diff --git a/qlib/utils/index_data.py b/qlib/utils/index_data.py
index c707240d098..760d004186b 100644
--- a/qlib/utils/index_data.py
+++ b/qlib/utils/index_data.py
@@ -115,6 +115,11 @@ def __init__(self, idx_list: Union[List, pd.Index, "Index", int]):
             if isinstance(idx_list[0], np.datetime64) and not all(x.dtype == idx_list[0].dtype for x in idx_list):
                 raise TypeError("All elements in idx_list must be of the same datetime64 precision")
             self.idx_list = np.array(idx_list)
+            # Normalize datetime64 to nanosecond precision for consistent hashing
+            # Different precisions (e.g. 'ns' vs 's') are equal but have different hashes,
+            # which breaks dict lookups and set operations (see issue #1806)
+            if self.idx_list.dtype.kind == "M":
+                self.idx_list = self.idx_list.astype("datetime64[ns]")
             # NOTE: only the first appearance is indexed
             self.index_map = dict(zip(self.idx_list, range(len(self))))
             self._is_sorted = False
diff --git a/tests/misc/test_index_data.py b/tests/misc/test_index_data.py
index 89fccb4d91f..94794fd7f79 100644
--- a/tests/misc/test_index_data.py
+++ b/tests/misc/test_index_data.py
@@ -112,6 +112,62 @@ def test_corner_cases(self):
         with self.assertRaises(TypeError):
             sd = idd.SingleData([1, 2, 3], index=timeindex)
 
+    def test_datetime64_precision_normalization(self):
+        """Test that datetime64 values with different precisions work correctly.
+
+        numpy.datetime64 values with different precisions (e.g. 'ns' vs 's') are
+        equal but have different hashes, which breaks dict/set operations.
+        Normalizing to 'ns' in Index.__init__ fixes this (issue #1806).
+        """
+        # Create two SingleData with different datetime64 precisions
+        ns_index = [
+            np.datetime64("2017-01-04T00:00:00.000000000"),
+            np.datetime64("2017-01-05T00:00:00.000000000"),
+            np.datetime64("2017-01-06T00:00:00.000000000"),
+        ]
+        s_index = [
+            np.datetime64("2017-01-04T00:00:00"),
+            np.datetime64("2017-01-05T00:00:00"),
+            np.datetime64("2017-01-06T00:00:00"),
+        ]
+        sd_ns = idd.SingleData([1, 2, 3], index=ns_index)
+        sd_s = idd.SingleData([4, 5, 6], index=s_index)
+
+        # Both should be normalized to ns precision
+        self.assertEqual(sd_ns.index.idx_list.dtype, np.dtype("datetime64[ns]"))
+        self.assertEqual(sd_s.index.idx_list.dtype, np.dtype("datetime64[ns]"))
+
+        # Cross-precision lookup should work
+        self.assertEqual(sd_ns.loc[np.datetime64("2017-01-04T00:00:00")], 1)
+        self.assertEqual(sd_s.loc[np.datetime64("2017-01-05T00:00:00.000000000")], 5)
+
+        # Index.__or__ should work across precisions
+        combined = sd_ns.index | sd_s.index
+        self.assertEqual(len(combined), 3)
+
+        # _align_indices should work across precisions
+        result = sd_ns + sd_s
+        self.assertEqual(result.iloc[0], 5)
+        self.assertEqual(result.iloc[1], 7)
+        self.assertEqual(result.iloc[2], 9)
+
+        # concat should work across precisions
+        md = idd.concat([sd_ns, sd_s], axis=1)
+        self.assertEqual(md.data.shape, (3, 2))
+
+        # sum_by_index should work across precisions
+        summed = idd.sum_by_index([sd_ns, sd_s], sd_ns.index, fill_value=0)
+        self.assertEqual(summed.iloc[0], 5)
+
+        # to_dict should produce consistent keys
+        d = sd_ns.to_dict()
+        self.assertIn(np.datetime64("2017-01-04T00:00:00"), d)
+
+        # reindex across precisions should work
+        new_index = idd.Index(s_index)
+        reindexed = sd_ns.reindex(new_index)
+        self.assertEqual(reindexed.iloc[0], 1)
+
     def test_ops(self):
         sd1 = idd.SingleData([1, 2, 3, 4], index=["foo", "bar", "f", "g"])
         sd2 = idd.SingleData([1, 2, 3, 4], index=["foo", "bar", "f", "g"])