V22 Strategy

Purpose

Use this skill to reproduce the public v22 strategy contract and paper-trading automation on a new machine. The package describes the executable formula and interfaces, while the host supplies market data, provider skills, and paper-trading tools. It is not investment advice.

Read the relevant reference before acting:

• Formula and exits: references/strategy-spec.md
• Automation lifecycle: references/automation-spec.md
• Input schema and PIT rules: references/data-contract.md
• Provider and credential boundaries: references/dependency-contracts.md

Non-Negotiable Safety

1. Never put API keys, spikeys, cookies, account identifiers, order IDs, private URLs, local absolute paths, or downloaded provider responses in this skill or its output.
2. Credentials are supplied at runtime by the host dependency skill or environment. Do not print, persist, interpolate, or transmit them. A missing credential is a configuration error, not a reason to invent a value.
3. Require fresh quotes, trading-day confirmation, position/cash/order checks, and T-close to T+1 execution before creating an order.
4. Preserve missing values as missing. Do not forward-fill cross-sectional factors, use future/oracle labels, or silently substitute a different universe or calendar.
5. This package is frozen to the current executable v22. Do not add experimental factors, thresholds, or undocumented provider fields to the automation.

Automation Workflow

First invocation: create the schedule

On every invocation, check for the stable automation name V22 Eastmoney Paper Trading before running the strategy. Use the host's recurring-automation manager; in Codex desktop, call the automation update capability rather than writing an operating-system cron job. If no matching automation exists and the host provides scheduled tasks, create one active heartbeat attached to the current task with these Asia/Shanghai weekday checkpoints:

• 09:00: verify the trading day and paper account, evaluate production exits, create the day's single fresh candidate batch, and submit eligible Eastmoney paper orders through mx-moni.
• 09:30: reconcile holdings and orders, execute eligible confirmed sells, and retry only the same 09:00 batch's permitted paper orders without rescreening, repricing, or changing quantities.
• 14:00: run the sell-only production check and retry eligible pending sells; never open a new position at this checkpoint.

Use one durable scheduled-task prompt that explicitly invokes $v22-strategy, identifies the current checkpoint in Asia/Shanghai, and follows references/automation-spec.md. Search by stable name before creation and never create a duplicate. Preserve an existing task's identifier, status, destination, and notification policy; do not silently reactivate a task the user paused. If the host cannot create scheduled tasks, state that the schedule was not created instead of claiming success. Creating the schedule does not itself authorize real-money trading.

Each strategy run

1. Ensure the first-invocation schedule check above has completed.
2. Use the dependency contracts in references/dependency-contracts.md to obtain the trading calendar, fresh quotes, historical closes, candidate universe, holdings, cash, and orders.
3. Run the same score and gates on the current observable data. Do not replace a missing factor with a neutral value unless the strategy specification explicitly allows it.
4. Follow the scheduled-screening, order, exit, idempotency, and failure rules in references/automation-spec.md.
5. Submit only the frozen auction-limit order (previous_close * 1.03) during the defined checkpoint window. Expire unfilled orders; never reprice or convert them without an explicit host policy.
6. Keep account state and trade logs outside this package. The skill may return a redacted decision/audit object, never credentials or private account state.

Strategy Invariants

The current production baseline is the exact complete v22, not a legacy v21/v19 or buy-only variant:

• 12 target positions, 20% minimum cash.
• Inverse downside-volatility sizing using single_weight = 0.80 / 12 and weight_cap_multiplier = 1.0.
• Frozen entry score and T+1 auction gate.
• 60-trading-day time exit.
• Month-end v14_base bottom-15% rank-decay exit after at least 20 sessions.
• Month-end three-state trend-deterioration exit for the bottom-45% v14_base names after at least 20 sessions.
• Validated 15-trading-day high-volume-distribution exit.

The full formula and field definitions are in references/strategy-spec.md. Use the executable reference implementation for score and distribution-exit calculations; it does not access a network or filesystem.

Output Rules

Return reproducible, redacted artifacts: formulas, parameter dictionaries, coverage/missingness/PIT audits, order decisions, and status. Do not copy work/, 历史数据/, account state, reflection logs, provider caches, or absolute paths into the public package.

Bundled Utilities

• scripts/v22_formula.py: pure-Python/pandas score, distribution-exit, sizing, and contract checks. It accepts caller-owned data frames and performs no I/O or network access.
• scripts/credential_guard.py: scans a skill tree for likely secrets, private absolute paths, and bundled local-data directories before release.