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3180ab3002
fix(backtest): 策略参数加跨语义约束,杜绝寻优选出快慢倒挂组合(issue #39)
寻优器网格探索不区分语义:ma_cross 的 fast∈[5..60] × slow∈[10..250]
笛卡尔积包含 {"fast":30,"slow":20} 这类倒挂组合,倒挂的双均线交叉
本质是反向策略,回测成绩可能反而突出,从而被选为"最优参数"展示
(即 issue #39 截图中 {"fast":30,"slow":20} 的来源)。presets.py 的
注释"快线<慢线才有意义;去重无效组合"早已写下意图但从未实现。
根因是参数校验只有单参数 min/max,缺跨参数语义约束:
- ParametrizedStrategy 新增 param_constraints 类属性 [(a,b), ...]
表示要求 a<b,在 __init__ 解析后统一校验,报错带中文标签;
语义约束不受 skip_bounds 影响(寻优跳过的只是数值边界)
- 7 个策略声明约束:ma_cross/ema_cross(fast<slow)、macd
(short<long)、triple_ma(short<mid<long)、rsi_reversal/cci/
wr_reversal(oversold<overbought)
- 寻优器 build 阶段的 ValueError 降为 info 级跳过(无堆栈噪音),
回测异常仍走 warning;预设网格 36 组合 → 有效 25 个
- 新增 10 个回归测试(旧代码全失败、新代码全通过)
2026-08-19 18:55:48 +08:00
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