests, generated logo, hero, animated architecture diagram and social preview.
+
+### Known limitations
+
+- Daily price limits and stock dividends are not modelled ([#15](https://github.com/ting-hong-shieh/quantrail/issues/15)).
+- `backtest()` handles one instrument and infers sessions from price dates ([#16](https://github.com/ting-hong-shieh/quantrail/issues/16)).
+- The ledger does not yet track average cost or realised P&L.
+- Dependencies pin `pandas<3` ([#7](https://github.com/ting-hong-shieh/quantrail/issues/7)).
+- Not yet published on PyPI.
+
+[0.1.0]: https://github.com/ting-hong-shieh/quantrail/releases/tag/v0.1.0

quantrail-0.1.0/CONTRIBUTING.md

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+# Contributing to QuantRail
+
+Thank you for helping. QuantRail values correctness over features: a smaller change with tests that prove the behaviour is better than a large one without.
+
+## Ground rules
+
+1. **No market data in the repository.** Tests use synthetic fixtures. Do not commit vendor or exchange data, even small samples.
+2. **No credentials.** API keys, tokens and account identifiers never belong in code, tests or examples.
+3. **Respect data source terms.** Adapters are accepted only for sources whose terms allow programmatic access; document those terms in the adapter.
+4. **Tests prove behaviour.** Accounting and statistics changes need tests with independently computed expected values, not values produced by the code under test.
+5. **Explain refusals.** When the code cannot support an action, it returns or raises a reason, never an invented value.
+
+## Developer Certificate of Origin
+
+Every commit must be signed off, certifying the [Developer Certificate of Origin](https://developercertificate.org/):
+
+```bash
+git commit -s -m "Describe the change"
+```
+
+## Development
+
+```bash
+uv sync
+uv run ruff check .
+uv run pytest
+```
+
+Pull requests run the same checks in CI. Keep pull requests focused on one change.
+
+## Language
+
+Code, issues, pull requests and the English documentation are in English. Traditional Chinese translations live under `docs/zh-TW/` and in `README.zh-TW.md`; the English text is the source of truth.

quantrail-0.1.0/LICENSE

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quantrail-0.1.0/NOTICE

@@ -0,0 +1,6 @@
+QuantRail
+Copyright 2026 Ting-Hong Shieh
+
+This product is licensed under the Apache License, Version 2.0 (see LICENSE).
+QuantRail ships no market data. Data you load or fetch with QuantRail remains
+subject to the terms of its original source.

quantrail-0.1.0/PKG-INFO

@@ -0,0 +1,149 @@
+Metadata-Version: 2.5
+Name: quantrail
+Version: 0.1.0
+Summary: Quantitative research you can trust: data governance, ledger-accurate backtests and research discipline.
+Project-URL: Repository, https://github.com/ting-hong-shieh/quantrail
+Author: Ting-Hong Shieh
+License-Expression: Apache-2.0
+License-File: LICENSE
+License-File: NOTICE
+Classifier: Development Status :: 2 - Pre-Alpha
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Intended Audience :: Science/Research
+Classifier: Programming Language :: Python :: 3
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Requires-Python: >=3.11
+Requires-Dist: numpy>=1.26
+Requires-Dist: pandas<3,>=2.1
+Requires-Dist: pyarrow<24,>=14
+Description-Content-Type: text/markdown
+
+<p align="center">
+  <img src="assets/brand/quantrail-badge.svg" width="104" alt="QuantRail logo">
+</p>
+
+<h1 align="center">QuantRail</h1>
+
+<p align="center"><b>Every backtest lies a little. QuantRail tells you where.</b><br>
+Data governance · ledger-accurate simulation · research discipline</p>
+
+<p align="center">
+  <a href="https://github.com/ting-hong-shieh/quantrail/actions/workflows/ci.yml"><img src="https://github.com/ting-hong-shieh/quantrail/actions/workflows/ci.yml/badge.svg?branch=main" alt="CI"></a>
+  <img src="https://img.shields.io/badge/python-3.11%20%7C%203.12%20%7C%203.13-3776AB?logo=python&logoColor=white" alt="Python 3.11 | 3.12 | 3.13">
+  <a href="LICENSE"><img src="https://img.shields.io/badge/license-Apache--2.0-0F766E" alt="Apache-2.0"></a>
+  <img src="https://img.shields.io/badge/status-pre--alpha-F59E0B" alt="Status: pre-alpha">
+  <a href="https://github.com/astral-sh/ruff"><img src="https://img.shields.io/endpoint?url=https://raw.githubusercontent.com/astral-sh/ruff/main/assets/badge/v2.json" alt="Ruff"></a>
+</p>
+
+<p align="center">
+  <a href="README.zh-TW.md">繁體中文</a> ·
+  <a href="docs/architecture.md">Architecture</a> ·
+  <a href="docs/adr/">Decisions</a> ·
+  <a href="CONTRIBUTING.md">Contributing</a>
+</p>
+
+<p align="center">
+  <img src="assets/trust-report.svg" width="820" alt="A QuantRail result opens with a trust report listing everything it could not verify">
+</p>
+
+> **Status:** early development (v0.x); APIs will change. Nothing here is investment advice.
+
+## Why QuantRail?
+
+Most backtests are easy to make look good and hard to trust:
+
+- positions are multiplied by adjusted returns, so dividends, splits and settlement are approximated or double-counted;
+- nobody records which data version, licence or availability time a result depended on;
+- the many variants tried before the "winner" are forgotten, so overfitting goes unmeasured.
+
+QuantRail is built around three pillars:
+
+| Pillar | What you get |
+| --- | --- |
+| **Data governance** | Versioned, hashed datasets with manifests: source, licence, price basis, point-in-time availability, quality checks. "Unknown" is allowed and reported, never hidden. |
+| **Ledger-accurate simulation** | Raw prices plus explicit events (fees, taxes, dividends, splits, settlement). Every day's change in wealth must reconcile. |
+| **Research discipline** | Append-only trial registry, frozen experiment contracts, sealed holdout data, and built-in paired block bootstrap, Holm correction, deflated Sharpe ratio and probability of backtest overfitting. |
+
+## Quickstart
+
+```python
+import tempfile
+
+import numpy as np
+import pandas as pd
+
+import quantrail as qr
+from quantrail.markets.generic import ProportionalCosts
+
+# Any price table you have: only a date and a close are required.
+days = pd.bdate_range("2024-01-01", periods=250)
+returns = np.random.default_rng(0).normal(0.0004, 0.01, 250)
+prices = pd.DataFrame({"date": days, "close": 100 * np.exp(np.cumsum(returns))})
+
+store = tempfile.mkdtemp()
+data = qr.ingest(prices, root=store, dataset_id="my-prices", version="v1", instrument="X:ABC")
+
+asset = qr.Instrument("X:ABC", "X", "equity", "USD")
+result = qr.backtest(data, instrument=asset, capital=10_000,
+                     costs=ProportionalCosts(commission_rate="0.001"))
+print(result.report())
+```
+
+The report starts with what QuantRail could not verify, because nothing was declared:
+
+```text
+Trust report:
+  [!] SOURCE_UNKNOWN: Data source is not recorded.
+  [!] LICENCE_UNKNOWN: Licence is unknown: private research only; ...
+  [!] PRICE_BASIS_UNKNOWN: Prices may be raw or adjusted; ...
+  [!] ACCOUNTING_APPROXIMATE: Ledger-accurate accounting needs raw prices plus dividend and split events.
+  [!] AVAILABILITY_UNVERIFIED: Availability time is not declared; ...
+  [!] NO_OPEN_PRICES: No open prices: next-open execution cannot be modelled.
+  [!] EXECUTION_NEXT_CLOSE_PROXY: No open prices: orders fill at the next session's close.
+  [i] CALENDAR_FROM_PRICES: Sessions are inferred from price dates; ...
+```
+
+Declare provenance (`qr.Provenance`), price basis and availability (`qr.Declaration`), add open prices and corporate actions, and the caveats disappear one by one.
+
+## Verified to the cent
+
+The engine and the Taiwan equity module were ported from a private research implementation and must reproduce it exactly. On eight years of a Taiwan ETF (1,953 sessions, 16 cash dividends, one 4-for-1 split and a trading suspension), QuantRail matches the daily net asset value of five reference runs with **zero difference**: buy-and-hold, and three rules that sell (87 sells with securities transaction tax, including runs with a no-trade band and with doubled slippage). Units, cash, receivables, payables, commission, tax and slippage all match.
+
+That reference was itself checked independently: its buy-and-hold ledger was reconciled against a total-return index, with every difference explained by cash drag, costs and timing, and against a second data source. The data is not distributed; [`tests/test_reference_parity.py`](tests/test_reference_parity.py) reruns the comparison when you point it at your own copy.
+
+## Markets
+
+| Module | Status | Covered | Not yet |
+| --- | --- | --- | --- |
+| `markets.tw_equity`: Taiwan equities and ETFs | Beta | T+2 settlement, commission with minimum fee, securities transaction tax as a sourced, effective-dated rule, cash dividends, splits, odd lots and board lots | Daily price limits, stock dividends ([#15](https://github.com/ting-hong-shieh/quantrail/issues/15)) |
+| `markets.generic`: any market | Available | Proportional commission with minimum, sell tax | Market-specific rules |
+| Crypto | Planned ([#5](https://github.com/ting-hong-shieh/quantrail/issues/5)) | | Spot, then perpetuals |
+
+QuantRail **ships no market data**. You bring your own, or fetch it with your own credentials from sources whose terms allow it. There is no broker connectivity or live trading in this repository.
+
+## Architecture
+
+<p align="center">
+  <img src="assets/architecture.svg" width="900" alt="Animated flow: your data passes through data governance and the engine into a result with a trust report; accounting and market modules light up as they support the engine, research and stats light up as they judge the result; core types underlie everything">
+</p>
+
+Read the [architecture](docs/architecture.md) and the [decision records](docs/adr/) for the reasoning.
+
+## Install
+
+Not yet on PyPI. For development:
+
+```bash
+git clone https://github.com/ting-hong-shieh/quantrail.git
+cd quantrail
+uv sync
+uv run pytest
+```
+
+## Contributing
+
+Correctness comes before features: accounting and statistics changes need tests with independently computed expectations. Every commit is signed off (DCO). See [CONTRIBUTING.md](CONTRIBUTING.md).
+
+## Licence
+
+Apache-2.0. See [LICENSE](LICENSE) and [NOTICE](NOTICE). Data you use with QuantRail remains subject to its own source's terms.

quantrail-0.1.0/README.md

@@ -0,0 +1,129 @@
+<p align="center">
+  <img src="assets/brand/quantrail-badge.svg" width="104" alt="QuantRail logo">
+</p>
+
+<h1 align="center">QuantRail</h1>
+
+<p align="center"><b>Every backtest lies a little. QuantRail tells you where.</b><br>
+Data governance · ledger-accurate simulation · research discipline</p>
+
+<p align="center">
+  <a href="https://github.com/ting-hong-shieh/quantrail/actions/workflows/ci.yml"><img src="https://github.com/ting-hong-shieh/quantrail/actions/workflows/ci.yml/badge.svg?branch=main" alt="CI"></a>
+  <img src="https://img.shields.io/badge/python-3.11%20%7C%203.12%20%7C%203.13-3776AB?logo=python&logoColor=white" alt="Python 3.11 | 3.12 | 3.13">
+  <a href="LICENSE"><img src="https://img.shields.io/badge/license-Apache--2.0-0F766E" alt="Apache-2.0"></a>
+  <img src="https://img.shields.io/badge/status-pre--alpha-F59E0B" alt="Status: pre-alpha">
+  <a href="https://github.com/astral-sh/ruff"><img src="https://img.shields.io/endpoint?url=https://raw.githubusercontent.com/astral-sh/ruff/main/assets/badge/v2.json" alt="Ruff"></a>
+</p>
+
+<p align="center">
+  <a href="README.zh-TW.md">繁體中文</a> ·
+  <a href="docs/architecture.md">Architecture</a> ·
+  <a href="docs/adr/">Decisions</a> ·
+  <a href="CONTRIBUTING.md">Contributing</a>
+</p>
+
+<p align="center">
+  <img src="assets/trust-report.svg" width="820" alt="A QuantRail result opens with a trust report listing everything it could not verify">
+</p>
+
+> **Status:** early development (v0.x); APIs will change. Nothing here is investment advice.
+
+## Why QuantRail?
+
+Most backtests are easy to make look good and hard to trust:
+
+- positions are multiplied by adjusted returns, so dividends, splits and settlement are approximated or double-counted;
+- nobody records which data version, licence or availability time a result depended on;
+- the many variants tried before the "winner" are forgotten, so overfitting goes unmeasured.
+
+QuantRail is built around three pillars:
+
+| Pillar | What you get |
+| --- | --- |
+| **Data governance** | Versioned, hashed datasets with manifests: source, licence, price basis, point-in-time availability, quality checks. "Unknown" is allowed and reported, never hidden. |
+| **Ledger-accurate simulation** | Raw prices plus explicit events (fees, taxes, dividends, splits, settlement). Every day's change in wealth must reconcile. |
+| **Research discipline** | Append-only trial registry, frozen experiment contracts, sealed holdout data, and built-in paired block bootstrap, Holm correction, deflated Sharpe ratio and probability of backtest overfitting. |
+
+## Quickstart
+
+```python
+import tempfile
+
+import numpy as np
+import pandas as pd
+
+import quantrail as qr
+from quantrail.markets.generic import ProportionalCosts
+
+# Any price table you have: only a date and a close are required.
+days = pd.bdate_range("2024-01-01", periods=250)
+returns = np.random.default_rng(0).normal(0.0004, 0.01, 250)
+prices = pd.DataFrame({"date": days, "close": 100 * np.exp(np.cumsum(returns))})
+
+store = tempfile.mkdtemp()
+data = qr.ingest(prices, root=store, dataset_id="my-prices", version="v1", instrument="X:ABC")
+
+asset = qr.Instrument("X:ABC", "X", "equity", "USD")
+result = qr.backtest(data, instrument=asset, capital=10_000,
+                     costs=ProportionalCosts(commission_rate="0.001"))
+print(result.report())
+```
+
+The report starts with what QuantRail could not verify, because nothing was declared:
+
+```text
+Trust report:
+  [!] SOURCE_UNKNOWN: Data source is not recorded.
+  [!] LICENCE_UNKNOWN: Licence is unknown: private research only; ...
+  [!] PRICE_BASIS_UNKNOWN: Prices may be raw or adjusted; ...
+  [!] ACCOUNTING_APPROXIMATE: Ledger-accurate accounting needs raw prices plus dividend and split events.
+  [!] AVAILABILITY_UNVERIFIED: Availability time is not declared; ...
+  [!] NO_OPEN_PRICES: No open prices: next-open execution cannot be modelled.
+  [!] EXECUTION_NEXT_CLOSE_PROXY: No open prices: orders fill at the next session's close.
+  [i] CALENDAR_FROM_PRICES: Sessions are inferred from price dates; ...
+```
+
+Declare provenance (`qr.Provenance`), price basis and availability (`qr.Declaration`), add open prices and corporate actions, and the caveats disappear one by one.
+
+## Verified to the cent
+
+The engine and the Taiwan equity module were ported from a private research implementation and must reproduce it exactly. On eight years of a Taiwan ETF (1,953 sessions, 16 cash dividends, one 4-for-1 split and a trading suspension), QuantRail matches the daily net asset value of five reference runs with **zero difference**: buy-and-hold, and three rules that sell (87 sells with securities transaction tax, including runs with a no-trade band and with doubled slippage). Units, cash, receivables, payables, commission, tax and slippage all match.
+
+That reference was itself checked independently: its buy-and-hold ledger was reconciled against a total-return index, with every difference explained by cash drag, costs and timing, and against a second data source. The data is not distributed; [`tests/test_reference_parity.py`](tests/test_reference_parity.py) reruns the comparison when you point it at your own copy.
+
+## Markets
+
+| Module | Status | Covered | Not yet |
+| --- | --- | --- | --- |
+| `markets.tw_equity`: Taiwan equities and ETFs | Beta | T+2 settlement, commission with minimum fee, securities transaction tax as a sourced, effective-dated rule, cash dividends, splits, odd lots and board lots | Daily price limits, stock dividends ([#15](https://github.com/ting-hong-shieh/quantrail/issues/15)) |
+| `markets.generic`: any market | Available | Proportional commission with minimum, sell tax | Market-specific rules |
+| Crypto | Planned ([#5](https://github.com/ting-hong-shieh/quantrail/issues/5)) | | Spot, then perpetuals |
+
+QuantRail **ships no market data**. You bring your own, or fetch it with your own credentials from sources whose terms allow it. There is no broker connectivity or live trading in this repository.
+
+## Architecture
+
+<p align="center">
+  <img src="assets/architecture.svg" width="900" alt="Animated flow: your data passes through data governance and the engine into a result with a trust report; accounting and market modules light up as they support the engine, research and stats light up as they judge the result; core types underlie everything">
+</p>
+
+Read the [architecture](docs/architecture.md) and the [decision records](docs/adr/) for the reasoning.
+
+## Install
+
+Not yet on PyPI. For development:
+
+```bash
+git clone https://github.com/ting-hong-shieh/quantrail.git
+cd quantrail
+uv sync
+uv run pytest
+```
+
+## Contributing
+
+Correctness comes before features: accounting and statistics changes need tests with independently computed expectations. Every commit is signed off (DCO). See [CONTRIBUTING.md](CONTRIBUTING.md).
+
+## Licence
+
+Apache-2.0. See [LICENSE](LICENSE) and [NOTICE](NOTICE). Data you use with QuantRail remains subject to its own source's terms.