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feat(research_stats): RS-02 PBO via CSCV (research-only, fail-closed) - #660
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- probability_of_backtest_overfitting: CSCV over aligned T x N trial returns, sharpe or mean_log_growth metric, S even <= 16, leading remainder rows dropped and reported. - UNCOMPUTABLE (value=None) for <2 trials, misaligned columns, odd/too many splits, short blocks or any undefined block metric. - Synthetic tests incl. independent brute-force CSCV cross-check.
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Self-review(rebuild):CSCV 实现与测试内独立暴力实现逐组合比对一致;持续优势→0、反转→1;试验<2、长度不齐、块数非法/不足、零方差块均为 UNCOMPUTABLE 且 value=None;最早余数行丢弃并在 details 报告;仅标准库、不 import QPK 其他模块(RS-01 边界测试覆盖);合成数据、无真实数字;未改 QPK_PIN/共享指标。UES 侧以本分支覆盖安装验证真实调用路径通过。CI 绿,squash 合并。 |
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RS-02(QPK 部分):PBO / CSCV(research-only)
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quant_platform_kit.research_stats新增probability_of_backtest_overfitting(Bailey, Borwein, López de Prado, Zhu 2017,CSCV)。rows_dropped_leading报告。sharpe(单期,ddof=1)或mean_log_growth。IS 并列取输入顺序第一个,并在is_best_ties计数。UNCOMPUTABLE,value=None。QPK_PIN,不升级任何下游 pin。