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feat(backtest): 成交价精简 + 一键寻优全策略 + 预设网格

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- 成交价精简为 next_open/next_close，删除 this_close/worst/best 三种
  非真实模式（this_close 有未来函数偏差，worst/best 为压力测试边界）
- 初始资金默认统一为 1,000,000（原 10万/20万）
- 新增 presets.py：18 策略各配 1-2 参数的预设寻优网格（笛卡尔积≤200）
- registry.to_schema() 返回 preset_grid 字段供前端自动填充
- 新增 POST /backtest/optimize-all/run/async：逐策略预设网格寻优 +
  全局排名（OptimizeAllResult：ranking/best/per_strategy/total_grid_points）
- 新增 optimize-all 端到端单测 2 例（838 单测全绿）
This commit is contained in:
Justin Gu
2026-07-04 00:08:38 +08:00
parent c15bd8232f
commit f6ae69845d
10 changed files with 346 additions and 130 deletions
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tests/unit/test_backtest_orders.py
-81
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@@ -77,74 +77,6 @@ class TestExecutionModes:
assert len(trades) == 1
assert trades[0].price == 102.0 # df["close"].iloc[1]
def test_this_close(self) -> None:
"""this_close: 当前K线的收盘价。"""
df = _make_df(10)
sim = OrderSimulator(df, execution="this_close")
signals = [_buy_signal(0, size=100)]
trades = sim.simulate(signals, cash=20000, position=0)
assert len(trades) == 1
assert trades[0].price == 101.0 # df["close"].iloc[0]
def test_this_close_future_leak_warning(self) -> None:
"""this_close 模式应设置 future_leak_warning 标志。"""
df = _make_df(10)
sim = OrderSimulator(df, execution="this_close")
assert sim.future_leak_warning is False
# 执行模拟后应设置标志
signals = [_buy_signal(0, size=100)]
sim.simulate(signals, cash=20000, position=0)
assert sim.future_leak_warning is True
def test_worst_price_buy(self) -> None:
"""worst: 买入取最高价。"""
df = _make_df(10)
sim = OrderSimulator(df, execution="worst")
signals = [_buy_signal(0, size=100)]
trades = sim.simulate(signals, cash=20000, position=0)
assert len(trades) == 1
assert trades[0].price == 103.0 # df["high"].iloc[1]
def test_worst_price_sell(self) -> None:
"""worst: 卖出取最低价。"""
df = _make_df(10)
sim = OrderSimulator(df, execution="worst")
signals = [_sell_signal(0, size=100)]
trades = sim.simulate(signals, cash=0, position=200)
assert len(trades) == 1
assert trades[0].price == 100.0 # df["low"].iloc[1]
def test_best_price_buy(self) -> None:
"""best: 买入取最低价。"""
df = _make_df(10)
sim = OrderSimulator(df, execution="best")
signals = [_buy_signal(0, size=100)]
trades = sim.simulate(signals, cash=20000, position=0)
assert len(trades) == 1
assert trades[0].price == 100.0 # df["low"].iloc[1]
def test_best_price_sell(self) -> None:
"""best: 卖出取最高价。"""
df = _make_df(10)
sim = OrderSimulator(df, execution="best")
signals = [_sell_signal(0, size=100)]
trades = sim.simulate(signals, cash=0, position=200)
assert len(trades) == 1
assert trades[0].price == 103.0 # df["high"].iloc[1]
# ── Test Position Modes ────────────────────────────────────────────────────────
@@ -489,16 +421,3 @@ class TestNonContinuousIndex:
# position 1 的 open = 101.0；旧代码会用 label 10 当位置 → iloc[10] 越界
assert trades[0].price == 101.0
assert trades[0].rejected is False
def test_this_close_with_non_continuous_index(self) -> None:
"""this_close 模式下信号在 bar 2（label=30），应在同根 close 成交。"""
df = _make_df(10)
df.index = [10 * (i + 1) for i in range(len(df))]
sim = OrderSimulator(df, execution="this_close")
signals = [_buy_signal(2, size=100)]
trades = sim.simulate(signals, cash=20000, position=0)
assert len(trades) == 1
# position 2 的 close = 103.0
assert trades[0].price == 103.0