feat: add Baostock A-share data source + validation report (25 stocks, 2021-2024)

docs/validation_baostock_20260716.md

@@ -0,0 +1,58 @@
+# Baostock A-Share Public-Data Validation Report
+
+> 2026-07-16 · Windows 11 · PyTorch 2.13.0+cpu · Python 3.12.7
+
+## Command
+
+```bash
+python scripts/public_data_validation.py \
+  --source baostock \
+  --preset cn-large-25 \
+  --max-tickers 25 \
+  --cost-grid-bps 0,7,15,30 \
+  --bootstrap-samples 100
+```
+
+## Environment
+
+| Item | Value |
+|------|-------|
+| OS | Windows 11 (10.0.26100) |
+| Python | 3.12.7 |
+| PyTorch | 2.13.0+cpu |
+| CUDA | Not available |
+
+## Data Coverage
+
+| Field | Value |
+|------|-------|
+| Source | baostock |
+| Tickers | 25 (SSE 15 + SZSE 10 A-share blue chips) |
+| Date range | 2021-01-04 to 2024-12-31 |
+| Trading days | 969 |
+| Tradable ratio | 100% (all 25 tickers downloaded successfully) |
+| Stocks with no data | none |
+
+## Results (7 bps effective cost)
+
+| strategy | ann_return | sharpe | max_dd | turnover | cost_drag |
+| --- | ---: | ---: | ---: | ---: | ---: |
+| equal_weight | +1.7% | 0.18 | 28.8% | 0.001 | 0.07% |
+| momentum_20 | +0.2% | 0.14 | 41.6% | 0.179 | 24.2% |
+| alpha101_mean | −23.2% | −1.02 | 73.1% | 0.533 | 72.2% |
+| mlp_alpha101 | −11.9% | −0.81 | 53.5% | 0.272 | 36.8% |
+| transformer_alpha101 | −6.0% | −0.38 | 35.3% | 0.282 | 38.2% |
+
+All strategies negative or flat — consistent with A-share market conditions over 2021–2025.
+
+## Cost sensitivity
+
+At 30 bps, high-turnover strategies suffer disproportionately:
+- alpha101_mean Sharpe drops from −0.21 (0 bps) → −3.62 (30 bps), cost drag 309%
+- equal_weight Sharpe barely moves (0.185 → 0.182), cost drag only 0.3%
+
+Bootstrap CIs (100 samples, block 20 days) included for all scenarios.
+
+## Key packages
+
+numpy==2.4.4 · pandas==3.0.2 · scipy==1.17.1 · scikit-learn==1.8.0 · torch==2.13.0+cpu · cvxpy==1.9.2 · scs==3.2.11 · click==8.4.1 · baostock==00.9.10

scripts/public_data_validation.py

@@ -60,10 +60,21 @@
     "EWT", "EWJ", "EWG", "EWU", "FXI", "MCHI", "INDA", "EWZ", "EWW", "EWC",
 )
 
+CN_LARGE_25 = (
+    "sh.600000", "sh.600036", "sh.600519", "sh.600585", "sh.600809",
+    "sh.600887", "sh.601012", "sh.601088", "sh.601166", "sh.601318",
+    "sh.601398", "sh.601668", "sh.601857", "sh.601888", "sh.601899",
+    "sz.000001", "sz.000002", "sz.000333", "sz.000651", "sz.000858",
+    "sz.002415", "sz.002594", "sz.300750", "sz.300059", "sz.300124",
+)
+
 PRESETS = {
     "us-large-100": US_LARGE_100,
     "etf-50": ETF_50,
     "mixed-150": US_LARGE_100 + ETF_50,
+    "cn-large-25": CN_LARGE_25,
+    "etf-50": ETF_50,
+    "mixed-150": US_LARGE_100 + ETF_50,
 }
 
 DEFAULT_MODELS = ("equal_weight", "momentum_20", "alpha101_mean", "mlp_alpha101", "transformer_alpha101")
@@ -139,7 +150,7 @@ def _select_tickers(preset: str, tickers: str, max_tickers: int) -> tuple[str, .
 
 
 def load_validation_panel(cfg: ValidationConfig) -> Panel:
-    """Load either a public yfinance panel or a deterministic synthetic panel."""
+    """Load a public-data, Baostock A-share, or deterministic synthetic panel."""
     if cfg.source == "synthetic":
         return make_synthetic_panel(
             SyntheticConfig(
@@ -149,6 +160,14 @@ def load_validation_panel(cfg: ValidationConfig) -> Panel:
                 device=cfg.device,
             )
         )
+    if cfg.source == "baostock":
+        return make_panel(
+            source="baostock",
+            tickers=cfg.tickers,
+            start=cfg.start,
+            end=cfg.end,
+            device=cfg.device,
+        )
     return make_panel(
         source="yfinance",
         tickers=cfg.tickers,
@@ -728,7 +747,7 @@ def _write_outputs(
 
 
 @click.command()
-@click.option("--source", type=click.Choice(["yfinance", "synthetic"]), default="yfinance", show_default=True)
+@click.option("--source", type=click.Choice(["yfinance", "synthetic", "baostock"]), default="yfinance", show_default=True)
 @click.option("--preset", type=click.Choice(sorted(PRESETS)), default="us-large-100", show_default=True)
 @click.option("--tickers", default="", help="Comma-separated tickers. Overrides --preset.")
 @click.option("--start", default="2021-01-01", show_default=True)