StackOverFlow11 · StackOverFlow11 · Jun 11, 2026 · Jun 10, 2026 · Jun 11, 2026 · Jun 11, 2026
diff --git a/AGENTS.md b/AGENTS.md
@@ -116,6 +116,15 @@ data → universe → factors(特征) → alpha(合成/预测) → portfolio(+ri
     - `combo_ic_weighted` 是唯一跨 cell 稳定序列（test IC 3/3 正 + 3/3 sign consistent）但量级 ≈0.004~0.008 极小。
     - **关键负面发现**:ic_weighted 组合绩效不稳健——train→test 翻车形态出现在 **3 cells 中的 2 个**:SSE50|2020-2022 train **+7.09%→test −7.85%**、CSI300|2022-2024 train **+11.07%→test −17.74%**（sharpe +0.59→−1.01;CSI300 换手 1.2~1.6 成本拖累更重）。**凡 ic_weighted 样本内显著为正,样本外即翻负——典型过拟合签名;P3-2 的"跑赢"不能外推;微弱正 IC ≠ 净值赢。非收益声明。**
   - secret scan 报告 0 处;demo 0.96/0.84 不变。
-- ✅ 质量门：`pytest` **299 passed**（P0=97 / P1=78 / P2-1=22 / P2-2=22 / P2-3=14 / P2-4=8 / P3-1=10 / P3-2=18 / P3-3=16 / P3-4=14）；`ruff` clean；`validate-config`（旧 6 配置 + `phase3_real_robustness_matrix.yaml`）+ `run-phase0`（demo）均 OK。
-- ⚠️ 剩余（已显式披露）：日线 only、demo 路径非真数据、三因子组 IC 跨期翻号且 ic_weighted 宽 universe 样本外崩（P3-3/P3-4 实证——当前因子组不具备可交易信号强度）。
-- 路线图下一步：换/扩因子集（在既有验证框架下迭代）,或分钟级（architecture.html §11）。
+- 🔧 **Phase 3-5 factor candidate pack**（`p3-factor-candidate-pack` 分支,代劳待验收,**EXPLORATORY**）：保守日频 PIT-safe 候选因子组,经 P3-4 矩阵原样复检"弱信号是否只是因子集太窄"。不动 alpha/portfolio/execution/OOS/robustness、不调参。
+  - 新因子（`factors/compute/candidates.py`,数学/前导 NaN/未来扰动不变/跨 symbol 隔离/不可变全测试锁定）:`reversal_5/20`(=−momentum 复用同机器)/`volatility_20`(滚动收益 std,满窗)/`liquidity_20`(log 滚动均额,非正→NaN)/`overnight_mom_20`(Σlog(open_t/close_{t-1}) 20 日,open 当日开盘已知,prev close 不跨 symbol)/`value_ep`/`value_bp`(daily_basic pe/pb **一次 fetch** 取倒数,≤0→NaN,当日发布 PIT-safe)/`grossprofit_margin`(进 SUPPORTED_FIELDS,走既有 ann_date as-of)。
+  - dispatch（registry）扩展;**窗口名/params 不一致 → 可读报错**(绝不静默错标列);旧配置逐 bit 复现(demo 0.96/0.84 不变)。
+  - `config/phase3_real_factor_candidates.yaml`:旧三 + 候选八 = 11 因子,同 P3-4 矩阵形状(CSI300×2020-2022 显式 skip 披露);**旧 vs 新一跑读出**(raw IC 按列独立)。
+  - **真实矩阵（11 因子版 3 cells / 2h;旧三因子+前轮候选 per-cell IC 逐数不变=不漂移 smoke ✓;secret scan 0;一次 CSI300 网络故障后整 run 重跑成功）**:
+    - **"因子集太窄"假设获得支持**:`value_ep`/`value_bp` test IC **3/3 正、0.037~0.056**;`volatility_20` **3/3 负、−0.044~−0.079**(低波方向稳定)——比旧三因子(|IC|≤0.015)高一个量级且方向跨 cell 一致。liquidity 3/3 负但量级小;`overnight_mom_20` test IC 2/3 正(+0.008/+0.016,2020-22 为负)中等偏弱;reversal/grossprofit_margin 翻号无信号。
+    - `combo_ic_weighted` test IC **3/3 正 + 3/3 sign consistent**(0.0253/0.0012/0.0395)——walk-forward IC 加权吃到了新信号;11 因子**等权** combo 反被翻号因子稀释(IC 0/3 正,CSI300 test **−25.2%**)——等权对因子集质量敏感。
+    - 组合绩效:ic test −2.21%/−5.02%/−2.76%(**3/3 cells 跑赢等权**;CSI300 train +23.11%→test −2.76%,train→test 衰减仍显著)。
+    - ⚠️ **EXPLORATORY,非收益声明**:value/低波在 2020-2024 A 股是已知强势 regime;三 cells 窗口重叠非独立样本;未调参、未做成本敏感性。下一步候选:value+lowvol 子集独立复检。
+- ✅ 质量门：`pytest` **322 passed**（P0=97 / P1=78 / P2-1=22 / P2-2=22 / P2-3=14 / P2-4=8 / P3-1=10 / P3-2=18 / P3-3=16 / P3-4=15 / P3-5=22）；`ruff` clean；`validate-config`（旧 7 配置 + `phase3_real_factor_candidates.yaml`）+ `run-phase0`（demo）均 OK。
+- ⚠️ 剩余（已显式披露）：日线 only、demo 路径非真数据、旧三因子无信号（P3-3/P3-4 实证）;候选 value/低波信号为 EXPLORATORY 发现,待独立窗口/成本敏感性复检（P3-5）。
+- 路线图下一步：value+lowvol 子集独立复检 / 成本敏感性,或分钟级（architecture.html §11）。
diff --git a/CLAUDE.md b/CLAUDE.md
@@ -116,6 +116,15 @@ data → universe → factors(特征) → alpha(合成/预测) → portfolio(+ri
     - `combo_ic_weighted` 是唯一跨 cell 稳定序列（test IC 3/3 正 + 3/3 sign consistent）但量级 ≈0.004~0.008 极小。
     - **关键负面发现**:ic_weighted 组合绩效不稳健——train→test 翻车形态出现在 **3 cells 中的 2 个**:SSE50|2020-2022 train **+7.09%→test −7.85%**、CSI300|2022-2024 train **+11.07%→test −17.74%**（sharpe +0.59→−1.01;CSI300 换手 1.2~1.6 成本拖累更重）。**凡 ic_weighted 样本内显著为正,样本外即翻负——典型过拟合签名;P3-2 的"跑赢"不能外推;微弱正 IC ≠ 净值赢。非收益声明。**
   - secret scan 报告 0 处;demo 0.96/0.84 不变。
-- ✅ 质量门：`pytest` **299 passed**（P0=97 / P1=78 / P2-1=22 / P2-2=22 / P2-3=14 / P2-4=8 / P3-1=10 / P3-2=18 / P3-3=16 / P3-4=14）；`ruff` clean；`validate-config`（旧 6 配置 + `phase3_real_robustness_matrix.yaml`）+ `run-phase0`（demo）均 OK。
-- ⚠️ 剩余（已显式披露）：日线 only、demo 路径非真数据、三因子组 IC 跨期翻号且 ic_weighted 宽 universe 样本外崩（P3-3/P3-4 实证——当前因子组不具备可交易信号强度）。
-- 路线图下一步：换/扩因子集（在既有验证框架下迭代）,或分钟级（architecture.html §11）。
+- 🔧 **Phase 3-5 factor candidate pack**（`p3-factor-candidate-pack` 分支,代劳待验收,**EXPLORATORY**）：保守日频 PIT-safe 候选因子组,经 P3-4 矩阵原样复检"弱信号是否只是因子集太窄"。不动 alpha/portfolio/execution/OOS/robustness、不调参。
+  - 新因子（`factors/compute/candidates.py`,数学/前导 NaN/未来扰动不变/跨 symbol 隔离/不可变全测试锁定）:`reversal_5/20`(=−momentum 复用同机器)/`volatility_20`(滚动收益 std,满窗)/`liquidity_20`(log 滚动均额,非正→NaN)/`overnight_mom_20`(Σlog(open_t/close_{t-1}) 20 日,open 当日开盘已知,prev close 不跨 symbol)/`value_ep`/`value_bp`(daily_basic pe/pb **一次 fetch** 取倒数,≤0→NaN,当日发布 PIT-safe)/`grossprofit_margin`(进 SUPPORTED_FIELDS,走既有 ann_date as-of)。
+  - dispatch（registry）扩展;**窗口名/params 不一致 → 可读报错**(绝不静默错标列);旧配置逐 bit 复现(demo 0.96/0.84 不变)。
+  - `config/phase3_real_factor_candidates.yaml`:旧三 + 候选八 = 11 因子,同 P3-4 矩阵形状(CSI300×2020-2022 显式 skip 披露);**旧 vs 新一跑读出**(raw IC 按列独立)。
+  - **真实矩阵（11 因子版 3 cells / 2h;旧三因子+前轮候选 per-cell IC 逐数不变=不漂移 smoke ✓;secret scan 0;一次 CSI300 网络故障后整 run 重跑成功）**:
+    - **"因子集太窄"假设获得支持**:`value_ep`/`value_bp` test IC **3/3 正、0.037~0.056**;`volatility_20` **3/3 负、−0.044~−0.079**(低波方向稳定)——比旧三因子(|IC|≤0.015)高一个量级且方向跨 cell 一致。liquidity 3/3 负但量级小;`overnight_mom_20` test IC 2/3 正(+0.008/+0.016,2020-22 为负)中等偏弱;reversal/grossprofit_margin 翻号无信号。
+    - `combo_ic_weighted` test IC **3/3 正 + 3/3 sign consistent**(0.0253/0.0012/0.0395)——walk-forward IC 加权吃到了新信号;11 因子**等权** combo 反被翻号因子稀释(IC 0/3 正,CSI300 test **−25.2%**)——等权对因子集质量敏感。
+    - 组合绩效:ic test −2.21%/−5.02%/−2.76%(**3/3 cells 跑赢等权**;CSI300 train +23.11%→test −2.76%,train→test 衰减仍显著)。
+    - ⚠️ **EXPLORATORY,非收益声明**:value/低波在 2020-2024 A 股是已知强势 regime;三 cells 窗口重叠非独立样本;未调参、未做成本敏感性。下一步候选:value+lowvol 子集独立复检。
+- ✅ 质量门：`pytest` **322 passed**（P0=97 / P1=78 / P2-1=22 / P2-2=22 / P2-3=14 / P2-4=8 / P3-1=10 / P3-2=18 / P3-3=16 / P3-4=15 / P3-5=22）；`ruff` clean；`validate-config`（旧 7 配置 + `phase3_real_factor_candidates.yaml`）+ `run-phase0`（demo）均 OK。
+- ⚠️ 剩余（已显式披露）：日线 only、demo 路径非真数据、旧三因子无信号（P3-3/P3-4 实证）;候选 value/低波信号为 EXPLORATORY 发现,待独立窗口/成本敏感性复检（P3-5）。
+- 路线图下一步：value+lowvol 子集独立复检 / 成本敏感性,或分钟级（architecture.html §11）。
diff --git a/RUNBOOK.md b/RUNBOOK.md
@@ -348,6 +348,47 @@ stability, weight sign flips, fallback counts, boundary rebalances); and the
 explicit caveat that this is a stability check — NOT a return claim, not a
 tuned result.
 
+## Phase 3-5 — factor candidate pack (EXPLORATORY)
+
+Adds a conservative, daily, PIT-safe candidate factor pack and re-runs the
+P3-4 robustness matrix to test whether the legacy trio's weak signal was just
+a too-narrow factor set. **Exploratory — not tuned, not a return claim.** No
+alpha / portfolio / execution / OOS / robustness model change. Documented by
+`config/phase3_real_factor_candidates.yaml` (legacy trio + 8 candidates,
+same matrix shape as P3-4 incl. the disclosed CSI300×2020-2022 skip).
+
+```bash
+# validate (no network)
+... -m qt.cli validate-config        --config config/phase3_real_factor_candidates.yaml
+# run (network + token; HEAVY ~2-2.5h — CSI300 adds ~400 names × daily_basic pe/pb)
+... -m qt.cli run-phase3-robustness  --config config/phase3_real_factor_candidates.yaml
+```
+
+Candidates (all locked by unit tests for math, leading-window NaN,
+no-future-bars, per-symbol isolation, immutability):
+
+| Factor | Definition | PIT argument |
+|---|---|---|
+| `reversal_5/20` | −(close[t]/close[t−w] − 1) | exact negative of momentum (≤t bars) |
+| `volatility_20` | std of trailing 20 daily returns (ddof=1, full window) | ≤t bars |
+| `liquidity_20` | log(mean(amount, 20)) (non-positive → NaN) | same-day bar amount |
+| `overnight_mom_20` | Σ log(open[t]/close[t−1]) over 20d (non-positive → NaN) | open known at the t open; computed at the t close |
+| `value_ep` / `value_bp` | 1/pe, 1/pb from `daily_basic` (one fetch; ≤0 → NaN) | ratios published same-day |
+| `grossprofit_margin` | financial quality field | ann_date as-of (existing machinery) |
+
+Registry / dispatch: `_build_factors` resolves `reversal*` / `volatility*` /
+`liquidity*` / `overnight_mom*` / value fields / financial fields; window-named factors must agree
+with `params.window` (a mismatch is a readable config error, never a silent
+mislabel). Legacy configs are untouched and reproduce their numbers.
+
+Old-vs-new comparison reads off ONE run: raw-factor ICs are per-column (each
+factor's IC depends only on its own column + forward returns), so the legacy
+trio's per-cell ICs in the candidates run double as a no-drift cross-check
+against the P3-4 report, and the candidate ICs are directly comparable in the
+same report. Note `drop_missing` requires ALL enabled factors per name/date
+(e.g. a loss-maker's NaN `value_ep` drops it that day) — the combo legs are
+therefore NOT the P3-4 combos; disclosed.
+
 ## Quality gate
 
 ```bash

diff --git a/TEST_REPORT.md b/TEST_REPORT.md
@@ -1,4 +1,4 @@
-# TEST_REPORT — Phase 0 + Phase 1 + Phase 2 + Phase 3 (bias-boundary → execution realism → PIT industry → standard analytics → multi-factor → walk-forward IC alpha → OOS stability → robustness matrix)
+# TEST_REPORT — Phase 0 + Phase 1 + Phase 2 + Phase 3 (bias-boundary → execution realism → PIT industry → standard analytics → multi-factor → walk-forward IC alpha → OOS stability → robustness matrix → factor candidates)
 
 ## Commands
 
@@ -14,19 +14,20 @@ Run from the repo root with the project python (env `quant_mf`):
 /home/shaofl/Development/env_tools/envs/quant_mf/bin/python -m qt.cli validate-config --config config/phase3_real_ic_weighted.yaml
 /home/shaofl/Development/env_tools/envs/quant_mf/bin/python -m qt.cli validate-config --config config/phase3_real_oos_stability.yaml
 /home/shaofl/Development/env_tools/envs/quant_mf/bin/python -m qt.cli validate-config --config config/phase3_real_robustness_matrix.yaml
+/home/shaofl/Development/env_tools/envs/quant_mf/bin/python -m qt.cli validate-config --config config/phase3_real_factor_candidates.yaml
 /home/shaofl/Development/env_tools/envs/quant_mf/bin/python -m qt.cli run-phase0 --config config/example.yaml
 ```
 
 ## Results
 
 | Gate | Command | Result |
 |---|---|---|
-| Unit + integration | `pytest -q` | **299 passed, 0 failed** |
+| Unit + integration | `pytest -q` | **322 passed, 0 failed** |
 | Lint | `ruff check .` | **All checks passed** |
-| Config validation | `validate-config` (demo + `example_tushare.yaml` + `phase2_real_baseline.yaml` + `phase3_real_multifactor.yaml` + `phase3_real_ic_weighted.yaml` + `phase3_real_oos_stability.yaml` + `phase3_real_robustness_matrix.yaml`) | exit `0`, prints `OK` |
+| Config validation | `validate-config` (demo + `example_tushare.yaml` + `phase2_real_baseline.yaml` + `phase3_real_multifactor.yaml` + `phase3_real_ic_weighted.yaml` + `phase3_real_oos_stability.yaml` + `phase3_real_robustness_matrix.yaml` + `phase3_real_factor_candidates.yaml`) | exit `0`, prints `OK` |
 | End-to-end run | `run-phase0` (demo) | exit `0`, writes `artifacts/reports/phase0_summary.md` |
 
-Counts below are the actual per-file `pytest` numbers (sum = 299).
+Counts below are the actual per-file `pytest` numbers (sum = 322).
 
 ## Per-file breakdown — Phase 0 core (97)
 
@@ -123,7 +124,14 @@ Counts below are the actual per-file `pytest` numbers (sum = 299).
 | Test file | Tests | Red-line / feature |
 |---|---|---|
 | `test_robustness_matrix.py` | 14 | matrix config validation (universes/windows/unique labels, split-inside-window, unknown-skip + all-skipped ConfigErrors); cell enumeration excludes skips in config order; per-cell config derivation swaps ONLY the cell identity (incl. unique per-cell output_name; derived cell passes the shared OOS preconditions); cross-cell aggregation attributes strictly per cell (no mixing, no dilution); runner guards (demo source / missing robustness section / non-ic_weighted alpha); report renders cell labels + skipped-cell disclosure + boundary/fallback/sign-consistency + cross-cell summary + caveat + no secret |
-| **Total (P0 + P1 + P2-1..P2-4 + P3-1 + P3-2 + P3-3 + P3-4)** | **299** | |
+
+## Per-file breakdown — Phase 3-5 factor candidates (22 + 1 reworked)
+
+| Test file | Tests | Red-line / feature |
+|---|---|---|
+| `test_candidate_factors.py` | 22 | per-factor math vs manual references (reversal == −momentum, volatility rolling std, liquidity log-mean-amount, overnight Σlog(open/prev-close) incl. prev-close-never-crosses-symbols); leading-window NaN; future-bar perturbation invariance; per-symbol isolation; non-positive amount → NaN never −inf; missing-column readable errors; ValueFactor surfaces enriched column + rejects unknown fields; grossprofit_margin in SUPPORTED_FIELDS; dispatch builds every candidate + rejects name/params mismatch; value enrichment ONE fetch for both fields + 1/pe 1/pb math + non-positive guards + demo readable error + input immutability; demo e2e with price candidates (per-factor analytics, report, no secret); candidates config validates |
+| `test_multifactor_pipeline.py` (reworked 1) | — | duplicate-name test now uses a true duplicate spec (the new name/params-mismatch guard catches the old mislabel construction earlier) |
+| **Total (P0 + P1 + P2-1..P2-4 + P3-1..P3-5)** | **322** | |
 
 ## Real-data validation (manual, not in CI — TEST-002 keeps the suite network-free)
 
@@ -212,6 +220,13 @@ Counts below are the actual per-file `pytest` numbers (sum = 299).
   derive from the base with only the cell identity swapped; skipped cells are
   config-validated and disclosed (never silent); cross-cell aggregation is
   strictly per cell. Single-run `run-phase3-oos` behaviour is unchanged.
+- **P3-5 factor candidates (locked by tests):** conservative daily PIT-safe
+  candidates (reversal_5/20, volatility_20, liquidity_20, overnight_mom_20, value_ep/bp via one
+  daily_basic fetch with non-positive guards, grossprofit_margin via the
+  existing ann_date machinery). The dispatch rejects a window-name/params
+  mismatch; legacy configs reproduce their numbers (demo ic 0.96 / annual
+  0.84 unchanged). EXPLORATORY — validated through the unchanged P3-4
+  robustness matrix; not tuned, not a return claim.
 - A duplicate test-function name across two files was found and renamed during P2-2
   (it had been silently shadowing one test in the full-suite run). A second, harmless
   duplicate (`test_enrich_does_not_mutate_input` in two files) was verified NOT to drop