Market Quant Research Portfolio

This repository is the technical evidence layer for my market quant research portfolio.

Notion is the public reading interface. GitHub is the inspectable research archive: code, selected result tables, research reports, evidence maps, reproducibility notes, and archive decisions.

中文说明：本仓库是 Notion 量化研究作品集的技术证据层；Notion 偏叙事和阅读体验，GitHub 偏代码锚点、结果表、图表来源和复现边界。

Public portfolio / Notion 作品集入口: Market Quant Research Portfolio.

See DISCLAIMER and LICENSE before reusing any material.

Start Here

Section	Role	Current Status
Portfolio Map	One-page map of the whole research portfolio	Entry point
China Convertible Bonds	Flagship structural-alpha research line	Research-frozen / pre-live validation
Crypto Quant Research	Flagship high-volatility market research line	Active baseline + candidate + archives
ETF Stabilizer	Supporting portfolio-stabilizer sleeve	Sealed stabilizer candidate
CB + ETF Bridge	Bridge between the convertible-bond core and ETF sleeve	Portfolio construction evidence
Additional Market Research	Futures CTA and A-share small-cap market-fit archive	Archived / observation only
Code Appendix	Public code anchors and run-status notes	Inspectable code appendix

Portfolio Research Map

The portfolio is not one strategy page with several attachments. It is a research system with different roles:

Layer	Research Line	What It Proves
Flagship A	Convertible Bonds	Market fit, structural edge, cost/execution realism, robustness, and pre-live discipline
Flagship B	Crypto Spot Long-Only	High-volatility market triage, right-tail participation, failure boundaries, and public-data validation
Candidate	Smart DCA	Accumulation discipline for capital that already wants BTC exposure; not a finished alpha claim
Supporting Sleeve	ETF Stabilizer	Portfolio-level drawdown control and allocation thinking, not standalone alpha hunting
Bridge	CB + ETF	How a lower-return sleeve can improve the total capital curve beside the convertible-bond core
Archive	Futures CTA, A-share Small-cap, and failed modules	Evidence that good-but-unfitted ideas are narrowed or archived instead of over-optimized

The convertible-bond logic map now lives inside the Convertible Bonds project, because it explains that line specifically, not the whole portfolio.

Research Process

Across markets, the process is:

1. define whether the market fits real individual-investor constraints;
2. identify a plausible return source before writing strategy code;
3. test a simple baseline before adding variables;
4. evaluate costs, execution, robustness, and failure modes;
5. promote, narrow, or archive the research line.

Failed or downgraded ideas stay visible because they explain what the final choices are not trying to do.

Language Policy

GitHub root pages and code-related files are English-first, with short Chinese notes only where they help explain China-market context. Internal research reports, China-market notes, and figures may keep Chinese or bilingual wording. The goal is not full bilingual duplication; it is a clean public code/research archive that remains readable for technical and international reviewers while preserving the local-market reasoning.

Minimal Run Path

python -m pip install -r requirements.txt
python -m unittest discover -s tests
python code/crypto/spot-long-only/research-scripts/02_spot_universe_baseline.py
python code/crypto/spot-long-only/research-scripts/10_final_predeployment_validation.py
python code/convertible-bonds/run_final_backtest.py

On Windows, py -m pip ... and py -m unittest ... are equivalent if python points to the Microsoft Store placeholder.

The Crypto Spot Long-Only scripts can fetch public Binance daily klines. Convertible-bond and ETF modules need user-supplied local CSV/DataFrame inputs because the raw data is private, licensed, or not redistributed here. See Data & Reproducibility and Input Schemas.

Reader Path

For a quick public read:

1. Portfolio Map
2. Convertible Bonds
3. Crypto
4. ETF Stabilizer
5. CB + ETF Bridge
6. Additional Market Research

For a reviewer checking research discipline:

1. Research Governance
2. Evidence Index
3. Data & Reproducibility
4. Input Schemas
5. Migration Notes

For a reviewer checking code:

1. Code Appendix
2. Convertible Bonds Code
3. Crypto Spot Long-Only Code
4. ETF Stabilizer Code
5. Futures CTA Code
6. A-share Small-cap Code

Publication Boundary

This repository is for research presentation and education. It is not investment advice, solicitation, live trading instruction, or a promise that any strategy will remain profitable.

Raw data, API keys, broker/live-trading files, .env files, licensed datasets, personal execution records, and current order plans should not be committed here.