From a3a752d77f53fdc48106befcdecfce6c05eed17b Mon Sep 17 00:00:00 2001
From: claude_dev <claude-dev@sanguo.local>
Date: Fri, 11 Sep 2026 13:39:37 +0800
Subject: [PATCH] =?UTF-8?q?feat(factor):=20=E5=90=88=E6=88=90=E5=B1=82v2c?=
 =?UTF-8?q?=E6=BB=9A=E5=8A=A8=E9=87=8D=E4=BC=B0=E2=80=94=E2=80=9412?=
 =?UTF-8?q?=E4=B8=AA=E5=B9=B4=E5=BA=A6=E5=88=B6=E5=BA=A6=E6=A1=A3=E6=A1=88?=
 =?UTF-8?q?(quant12/all18=C3=972021-2026,3=E5=B9=B4=E7=AA=97=E6=8B=9F?=
 =?UTF-8?q?=E5=90=88+=E6=96=B0=E6=97=A7=E5=90=84=E5=8D=8A=E5=B9=B3?=
 =?UTF-8?q?=E6=BB=91)+composite=5Frolling=E6=89=AB=E6=8F=8F=E6=B3=A8?=
 =?UTF-8?q?=E5=86=8C+0=E6=9D=83=E6=BA=90=E8=B7=B3=E8=BF=87=E7=98=A6?=
 =?UTF-8?q?=E8=BA=AB(all18=5F2021=E5=8D=81=E5=85=AB=E9=A1=B9=E9=99=8D?=
 =?UTF-8?q?=E5=8D=81=E4=BA=8C=E9=A1=B9),9=E6=96=B0=E6=B5=8B=E8=AF=95?=
 =?UTF-8?q?=E5=85=A8=E9=87=8F277=E7=BB=BF=20[nas]?=
MIME-Version: 1.0
Content-Type: text/plain; charset=UTF-8
Content-Transfer-Encoding: 8bit

---
 sanguo_factor/__init__.py                     |   1 +
 sanguo_factor/composite_rolling.py            |  62 +++++++
 sanguo_factor/composite_weighting.py          |  14 ++
 .../weight_profiles/all18_roll_2021.json      |  86 ++++++++++
 .../weight_profiles/all18_roll_2022.json      |  86 ++++++++++
 .../weight_profiles/all18_roll_2023.json      |  86 ++++++++++
 .../weight_profiles/all18_roll_2024.json      |  86 ++++++++++
 .../weight_profiles/all18_roll_2025.json      |  86 ++++++++++
 .../weight_profiles/all18_roll_2026.json      |  86 ++++++++++
 .../weight_profiles/quant12_roll_2021.json    |  62 +++++++
 .../weight_profiles/quant12_roll_2022.json    |  62 +++++++
 .../weight_profiles/quant12_roll_2023.json    |  62 +++++++
 .../weight_profiles/quant12_roll_2024.json    |  62 +++++++
 .../weight_profiles/quant12_roll_2025.json    |  62 +++++++
 .../weight_profiles/quant12_roll_2026.json    |  62 +++++++
 tests/factor/test_composite_rolling.py        | 154 ++++++++++++++++++
 16 files changed, 1119 insertions(+)
 create mode 100644 sanguo_factor/composite_rolling.py
 create mode 100644 sanguo_factor/weight_profiles/all18_roll_2021.json
 create mode 100644 sanguo_factor/weight_profiles/all18_roll_2022.json
 create mode 100644 sanguo_factor/weight_profiles/all18_roll_2023.json
 create mode 100644 sanguo_factor/weight_profiles/all18_roll_2024.json
 create mode 100644 sanguo_factor/weight_profiles/all18_roll_2025.json
 create mode 100644 sanguo_factor/weight_profiles/all18_roll_2026.json
 create mode 100644 sanguo_factor/weight_profiles/quant12_roll_2021.json
 create mode 100644 sanguo_factor/weight_profiles/quant12_roll_2022.json
 create mode 100644 sanguo_factor/weight_profiles/quant12_roll_2023.json
 create mode 100644 sanguo_factor/weight_profiles/quant12_roll_2024.json
 create mode 100644 sanguo_factor/weight_profiles/quant12_roll_2025.json
 create mode 100644 sanguo_factor/weight_profiles/quant12_roll_2026.json
 create mode 100644 tests/factor/test_composite_rolling.py

diff --git a/sanguo_factor/__init__.py b/sanguo_factor/__init__.py
index 2c86d0d..f5e9124 100644
--- a/sanguo_factor/__init__.py
+++ b/sanguo_factor/__init__.py
@@ -4,3 +4,4 @@ from . import alpha_datasets  # noqa: F401  挂载 Alpha101/158(导入即注册)
 from . import fundamental_library  # noqa: F401  财务因子 P0 批(导入即注册)
 from . import composite_library  # noqa: F401  合成层 v1(导入即注册,源依赖前三个)
 from . import composite_weighting  # noqa: F401  合成层 v2a(权重档案,导入即注册)
+from . import composite_rolling  # noqa: F401  合成层 v2c(滚动制度,导入即注册)
diff --git a/sanguo_factor/composite_rolling.py b/sanguo_factor/composite_rolling.py
new file mode 100644
index 0000000..1418ff7
--- /dev/null
+++ b/sanguo_factor/composite_rolling.py
@@ -0,0 +1,62 @@
+"""合成层 v2c(Rolling): 滚动制度因子注册——每年一份权重制度,档案扫描批量挂载.
+
+v2c 语义: 权重不再是全期单档案,而是按年滚动——每年一份"制度"档案
+weight_profiles/{scope}_roll_{year}.json(数据拟合产出,scope=quant12/all18),
+注册为 composite_v2c_{scope}_{year};跑批按年段评估后离线拼接(本模块只管
+注册机制,不做拼接).
+
+文件名 → 因子名约定: year 取档案名尾部 4 位数字(20 开头),scope 取 _roll_
+前段;不合约定的文件(v2a/v2b 档案等)不纳入扫描.依赖完全复用 composite_
+weighting(v2a)管线: load_profile 校验 + register_composite_from_profile
+三源表匹配/0 权项跳过/幂等注册._register_all 先幂等重挂 v2a 依赖链
+(v1.1 源+neu+v2a/v2b 默认档案),再逐滚动档案注册;单档案失败 raise 且带
+文件名——制度期缺失会让年段拼接静默少一段,宁可失败不静默吞.
+"""
+import re
+from pathlib import Path
+
+from . import composite_weighting
+from .composite_weighting import load_profile, register_composite_from_profile
+
+# 滚动档案目录: 相对本文件定位(与代码同仓同版本,不依赖 cwd)
+_PROFILE_DIR = Path(__file__).parent / "weight_profiles"
+
+# 约定名: {scope}_roll_{year}.json(year=尾部 4 位数字,20 开头)
+_ROLLING_NAME_RE = re.compile(r"^(?P<scope>[a-z0-9]+)_roll_(?P<year>20\d{2})\.json$")
+
+
+def _iter_rolling_profiles() -> list[tuple[str, Path]]:
+    """扫描 weight_profiles/ 下约定名滚动档案,返回 (因子名, 路径) 列表.
+
+    排序稳定 (scope 字典序, year 升序);非约定名文件(v2a/v2b 档案/非 json)
+    不纳入——因子名排序与 (scope,year) 元组序在 scope 互为前缀时会分叉,
+    故显式按元组排,不依赖名字串序.
+    """
+    entries: list[tuple[str, str, Path]] = []
+    for path in _PROFILE_DIR.iterdir():
+        m = _ROLLING_NAME_RE.match(path.name)
+        if m is not None:
+            entries.append((m["scope"], m["year"], path))
+    entries.sort(key=lambda e: (e[0], e[1]))
+    return [(f"composite_v2c_{scope}_{year}", path) for scope, year, path in entries]
+
+
+def _register_all() -> None:
+    """幂等注册全部滚动制度因子(先幂等重挂 v2a 依赖链,再逐滚动档案注册).
+
+    单档案加载/注册失败 raise 且带文件名(防静默丢制度期);registry 被清后
+    可独立重建(v2a 的 _register_all 幂等重挂 v1.1 源+neu+默认档案).
+    """
+    composite_weighting._register_all()
+    for name, path in _iter_rolling_profiles():
+        try:
+            register_composite_from_profile(load_profile(str(path)), name)
+        except Exception as e:
+            raise ValueError(f"滚动制度档案加载/注册失败({path.name}): {e}") from e
+
+
+# 模块导入时自动注册(与 composite_weighting 同模式);失败给可读错误(fail-fast)
+try:
+    _register_all()
+except Exception as e:
+    raise ImportError(f"合成层 v2c 滚动制度因子注册失败({_PROFILE_DIR}): {e}") from e
diff --git a/sanguo_factor/composite_weighting.py b/sanguo_factor/composite_weighting.py
index c883d62..9a6d0ca 100644
--- a/sanguo_factor/composite_weighting.py
+++ b/sanguo_factor/composite_weighting.py
@@ -116,6 +116,9 @@ def register_composite_from_profile(profile: WeightProfile, name: str) -> None:
     raise ValueError——先于幂等跳过,漂移不被静默吞掉);项形态按源 category 走
     rank_term/_embed_term(复用 v1.1 两函数,口径不漂移);源因子必须已注册
     (get_factor,缺则 raise).
+
+    resolved 后权重为 0 的源项跳过不入式(v2c 滚动档案存在 neu 源全 0 的
+    制度期,0*w 项纯耗求值、cs_neutralize OLS 白算;全零档案 raise ValueError).
     """
     declared = {src: d for src, (d, _w) in profile.sources.items()}
     matched: list[tuple[str, str]] | None = None
@@ -134,9 +137,18 @@ def register_composite_from_profile(profile: WeightProfile, name: str) -> None:
     if name in _REGISTRY:
         return
 
+    # 全零档案非法: resolve 归一会除零,先给可读 ValueError(L2 override 也可能压成全 0)
+    effective = {src: w for src, (_d, w) in profile.sources.items()}
+    for ov in profile.overrides:
+        effective[ov["source"]] = float(ov["weight"])
+    if sum(effective.values()) <= 0:
+        raise ValueError(f"档案全部源有效权重为 0(全零档案非法): {name}")
+
     weights = resolve_weights(profile)
     terms = []
     for src_name, direction in matched:  # 按匹配源表顺序拼装
+        if weights[src_name] <= 0:  # 0 权项跳过不入式(见 docstring)
+            continue
         src = get_factor(src_name)
         if src is None:
             raise ValueError(f"合成源未注册: {src_name}")
@@ -145,6 +157,8 @@ def register_composite_from_profile(profile: WeightProfile, name: str) -> None:
         else:
             term = composite_library.rank_term(src["expression"], direction)
         terms.append((term, weights[src_name]))
+    if not terms:
+        raise ValueError(f"档案过滤 0 权后无有效项: {name}")
     register_factor(name, build_weighted_expression(terms), category="composite")
 
 
diff --git a/sanguo_factor/weight_profiles/all18_roll_2021.json b/sanguo_factor/weight_profiles/all18_roll_2021.json
new file mode 100644
index 0000000..c38e733
--- /dev/null
+++ b/sanguo_factor/weight_profiles/all18_roll_2021.json
@@ -0,0 +1,86 @@
+{
+  "profile_id": "all18-roll-2021",
+  "name": "v2c滚动 all18 2021制度",
+  "method": "icir_fit_rolling3y_smoothed",
+  "fit_window": {
+    "start": "2018-01",
+    "end": "2020-12",
+    "smooth": "新旧各半"
+  },
+  "sources": {
+    "alpha16": {
+      "direction": "+",
+      "weight": 0.130152
+    },
+    "alpha42": {
+      "direction": "+",
+      "weight": 0.033644
+    },
+    "klow": {
+      "direction": "-",
+      "weight": 0.077528
+    },
+    "alpha2": {
+      "direction": "+",
+      "weight": 0.086917
+    },
+    "alpha12": {
+      "direction": "+",
+      "weight": 0.132173
+    },
+    "vol_ma5": {
+      "direction": "-",
+      "weight": 0.060808
+    },
+    "wvma_20": {
+      "direction": "-",
+      "weight": 0.063921
+    },
+    "fund_nsi_neu": {
+      "direction": "+",
+      "weight": 0.0
+    },
+    "vma_60": {
+      "direction": "+",
+      "weight": 0.098737
+    },
+    "fund_gp_over_m_neu": {
+      "direction": "+",
+      "weight": 0.0
+    },
+    "cord_5": {
+      "direction": "-",
+      "weight": 0.104439
+    },
+    "alpha81": {
+      "direction": "-",
+      "weight": 0.06114
+    },
+    "fund_bp_neu": {
+      "direction": "+",
+      "weight": 0.0
+    },
+    "fund_sue_np_neu": {
+      "direction": "+",
+      "weight": 0.0
+    },
+    "fund_gdhs_chg_neu": {
+      "direction": "+",
+      "weight": 0.0
+    },
+    "fund_growth_scissors_neu": {
+      "direction": "+",
+      "weight": 0.0
+    },
+    "alpha83": {
+      "direction": "+",
+      "weight": 0.117903
+    },
+    "kup": {
+      "direction": "-",
+      "weight": 0.032637
+    }
+  },
+  "overrides": [],
+  "created": "2026-09-11"
+}
\ No newline at end of file
diff --git a/sanguo_factor/weight_profiles/all18_roll_2022.json b/sanguo_factor/weight_profiles/all18_roll_2022.json
new file mode 100644
index 0000000..2cc6153
--- /dev/null
+++ b/sanguo_factor/weight_profiles/all18_roll_2022.json
@@ -0,0 +1,86 @@
+{
+  "profile_id": "all18-roll-2022",
+  "name": "v2c滚动 all18 2022制度",
+  "method": "icir_fit_rolling3y_smoothed",
+  "fit_window": {
+    "start": "2019-01",
+    "end": "2021-12",
+    "smooth": "新旧各半"
+  },
+  "sources": {
+    "alpha16": {
+      "direction": "+",
+      "weight": 0.13266
+    },
+    "alpha42": {
+      "direction": "+",
+      "weight": 0.029096
+    },
+    "klow": {
+      "direction": "-",
+      "weight": 0.093628
+    },
+    "alpha2": {
+      "direction": "+",
+      "weight": 0.069661
+    },
+    "alpha12": {
+      "direction": "+",
+      "weight": 0.107469
+    },
+    "vol_ma5": {
+      "direction": "-",
+      "weight": 0.068048
+    },
+    "wvma_20": {
+      "direction": "-",
+      "weight": 0.062336
+    },
+    "fund_nsi_neu": {
+      "direction": "+",
+      "weight": 0.017251
+    },
+    "vma_60": {
+      "direction": "+",
+      "weight": 0.08382
+    },
+    "fund_gp_over_m_neu": {
+      "direction": "+",
+      "weight": 0.011238
+    },
+    "cord_5": {
+      "direction": "-",
+      "weight": 0.079221
+    },
+    "alpha81": {
+      "direction": "-",
+      "weight": 0.061465
+    },
+    "fund_bp_neu": {
+      "direction": "+",
+      "weight": 0.013903
+    },
+    "fund_sue_np_neu": {
+      "direction": "+",
+      "weight": 0.0
+    },
+    "fund_gdhs_chg_neu": {
+      "direction": "+",
+      "weight": 0.022258
+    },
+    "fund_growth_scissors_neu": {
+      "direction": "+",
+      "weight": 0.002767
+    },
+    "alpha83": {
+      "direction": "+",
+      "weight": 0.095155
+    },
+    "kup": {
+      "direction": "-",
+      "weight": 0.050024
+    }
+  },
+  "overrides": [],
+  "created": "2026-09-11"
+}
\ No newline at end of file
diff --git a/sanguo_factor/weight_profiles/all18_roll_2023.json b/sanguo_factor/weight_profiles/all18_roll_2023.json
new file mode 100644
index 0000000..f862474
--- /dev/null
+++ b/sanguo_factor/weight_profiles/all18_roll_2023.json
@@ -0,0 +1,86 @@
+{
+  "profile_id": "all18-roll-2023",
+  "name": "v2c滚动 all18 2023制度",
+  "method": "icir_fit_rolling3y_smoothed",
+  "fit_window": {
+    "start": "2020-01",
+    "end": "2022-12",
+    "smooth": "新旧各半"
+  },
+  "sources": {
+    "alpha16": {
+      "direction": "+",
+      "weight": 0.120745
+    },
+    "alpha42": {
+      "direction": "+",
+      "weight": 0.032799
+    },
+    "klow": {
+      "direction": "-",
+      "weight": 0.098778
+    },
+    "alpha2": {
+      "direction": "+",
+      "weight": 0.050731
+    },
+    "alpha12": {
+      "direction": "+",
+      "weight": 0.094002
+    },
+    "vol_ma5": {
+      "direction": "-",
+      "weight": 0.074204
+    },
+    "wvma_20": {
+      "direction": "-",
+      "weight": 0.044468
+    },
+    "fund_nsi_neu": {
+      "direction": "+",
+      "weight": 0.036712
+    },
+    "vma_60": {
+      "direction": "+",
+      "weight": 0.076656
+    },
+    "fund_gp_over_m_neu": {
+      "direction": "+",
+      "weight": 0.023663
+    },
+    "cord_5": {
+      "direction": "-",
+      "weight": 0.068403
+    },
+    "alpha81": {
+      "direction": "-",
+      "weight": 0.056433
+    },
+    "fund_bp_neu": {
+      "direction": "+",
+      "weight": 0.030378
+    },
+    "fund_sue_np_neu": {
+      "direction": "+",
+      "weight": 0.0
+    },
+    "fund_gdhs_chg_neu": {
+      "direction": "+",
+      "weight": 0.04279
+    },
+    "fund_growth_scissors_neu": {
+      "direction": "+",
+      "weight": 0.002767
+    },
+    "alpha83": {
+      "direction": "+",
+      "weight": 0.077659
+    },
+    "kup": {
+      "direction": "-",
+      "weight": 0.068812
+    }
+  },
+  "overrides": [],
+  "created": "2026-09-11"
+}
\ No newline at end of file
diff --git a/sanguo_factor/weight_profiles/all18_roll_2024.json b/sanguo_factor/weight_profiles/all18_roll_2024.json
new file mode 100644
index 0000000..4220531
--- /dev/null
+++ b/sanguo_factor/weight_profiles/all18_roll_2024.json
@@ -0,0 +1,86 @@
+{
+  "profile_id": "all18-roll-2024",
+  "name": "v2c滚动 all18 2024制度",
+  "method": "icir_fit_rolling3y_smoothed",
+  "fit_window": {
+    "start": "2021-01",
+    "end": "2023-12",
+    "smooth": "新旧各半"
+  },
+  "sources": {
+    "alpha16": {
+      "direction": "+",
+      "weight": 0.114329
+    },
+    "alpha42": {
+      "direction": "+",
+      "weight": 0.043816
+    },
+    "klow": {
+      "direction": "-",
+      "weight": 0.099951
+    },
+    "alpha2": {
+      "direction": "+",
+      "weight": 0.041571
+    },
+    "alpha12": {
+      "direction": "+",
+      "weight": 0.096394
+    },
+    "vol_ma5": {
+      "direction": "-",
+      "weight": 0.082495
+    },
+    "wvma_20": {
+      "direction": "-",
+      "weight": 0.034207
+    },
+    "fund_nsi_neu": {
+      "direction": "+",
+      "weight": 0.041572
+    },
+    "vma_60": {
+      "direction": "+",
+      "weight": 0.083153
+    },
+    "fund_gp_over_m_neu": {
+      "direction": "+",
+      "weight": 0.02445
+    },
+    "cord_5": {
+      "direction": "-",
+      "weight": 0.069871
+    },
+    "alpha81": {
+      "direction": "-",
+      "weight": 0.052601
+    },
+    "fund_bp_neu": {
+      "direction": "+",
+      "weight": 0.033987
+    },
+    "fund_sue_np_neu": {
+      "direction": "+",
+      "weight": 0.0
+    },
+    "fund_gdhs_chg_neu": {
+      "direction": "+",
+      "weight": 0.03597
+    },
+    "fund_growth_scissors_neu": {
+      "direction": "+",
+      "weight": 0.0
+    },
+    "alpha83": {
+      "direction": "+",
+      "weight": 0.066094
+    },
+    "kup": {
+      "direction": "-",
+      "weight": 0.079539
+    }
+  },
+  "overrides": [],
+  "created": "2026-09-11"
+}
\ No newline at end of file
diff --git a/sanguo_factor/weight_profiles/all18_roll_2025.json b/sanguo_factor/weight_profiles/all18_roll_2025.json
new file mode 100644
index 0000000..fd04f0a
--- /dev/null
+++ b/sanguo_factor/weight_profiles/all18_roll_2025.json
@@ -0,0 +1,86 @@
+{
+  "profile_id": "all18-roll-2025",
+  "name": "v2c滚动 all18 2025制度",
+  "method": "icir_fit_rolling3y_smoothed",
+  "fit_window": {
+    "start": "2022-01",
+    "end": "2024-12",
+    "smooth": "新旧各半"
+  },
+  "sources": {
+    "alpha16": {
+      "direction": "+",
+      "weight": 0.119655
+    },
+    "alpha42": {
+      "direction": "+",
+      "weight": 0.050787
+    },
+    "klow": {
+      "direction": "-",
+      "weight": 0.088173
+    },
+    "alpha2": {
+      "direction": "+",
+      "weight": 0.04371
+    },
+    "alpha12": {
+      "direction": "+",
+      "weight": 0.100069
+    },
+    "vol_ma5": {
+      "direction": "-",
+      "weight": 0.072462
+    },
+    "wvma_20": {
+      "direction": "-",
+      "weight": 0.03619
+    },
+    "fund_nsi_neu": {
+      "direction": "+",
+      "weight": 0.040747
+    },
+    "vma_60": {
+      "direction": "+",
+      "weight": 0.088396
+    },
+    "fund_gp_over_m_neu": {
+      "direction": "+",
+      "weight": 0.025284
+    },
+    "cord_5": {
+      "direction": "-",
+      "weight": 0.074449
+    },
+    "alpha81": {
+      "direction": "-",
+      "weight": 0.056022
+    },
+    "fund_bp_neu": {
+      "direction": "+",
+      "weight": 0.038387
+    },
+    "fund_sue_np_neu": {
+      "direction": "+",
+      "weight": 0.000165
+    },
+    "fund_gdhs_chg_neu": {
+      "direction": "+",
+      "weight": 0.032269
+    },
+    "fund_growth_scissors_neu": {
+      "direction": "+",
+      "weight": 0.00216
+    },
+    "alpha83": {
+      "direction": "+",
+      "weight": 0.048876
+    },
+    "kup": {
+      "direction": "-",
+      "weight": 0.082198
+    }
+  },
+  "overrides": [],
+  "created": "2026-09-11"
+}
\ No newline at end of file
diff --git a/sanguo_factor/weight_profiles/all18_roll_2026.json b/sanguo_factor/weight_profiles/all18_roll_2026.json
new file mode 100644
index 0000000..d9d8ec0
--- /dev/null
+++ b/sanguo_factor/weight_profiles/all18_roll_2026.json
@@ -0,0 +1,86 @@
+{
+  "profile_id": "all18-roll-2026",
+  "name": "v2c滚动 all18 2026制度",
+  "method": "icir_fit_rolling3y_smoothed",
+  "fit_window": {
+    "start": "2023-01",
+    "end": "2025-12",
+    "smooth": "新旧各半"
+  },
+  "sources": {
+    "alpha16": {
+      "direction": "+",
+      "weight": 0.138156
+    },
+    "alpha42": {
+      "direction": "+",
+      "weight": 0.047246
+    },
+    "klow": {
+      "direction": "-",
+      "weight": 0.071891
+    },
+    "alpha2": {
+      "direction": "+",
+      "weight": 0.051341
+    },
+    "alpha12": {
+      "direction": "+",
+      "weight": 0.094452
+    },
+    "vol_ma5": {
+      "direction": "-",
+      "weight": 0.061948
+    },
+    "wvma_20": {
+      "direction": "-",
+      "weight": 0.047066
+    },
+    "fund_nsi_neu": {
+      "direction": "+",
+      "weight": 0.036158
+    },
+    "vma_60": {
+      "direction": "+",
+      "weight": 0.086164
+    },
+    "fund_gp_over_m_neu": {
+      "direction": "+",
+      "weight": 0.023599
+    },
+    "cord_5": {
+      "direction": "-",
+      "weight": 0.078083
+    },
+    "alpha81": {
+      "direction": "-",
+      "weight": 0.063933
+    },
+    "fund_bp_neu": {
+      "direction": "+",
+      "weight": 0.039418
+    },
+    "fund_sue_np_neu": {
+      "direction": "+",
+      "weight": 0.003018
+    },
+    "fund_gdhs_chg_neu": {
+      "direction": "+",
+      "weight": 0.033661
+    },
+    "fund_growth_scissors_neu": {
+      "direction": "+",
+      "weight": 0.006269
+    },
+    "alpha83": {
+      "direction": "+",
+      "weight": 0.041295
+    },
+    "kup": {
+      "direction": "-",
+      "weight": 0.076302
+    }
+  },
+  "overrides": [],
+  "created": "2026-09-11"
+}
\ No newline at end of file
diff --git a/sanguo_factor/weight_profiles/quant12_roll_2021.json b/sanguo_factor/weight_profiles/quant12_roll_2021.json
new file mode 100644
index 0000000..befc306
--- /dev/null
+++ b/sanguo_factor/weight_profiles/quant12_roll_2021.json
@@ -0,0 +1,62 @@
+{
+  "profile_id": "quant12-roll-2021",
+  "name": "v2c滚动 quant12 2021制度",
+  "method": "icir_fit_rolling3y_smoothed",
+  "fit_window": {
+    "start": "2018-01",
+    "end": "2020-12",
+    "smooth": "新旧各半"
+  },
+  "sources": {
+    "alpha16": {
+      "direction": "+",
+      "weight": 0.130152
+    },
+    "alpha42": {
+      "direction": "+",
+      "weight": 0.033644
+    },
+    "klow": {
+      "direction": "-",
+      "weight": 0.077528
+    },
+    "alpha2": {
+      "direction": "+",
+      "weight": 0.086917
+    },
+    "alpha12": {
+      "direction": "+",
+      "weight": 0.132173
+    },
+    "vol_ma5": {
+      "direction": "-",
+      "weight": 0.060808
+    },
+    "wvma_20": {
+      "direction": "-",
+      "weight": 0.063921
+    },
+    "vma_60": {
+      "direction": "+",
+      "weight": 0.098737
+    },
+    "cord_5": {
+      "direction": "-",
+      "weight": 0.104439
+    },
+    "alpha81": {
+      "direction": "-",
+      "weight": 0.06114
+    },
+    "alpha83": {
+      "direction": "+",
+      "weight": 0.117903
+    },
+    "kup": {
+      "direction": "-",
+      "weight": 0.032637
+    }
+  },
+  "overrides": [],
+  "created": "2026-09-11"
+}
\ No newline at end of file
diff --git a/sanguo_factor/weight_profiles/quant12_roll_2022.json b/sanguo_factor/weight_profiles/quant12_roll_2022.json
new file mode 100644
index 0000000..277b89f
--- /dev/null
+++ b/sanguo_factor/weight_profiles/quant12_roll_2022.json
@@ -0,0 +1,62 @@
+{
+  "profile_id": "quant12-roll-2022",
+  "name": "v2c滚动 quant12 2022制度",
+  "method": "icir_fit_rolling3y_smoothed",
+  "fit_window": {
+    "start": "2019-01",
+    "end": "2021-12",
+    "smooth": "新旧各半"
+  },
+  "sources": {
+    "alpha16": {
+      "direction": "+",
+      "weight": 0.141856
+    },
+    "alpha42": {
+      "direction": "+",
+      "weight": 0.031276
+    },
+    "klow": {
+      "direction": "-",
+      "weight": 0.101203
+    },
+    "alpha2": {
+      "direction": "+",
+      "weight": 0.074433
+    },
+    "alpha12": {
+      "direction": "+",
+      "weight": 0.114894
+    },
+    "vol_ma5": {
+      "direction": "-",
+      "weight": 0.073232
+    },
+    "wvma_20": {
+      "direction": "-",
+      "weight": 0.066625
+    },
+    "vma_60": {
+      "direction": "+",
+      "weight": 0.089695
+    },
+    "cord_5": {
+      "direction": "-",
+      "weight": 0.084816
+    },
+    "alpha81": {
+      "direction": "-",
+      "weight": 0.066004
+    },
+    "alpha83": {
+      "direction": "+",
+      "weight": 0.101269
+    },
+    "kup": {
+      "direction": "-",
+      "weight": 0.054696
+    }
+  },
+  "overrides": [],
+  "created": "2026-09-11"
+}
\ No newline at end of file
diff --git a/sanguo_factor/weight_profiles/quant12_roll_2023.json b/sanguo_factor/weight_profiles/quant12_roll_2023.json
new file mode 100644
index 0000000..0a7b313
--- /dev/null
+++ b/sanguo_factor/weight_profiles/quant12_roll_2023.json
@@ -0,0 +1,62 @@
+{
+  "profile_id": "quant12-roll-2023",
+  "name": "v2c滚动 quant12 2023制度",
+  "method": "icir_fit_rolling3y_smoothed",
+  "fit_window": {
+    "start": "2020-01",
+    "end": "2022-12",
+    "smooth": "新旧各半"
+  },
+  "sources": {
+    "alpha16": {
+      "direction": "+",
+      "weight": 0.139807
+    },
+    "alpha42": {
+      "direction": "+",
+      "weight": 0.037986
+    },
+    "klow": {
+      "direction": "-",
+      "weight": 0.11437
+    },
+    "alpha2": {
+      "direction": "+",
+      "weight": 0.058717
+    },
+    "alpha12": {
+      "direction": "+",
+      "weight": 0.108835
+    },
+    "vol_ma5": {
+      "direction": "-",
+      "weight": 0.085931
+    },
+    "wvma_20": {
+      "direction": "-",
+      "weight": 0.051465
+    },
+    "vma_60": {
+      "direction": "+",
+      "weight": 0.088757
+    },
+    "cord_5": {
+      "direction": "-",
+      "weight": 0.079192
+    },
+    "alpha81": {
+      "direction": "-",
+      "weight": 0.065336
+    },
+    "alpha83": {
+      "direction": "+",
+      "weight": 0.089913
+    },
+    "kup": {
+      "direction": "-",
+      "weight": 0.07969
+    }
+  },
+  "overrides": [],
+  "created": "2026-09-11"
+}
\ No newline at end of file
diff --git a/sanguo_factor/weight_profiles/quant12_roll_2024.json b/sanguo_factor/weight_profiles/quant12_roll_2024.json
new file mode 100644
index 0000000..0bd437a
--- /dev/null
+++ b/sanguo_factor/weight_profiles/quant12_roll_2024.json
@@ -0,0 +1,62 @@
+{
+  "profile_id": "quant12-roll-2024",
+  "name": "v2c滚动 quant12 2024制度",
+  "method": "icir_fit_rolling3y_smoothed",
+  "fit_window": {
+    "start": "2021-01",
+    "end": "2023-12",
+    "smooth": "新旧各半"
+  },
+  "sources": {
+    "alpha16": {
+      "direction": "+",
+      "weight": 0.132345
+    },
+    "alpha42": {
+      "direction": "+",
+      "weight": 0.050697
+    },
+    "klow": {
+      "direction": "-",
+      "weight": 0.115682
+    },
+    "alpha2": {
+      "direction": "+",
+      "weight": 0.04811
+    },
+    "alpha12": {
+      "direction": "+",
+      "weight": 0.111555
+    },
+    "vol_ma5": {
+      "direction": "-",
+      "weight": 0.095477
+    },
+    "wvma_20": {
+      "direction": "-",
+      "weight": 0.03959
+    },
+    "vma_60": {
+      "direction": "+",
+      "weight": 0.096227
+    },
+    "cord_5": {
+      "direction": "-",
+      "weight": 0.080856
+    },
+    "alpha81": {
+      "direction": "-",
+      "weight": 0.060884
+    },
+    "alpha83": {
+      "direction": "+",
+      "weight": 0.076523
+    },
+    "kup": {
+      "direction": "-",
+      "weight": 0.092053
+    }
+  },
+  "overrides": [],
+  "created": "2026-09-11"
+}
\ No newline at end of file
diff --git a/sanguo_factor/weight_profiles/quant12_roll_2025.json b/sanguo_factor/weight_profiles/quant12_roll_2025.json
new file mode 100644
index 0000000..e30f1bf
--- /dev/null
+++ b/sanguo_factor/weight_profiles/quant12_roll_2025.json
@@ -0,0 +1,62 @@
+{
+  "profile_id": "quant12-roll-2025",
+  "name": "v2c滚动 quant12 2025制度",
+  "method": "icir_fit_rolling3y_smoothed",
+  "fit_window": {
+    "start": "2022-01",
+    "end": "2024-12",
+    "smooth": "新旧各半"
+  },
+  "sources": {
+    "alpha16": {
+      "direction": "+",
+      "weight": 0.139073
+    },
+    "alpha42": {
+      "direction": "+",
+      "weight": 0.058994
+    },
+    "klow": {
+      "direction": "-",
+      "weight": 0.102338
+    },
+    "alpha2": {
+      "direction": "+",
+      "weight": 0.050774
+    },
+    "alpha12": {
+      "direction": "+",
+      "weight": 0.116229
+    },
+    "vol_ma5": {
+      "direction": "-",
+      "weight": 0.084095
+    },
+    "wvma_20": {
+      "direction": "-",
+      "weight": 0.042046
+    },
+    "vma_60": {
+      "direction": "+",
+      "weight": 0.102671
+    },
+    "cord_5": {
+      "direction": "-",
+      "weight": 0.08647
+    },
+    "alpha81": {
+      "direction": "-",
+      "weight": 0.065105
+    },
+    "alpha83": {
+      "direction": "+",
+      "weight": 0.056727
+    },
+    "kup": {
+      "direction": "-",
+      "weight": 0.095478
+    }
+  },
+  "overrides": [],
+  "created": "2026-09-11"
+}
\ No newline at end of file
diff --git a/sanguo_factor/weight_profiles/quant12_roll_2026.json b/sanguo_factor/weight_profiles/quant12_roll_2026.json
new file mode 100644
index 0000000..40279a9
--- /dev/null
+++ b/sanguo_factor/weight_profiles/quant12_roll_2026.json
@@ -0,0 +1,62 @@
+{
+  "profile_id": "quant12-roll-2026",
+  "name": "v2c滚动 quant12 2026制度",
+  "method": "icir_fit_rolling3y_smoothed",
+  "fit_window": {
+    "start": "2023-01",
+    "end": "2025-12",
+    "smooth": "新旧各半"
+  },
+  "sources": {
+    "alpha16": {
+      "direction": "+",
+      "weight": 0.161035
+    },
+    "alpha42": {
+      "direction": "+",
+      "weight": 0.055084
+    },
+    "klow": {
+      "direction": "-",
+      "weight": 0.083813
+    },
+    "alpha2": {
+      "direction": "+",
+      "weight": 0.059831
+    },
+    "alpha12": {
+      "direction": "+",
+      "weight": 0.110114
+    },
+    "vol_ma5": {
+      "direction": "-",
+      "weight": 0.072211
+    },
+    "wvma_20": {
+      "direction": "-",
+      "weight": 0.054842
+    },
+    "vma_60": {
+      "direction": "+",
+      "weight": 0.100444
+    },
+    "cord_5": {
+      "direction": "-",
+      "weight": 0.09101
+    },
+    "alpha81": {
+      "direction": "-",
+      "weight": 0.074519
+    },
+    "alpha83": {
+      "direction": "+",
+      "weight": 0.048139
+    },
+    "kup": {
+      "direction": "-",
+      "weight": 0.088959
+    }
+  },
+  "overrides": [],
+  "created": "2026-09-11"
+}
\ No newline at end of file
diff --git a/tests/factor/test_composite_rolling.py b/tests/factor/test_composite_rolling.py
new file mode 100644
index 0000000..338d542
--- /dev/null
+++ b/tests/factor/test_composite_rolling.py
@@ -0,0 +1,154 @@
+# tests/factor/test_composite_rolling.py
+"""合成层 v2c(Rolling): 滚动制度因子——档案扫描/命名/0 权项过滤/失败留痕/幂等重建/回归."""
+import importlib
+import json
+import sys, os
+sys.path.insert(0, os.path.abspath(os.path.join(os.path.dirname(__file__), "..", "..")))
+sys.path.insert(0, os.path.abspath(os.path.join(os.path.dirname(__file__), "..", "..", "vnpy_v4.4.0")))
+
+import pytest
+
+from sanguo_factor import composite_library, composite_weighting, composite_rolling
+from sanguo_factor.composite_weighting import (
+    WeightProfile, load_profile, resolve_weights, register_composite_from_profile,
+)
+from sanguo_factor.registry import get_factor, _REGISTRY
+
+# 12 滚动档案 × scope(quant12/all18) × 年(2021-2026);排序稳定 = (scope 字典序, year 升序)
+EXPECTED_NAMES = ([f"composite_v2c_all18_{y}" for y in range(2021, 2027)]
+                  + [f"composite_v2c_quant12_{y}" for y in range(2021, 2027)])
+
+
+@pytest.fixture(autouse=True)
+def _ensure_v2c_registered():
+    """其它测试模块清空 _REGISTRY 后幂等重挂(与 test_composite_weighting 同模式)."""
+    composite_rolling._register_all()
+
+
+def _split_top_terms(expr: str) -> list[str]:
+    """按括号深度 0 切分合成表达式顶层加法项(term 内部可含 + 与括号)."""
+    body = expr[expr.index("(") + 1: expr.rindex(") / ")]
+    parts, depth, start, i = [], 0, 0, 0
+    while i < len(body):
+        if body[i] == "(":
+            depth += 1
+        elif body[i] == ")":
+            depth -= 1
+        elif depth == 0 and body.startswith(" + ", i):
+            parts.append(body[start:i])
+            start = i + 3
+            i += 3
+            continue
+        i += 1
+    parts.append(body[start:])
+    return parts
+
+
+# ==================== 档案扫描与命名 ====================
+
+def test_iter_rolling_profiles_discovers_12_stable_order():
+    """扫描 weight_profiles/ 认 12 个 {scope}_roll_{year}.json,排序 (scope, year) 稳定;
+    v2a/v2b 等非约定名文件不纳入."""
+    got = composite_rolling._iter_rolling_profiles()
+    assert [name for name, _p in got] == EXPECTED_NAMES
+    assert all(p.name.endswith(".json") and "_roll_" in p.name for _n, p in got)
+
+
+def test_all_12_rolling_factors_registered_composite():
+    """导入即注册: 12 个 composite_v2c_* 因子全在 registry,category=composite."""
+    for name in EXPECTED_NAMES:
+        fac = get_factor(name)
+        assert fac is not None, f"{name} 未注册"
+        assert fac["category"] == "composite"
+
+
+# ==================== 0 权项过滤(表达式项数) ====================
+
+def test_quant12_rolling_expression_exact_12_terms():
+    """quant12 滚动档案权重全正: 表达式恰 12 项,无 0.000000 项."""
+    expr = get_factor("composite_v2c_quant12_2021")["expression"]
+    assert len(_split_top_terms(expr)) == 12
+    assert "0.000000 * " not in expr
+
+
+def test_all18_2021_drops_zero_weight_neu_terms():
+    """all18 2021 制度 6 个 neu 源 0 权被跳过: 表达式恰 12 项,neu 源因子串不出现."""
+    expr = get_factor("composite_v2c_all18_2021")["expression"]
+    assert len(_split_top_terms(expr)) == 12
+    assert "0.000000 * " not in expr
+    profile = load_profile(str(next(
+        p for n, p in composite_rolling._iter_rolling_profiles()
+        if n == "composite_v2c_all18_2021")))
+    zero_srcs = [s for s, (_d, w) in profile.sources.items() if w <= 0]
+    assert len(zero_srcs) == 6                       # 设计行为: 2021 neu 全 0
+    for src in zero_srcs:
+        assert get_factor(src)["expression"] not in expr, f"0 权源 {src} 不应入式"
+
+
+def test_all_rolling_terms_count_matches_positive_weights():
+    """派生断言(不钉死档案数值): 12 份滚动档案顶层项数 == 正权源数,
+    每个正权源以 6 位定点权重入式(all18_2022..2024 含零星 0 权 neu 源同样被跳过)."""
+    for name, path in composite_rolling._iter_rolling_profiles():
+        weights = resolve_weights(load_profile(str(path)))
+        positive = {s: w for s, w in weights.items() if w > 0}
+        expr = get_factor(name)["expression"]
+        terms = _split_top_terms(expr)
+        assert len(terms) == len(positive), f"{name} 项数 {len(terms)} != 正权源数 {len(positive)}"
+        for src, w in positive.items():
+            assert any(t.startswith(f"{w:.6f} * (") for t in terms), \
+                f"{name} 缺 {src} 权重项"
+
+
+# ==================== 全零防线与失败留痕 ====================
+
+def test_register_all_zero_profile_raises_value_error():
+    """全零档案非法: 直接构造 WeightProfile(L1 全 0,绕过 load 校验)注册 → ValueError,
+    且不注册(可读错误优于 ZeroDivisionError)."""
+    name = "composite_v2c_zerotest"
+    _REGISTRY.pop(name, None)
+    sources = {n: (d, 0.0) for n, d in composite_library.QUANT_SOURCES}
+    with pytest.raises(ValueError, match="全零"):
+        register_composite_from_profile(
+            WeightProfile("t-zero", "t", "manual", sources, (), {}), name)
+    assert get_factor(name) is None
+
+
+def test_register_failure_message_carries_filename(tmp_path, monkeypatch):
+    """单档案加载失败 raise 且带文件名(防静默丢制度期)."""
+    bad = tmp_path / "quant12_roll_2020.json"
+    bad.write_text(json.dumps({"profile_id": "broken", "name": "t", "method": "m"}),
+                   encoding="utf-8")  # 缺 sources
+    monkeypatch.setattr(composite_rolling, "_iter_rolling_profiles",
+                        lambda: [("composite_v2c_quant12_2020", bad)])
+    with pytest.raises(ValueError, match="quant12_roll_2020.json"):
+        composite_rolling._register_all()
+
+
+# ==================== 幂等重建与回归 ====================
+
+def test_registry_cleared_reload_rebuilds_independently():
+    """registry 清空后 reload composite_rolling 可独立重建: v2c 12 个 +
+    依赖链(v1.1 源/neu/v2a/v2b)全部重挂(幂等)."""
+    _REGISTRY.clear()
+    assert get_factor("composite_v2c_quant12_2024") is None
+    importlib.reload(composite_rolling)
+    for name in EXPECTED_NAMES:
+        assert get_factor(name) is not None, f"{name} 未重建"
+    for dep in ("alpha16", "fund_bp_neu",
+                composite_weighting._DEFAULT_COMPOSITE_NAME,
+                composite_weighting._V2B_COMPOSITE_NAME):
+        assert get_factor(dep) is not None, f"依赖 {dep} 未重挂"
+
+
+def test_v2a_v2b_default_factors_unaffected():
+    """回归: v2c 上线后既有 v2a/v2b 默认因子不变(全正权档案,项数 12/18,权重入式)."""
+    v2a = get_factor(composite_weighting._DEFAULT_COMPOSITE_NAME)
+    assert v2a is not None
+    assert len(_split_top_terms(v2a["expression"])) == 12
+    v2b = get_factor(composite_weighting._V2B_COMPOSITE_NAME)
+    assert v2b is not None
+    assert len(_split_top_terms(v2b["expression"])) == 18
+    weights = resolve_weights(
+        load_profile(str(composite_weighting._DEFAULT_PROFILE_PATH)))
+    for src, w in weights.items():
+        assert f"{w:.6f} * (" in v2a["expression"], f"v2a 缺 {src} 项"