审计不同交易框架间的回测一致性

# Real-Strategy Cross-Framework Audit


# Real-Strategy Cross-Framework Audit

This notebook reports the current framework comparison on ETF allocation, CME futures, crypto
perpetual futures with funding, foreign exchange, and a broad US equity panel. Every engine
in a required pair receives the same content-addressed market data and frozen model-derived
targets. Unsupported pairs are disclosed instead of being approximated with a different asset or
accounting model.

The result is narrower than universal framework equivalence. It tests a shared target-replay
protocol on real historical inputs. Transaction costs and position rules are disabled on both
sides, so the audit does not reproduce each case study's complete production result.

**Learning objectives**

- Read a parity result across fills, valuation timestamps, equity, and terminal value
- Separate supported comparisons from asset models a framework does not provide
- Interpret engine-only timings without generalizing beyond the measured workload and machine
- Distinguish real-strategy evidence from synthetic convention and stress tests

**Book reference**: Chapter 16, Section 16.3

## Setup

```python
"""Current real-strategy cross-framework audit."""

import json

import matplotlib.pyplot as plt
import polars as pl
from IPython.display import Markdown, display

from utils.paths import get_chapter_dir
from utils.style import FIGSIZE, show_with_alt
```

```python
# Production defaults - Papermill injects overrides after this cell
ROUND_SECONDS = 3
```

```python
AUDIT_PATH = get_chapter_dir(16) / "resources" / "framework_parity_audit.json"
audit = json.loads(AUDIT_PATH.read_text(encoding="utf-8"))

assert audit["schema_version"] == 2
assert audit["scope"]["required_pairs"] == 17
assert audit["scope"]["unsupported_pairs"] == 8

FRAMEWORK_NAMES = {
    key: f"{value['display_name']} {value['version']}" for key, value in audit["frameworks"].items()
}
CASE_NAMES = {
    "etfs": "ETF allocation",
    "cme_futures": "CME futures",
    "crypto_perps_funding": "Crypto perpetual funding",
    "fx_pairs": "FX allocation (USD-quoted pairs)",
    "us_equities_panel": "US equity panel",
}

display(
    Markdown(
        f"**Evidence date:** {audit['audit_generated_at'][:10]}  \n"
        f"**Library evidence commit:** `{audit['library_commit'][:12]}`"
    )
)
```

## 1. What is compared

Model fitting and target construction happen before either engine runs. The same frozen target
table is identified by its input-bundle hash on both sides of a comparison. This audit therefore
tests backtest execution, not whether two modeling pipelines happen to produce similar signals.

A pass requires all of the following:

- the complete sorted fill stream matches on timestamp, asset, side, quantity, price, and commission;
- the engines expose the same valuation timestamp set;
- each account value and terminal value round to the same cent; and
- a negative control that changes the first fill price by one unit at the fill-record precision is
  detected.

"Exact" does not mean bit-identical floating-point state.

```python
bundle_table = (
    pl.DataFrame(audit["real_strategy_records"])
    .select("case_study", "input_bundle_sha256")
    .unique()
    .with_columns(
        pl.col("case_study").replace_strict(CASE_NAMES).alias("strategy"),
        pl.col("input_bundle_sha256").str.slice(0, 12).alias("bundle_sha256_prefix"),
    )
    .select("strategy", "bundle_sha256_prefix")
    .sort("strategy")
)
display(bundle_table)
```

The bundle hash covers the prepared market data, frozen targets, strategy specification, and any
contract or funding inputs required by the case study.

## 2. Current correctness result

```python
results = (
    pl.DataFrame(audit["real_strategy_records"])
    .with_columns(
        pl.col("case_study").replace_strict(CASE_NAMES).alias("strategy"),
        pl.col("framework").replace_strict(FRAMEWORK_NAMES).alias("engine"),
    )
    .select(
        "strategy",
        "engine",
        "status",
        "fills",
        "valuations",
        "valuation_timestamps_match",
        "equity_gap",
        "equity_raw_gap",
        "terminal_gap",
        "terminal_raw_gap",
        "negative_control_detected",
    )
    .sort("strategy", "engine")
)

passing = results.filter(pl.col("status") == "pass").height
assert passing == audit["scope"]["required_pairs"] == 17
assert results["valuation_timestamps_match"].all()
assert results["negative_control_detected"].all()

display(results)
```

```python
display(
    Markdown(f"**Result:** {passing}/{results.height} required pairs pass the comparison contract.")
)
```

Fill prices retain eight-decimal precision and quantities retain five-decimal precision. Account
values use cent precision because they represent monetary balances. The raw equity and terminal
gaps remain in the audit resource, so a reader can distinguish exact arithmetic agreement from
agreement at the monetary comparison unit. The foreign-exchange rows use only USD-quoted pairs
from the frozen target stream, which gives every required engine the same native USD valuation
basis.

## 3. Unsupported pairs

A comparison is required only when the external engine and the frozen input can express the asset
contract without substituting different semantics. For example, the current CME bundle contains
continuous root series but no dated contract chain or roll map, so it is not a valid LEAN or
Zipline futures input.

```python
unsupported = (
    pl.DataFrame(audit["unsupported_records"])
    .with_columns(
        pl.col("case_study").replace_strict(CASE_NAMES).alias("strategy"),
        pl.col("framework").replace_strict(FRAMEWORK_NAMES).alias("engine"),
    )
    .select("strategy", "engine", "reason")
    .sort("strategy", "engine")
)
display(unsupported)
```

These rows are not failures and do not count as passes. They define where this audit has no valid
comparison.

## 4. Engine-only runtime

Timing is reported only for correctness-passing pairs. Each row uses one warmup and ten measured,
process-isolated runs. The timed region is the engine call. It excludes data loading, model
inference, target construction, adapter preparation, output extraction, serialization, and
reporting.

```python
performance = (
    pl.DataFrame(audit["performance_records"])
    .with_columns(
        pl.col("case_study").replace_strict(CASE_NAMES).alias("strategy"),
        pl.col("framework").replace_strict(FRAMEWORK_NAMES).alias("engine"),
    )
    .with_columns(
        pl.col("framework_median_seconds").round(ROUND_SECONDS).alias("external_seconds"),
        pl.col("ml4t_median_seconds").round(ROUND_SECONDS).alias("ml4t_seconds"),
        pl.col("framework_to_ml4t_ratio").round(2).alias("external_div_ml4t"),
    )
    .select(
        "strategy",
        "engine",
        "external_seconds",
        "ml4t_seconds",
        "external_div_ml4t",
    )
)
display(performance)
```

```python
plot_data = performance.to_pandas()
labels = [f"{row.strategy}\n{row.engine}" for row in plot_data.itertuples()]
y = list(range(len(plot_data)))
height = 0.36

# Height scales with the row count, width does not. Each tick label is two lines, so a fixed
# preset height crushes them together as soon as the audit grows: the committed artifact
# carries seventeen correctness-passing pairs. The width stays at the typeset column.
_fig_height = 0.32 * len(plot_data) + 0.9
fig, ax = plt.subplots(figsize=(FIGSIZE["single_tall"][0], _fig_height), layout="constrained")
ax.barh(
    [value + height / 2 for value in y], plot_data["external_seconds"], height, label="External"
)
ax.barh([value - height / 2 for value in y], plot_data["ml4t_seconds"], height, label="ML4T")
ax.set_yticks(y, labels)
ax.set_xscale("log")
ax.set_xlabel("Median engine-call seconds (log scale)")
ax.set_title("Measured runtime for correctness-passing pairs")
ax.legend()
ax.grid(axis="x", alpha=0.25)
# The alt text reads the direction off the frame rather than asserting one: which engine is
# faster changes by row, so a sentence naming a winner would be wrong on the next machine.
_ml4t_faster = int((plot_data["ml4t_seconds"] < plot_data["external_seconds"]).sum())
show_with_alt(
    fig,
    (
        "Paired horizontal bars on a logarithmic seconds axis, one pair per strategy and "
        "engine, with the external engine above and ML4T below in each pair. The axis is "
        "logarithmic so that runtimes of very different magnitude share one scale. Paired "
        "rather than grouped by engine so each comparison is between two bars measuring the "
        "same strategy."
    ),
)
```

Ratios below one mean the external engine was faster in that row; ratios above one mean ML4T was
faster. The direction changes across the VectorBT workloads. Backtrader, Zipline, and LEAN have
ratios above one on every row in this run. These are dated case-and-machine measurements, not
stable framework-wide speed rankings.

## 5. What the evidence supports

The evidence supports the named target-replay comparisons under the pinned engines, profiles, and
frozen inputs. It says nothing about unsupported asset-framework combinations or about the
production transaction-cost and position-rule overlays that the protocol disables. The separate
synthetic scenario and stress suites test convention coverage and scale; they do not replace the
real-data comparisons.
![notebook output](figures/p1_1.png)