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feat: 引入 FactorMiner 开源量化因子挖掘项目

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liaozhaorun
2026-04-07 20:41:10 +08:00
parent 161b7cc690
commit dadf8da145
133 changed files with 94588 additions and 0 deletions
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8
src/factorminer/output/checkpoint/helix_state.json Normal file
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{
"no_admission_streak": 1,
"forgetting_lambda": 0.95,
"canonicalize": false,
"enable_knowledge_graph": false,
"enable_embeddings": false,
"enable_auto_inventor": false
}

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src/factorminer/output/checkpoint/library.json Normal file
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{
"correlation_threshold": 0.5,
"ic_threshold": 0.04,
"next_id": 1,
"factors": [],
"id_to_index": {}
}

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src/factorminer/output/checkpoint/library_signals.npz Normal file
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src/factorminer/output/checkpoint/loop_state.json Normal file
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{
"iteration": 1,
"library_size": 0,
"memory_version": 1,
"budget": {
"llm_calls": 1,
"llm_prompt_tokens": 0,
"llm_completion_tokens": 0,
"compute_seconds": 0.008219003677368164,
"max_llm_calls": 0,
"max_wall_seconds": 0
}
}

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src/factorminer/output/checkpoint/memory.json Normal file
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{
"state": {
"library_size": 0,
"recent_admissions": [],
"recent_rejections": [
{
"factor_id": "momentum_reversal",
"formula": "Neg(CsRank(Delta($close, 5)))",
"reason": "Signal computation error: Expression evaluation failed for 'Neg(CsRank(Delta($close, 5)))': \"Feature '$close' not found in data. Available: ['$high', '$low', '$open']\"",
"max_correlation": 0.0,
"batch": 1
},
{
"factor_id": "volume_surprise",
"formula": "CsZScore(Div(Sub($volume, Mean($volume, 20)), Std($volume, 20)))",
"reason": "Signal computation error: Expression evaluation failed for 'CsZScore(Div(Sub($volume, Mean($volume, 20)), Std($volume, 20)))': \"Feature '$volume' not found in data. Available: ['$high', '$low', '$open']\"",
"max_correlation": 0.0,
"batch": 1
},
{
"factor_id": "price_range_ratio",
"formula": "Div(Sub($high, $low), Add($high, $low))",
"reason": "ICIR -0.3679 < threshold 0.5",
"max_correlation": 0.0,
"batch": 1
},
{
"factor_id": "vwap_deviation",
"formula": "CsRank(Div(Sub($close, $vwap), $vwap))",
"reason": "Signal computation error: Expression evaluation failed for 'CsRank(Div(Sub($close, $vwap), $vwap))': \"Feature '$close' not found in data. Available: ['$high', '$low', '$open']\"",
"max_correlation": 0.0,
"batch": 1
},
{
"factor_id": "return_skew",
"formula": "Neg(Skew($returns, 20))",
"reason": "Signal computation error: Expression evaluation failed for 'Neg(Skew($returns, 20))': \"Feature '$returns' not found in data. Available: ['$high', '$low', '$open']\"",
"max_correlation": 0.0,
"batch": 1
}
],
"domain_saturation": {
"Other": 0.0
},
"admission_log": [
{
"batch": 1,
"admitted": 0,
"rejected": 5,
"admission_rate": 0.0
}
]
},
"success_patterns": [],
"forbidden_directions": [],
"insights": [
{
"insight": "Current direction is exhausted, need to pivot to new operator combinations",
"evidence": "Batch 1: only 0/5 admitted (0%)",
"batch_source": 1
}
],
"version": 1
}

56
src/factorminer/output/checkpoint/session.json Normal file
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{
"session_id": "20260319_125236",
"config": {
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"ic_threshold": 0.04,
"icir_threshold": 0.5,
"correlation_threshold": 0.5,
"replacement_ic_min": 0.1,
"replacement_ic_ratio": 1.3,
"fast_screen_assets": 100,
"num_workers": 40,
"output_dir": "./output",
"gpu_device": "cuda:0",
"backend": "numpy",
"signal_failure_policy": "reject"
},
"output_dir": "./output",
"start_time": "2026-03-19T12:52:36.633890",
"end_time": "",
"status": "running",
"total_iterations": 1,
"last_library_size": 0,
"library_path": "output/checkpoint/library",
"memory_path": "output/checkpoint/memory.json",
"iterations": [
{
"iteration": 1,
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},
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"timestamp": "2026-03-19T12:52:36.643364"
}
]
}

13
src/factorminer/output/factor_library.json Normal file
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{
"factors": [],
"diagnostics": {
"size": 0,
"category_counts": {},
"category_avg_ic": {},
"avg_correlation": 0.0,
"max_correlation": 0.0,
"p95_correlation": 0.0,
"saturation": 0.0
},
"exported_at": "2026-03-19T12:52:36.644886"
}

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src/factorminer/output/factor_library_signals.npz Normal file
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src/factorminer/output/mining_batches.jsonl Normal file
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{"iteration": 1, "timestamp": 1773477526.066545, "candidates": 5, "parse_ok": 5, "ic_passed": 5, "corr_passed": 5, "dedup_rejected": 0, "admitted": 5, "replaced": 0, "yield_rate": 1.0, "library_size": 5, "avg_correlation": 0.2623346320346321, "max_correlation": 0.298030303030303, "elapsed_seconds": 0.10055804252624512, "budget": {"llm_calls": 1, "llm_prompt_tokens": 0, "llm_completion_tokens": 0, "total_tokens": 0, "compute_seconds": 0.1, "wall_elapsed_seconds": 0.1}, "candidates_before_canon": 5, "canonical_duplicates_removed": 0, "phase2_rejections": 0}
{"iteration": 1, "timestamp": 1773477755.797867, "candidates": 10, "parse_ok": 10, "ic_passed": 10, "corr_passed": 10, "dedup_rejected": 0, "admitted": 10, "replaced": 0, "yield_rate": 1.0, "library_size": 10, "avg_correlation": 0.08229167554572003, "max_correlation": 0.08785380491108624, "elapsed_seconds": 5.2690980434417725, "budget": {"llm_calls": 1, "llm_prompt_tokens": 0, "llm_completion_tokens": 0, "total_tokens": 0, "compute_seconds": 5.27, "wall_elapsed_seconds": 5.27}}
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{"iteration": 0, "timestamp": 1773837779.8627899, "candidates": 5, "parse_ok": 5, "ic_passed": 5, "corr_passed": 5, "dedup_rejected": 0, "admitted": 4, "replaced": 0, "yield_rate": 0.8, "library_size": 4, "avg_correlation": 0.28019336219336216, "max_correlation": 0.32299999999999995, "elapsed_seconds": 0.6378562450408936, "budget": {"llm_calls": 1, "llm_prompt_tokens": 0, "llm_completion_tokens": 0, "total_tokens": 0, "compute_seconds": 0.64, "wall_elapsed_seconds": 0.64}, "candidates_before_canon": 5, "canonical_duplicates_removed": 0, "phase2_rejections": 1}
{"iteration": 1, "timestamp": 1773837972.704556, "candidates": 10, "parse_ok": 10, "ic_passed": 10, "corr_passed": 10, "dedup_rejected": 2, "admitted": 8, "replaced": 0, "yield_rate": 0.8, "library_size": 8, "avg_correlation": 0.10182961052044943, "max_correlation": 0.39296715271527166, "elapsed_seconds": 4.576587915420532, "budget": {"llm_calls": 1, "llm_prompt_tokens": 0, "llm_completion_tokens": 0, "total_tokens": 0, "compute_seconds": 4.58, "wall_elapsed_seconds": 4.58}}
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56
src/factorminer/output/session.json Normal file
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@@ -0,0 +1,56 @@
{
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73
src/factorminer/output/session_log.json Normal file
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{
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"timestamp": 1773921156.6433449
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