Remove next-day availability lookahead from public validation

CHANGELOG.md

@@ -2,6 +2,18 @@
 
 ## Unreleased
 
+### Public validation: signal-date availability
+
+- The generic and full AkShare validation scripts now select portfolios and
+  predict scores using signal-date availability. Previously they also required
+  next-day availability, so a known future halt or missing row changed today's
+  holdings. Historical training labels and trailing IC estimates still require
+  observations on both dates.
+- New validation metadata records `availability_protocol`. Reports made with
+  v0.4.1 or earlier need revalidation; changing the selection mask can change
+  weights, turnover, and net performance. This is a causality fix, not alpha
+  evidence or a halt-aware execution model.
+
 ### Markowitz optimiser: DPP form, reliability, and caching
 
 - The risk term is now `sum_squares(F.T @ w)` with `Sigma = F F^T` instead of

README.md

@@ -154,7 +154,9 @@ Archived public-data snapshot (2026-07-29, before v0.4.1):
 
 **The numbers below predate the v0.4.1 mask-first and halt-safe return fixes.**
 They remain historical records and have not been revalidated with the corrected
-protocol. Re-run with v0.4.1 or later before drawing conclusions. The detailed
+protocol. The [October 17 audit](docs/audits/public-revalidation-20261017/README.md)
+also found next-day availability entering portfolio selection through v0.4.1;
+revalidation requires that correction too. The detailed
 dashboard includes the protocol note, cost-sensitivity charts, and reproduction
 commands.
 

README.zh-CN.md

@@ -79,7 +79,9 @@ Demo 跑通后，可以继续[查看 benchmark](docs/benchmark_board.md)或
 ## 归档公开验证（2026-07-29）
 
 **以下数字生成于 v0.4.1 修复前，尚未用修正后的 mask-first 与停牌收益口径重新验证。**
-保留原始报告便于审计；不能把这些数字当作当前版本的验证结果。请使用 v0.4.1 或更新版本重跑。
+保留原始报告便于审计；不能把这些数字当作当前版本的验证结果。
+[10 月 17 日审计](docs/audits/public-revalidation-20261017/README.md)还发现 v0.4.1 及之前的
+公开验证用次日可用性决定当天选股，重跑也需要包含该修复。
 
 归档结果采用 AkShare 的当前沪深 300 公开数据，在日频 213 因子近似流程中显式计入换手和交易成本。缓冲因子组合在 7 bps 有效成本假设下得到 22.20% 年化收益、0.919 Sharpe；同区间等权基线为 17.75% 和 0.882。完整口径、成本敏感性图和复现命令见[验证看板](docs/validation_dashboard.md)。
 

docs/audits/public-revalidation-20261017/README.md

@@ -0,0 +1,121 @@
+# Signal-Date Causality Audit and Public-Data Blocker — 2026-10-17
+
+**The public validation scripts used tomorrow's data availability to decide
+today's holdings.** This audit fixes that lookahead in both validation paths.
+The planned AkShare revalidation did not reach a backtest: both predeclared
+single-symbol probes failed with upstream disconnects. No new public-market
+performance result is claimed.
+
+This bundle distinguishes synthetic engineering evidence from the public-data
+failure. Neither supports investment or deployable-alpha claims. The original
+proprietary paper experiment was not run or evaluated here.
+
+## Scope and provenance
+
+- Base main: `ccdcf16a7c0768dbb31fa22f91ae02b692f0fd9b`.
+- Corrected code: `3443987fcabdf1c46d198bfa7a878bd4e938a0a0`.
+- Scope was recorded before data requests in [plan.md](plan.md).
+- Exact commands: [commands.txt](commands.txt).
+- Environment: [environment.json](environment.json),
+  [pip-freeze.txt](pip-freeze.txt). CPU: Apple M5, 10 logical CPUs, 32 GiB RAM;
+  macOS 26.6.2 arm64, Python 3.12.14, PyTorch 2.14.1, AkShare 1.19.1. CPU runs;
+  CUDA unavailable, MPS available but unused.
+- Provider probes used the base plus the candidate patch; the fix was committed
+  before final verification. Evidence scripts were untracked during the runs.
+- Bundle integrity: [checksums.txt](checksums.txt). Traceback repository paths
+  are redacted to `<repo>` and trailing whitespace is stripped; error messages
+  and test failures remain intact.
+
+## The causality issue
+
+`_valid_forward_mask` correctly requires observations at `t` and `t+1` to build
+a historical training label. Both `run_validation` and `run_full_pipeline` also
+used it for portfolio eligibility and out-of-sample inference. Consequently, a
+stock absent tomorrow was excluded today even though it was observed today.
+
+The correction uses signal-date availability after the limit mask and factor
+warm-up checks for selection and inference. Historical training labels and
+trailing IC estimates retain their separate forward-label mask. New report
+metadata records `availability_protocol`. No change to the proprietary paper
+results is asserted; this finding concerns the public Python validation paths.
+
+## Synthetic regression evidence
+
+Two tests were run with the base script sources and failed because the stock's
+weight was zero immediately before its future halt. The same tests pass with
+the correction. [old-code-regressions.txt](old-code-regressions.txt) preserves
+both assertion failures. Additional tests verify that MLP inference still scores
+an observed pre-halt row without training on missing labels, and that trailing
+IC ignores unavailable labels while scoring today's universe.
+
+The [same-input comparison](same-input-comparison.json), generated by
+[compare_signal_masks.py](compare_signal_masks.py), runs both script versions
+on one fixed synthetic panel: 90 dates, 12 stocks, seed 3, with a zero-filled
+halt at row 31 for stock 0. Its field-byte fingerprint is in the JSON.
+
+| Equal-weight position | Before correction | After correction |
+|---|---:|---:|
+| Row 30, immediately before the halt | 0 | 1/12 |
+| Row 31, the observed halt | 0 | 0 |
+
+The desired property is that tomorrow's missing observation does not determine
+today's portfolio. The same-input example changes net returns and turnover in
+both directions across the simple strategies; improvement in return is not the
+acceptance criterion. The generated numbers use 5 bps costs plus 2 bps slippage,
+daily cadence, and 100 moving-block bootstrap samples with 20-day blocks. They
+are synthetic engineering diagnostics, not predictive evidence.
+
+Verification at the corrected code commit:
+
+- Full suite: **143 passed**, [pytest.txt](pytest.txt).
+- Ruff: passed, [ruff.txt](ruff.txt).
+- `mlquant demo`: completed on CPU using synthetic data; 200 held-out dates at
+  5 bps costs. Its artifacts stay under `artifacts/small/`; no performance
+  claim is drawn from them.
+- The generated corrected synthetic report passed the existing report audit:
+  [report-audit.json](report-audit.json). This quality check is not a profitability
+  test.
+- `git diff --check`: passed.
+
+## Public-data failure, kept separately
+
+The predeclared first step was one AkShare request each for `600519` and
+`000001`, forward-adjusted (`qfq`), daily, 2021-01-01 through 2025-01-01,
+`retries=1`. [provider_probe.py](provider_probe.py) preserves the probe source;
+[provider-probe.json](provider-probe.json) records timestamps and wall times,
+and [provider-probe.txt](provider-probe.txt) preserves loader warnings and errors.
+
+| Symbol | Start, Asia/Shanghai | Outcome |
+|---|---|---|
+| `600519` | 2026-10-17 11:16:12 | Remote end closed the connection; no data returned |
+| `000001` | 2026-10-17 11:16:14 | Remote end closed the connection; no data returned |
+
+The loader surfaced `ValueError: No data returned`, following
+`RemoteDisconnected('Remote end closed connection without response')` warnings.
+The cause beyond the observed disconnect is unknown; no HTTP 429 is asserted.
+No panel was generated, so there is no public-data fingerprint, coverage audit,
+portfolio, or new Sharpe estimate. Cost assumptions are not applicable to these
+download-only probes. The planned expanded run's 7 bps assumption was not used.
+No alternative provider or synthetic fallback was relabeled as public data.
+
+## What remains unvalidated
+
+- July 2026 A-share reports predate the mask-first/halt-safe fixes and this
+  availability correction. They are preserved with explicit protocol notes.
+- Their normalized input panel is unavailable in this workspace. A fresh
+  provider download cannot isolate code changes from provider revisions,
+  constituent changes, or environment differences. The predeclared 20-name
+  diagnostic would not be the July 300-name reproduction.
+- The engine still simplifies execution across halts and limits. A missing-day
+  forced exit or an infeasible trade is not modeled as a real exchange fill;
+  this correction removes selection lookahead, not execution risk.
+- All-factor joint-mask coverage, MLP portfolio coverage, and equal evaluation
+  windows need measurement on real input before interpreting comparative returns.
+- Public data remains subject to adjustments, survivorship bias, ST/IPO limit
+  metadata gaps, revisions, and access failures. A tradability proxy does not
+  replace licensed point-in-time data.
+
+The next data run should use the fixed scope in [plan.md](plan.md), preserve
+normalized-input hashes, coverage, warnings and cost assumptions, and apply
+the corrected code. The [validation dashboard](../../validation_dashboard.md)
+continues to show archived evidence while that rerun is blocked by data access.

docs/audits/public-revalidation-20261017/checksums.txt

@@ -0,0 +1,14 @@
+add6f432fb0c4c1aeb362589835ca95f569d580770cd9ad4c739776f5ec5cf56  README.md
+176b19059aca9b51e6f66120d1a15eeb36f560ca57e701d7088e93f003fb007e  commands.txt
+6b9d8ef1b33afe1dd2bccc1414e5af8f05d1ac02a7d878ef7e330d61a9dd686a  compare_signal_masks.py
+eb8aa9ae8580c0ae7e2a2122d553daf5f9a5108e3f311b92dea4c1fa045f51f5  environment.json
+72bc96838ebef7d2f8313a97f8102e928dc8d2825a3c6eb53bfe48b94a0b6f86  old-code-regressions.txt
+94a93d9356993469a3998a826f4071135a077b3551160f18bb940a6a2923102a  pip-freeze.txt
+50303cc1338ca2e1aa8f5f81c76f23b44851d732506558b7e39e6ca96e558c8e  plan.md
+8ae9b46dd96cece8f0554e24f8a5f50b4e178f2b79bae984a54233c7ceb25051  provider-probe.json
+204a0c0e4d4309441a326134f2b4ba7736b31450ac2dffd8da47d61b8a6ff28f  provider-probe.txt
+0f603a2ddbb5c85d57444971425b29c39d39f8844752094c7f9ee9d396d15af7  provider_probe.py
+765605818743ce3b523153f5fd32b74a3a1188f805bff25debee1ada8042abcf  pytest.txt
+f555ab552d0ccd7e557dc81d9c34f6797d26fb4fa8d8b5361e0c17ce51dd3be6  report-audit.json
+82b3e6a6c090a57601d22943bd23fca9218d1031dbe5a7b754092f9a156b4f18  ruff.txt
+7fad8c060e1f2a28eb864b163ec90c9af1ff63dbc10f4ce87701bb1f9fe54f98  same-input-comparison.json

docs/audits/public-revalidation-20261017/commands.txt

@@ -0,0 +1,19 @@
+Install:
+/Users/duyimin/.cache/codex-runtimes/codex-primary-runtime/dependencies/python/bin/python3 -m venv .venv
+.venv/bin/python -m pip install -e '.[dev]'
+.venv/bin/python -m pip freeze
+
+Provider probe (source saved in provider_probe.py; original execution used the same code on stdin):
+.venv/bin/python -u docs/audits/public-revalidation-20261017/provider_probe.py
+
+Old-code regressions (public validation script sources temporarily loaded from base ccdcf16; corrected sources restored before validation):
+.venv/bin/python -m pytest tests/test_public_data_validation.py::test_signal_weights_do_not_use_tomorrows_availability tests/test_akshare_csi300_full_pipeline.py::test_full_pipeline_separates_signal_and_forward_label_masks -q
+
+Corrected verification at 3443987:
+OMP_NUM_THREADS=1 OPENBLAS_NUM_THREADS=1 .venv/bin/python -m pytest
+.venv/bin/python -m ruff check src tests scripts/public_data_validation.py scripts/akshare_csi300_full_pipeline.py
+OMP_NUM_THREADS=1 OPENBLAS_NUM_THREADS=1 .venv/bin/mlquant demo
+OMP_NUM_THREADS=1 OPENBLAS_NUM_THREADS=1 .venv/bin/python docs/audits/public-revalidation-20261017/compare_signal_masks.py
+.venv/bin/python scripts/audit_validation_report.py artifacts/revalidation-20261017/corrected/summary.json --output-md artifacts/revalidation-20261017/report-audit.md --output-json artifacts/revalidation-20261017/report-audit.json
+
+git diff --check

docs/audits/public-revalidation-20261017/compare_signal_masks.py

@@ -0,0 +1,95 @@
+"""Offline same-input comparison; synthetic engineering evidence only.
+
+Run from the repository root:
+    .venv/bin/python docs/audits/public-revalidation-20261017/compare_signal_masks.py
+"""
+from dataclasses import replace
+import hashlib
+import json
+from pathlib import Path
+import subprocess
+import sys
+import types
+
+import torch
+
+ROOT = Path(__file__).resolve().parents[3]
+sys.path.insert(0, str(ROOT))
+sys.path.insert(0, str(ROOT / 'src'))
+from mlquant.data.synthetic import SyntheticConfig, make_synthetic_panel
+import scripts.public_data_validation as corrected
+
+BASE = 'ccdcf16a7c0768dbb31fa22f91ae02b692f0fd9b'
+OUT = ROOT / 'artifacts/revalidation-20261017'
+OUT.mkdir(parents=True, exist_ok=True)
+torch.set_num_threads(1)
+torch.set_num_interop_threads(1)
+source = subprocess.check_output(
+    ['git', 'show', f'{BASE}:scripts/public_data_validation.py'], cwd=ROOT, text=True,
+)
+old = types.ModuleType('archived_validation')
+old.__file__ = str(ROOT / 'scripts/public_data_validation.py')
+sys.modules[old.__name__] = old
+exec(compile(source, old.__file__, 'exec'), old.__dict__)
+
+# A stock is observed today but is halted tomorrow. Zero-filled data on the
+# halt day mirrors loader behavior; both versions receive this identical panel.
+panel = make_synthetic_panel(SyntheticConfig(n_dates=90, n_stocks=12, halt_prob=0, seed=3))
+mask = panel.mask.clone()
+mask[31, 0] = False
+fields = {name: getattr(panel, name).masked_fill(~mask, 0)
+          for name in ('open', 'high', 'low', 'close', 'volume', 'vwap', 'amount')}
+panel = replace(panel, mask=mask, **fields)
+panel.assert_consistent()
+raw_mask = panel.mask.clone()
+hash_state = hashlib.sha256()
+for name in ('open', 'high', 'low', 'close', 'volume', 'vwap', 'amount', 'mask'):
+    hash_state.update(name.encode())
+    hash_state.update(getattr(panel, name).numpy().tobytes())
+
+result = {
+    'category': 'synthetic engineering comparison; no predictive or investment evidence',
+    'base_commit': BASE,
+    'corrected_commit': subprocess.check_output(['git', 'rev-parse', 'HEAD'], cwd=ROOT, text=True).strip(),
+    'synthetic_config': {'n_dates':90, 'n_stocks':12, 'seed':3, 'halt_prob':0},
+    'perturbation': 'zero-filled halt at date index 31, stock index 0',
+    'panel_hash_method': 'SHA-256 over field names and C-order tensor bytes for open/high/low/close/volume/vwap/amount/mask',
+    'panel_sha256': hash_state.hexdigest(),
+    'threads': {'torch':1,'interop':1},
+    'costs_bps':5, 'slippage_bps':2,
+    'versions': {},
+}
+for label, module in (('old', old), ('corrected', corrected)):
+    module.load_validation_panel = lambda cfg: panel
+    captured = {}
+    summarise = module._summarise_strategy
+
+    def capture(name, weights, returns, _captured=captured, _summarise=summarise, **kwargs):
+        _captured[name] = weights.copy()
+        return _summarise(name, weights, returns, **kwargs)
+
+    module._summarise_strategy = capture
+    cfg = module.ValidationConfig(
+        source='synthetic', preset='us-large-100', tickers=(), start='2021-01-01',
+        end='2022-01-01', max_tickers=12, device='cpu', costs_bps=5, slippage_bps=2,
+        cost_grid_bps=(0,7,15,30), bootstrap_samples=100, bootstrap_block_size=20,
+        train_window=40, test_window=20, step=20, top_quantile=0.25, seed=3,
+        epochs=1, batch_size=128, hidden=16,
+        models=('equal_weight','momentum_20','alpha101_mean'),
+        output_dir=OUT / label, synthetic_dates=90, synthetic_stocks=12,
+        command=(sys.executable, str(Path(__file__).relative_to(ROOT))),
+    )
+    rows = module.run_validation(cfg)
+    result['versions'][label] = {
+        'equal_weight_before_halt': float(captured['equal_weight'][30,0]),
+        'equal_weight_on_halt': float(captured['equal_weight'][31,0]),
+        'results': rows,
+    }
+    module._summarise_strategy = summarise
+    assert torch.equal(panel.mask,raw_mask)
+assert result['versions']['old']['equal_weight_before_halt'] == 0
+assert result['versions']['corrected']['equal_weight_before_halt'] > 0
+assert result['versions']['corrected']['equal_weight_on_halt'] == 0
+(OUT / 'same-input-comparison.json').write_text(json.dumps(result, indent=2) + '\n')
+print(json.dumps({version:{key:row[key] for key in ('equal_weight_before_halt','equal_weight_on_halt')}
+                  for version,row in result['versions'].items()},indent=2))

docs/audits/public-revalidation-20261017/environment.json

@@ -0,0 +1,38 @@
+{
+  "base_commit": "ccdcf16a7c0768dbb31fa22f91ae02b692f0fd9b",
+  "working_tree_dirty": true,
+  "python": "3.12.14 (main, Aug 25 2026, 13:50:33) [Clang 22.1.3 ]",
+  "pytorch": "2.14.1",
+  "akshare": "1.19.1",
+  "platform": "macOS-26.6.2-arm64-arm-64bit",
+  "machine": "arm64",
+  "cpu": "Apple M5",
+  "logical_cpus": 10,
+  "memory_bytes": 34359738368,
+  "device": "cpu",
+  "cuda_available": false,
+  "mps_available": true,
+  "torch_threads_default": 4,
+  "torch_interop_threads_default": 10,
+  "data_source": "AkShare public A-share OHLCV",
+  "cost_assumptions": "5 bps costs + 2 bps slippage for planned run; not applicable to provider probe",
+  "limitations": [
+    "Public provider responses may change or fail.",
+    "No normalized July panel is available for exact comparison.",
+    "Candidate patch is uncommitted at probe time; base commit and patch are preserved."
+  ],
+  "corrected_code_commit": "3443987fcabdf1c46d198bfa7a878bd4e938a0a0",
+  "probe_working_tree": "base commit plus candidate patch; fixed code committed afterwards",
+  "verification_working_tree": "corrected code commit; untracked evidence scripts only",
+  "verification_threads": {
+    "OMP_NUM_THREADS": 1,
+    "OPENBLAS_NUM_THREADS": 1,
+    "same_input_torch": 1,
+    "same_input_interop": 1,
+    "pytest_torch": null,
+    "pytest_interop": null
+  },
+  "pytest_threads_note": "OMP/BLAS environment fixed; test suite sets or changes PyTorch pools in individual tests; no test timing comparison claimed",
+  "demo_costs_bps": 5,
+  "same_input_effective_costs_bps": 7
+}