Quantitative Engineering Resources & Source Code

Contains all production-grade class libraries detailed in Book 01: causal point-in-time merges (`merge_asof`), backward split-adjustment calculators, physical execution barrier validators, non-linear square-root slippage calculators, and the complete `PurgedKFold` cross-validation harness.

Do not deploy without testing your strategy parameters against physical market constraints:

• Backtest Health & Overfitting Calculator: Evaluate your Sharpe, MDD, and turnover against A-share microstructure benchmarks.
• Square-Root Law Slippage Precision Engine: Estimate non-linear market impact under your specific fund AUM.
• 18-Scene Single-File Quant Workbench Factory: Generate zero-backend, offline local HTML trading dashboards.

Available globally across Amazon Kindle Direct Publishing (KDP), Draft2Digital, and Leanpub:

1. Vol 01: The Quant Reality Check (Eliminating Look-Ahead Bias & Slippage Traps)
2. Vol 02: Microstructure & Auction Engineering (9:25 AM Call Auction & Limit-Up Ladders)
3. Vol 03: Volume-Weighted Cost Profiles & Smart Money Forensics (CYQ & Dragon-Tiger List)
4. Vol 04: Guarding Against Capital Annihilation (Pre-Delisting Redlines & Pledged Margin Cascades)
5. Vol 05: Industrial-Grade Factor Orthogonality (Lowdin Symmetric Transforms & Residual Alpha)
6. Vol 06: Event-Driven Quantitative Alpha (PEAD Anomaly, Express Disclosures & Buybacks)
7. Vol 07: Cross-Border Flows & Margin Leverage (Northbound Stock Connect & CCASS Custodians)
8. Vol 08: Systematic Sector Rotation & Regimes (Shenwan Sectors, VCI Crowding & RSRS Slopes)
9. Vol 09: Statistical Arbitrage & Dynamic Grid Execution (Cointegration & OU Processes)
10. Vol 10: Financial Machine Learning Protocols (Deflated Sharpe Ratios & Clustered Feature Importance)