mirror of
https://ghfast.top/https://github.com/aeroxw/easy_tdx_max.git
synced 2026-09-12 14:34:18 +08:00
Merge branch 'main' of https://github.com/handsomejustin/easy_tdx
This commit is contained in:
GitHub
@@ -0,0 +1,341 @@
|
||||
{
|
||||
"benchmark_comparison": {
|
||||
"alpha": -0.07509968942791662,
|
||||
"beta": 0.52345815483129,
|
||||
"information_ratio": -0.4168372094924506,
|
||||
"tracking_error": 0.1915582998133785
|
||||
},
|
||||
"buy_hold": {
|
||||
"annual_return": -0.02751052343019722,
|
||||
"calmar": -0.10790264140303352,
|
||||
"max_drawdown": 0.2549569044138692,
|
||||
"sharpe": -0.07276274597183686,
|
||||
"total_return": -0.043207472350363485,
|
||||
"volatility": 0.2753412305613209
|
||||
},
|
||||
"meta": {
|
||||
"bars": 400,
|
||||
"cash": 100000.0,
|
||||
"note": "regen: EASY_TDX_REGEN_GOLDEN=1 pytest tests/unit/test_golden_backtest.py",
|
||||
"seed": 20260902,
|
||||
"tolerance": {
|
||||
"abs": 1e-06,
|
||||
"rel": 1e-06
|
||||
}
|
||||
},
|
||||
"rules": {
|
||||
"bracket_pct": {
|
||||
"total_return": 0.06621316999999993,
|
||||
"total_trades": 1,
|
||||
"trades": [
|
||||
[
|
||||
"BUY",
|
||||
10.3,
|
||||
20240102
|
||||
],
|
||||
[
|
||||
"SELL",
|
||||
11.0,
|
||||
20240105
|
||||
]
|
||||
]
|
||||
},
|
||||
"stop_loss": {
|
||||
"total_return": -0.11904648000000007,
|
||||
"total_trades": 1,
|
||||
"trades": [
|
||||
[
|
||||
"BUY",
|
||||
10.2,
|
||||
20240102
|
||||
],
|
||||
[
|
||||
"SELL",
|
||||
9.0,
|
||||
20240108
|
||||
]
|
||||
]
|
||||
},
|
||||
"take_profit": {
|
||||
"total_return": 0.06621316999999993,
|
||||
"total_trades": 1,
|
||||
"trades": [
|
||||
[
|
||||
"BUY",
|
||||
10.3,
|
||||
20240102
|
||||
],
|
||||
[
|
||||
"SELL",
|
||||
11.0,
|
||||
20240105
|
||||
]
|
||||
]
|
||||
},
|
||||
"trailing_stop": {
|
||||
"total_return": 0.027762419999999954,
|
||||
"total_trades": 1,
|
||||
"trades": [
|
||||
[
|
||||
"BUY",
|
||||
10.2,
|
||||
20240102
|
||||
],
|
||||
[
|
||||
"SELL",
|
||||
10.5,
|
||||
20240112
|
||||
]
|
||||
]
|
||||
}
|
||||
},
|
||||
"strategies": {
|
||||
"atr_breakout": {
|
||||
"cvar_95": 0.029816014464276553,
|
||||
"max_consecutive_losses": 2,
|
||||
"max_consecutive_wins": 1,
|
||||
"max_drawdown": 0.2338437267295321,
|
||||
"sharpe": -0.1980068530470557,
|
||||
"sqn": -0.2643143297795612,
|
||||
"total_return": -0.051365472018247815,
|
||||
"total_trades": 5,
|
||||
"ulcer_index": 0.11610199605370222,
|
||||
"var_95": 0.023167064579450905,
|
||||
"win_rate": 0.2
|
||||
},
|
||||
"bbi": {
|
||||
"cvar_95": 0.028403780640227493,
|
||||
"max_consecutive_losses": 11,
|
||||
"max_consecutive_wins": 6,
|
||||
"max_drawdown": 0.17316305538486726,
|
||||
"sharpe": -0.047920869432565044,
|
||||
"sqn": 0.2034947102900509,
|
||||
"total_return": 0.0015367014340572638,
|
||||
"total_trades": 37,
|
||||
"ulcer_index": 0.09154821119005127,
|
||||
"var_95": 0.02185464362709669,
|
||||
"win_rate": 0.43243243243243246
|
||||
},
|
||||
"bias_reversal": {
|
||||
"cvar_95": 0.031800618199536355,
|
||||
"max_consecutive_losses": 4,
|
||||
"max_consecutive_wins": 6,
|
||||
"max_drawdown": 0.28538313496863427,
|
||||
"sharpe": -0.8098413586757496,
|
||||
"sqn": -0.6927111806707453,
|
||||
"total_return": -0.22014868093324402,
|
||||
"total_trades": 45,
|
||||
"ulcer_index": 0.1949515199887598,
|
||||
"var_95": 0.02439437484336824,
|
||||
"win_rate": 0.5111111111111111
|
||||
},
|
||||
"boll_breakout": {
|
||||
"cvar_95": 0.025123143703972416,
|
||||
"max_consecutive_losses": 1,
|
||||
"max_consecutive_wins": 2,
|
||||
"max_drawdown": 0.12529045393048568,
|
||||
"sharpe": -0.08270429911478913,
|
||||
"sqn": 0.984709712259246,
|
||||
"total_return": 0.00949379410277551,
|
||||
"total_trades": 3,
|
||||
"ulcer_index": 0.039203351555811915,
|
||||
"var_95": 0.015350573492733575,
|
||||
"win_rate": 0.6666666666666666
|
||||
},
|
||||
"cci": {
|
||||
"cvar_95": 0.028065506761634905,
|
||||
"max_consecutive_losses": 1,
|
||||
"max_consecutive_wins": 3,
|
||||
"max_drawdown": 0.17514368495494725,
|
||||
"sharpe": -0.4733373193054346,
|
||||
"sqn": -0.33416732892726264,
|
||||
"total_return": -0.1047789450922677,
|
||||
"total_trades": 11,
|
||||
"ulcer_index": 0.0895732932132124,
|
||||
"var_95": 0.019114854583397116,
|
||||
"win_rate": 0.6363636363636364
|
||||
},
|
||||
"dmi": {
|
||||
"cvar_95": 0.029255190955404537,
|
||||
"max_consecutive_losses": 5,
|
||||
"max_consecutive_wins": 3,
|
||||
"max_drawdown": 0.26277279842089457,
|
||||
"sharpe": -0.538224272020581,
|
||||
"sqn": -0.6542541127994779,
|
||||
"total_return": -0.144868582491816,
|
||||
"total_trades": 22,
|
||||
"ulcer_index": 0.14141379126490972,
|
||||
"var_95": 0.022084559354451774,
|
||||
"win_rate": 0.45454545454545453
|
||||
},
|
||||
"donchian": {
|
||||
"cvar_95": -0.0,
|
||||
"max_consecutive_losses": 0,
|
||||
"max_consecutive_wins": 0,
|
||||
"max_drawdown": 0.0,
|
||||
"sharpe": 0.0,
|
||||
"sqn": 0.0,
|
||||
"total_return": 0.0,
|
||||
"total_trades": 0,
|
||||
"ulcer_index": 0.0,
|
||||
"var_95": -0.0,
|
||||
"win_rate": 0.0
|
||||
},
|
||||
"dpo": {
|
||||
"cvar_95": 0.02721297612445824,
|
||||
"max_consecutive_losses": 6,
|
||||
"max_consecutive_wins": 4,
|
||||
"max_drawdown": 0.19787887049273278,
|
||||
"sharpe": 0.08973761311003028,
|
||||
"sqn": 0.4060312738886599,
|
||||
"total_return": 0.04626258446140685,
|
||||
"total_trades": 40,
|
||||
"ulcer_index": 0.09456618993344078,
|
||||
"var_95": 0.019685727992254924,
|
||||
"win_rate": 0.45
|
||||
},
|
||||
"ema_cross": {
|
||||
"cvar_95": 0.030512787117540286,
|
||||
"max_consecutive_losses": 5,
|
||||
"max_consecutive_wins": 1,
|
||||
"max_drawdown": 0.2959272480843976,
|
||||
"sharpe": -0.7875446987996052,
|
||||
"sqn": -1.4136352678571986,
|
||||
"total_return": -0.21673831411102973,
|
||||
"total_trades": 8,
|
||||
"ulcer_index": 0.17424109127336226,
|
||||
"var_95": 0.02416619544856333,
|
||||
"win_rate": 0.125
|
||||
},
|
||||
"emv": {
|
||||
"cvar_95": 0.029127493175167347,
|
||||
"max_consecutive_losses": 6,
|
||||
"max_consecutive_wins": 3,
|
||||
"max_drawdown": 0.3223214933637952,
|
||||
"sharpe": -1.0544258453115651,
|
||||
"sqn": -1.6556723755607416,
|
||||
"total_return": -0.2575566534714613,
|
||||
"total_trades": 28,
|
||||
"ulcer_index": 0.21540763583933592,
|
||||
"var_95": 0.02157076164724241,
|
||||
"win_rate": 0.32142857142857145
|
||||
},
|
||||
"fsl": {
|
||||
"cvar_95": 0.028932815510588083,
|
||||
"max_consecutive_losses": 5,
|
||||
"max_consecutive_wins": 2,
|
||||
"max_drawdown": 0.16041976356729326,
|
||||
"sharpe": -0.12011672214054765,
|
||||
"sqn": -0.07772875586670183,
|
||||
"total_return": -0.026169388111291436,
|
||||
"total_trades": 14,
|
||||
"ulcer_index": 0.08345129720689942,
|
||||
"var_95": 0.022744109351729155,
|
||||
"win_rate": 0.35714285714285715
|
||||
},
|
||||
"kdj_cross": {
|
||||
"cvar_95": 0.027898201822013535,
|
||||
"max_consecutive_losses": 3,
|
||||
"max_consecutive_wins": 6,
|
||||
"max_drawdown": 0.10762922092720545,
|
||||
"sharpe": 0.8589847738542853,
|
||||
"sqn": 1.2700892113941968,
|
||||
"total_return": 0.33234070489431433,
|
||||
"total_trades": 28,
|
||||
"ulcer_index": 0.05288447475839552,
|
||||
"var_95": 0.019645713150630486,
|
||||
"win_rate": 0.5357142857142857
|
||||
},
|
||||
"keltner": {
|
||||
"cvar_95": 0.02977493291904796,
|
||||
"max_consecutive_losses": 2,
|
||||
"max_consecutive_wins": 1,
|
||||
"max_drawdown": 0.22976199965457847,
|
||||
"sharpe": -0.1732213286120034,
|
||||
"sqn": -0.22326773643387887,
|
||||
"total_return": -0.04444609288676726,
|
||||
"total_trades": 4,
|
||||
"ulcer_index": 0.11754644293259853,
|
||||
"var_95": 0.02351295669073764,
|
||||
"win_rate": 0.25
|
||||
},
|
||||
"ma_cross": {
|
||||
"cvar_95": 0.02953584331940908,
|
||||
"max_consecutive_losses": 3,
|
||||
"max_consecutive_wins": 4,
|
||||
"max_drawdown": 0.22131421204998106,
|
||||
"sharpe": -0.4990885286170613,
|
||||
"sqn": -1.0839091744378302,
|
||||
"total_return": -0.1326834663173594,
|
||||
"total_trades": 11,
|
||||
"ulcer_index": 0.11891561252900337,
|
||||
"var_95": 0.022064133071800284,
|
||||
"win_rate": 0.5454545454545454
|
||||
},
|
||||
"macd": {
|
||||
"cvar_95": 0.02839428517023986,
|
||||
"max_consecutive_losses": 6,
|
||||
"max_consecutive_wins": 5,
|
||||
"max_drawdown": 0.18473872916346823,
|
||||
"sharpe": -0.38338812036224335,
|
||||
"sqn": -0.5295484249243184,
|
||||
"total_return": -0.10413146619958658,
|
||||
"total_trades": 17,
|
||||
"ulcer_index": 0.10417476558778298,
|
||||
"var_95": 0.02189769434012649,
|
||||
"win_rate": 0.35294117647058826
|
||||
},
|
||||
"rsi_reversal": {
|
||||
"cvar_95": 0.030776659581515254,
|
||||
"max_consecutive_losses": 1,
|
||||
"max_consecutive_wins": 1,
|
||||
"max_drawdown": 0.23599475582323245,
|
||||
"sharpe": 0.4065196788206701,
|
||||
"sqn": 0.6504806756551088,
|
||||
"total_return": 0.16567827342668773,
|
||||
"total_trades": 2,
|
||||
"ulcer_index": 0.09450845521195947,
|
||||
"var_95": 0.024060510820245292,
|
||||
"win_rate": 0.5
|
||||
},
|
||||
"triple_ma": {
|
||||
"cvar_95": 0.030748053405195853,
|
||||
"max_consecutive_losses": 2,
|
||||
"max_consecutive_wins": 1,
|
||||
"max_drawdown": 0.26736051511671544,
|
||||
"sharpe": -0.2867281890227494,
|
||||
"sqn": -2.2739244432234624,
|
||||
"total_return": -0.07872900419821216,
|
||||
"total_trades": 4,
|
||||
"ulcer_index": 0.13253815816514244,
|
||||
"var_95": 0.023068752460779107,
|
||||
"win_rate": 0.25
|
||||
},
|
||||
"trix": {
|
||||
"cvar_95": 0.027724285540264466,
|
||||
"max_consecutive_losses": 3,
|
||||
"max_consecutive_wins": 4,
|
||||
"max_drawdown": 0.29063024861099856,
|
||||
"sharpe": -0.7642482349371779,
|
||||
"sqn": -0.9463810886485136,
|
||||
"total_return": -0.1947048613134198,
|
||||
"total_trades": 12,
|
||||
"ulcer_index": 0.17538728786286353,
|
||||
"var_95": 0.021929213323307422,
|
||||
"win_rate": 0.5
|
||||
},
|
||||
"wr_reversal": {
|
||||
"cvar_95": -0.0,
|
||||
"max_consecutive_losses": 0,
|
||||
"max_consecutive_wins": 0,
|
||||
"max_drawdown": 0.0,
|
||||
"sharpe": 0.0,
|
||||
"sqn": 0.0,
|
||||
"total_return": 0.0,
|
||||
"total_trades": 0,
|
||||
"ulcer_index": 0.0,
|
||||
"var_95": -0.0,
|
||||
"win_rate": 0.0
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,292 @@
|
||||
"""黄金测试（golden tests）：回测引擎指标快照回归（v1.28 新增）。
|
||||
|
||||
借鉴 akquant 的 golden 测试机制：把「内置策略在固定随机种子合成数据上的
|
||||
全部绩效指标」与「交易规则场景（止损/止盈/移动止损/OCO/费率）的成交明细」
|
||||
锁定为 JSON 基线（``tests/golden/backtest_metrics.json``），每次引擎改动后
|
||||
跑一遍比对——撮合、费率、信号时序任何静默漂移都会在这里爆出来。
|
||||
|
||||
生成/更新基线::
|
||||
|
||||
EASY_TDX_REGEN_GOLDEN=1 python -m pytest tests/unit/test_golden_backtest.py
|
||||
|
||||
比对容差：rel=1e-6 / abs=1e-6——紧到能抓住费率或成交时点级别的逻辑漂移
|
||||
（通常引起 >0.001 的变动），松到容忍跨平台浮点求和顺序的尾数噪声。
|
||||
"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import json
|
||||
import os
|
||||
from pathlib import Path
|
||||
from typing import Any
|
||||
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
import pytest
|
||||
|
||||
from easy_tdx.backtest.benchmark import (
|
||||
compute_benchmark_comparison,
|
||||
run_buy_hold_benchmark,
|
||||
)
|
||||
from easy_tdx.backtest.engine import BacktestEngine
|
||||
from easy_tdx.backtest.strategies import builtin # noqa: F401 # 触发注册
|
||||
from easy_tdx.backtest.strategies.registry import _REGISTRY
|
||||
from easy_tdx.backtest.strategy import Strategy
|
||||
|
||||
GOLDEN_PATH = Path(__file__).resolve().parents[1] / "golden" / "backtest_metrics.json"
|
||||
REGEN = os.environ.get("EASY_TDX_REGEN_GOLDEN", "") == "1"
|
||||
|
||||
# 与基线 meta 一致的固定参数
|
||||
SEED = 20260902
|
||||
BARS = 400
|
||||
CASH = 100000.0
|
||||
|
||||
# 内置策略锁定的指标子集（全部为确定性数值；int 与 float 分开比对）
|
||||
STRATEGY_METRICS_FLOAT = (
|
||||
"total_return",
|
||||
"max_drawdown",
|
||||
"sharpe",
|
||||
"win_rate",
|
||||
"ulcer_index",
|
||||
"var_95",
|
||||
"cvar_95",
|
||||
"sqn",
|
||||
)
|
||||
STRATEGY_METRICS_INT = (
|
||||
"total_trades",
|
||||
"max_consecutive_wins",
|
||||
"max_consecutive_losses",
|
||||
)
|
||||
|
||||
|
||||
def _golden_df() -> pd.DataFrame:
|
||||
"""固定种子的合成日线（几何随机游走 + 温和上行漂移）。"""
|
||||
rng = np.random.default_rng(SEED)
|
||||
close = 20.0 * np.exp(np.cumsum(rng.normal(0.0004, 0.018, BARS)))
|
||||
high = close * (1 + np.abs(rng.normal(0, 0.008, BARS)))
|
||||
low = close * (1 - np.abs(rng.normal(0, 0.008, BARS)))
|
||||
open_ = low + (high - low) * rng.uniform(0, 1, BARS)
|
||||
vol = rng.uniform(5e5, 5e6, BARS)
|
||||
return pd.DataFrame(
|
||||
{
|
||||
"datetime": pd.date_range("2023-01-02", periods=BARS, freq="B"),
|
||||
"open": open_,
|
||||
"high": high,
|
||||
"low": low,
|
||||
"close": close,
|
||||
"vol": vol,
|
||||
"amount": close * vol,
|
||||
}
|
||||
)
|
||||
|
||||
|
||||
# ── 规则场景策略（手工构造行情路径，锁定触发语义本身） ───────────────────────
|
||||
|
||||
|
||||
class _BuyOnce(Strategy):
|
||||
"""首根买入（可携带 bracket 参数），不再主动交易；无参数时即买入持有。"""
|
||||
|
||||
def __init__(self, **bracket: Any) -> None:
|
||||
super().__init__()
|
||||
self._bracket: dict[str, Any] = bracket
|
||||
self._bought = False
|
||||
|
||||
def init(self) -> None:
|
||||
pass
|
||||
|
||||
def next(self) -> None:
|
||||
if not self._bought:
|
||||
self.buy(**self._bracket)
|
||||
self._bought = True
|
||||
|
||||
|
||||
def _rule_df(closes: list[float]) -> pd.DataFrame:
|
||||
"""按收盘价序列构造无随机因素的 OHLC（high/low = close ±1%）。"""
|
||||
arr = np.asarray(closes, dtype=float)
|
||||
n = len(arr)
|
||||
return pd.DataFrame(
|
||||
{
|
||||
"datetime": pd.date_range("2024-01-01", periods=n, freq="B"),
|
||||
"open": arr,
|
||||
"high": arr * 1.01,
|
||||
"low": arr * 0.99,
|
||||
"close": arr,
|
||||
"vol": [1000.0] * n,
|
||||
"amount": arr * 1000,
|
||||
}
|
||||
)
|
||||
|
||||
|
||||
def _run_rule(closes: list[float], **bracket: Any) -> dict[str, Any]:
|
||||
"""跑规则场景，返回待锁定的摘要（成交明细 + 关键指标）。"""
|
||||
result = BacktestEngine(_BuyOnce(**bracket), cash=CASH).run(_rule_df(closes))
|
||||
trades = [
|
||||
[t.direction, round(float(t.price), 4), int(pd.Timestamp(t.datetime).strftime("%Y%m%d"))]
|
||||
for t in result.trades.itertuples()
|
||||
if not t.rejected
|
||||
]
|
||||
return {
|
||||
"trades": trades,
|
||||
"total_return": float(result.performance["total_return"]),
|
||||
"total_trades": int(result.performance["total_trades"]),
|
||||
}
|
||||
|
||||
|
||||
RULE_SCENARIOS: dict[str, dict[str, Any]] = {
|
||||
# 跌破固定止损 9.5 → 触发 SELL@9.5，延迟下一根成交
|
||||
"stop_loss": {
|
||||
"closes": [10, 10.2, 10.1, 9.8, 9.3, 9.0, 8.8, 8.6, 8.4, 8.2],
|
||||
"bracket": {"stop_loss": 9.5},
|
||||
},
|
||||
# 触及固定止盈 11.0 → OCO 使止损线失效
|
||||
"take_profit": {
|
||||
"closes": [10, 10.3, 10.8, 11.2, 11.5, 11.8, 12.0, 12.2, 12.4, 12.6],
|
||||
"bracket": {"stop_loss": 9.0, "take_profit": 11.0},
|
||||
},
|
||||
# 自最高收盘 12 回撤 8% → 11.04 触发移动止损
|
||||
"trailing_stop": {
|
||||
"closes": [10, 10.2, 10.5, 11, 11.5, 12, 11.9, 11.5, 11.0, 10.5, 10.0, 9.5],
|
||||
"bracket": {"trail_stop": 0.08},
|
||||
},
|
||||
# 百分比 bracket：5% 止损 / 10% 止盈（基准价 = 信号根收盘 10）
|
||||
"bracket_pct": {
|
||||
"closes": [10, 10.3, 10.8, 11.2, 11.5, 11.8, 12.0, 12.2, 12.4, 12.6],
|
||||
"bracket": {"stop_loss_pct": 0.05, "take_profit_pct": 0.10},
|
||||
},
|
||||
}
|
||||
|
||||
|
||||
def _build_golden() -> dict[str, Any]:
|
||||
"""重新计算并返回完整黄金基线。"""
|
||||
df = _golden_df()
|
||||
|
||||
strategies: dict[str, dict[str, Any]] = {}
|
||||
for name in sorted(_REGISTRY.names()):
|
||||
reg = _REGISTRY.get(name)
|
||||
cls = reg.strategy_cls
|
||||
perf = BacktestEngine(cls, cash=CASH).run(df).performance
|
||||
entry: dict[str, Any] = {k: float(perf[k]) for k in STRATEGY_METRICS_FLOAT}
|
||||
entry.update({k: int(perf[k]) for k in STRATEGY_METRICS_INT})
|
||||
strategies[name] = entry
|
||||
|
||||
rules = {
|
||||
key: _run_rule(spec["closes"], **spec["bracket"]) for key, spec in RULE_SCENARIOS.items()
|
||||
}
|
||||
|
||||
# 买入持有基准 + CAPM 对比（用 ma_cross 做策略侧）
|
||||
bh = run_buy_hold_benchmark(df, cash=CASH)
|
||||
ma = _REGISTRY.get("ma_cross").strategy_cls
|
||||
ma_result = BacktestEngine(ma, cash=CASH).run(df)
|
||||
comparison = compute_benchmark_comparison(
|
||||
ma_result.equity_curve,
|
||||
BacktestEngine(_BuyOnce(), cash=CASH).run(df).equity_curve,
|
||||
)
|
||||
|
||||
return {
|
||||
"meta": {
|
||||
"seed": SEED,
|
||||
"bars": BARS,
|
||||
"cash": CASH,
|
||||
"tolerance": {"rel": 1e-6, "abs": 1e-6},
|
||||
"note": "regen: EASY_TDX_REGEN_GOLDEN=1 pytest tests/unit/test_golden_backtest.py",
|
||||
},
|
||||
"strategies": strategies,
|
||||
"rules": rules,
|
||||
"buy_hold": {k: float(v) for k, v in bh.items()},
|
||||
"benchmark_comparison": {k: float(v) for k, v in comparison.items()},
|
||||
}
|
||||
|
||||
|
||||
def _load_golden() -> dict[str, Any]:
|
||||
if not GOLDEN_PATH.exists():
|
||||
pytest.fail(
|
||||
f"黄金基线缺失: {GOLDEN_PATH}\n"
|
||||
"首次生成请运行: EASY_TDX_REGEN_GOLDEN=1 python -m pytest "
|
||||
"tests/unit/test_golden_backtest.py"
|
||||
)
|
||||
data = json.loads(GOLDEN_PATH.read_text(encoding="utf-8"))
|
||||
assert isinstance(data, dict)
|
||||
return data
|
||||
|
||||
|
||||
def _save_golden(data: dict[str, Any]) -> None:
|
||||
GOLDEN_PATH.parent.mkdir(parents=True, exist_ok=True)
|
||||
GOLDEN_PATH.write_text(
|
||||
json.dumps(data, ensure_ascii=False, indent=2, sort_keys=True) + "\n",
|
||||
encoding="utf-8",
|
||||
)
|
||||
|
||||
|
||||
@pytest.fixture(scope="module")
|
||||
def golden() -> dict[str, Any]:
|
||||
"""加载基线；REGEN=1 时重新计算并写盘后返回。"""
|
||||
if REGEN:
|
||||
data = _build_golden()
|
||||
_save_golden(data)
|
||||
return data
|
||||
return _load_golden()
|
||||
|
||||
|
||||
def _assert_metric(actual: Any, expected: Any, label: str) -> None:
|
||||
"""int 精确比对；float 按 rel=abs=1e-6 容差比对。"""
|
||||
if isinstance(expected, int) and not isinstance(expected, bool):
|
||||
assert actual == expected, f"{label}: {actual} != {expected}"
|
||||
else:
|
||||
assert float(actual) == pytest.approx(float(expected), rel=1e-6, abs=1e-6), (
|
||||
f"{label}: {actual} != {expected}"
|
||||
)
|
||||
|
||||
|
||||
# ── 测试入口 ─────────────────────────────────────────────────────────────────
|
||||
|
||||
|
||||
@pytest.mark.parametrize("name", sorted(_REGISTRY.names()))
|
||||
def test_golden_builtin_strategies(golden: dict[str, Any], name: str) -> None:
|
||||
"""全部内置策略在固定数据上的绩效指标与基线一致。"""
|
||||
perf = BacktestEngine(_REGISTRY.get(name).strategy_cls, cash=CASH).run(_golden_df()).performance
|
||||
baseline = golden["strategies"][name]
|
||||
for key in STRATEGY_METRICS_FLOAT:
|
||||
_assert_metric(perf[key], baseline[key], f"{name}.{key}")
|
||||
for key in STRATEGY_METRICS_INT:
|
||||
_assert_metric(perf[key], baseline[key], f"{name}.{key}")
|
||||
|
||||
|
||||
@pytest.mark.parametrize("scenario", sorted(RULE_SCENARIOS))
|
||||
def test_golden_rule_scenarios(golden: dict[str, Any], scenario: str) -> None:
|
||||
"""止损/止盈/移动止损/OCO 触发语义（成交价与时点）与基线一致。"""
|
||||
spec = RULE_SCENARIOS[scenario]
|
||||
actual = _run_rule(spec["closes"], **spec["bracket"])
|
||||
baseline = golden["rules"][scenario]
|
||||
assert actual["total_trades"] == baseline["total_trades"], scenario
|
||||
assert len(actual["trades"]) == len(baseline["trades"]), f"{scenario}: 成交笔数漂移"
|
||||
for i, (a, b) in enumerate(zip(actual["trades"], baseline["trades"])):
|
||||
assert a[0] == b[0], f"{scenario} 第{i}笔方向漂移: {a} vs {b}"
|
||||
_assert_metric(a[1], b[1], f"{scenario}.trades[{i}].price")
|
||||
assert a[2] == b[2], f"{scenario} 第{i}笔成交日漂移: {a} vs {b}"
|
||||
_assert_metric(actual["total_return"], baseline["total_return"], f"{scenario}.total_return")
|
||||
|
||||
|
||||
def test_golden_buy_hold(golden: dict[str, Any]) -> None:
|
||||
"""买入持有基准指标与基线一致。"""
|
||||
bh = run_buy_hold_benchmark(_golden_df(), cash=CASH)
|
||||
for key, expected in golden["buy_hold"].items():
|
||||
_assert_metric(bh[key], expected, f"buy_hold.{key}")
|
||||
|
||||
|
||||
def test_golden_benchmark_comparison(golden: dict[str, Any]) -> None:
|
||||
"""Alpha/Beta/IR/TE 基准对比指标与基线一致。"""
|
||||
df = _golden_df()
|
||||
ma = _REGISTRY.get("ma_cross").strategy_cls
|
||||
strategy_curve = BacktestEngine(ma, cash=CASH).run(df).equity_curve
|
||||
bh_curve = BacktestEngine(_BuyOnce(), cash=CASH).run(df).equity_curve
|
||||
comparison = compute_benchmark_comparison(strategy_curve, bh_curve)
|
||||
for key, expected in golden["benchmark_comparison"].items():
|
||||
_assert_metric(comparison[key], expected, f"benchmark.{key}")
|
||||
|
||||
|
||||
def test_golden_meta_frozen(golden: dict[str, Any]) -> None:
|
||||
"""基线 meta 与测试常量一致（防止改数据参数后忘记重建基线）。"""
|
||||
meta = golden["meta"]
|
||||
assert meta["seed"] == SEED
|
||||
assert meta["bars"] == BARS
|
||||
assert meta["cash"] == CASH
|
||||
@@ -72,6 +72,7 @@ _EXPECTED_KIND: dict[str, str] = {
|
||||
"CALC_HOSTS": "constant",
|
||||
"MAC_HOSTS": "constant",
|
||||
"XDXR_CATEGORY_NAMES": "constant",
|
||||
"UNUSUAL_TYPE_NAMES": "constant",
|
||||
}
|
||||
|
||||
|
||||
|
||||
@@ -0,0 +1,221 @@
|
||||
"""市场异动（0x1237）异动类型解析测试（Issue #62）。
|
||||
|
||||
背景实测（2026-09-01 午间，全市场 SH+SZ 共 12871 条）：
|
||||
- 0x15 仅出现在 09:25:00~09:25:02（竞价撮合时刻），v1 为方向档
|
||||
（0x02 拉升 / 0x03 下跌 / 0x01 平稳，±0.5% 分档），v2 为竞价尾段
|
||||
价格变动（相对昨收，参考时刻收敛于 09:23:30~09:24:00），v3 为竞价
|
||||
匹配量（手，略小于最终撮合量）。pytdx2 把 0x15 标作"尾盘"与实测矛盾，
|
||||
系对 PC 推送协议枚举的错误类推。
|
||||
- 0x16 全天分布，v2 为触发时涨跌幅：09:25 的 49 条样本与当日开盘涨幅
|
||||
（open/pre_close-1）49/49 精确一致；全时段与收盘涨跌幅符号一致率
|
||||
97%~100%。v1 为带符号强弱等级（0x01~0x03 强势、0xFD~0xFF 弱势，
|
||||
六组 v2 区间互不重叠且单调）。
|
||||
- 0x1D / 0x1E 全天分布，v1 恒为 0x00 / 0x01（方向），v2 恒正 / 恒负
|
||||
（阈值下限 ±0.6%），v3 恒 0。
|
||||
"""
|
||||
|
||||
import struct
|
||||
from datetime import time
|
||||
|
||||
from easy_tdx import UNUSUAL_TYPE_NAMES
|
||||
from easy_tdx.mac.commands.unusual import UnusualCmd, _describe_unusual
|
||||
|
||||
|
||||
def _record(
|
||||
utype: int,
|
||||
data_hex: str,
|
||||
hour: int = 9,
|
||||
minute_sec: int = 2500,
|
||||
market: int = 1,
|
||||
code: str = "600551",
|
||||
) -> bytes:
|
||||
"""构造一条 32 字节异动记录（<H6sBBBHH> 头 + 13B 数据区 + 保留 + <BH> 时间）。"""
|
||||
return (
|
||||
struct.pack("<H6sBBBHH", market, code.encode("gbk"), 0, utype, 0, 1, 0)
|
||||
+ bytes.fromhex(data_hex)
|
||||
+ b"\x00" # offset 28：全类型实测恒 0
|
||||
+ struct.pack("<BH", hour, minute_sec)
|
||||
)
|
||||
|
||||
|
||||
def _body(records: list[bytes]) -> bytes:
|
||||
text = ",".join("测试股" for _ in records)
|
||||
return struct.pack("<H", len(records)) + b"".join(records) + text.encode("gbk")
|
||||
|
||||
|
||||
class TestDescribeUnusualKnownTypes:
|
||||
"""既有 15 种类型（0x03~0x0C、0x10~0x14）解析不回归。"""
|
||||
|
||||
def test_type_0x04(self):
|
||||
# 真实样本：605365 立达信 2026-09-01 09:35:11
|
||||
desc, val = _describe_unusual(0x04, bytes.fromhex("00b8d73d3d0000000000000000"))
|
||||
assert desc == "加速拉升"
|
||||
assert val == "4.63%"
|
||||
|
||||
def test_unknown_type_fallback(self):
|
||||
desc, val = _describe_unusual(0x42, bytes.fromhex("00" * 13))
|
||||
assert desc == "异动类型0x42"
|
||||
assert val == ""
|
||||
|
||||
|
||||
class TestType0x15:
|
||||
"""0x15 竞价/尾盘异动（Issue #62）。
|
||||
|
||||
双时刻信号：开盘竞价 09:25（当日 1191 条）与收盘 15:00:01~04（当日 86 条，
|
||||
SH 52 / SZ 29 / BJ 5）都触发；desc 按记录小时区分「竞价/尾盘」前缀。
|
||||
"""
|
||||
|
||||
def test_auction_drop(self):
|
||||
# 真实样本：600551 时代出版 09:25:00，v1=0x03 竞价下跌
|
||||
desc, val = _describe_unusual(0x15, bytes.fromhex("030c9846bc003e1d4700000000"))
|
||||
assert desc == "竞价下跌"
|
||||
assert val == "-1.21%/40254手"
|
||||
|
||||
def test_auction_rise(self):
|
||||
# 真实样本：600127 金健米业 09:25:00，v1=0x02 竞价拉升（尾段自 10.84 冲至 12.05）
|
||||
desc, val = _describe_unusual(0x15, bytes.fromhex("0213d2cd3d00367b4700000000"))
|
||||
assert desc == "竞价拉升"
|
||||
assert val == "10.05%/64310手"
|
||||
|
||||
def test_auction_flat(self):
|
||||
# 真实样本：600410 华胜天成 09:25:01，v1=0x01 竞价平稳（尾段价格未动）
|
||||
desc, val = _describe_unusual(0x15, bytes.fromhex("01000000000098a54500000000"))
|
||||
assert desc == "竞价平稳"
|
||||
assert val == "0.00%/5299手"
|
||||
|
||||
def test_close_rise_uses_tail_prefix(self):
|
||||
# 真实样本：600123 15:00:01（收盘撮合时刻），v1=0x02 尾盘拉升
|
||||
desc, val = _describe_unusual(0x15, bytes.fromhex("027bb4dd3b0004a84500000000"), 15)
|
||||
assert desc == "尾盘拉升"
|
||||
assert val == "0.68%/5376手"
|
||||
|
||||
def test_close_drop_uses_tail_prefix(self):
|
||||
# 真实样本：600221 15:00:01，v1=0x03 尾盘下跌
|
||||
desc, val = _describe_unusual(0x15, bytes.fromhex("03c10ffcbb839c274800000000"), 15)
|
||||
assert desc == "尾盘下跌"
|
||||
assert val == "-0.77%/171634手"
|
||||
|
||||
def test_unknown_sub_type_falls_back(self):
|
||||
desc, _ = _describe_unusual(0x15, struct.pack("<B2fI", 0x77, 0.0, 100.0, 0))
|
||||
assert desc == "竞价异动"
|
||||
desc, _ = _describe_unusual(0x15, struct.pack("<B2fI", 0x77, 0.0, 100.0, 0), 15)
|
||||
assert desc == "尾盘异动"
|
||||
|
||||
|
||||
class TestType0x16:
|
||||
"""0x16 盘中强势/弱势（Issue #62 主体）。"""
|
||||
|
||||
def test_strong_at_auction(self):
|
||||
# 真实样本：600551 时代出版 09:25:00，v2=+5.82% 与当日开盘涨幅精确一致
|
||||
desc, val = _describe_unusual(0x16, bytes.fromhex("010f506e3dcb846e3d00000000"))
|
||||
assert desc == "盘中强势"
|
||||
assert val == "5.82%"
|
||||
|
||||
def test_weak_at_auction(self):
|
||||
# 真实样本：600683 京投发展 09:25:01，v1=0xFF（弱势 1 级），v2=-6.40%
|
||||
desc, val = _describe_unusual(0x16, bytes.fromhex("ffc71d83bd690383bd00000000"))
|
||||
assert desc == "盘中弱势"
|
||||
assert val == "-6.40%"
|
||||
|
||||
def test_new_stock_no_limit(self):
|
||||
# 真实样本：601123 N马矿 09:25:00，新股无涨跌幅限制，v2=+245.86%
|
||||
desc, val = _describe_unusual(0x16, bytes.fromhex("03775a1d404a5b1d4000000000"))
|
||||
assert desc == "盘中强势"
|
||||
assert val == "245.86%"
|
||||
|
||||
|
||||
class TestType0x13:
|
||||
"""0x13 竞价试盘（2026-09-02 破译）。
|
||||
|
||||
v1 为方向：0x00 试买（申报价高于昨收）/ 0x01 试卖（低于昨收）——552 条对照
|
||||
昨收 549 条一致；v2 为申报价、v3 为竞价量（手）。旧实现一律显示「竞价试买」，
|
||||
方向相反的一半记录描述错误。
|
||||
"""
|
||||
|
||||
def test_auction_test_buy(self):
|
||||
# 真实样本：603980 09:15:14，申报价 8.71 高于昨收 7.92（往上试）
|
||||
desc, val = _describe_unusual(0x13, bytes.fromhex("00295c0b41006c354600000000"))
|
||||
assert desc == "竞价试买"
|
||||
assert val == "8.71/11611手"
|
||||
|
||||
def test_auction_test_sell(self):
|
||||
# 真实样本：603900 09:15:17，申报价 6.46 低于昨收 7.17（往下试）
|
||||
desc, val = _describe_unusual(0x13, bytes.fromhex("0152b8ce400000c94300000000"))
|
||||
assert desc == "竞价试卖"
|
||||
assert val == "6.46/402手"
|
||||
|
||||
|
||||
class TestType0x1D0x1E:
|
||||
"""0x1D 急速拉升 / 0x1E 急速下跌（Issue #62 顺带补齐）。"""
|
||||
|
||||
def test_fast_rise(self):
|
||||
# 真实样本：605365 立达信 09:35:08
|
||||
desc, val = _describe_unusual(0x1D, bytes.fromhex("009d50843c0000000000000000"))
|
||||
assert desc == "急速拉升"
|
||||
assert val == "1.62%"
|
||||
|
||||
def test_fast_fall(self):
|
||||
# 真实样本：601123 N马矿 09:35:03
|
||||
desc, val = _describe_unusual(0x1E, bytes.fromhex("019cd393bc0000000000000000"))
|
||||
assert desc == "急速下跌"
|
||||
assert val == "-1.80%"
|
||||
|
||||
|
||||
class TestUnusualCmdParseResponse:
|
||||
def test_parse_new_types_end_to_end(self):
|
||||
body = _body(
|
||||
[
|
||||
_record(0x16, "010f506e3dcb846e3d00000000", 9, 2500),
|
||||
_record(0x15, "030c9846bc003e1d4700000000", 9, 2500),
|
||||
_record(0x1D, "009d50843c0000000000000000", 9, 3508),
|
||||
_record(0x1E, "019cd393bc0000000000000000", 9, 3503),
|
||||
]
|
||||
)
|
||||
items = UnusualCmd(1, 0, 600).parse_response(body)
|
||||
assert len(items) == 4
|
||||
assert [i.desc for i in items] == ["盘中强势", "竞价下跌", "急速拉升", "急速下跌"]
|
||||
assert items[0].value == "5.82%"
|
||||
assert items[1].value == "-1.21%/40254手"
|
||||
assert items[0].time == time(9, 25, 0)
|
||||
assert items[2].time == time(9, 35, 8)
|
||||
assert items[0].unusual_type == 0x16
|
||||
assert all(i.name == "测试股" for i in items)
|
||||
|
||||
def test_parse_close_record_names_tail_prefix(self):
|
||||
"""15:00 的 0x15 记录端到端应得到「尾盘拉升」（真实收盘样本 600123）。"""
|
||||
rec = _record(0x15, "027bb4dd3b0004a84500000000", 15, 1)
|
||||
items = UnusualCmd(1, 0, 600).parse_response(_body([rec]))
|
||||
assert items[0].desc == "尾盘拉升"
|
||||
assert items[0].value == "0.68%/5376手"
|
||||
assert items[0].time == time(15, 0, 1)
|
||||
|
||||
def test_record_layout_unchanged(self):
|
||||
"""记录仍为 32 字节定长，时间槽位于 offset 29。"""
|
||||
rec = _record(0x16, "010f506e3dcb846e3d00000000", 14, 5701)
|
||||
assert len(rec) == 32
|
||||
items = UnusualCmd(1, 0, 600).parse_response(_body([rec]))
|
||||
assert items[0].time == time(14, 57, 1)
|
||||
|
||||
|
||||
class TestTypeNames:
|
||||
def test_names_cover_all_described_types(self):
|
||||
"""映射表应覆盖 _describe_unusual 的全部分支（0x03~0x0C、0x10~0x16、0x1D、0x1E）。"""
|
||||
assert set(UNUSUAL_TYPE_NAMES) == {
|
||||
*range(0x03, 0x0D),
|
||||
*range(0x10, 0x17),
|
||||
0x1D,
|
||||
0x1E,
|
||||
}
|
||||
|
||||
def test_mapped_types_produce_named_desc(self):
|
||||
"""映射表中的类型不应落入"异动类型0x??"兜底分支。"""
|
||||
zeros = bytes.fromhex("00" * 13)
|
||||
for utype in UNUSUAL_TYPE_NAMES:
|
||||
desc, _ = _describe_unusual(utype, zeros)
|
||||
assert not desc.startswith("异动类型"), f"0x{utype:02X} 未实现解析分支"
|
||||
|
||||
def test_top_level_export(self):
|
||||
import easy_tdx
|
||||
|
||||
assert easy_tdx.UNUSUAL_TYPE_NAMES is UNUSUAL_TYPE_NAMES
|
||||
assert UNUSUAL_TYPE_NAMES[0x16] == "盘中强势弱势"
|
||||
Reference in New Issue
Block a user