mirror of
https://ghfast.top/https://github.com/aeroxw/easy_tdx_max.git
synced 2026-09-12 18:04:20 +08:00
Justin Gu
e374a0da28
对 v1.21→v1.32.5 的 249 文件 4.2 万行改动做六路专项审查，本轮落地全部发现： 回测正确性：组合收益 fillna(0) 虚增、轮动停牌日过期价成交、单标的 WF 逐窗指标 被预热区稀释（三件套均带先红后绿回归）；worst_drawdown 方向、grading 容错、 组合体检品种费率、寻优端点费率透传。 安全：LLM api_url 仅 http/https 且禁 userinfo（封死 file:// 读取与 Key 外送链）、 错误响应不回显原始 body、响应体 2MB 上限、配置原子写、坏配置字段级防御。 数据：涨跌停价整数分币舍入（67/318/90 个价位错 1 分漏判清零）、交易时段/采样/ provisional 统一沪时区、warehouse 增量缺口自动全量重拉、provisional 定点转正、 baostock 真故障抛错 + W/M 去 tradestatus（实测服务端报错，周月兜底此前从未工作） + 指数 vol 股→手（实测锚定）、ccpm 结构变更抛错。 Web API：缓存键补 count/vipdoc、NaN 清洗先于缓存、count>800 分页取全量、 submit 透传真实状态、pending 不再被淘汰成幽灵、watchlist/server 入参约束。 公式：FILTER 去副作用、0-1 值域误判收严、递归深度上限、REF 负移位显式禁止。 前端：4 处请求竞态序号守卫、Sparkline viewBox、北交所 market=2 映射、 空数据缓存死角、AI 弹窗卸载中止轮询、量能/资金日历口径修正。 CLI/CI：warehouse sync 失败 exit 1、参数校验干净报错、release 真实发布 SHA256、 CI 超时与缓存、spec 补 baostock 前提。 约 60 条回归测试先红后绿；pytest 1820 全过，ruff/mypy/vue-tsc/node --test 全绿。
1422 lines
55 KiB
Python
1422 lines
55 KiB
Python
"""回测路由：策略枚举、同步回测、后台任务回测、任务轮询。
|
||
|
||
设计要点：
|
||
- 回测是纯计算（不依赖行情连接的 lifespan），因此**不注入 tdx_client**——
|
||
只有「按标的取行情」才需要 client，且必须在 async 上下文里取好数据后再
|
||
交给后台线程跑回测（``get_security_bars`` 是 async，不能跨线程调用）。
|
||
- 后台任务用 :class:`~easy_tdx.web.task_runner.BacktestTaskRunner`，结果
|
||
线程安全，重启即丢。
|
||
- 同步回测仅支持内联 OHLCV（前端已有数据），避免长任务阻塞 event loop。
|
||
"""
|
||
|
||
from __future__ import annotations
|
||
|
||
from typing import Any
|
||
|
||
import pandas as pd
|
||
from fastapi import APIRouter, Depends
|
||
|
||
from easy_tdx.web.backtest_schemas import (
|
||
BacktestRequest,
|
||
BacktestResultResponse,
|
||
MultiSeedRequest,
|
||
MultiStrategyBacktestRequest,
|
||
OptimizeAllBacktestRequest,
|
||
OptimizeAllRankEntry,
|
||
OptimizeAllResult,
|
||
OptimizeBacktestRequest,
|
||
PortfolioBacktestRequest,
|
||
RotationBacktestRequest,
|
||
SignalScanRequest,
|
||
StrategySchemaResponse,
|
||
TaskListResponse,
|
||
TaskStateResponse,
|
||
TaskSubmitResponse,
|
||
TaskSummary,
|
||
serialize_result,
|
||
)
|
||
from easy_tdx.web.deps import get_client
|
||
from easy_tdx.web.task_runner import get_runner
|
||
|
||
router = APIRouter(tags=["backtest"])
|
||
|
||
# 标准 TdxClient 单次 get_security_bars 取数上限（协议约束，服务器对更大
|
||
# 请求静默截断）。所有按标的取数路径都必须经 _fetch_bars_paged 翻页。
|
||
_BARS_PAGE_SIZE = 800
|
||
|
||
|
||
# ── 策略枚举 ───────────────────────────────────────────────────────────────────
|
||
|
||
|
||
@router.get("/backtest/strategies", response_model=StrategySchemaResponse)
|
||
async def list_strategies() -> StrategySchemaResponse:
|
||
"""枚举所有预置策略及其参数 schema（供前端动态渲染策略选择 + 参数表单）。"""
|
||
from easy_tdx.backtest.strategies import get_registry
|
||
|
||
entries = get_registry().all()
|
||
schemas = [e.to_schema() for e in entries]
|
||
return StrategySchemaResponse(strategies=schemas, count=len(schemas))
|
||
|
||
|
||
# ── 同步回测（内联数据） ───────────────────────────────────────────────────────
|
||
|
||
|
||
@router.post("/backtest/run", response_model=BacktestResultResponse)
|
||
async def run_backtest(req: BacktestRequest) -> BacktestResultResponse:
|
||
"""同步回测（仅支持内联 OHLCV 数据）。
|
||
|
||
适用于单标的快速回测（<3s）。需要取行情或长任务请用 ``/backtest/run/async``。
|
||
"""
|
||
if req.ohlcv is None:
|
||
raise ValueError(
|
||
"同步回测（/backtest/run）必须提供 ohlcv 内联数据；取行情请用 /backtest/run/async"
|
||
)
|
||
|
||
df = _ohlcv_to_df(req.ohlcv)
|
||
result_dict = _run_backtest(df, req)
|
||
return BacktestResultResponse(**result_dict)
|
||
|
||
|
||
# ── 后台任务回测 ───────────────────────────────────────────────────────────────
|
||
|
||
|
||
@router.post("/backtest/run/async", response_model=TaskSubmitResponse, status_code=202)
|
||
async def run_backtest_async(
|
||
req: BacktestRequest,
|
||
client: Any = Depends(get_client),
|
||
) -> TaskSubmitResponse:
|
||
"""提交后台回测任务，立即返回 task_id。
|
||
|
||
支持内联数据或按标的取行情。取行情在 async 上下文完成（client 是 async 的），
|
||
之后回测在后台线程执行。通过 ``GET /backtest/tasks/{task_id}`` 轮询结果。
|
||
"""
|
||
# 1. 取数据（async 上下文内完成）
|
||
if req.ohlcv is not None:
|
||
df = _ohlcv_to_df(req.ohlcv)
|
||
bars_desc = f"{len(df)} 根"
|
||
elif req.symbol is not None:
|
||
df = await _fetch_bars(client, req.symbol, req.category, req.count)
|
||
bars_desc = f"{req.symbol} {req.category}×{req.count}"
|
||
else:
|
||
# BacktestRequest 校验器已保证二者至少其一，此处不可达
|
||
raise ValueError("必须提供 ohlcv 或 symbol")
|
||
|
||
# 2. 捕获回测所需的不可变快照（避免闭包捕获可变 req）
|
||
snapshot = req.model_copy()
|
||
description = f"{snapshot.strategy} | {bars_desc}"
|
||
|
||
# 3. 提交后台任务
|
||
runner = get_runner()
|
||
task_id = runner.submit(lambda: _run_backtest(df, snapshot), description=description)
|
||
# 提交瞬间通常是 pending/running；极快任务可能已 done/failed，如实上报
|
||
state = runner.get(task_id)
|
||
return TaskSubmitResponse(task_id=task_id, status=state.status)
|
||
|
||
|
||
@router.get("/backtest/tasks", response_model=TaskListResponse)
|
||
async def list_tasks(limit: int = 20) -> TaskListResponse:
|
||
"""列出最近 N 个任务摘要（按最近使用倒序，不含完整 result）。
|
||
|
||
供对比页选择要对比的 task；选中后再逐个调 /tasks/{task_id} 拉详情。
|
||
"""
|
||
import time
|
||
|
||
runner = get_runner()
|
||
states = runner.list_recent(limit)
|
||
summaries = [
|
||
TaskSummary(
|
||
task_id=s.task_id,
|
||
status=s.status,
|
||
description=s.description,
|
||
created_at=s.created_at,
|
||
elapsed=(s.finished_at or time.time()) - (s.started_at or s.created_at),
|
||
)
|
||
for s in states
|
||
]
|
||
return TaskListResponse(tasks=summaries, count=len(summaries))
|
||
|
||
|
||
@router.get("/backtest/tasks/{task_id}", response_model=TaskStateResponse)
|
||
async def get_task(task_id: str) -> TaskStateResponse:
|
||
"""查询后台回测任务状态。done 时 result 字段含完整回测结果。"""
|
||
state = get_runner().peek(task_id)
|
||
if state is None:
|
||
# 未知 task → 404（通过 ValueError 走 400 handler；这里用 KeyError 由
|
||
# 调用方判定。为保持语义清晰，统一抛 ValueError → HTTP 400）
|
||
raise ValueError(f"未知任务 '{task_id}'")
|
||
return TaskStateResponse(
|
||
task_id=state.task_id,
|
||
status=state.status,
|
||
result=state.result,
|
||
error=state.error,
|
||
description=state.description,
|
||
elapsed=(state.finished_at or _now()) - (state.started_at or state.created_at),
|
||
)
|
||
|
||
|
||
@router.get("/backtest/tasks/{task_id}/export")
|
||
async def export_task(task_id: str, format: str = "json") -> Any:
|
||
"""导出已完成任务的回测结果（JSON 全量 / CSV 主表）。
|
||
|
||
``format=json``：完整 result 字典（performance + equity_curve + trades +
|
||
config 等）。``format=csv``：导出结果中的主表——优先 trades（成交明细），
|
||
其次 ranking（寻优排名）、equity_curve（资金曲线）；都缺时导出
|
||
performance 键值对。
|
||
"""
|
||
import csv
|
||
import io
|
||
import json as _json
|
||
|
||
from fastapi.responses import Response
|
||
|
||
state = get_runner().peek(task_id)
|
||
if state is None:
|
||
raise ValueError(f"未知任务 '{task_id}'")
|
||
if state.status != "done" or state.result is None:
|
||
raise ValueError(f"任务 '{task_id}' 尚未完成（status={state.status}），无法导出")
|
||
|
||
result = state.result
|
||
fmt = format.lower()
|
||
if fmt not in ("json", "csv"):
|
||
raise ValueError(f"不支持的导出格式 '{format}'（可选 json / csv）")
|
||
|
||
if fmt == "json":
|
||
payload = _json.dumps(result, ensure_ascii=False, default=str)
|
||
return Response(
|
||
content=payload,
|
||
media_type="application/json",
|
||
headers={"Content-Disposition": f'attachment; filename="backtest-{task_id[:8]}.json"'},
|
||
)
|
||
|
||
# CSV：挑主表
|
||
rows: list[dict[str, Any]] | None = None
|
||
label = "metrics"
|
||
for key, name in (("trades", "trades"), ("ranking", "ranking"), ("equity_curve", "equity")):
|
||
val = result.get(key)
|
||
if isinstance(val, list) and val and isinstance(val[0], dict):
|
||
rows = val
|
||
label = name
|
||
break
|
||
if rows is not None:
|
||
buf = io.StringIO()
|
||
dict_writer = csv.DictWriter(buf, fieldnames=list(rows[0].keys()), extrasaction="ignore")
|
||
dict_writer.writeheader()
|
||
for r in rows:
|
||
dict_writer.writerow(r)
|
||
content = buf.getvalue()
|
||
else:
|
||
perf = result.get("performance")
|
||
if not isinstance(perf, dict):
|
||
raise ValueError(f"任务 '{task_id}' 的结果不含可导出的表格数据")
|
||
buf = io.StringIO()
|
||
list_writer = csv.writer(buf)
|
||
list_writer.writerow(["metric", "value"])
|
||
for k, v in perf.items():
|
||
list_writer.writerow([k, v])
|
||
content = buf.getvalue()
|
||
label = "performance"
|
||
return Response(
|
||
content=content,
|
||
media_type="text/csv; charset=utf-8",
|
||
headers={
|
||
"Content-Disposition": f'attachment; filename="backtest-{task_id[:8]}-{label}.csv"'
|
||
},
|
||
)
|
||
|
||
|
||
# ── 组合回测 ───────────────────────────────────────────────────────────────────
|
||
|
||
|
||
@router.post("/backtest/portfolio/run/async", response_model=TaskSubmitResponse, status_code=202)
|
||
async def run_portfolio_backtest_async(
|
||
req: PortfolioBacktestRequest,
|
||
client: Any = Depends(get_client),
|
||
) -> TaskSubmitResponse:
|
||
"""提交组合（多标的）回测后台任务。
|
||
|
||
逐个标的取行情（async），组装 StockData 列表后提交后台任务跑
|
||
PortfolioBacktestEngine。通过 GET /backtest/tasks/{task_id} 轮询结果。
|
||
"""
|
||
# 1. 逐个标的取行情（async 上下文内）
|
||
stock_data_list = await _fetch_portfolio_bars(
|
||
client, req.stocks, req.category, req.start_date, req.end_date
|
||
)
|
||
if not stock_data_list:
|
||
raise ValueError("所有标的均未取到有效行情数据")
|
||
|
||
# 2. 捕获不可变快照
|
||
snapshot = req.model_copy()
|
||
description = f"{snapshot.strategy} | {len(stock_data_list)}只标的"
|
||
|
||
# 3. 提交后台任务
|
||
runner = get_runner()
|
||
task_id = runner.submit(
|
||
lambda: _run_portfolio_backtest(stock_data_list, snapshot),
|
||
description=description,
|
||
)
|
||
state = runner.get(task_id)
|
||
return TaskSubmitResponse(task_id=task_id, status=state.status)
|
||
|
||
|
||
# ── 多策略组合回测（资金分仓） ───────────────────────────────────────────────
|
||
|
||
|
||
@router.post(
|
||
"/backtest/multi-strategy/run/async", response_model=TaskSubmitResponse, status_code=202
|
||
)
|
||
async def run_multi_strategy_backtest_async(
|
||
req: MultiStrategyBacktestRequest,
|
||
client: Any = Depends(get_client),
|
||
) -> TaskSubmitResponse:
|
||
"""提交多策略组合回测后台任务（资金分仓 / 并行制）。
|
||
|
||
勾选 N 个策略，各自在原标的（取最新行情）上独立回测，各拿总资金 1/N。
|
||
单个策略取数失败则跳过（不中断整组），全部失败返回 400。结果为
|
||
MultiStrategyResult（结构同 PortfolioResult），通过 GET /backtest/tasks/{task_id} 轮询。
|
||
"""
|
||
slots = await _fetch_multi_strategy_bars(client, req.items)
|
||
if not slots:
|
||
raise ValueError("所有策略槽位均未取到有效行情数据")
|
||
|
||
snapshot = req.model_copy()
|
||
description = f"多策略组合 | {len(slots)}个策略"
|
||
|
||
runner = get_runner()
|
||
task_id = runner.submit(
|
||
lambda: _run_multi_strategy_backtest(slots, snapshot),
|
||
description=description,
|
||
)
|
||
state = runner.get(task_id)
|
||
return TaskSubmitResponse(task_id=task_id, status=state.status)
|
||
|
||
|
||
@router.post(
|
||
"/backtest/multi-strategy/wf/run/async", response_model=TaskSubmitResponse, status_code=202
|
||
)
|
||
async def run_multi_strategy_walkforward_async(
|
||
req: MultiStrategyBacktestRequest,
|
||
n_windows: int = 7,
|
||
client: Any = Depends(get_client),
|
||
) -> TaskSubmitResponse:
|
||
"""提交多策略组合级 Walk-Forward 样本外验证后台任务。
|
||
|
||
逐槽位取行情后，按全部槽位日期并集切窗（预热区 + N 个连续测试窗），
|
||
每窗各槽位独立回测并合成组合窗内净值。结果为 ``{"walkforward": {...}}``
|
||
（与单标的 WF 同构），通过 GET /backtest/tasks/{task_id} 轮询。
|
||
"""
|
||
slots = await _fetch_multi_strategy_bars(client, req.items)
|
||
if not slots:
|
||
raise ValueError("所有策略槽位均未取到有效行情数据")
|
||
|
||
snapshot = req.model_copy()
|
||
description = f"多策略组合WF | {len(slots)}个策略 × {n_windows}窗"
|
||
|
||
runner = get_runner()
|
||
task_id = runner.submit(
|
||
lambda: _run_multi_strategy_walkforward(slots, snapshot, n_windows),
|
||
description=description,
|
||
)
|
||
state = runner.get(task_id)
|
||
return TaskSubmitResponse(task_id=task_id, status=state.status)
|
||
|
||
|
||
@router.post(
|
||
"/backtest/multi-strategy/evaluate/run/async",
|
||
response_model=TaskSubmitResponse,
|
||
status_code=202,
|
||
)
|
||
async def run_multi_strategy_evaluate_async(
|
||
req: MultiStrategyBacktestRequest,
|
||
client: Any = Depends(get_client),
|
||
) -> TaskSubmitResponse:
|
||
"""提交多策略组合级一条龙评估后台任务：组合回测 + 组合 WF + 跨槽位适配性
|
||
体检 + 综合评分 + 组合评级 + 等权买入持有基准对比。
|
||
|
||
结果结构见 ``easy_tdx.backtest.benchmark.evaluate_multi`` 文档（与
|
||
单标的 evaluate_strategy 同构），通过 GET /backtest/tasks/{task_id} 轮询。
|
||
"""
|
||
slots = await _fetch_multi_strategy_bars(client, req.items)
|
||
if not slots:
|
||
raise ValueError("所有策略槽位均未取到有效行情数据")
|
||
|
||
snapshot = req.model_copy()
|
||
description = f"多策略组合一条龙 | {len(slots)}个策略"
|
||
|
||
runner = get_runner()
|
||
task_id = runner.submit(
|
||
lambda: _run_multi_strategy_evaluate(slots, snapshot),
|
||
description=description,
|
||
)
|
||
state = runner.get(task_id)
|
||
return TaskSubmitResponse(task_id=task_id, status=state.status)
|
||
|
||
|
||
@router.post("/backtest/optimize/run/async", response_model=TaskSubmitResponse, status_code=202)
|
||
async def run_optimize_async(
|
||
req: OptimizeBacktestRequest,
|
||
client: Any = Depends(get_client),
|
||
) -> TaskSubmitResponse:
|
||
"""提交参数网格寻优后台任务。
|
||
|
||
在单个标的上对策略参数做网格搜索。数据获取支持内联 ohlcv 或按 symbol 取行情。
|
||
通过 GET /backtest/tasks/{task_id} 轮询结果。
|
||
"""
|
||
# 1. 取数据
|
||
if req.ohlcv is not None:
|
||
df = _ohlcv_to_df(req.ohlcv)
|
||
desc_bars = f"{len(df)} 根"
|
||
elif req.symbol is not None:
|
||
df = await _fetch_bars(client, req.symbol, req.category, 800)
|
||
desc_bars = f"{req.symbol}"
|
||
if req.start_date or req.end_date:
|
||
df = _filter_df_by_date(df, req.start_date, req.end_date)
|
||
else:
|
||
raise ValueError("必须提供 ohlcv 或 symbol")
|
||
|
||
# 2. 捕获快照
|
||
snapshot = req.model_copy()
|
||
grid_size = 1
|
||
for vals in snapshot.param_grid.values():
|
||
grid_size *= len(vals)
|
||
description = f"{snapshot.strategy} 寻优 | {desc_bars} | {grid_size}点"
|
||
|
||
# 3. 提交后台任务
|
||
runner = get_runner()
|
||
task_id = runner.submit(
|
||
lambda: _run_optimize(df, snapshot),
|
||
description=description,
|
||
)
|
||
state = runner.get(task_id)
|
||
return TaskSubmitResponse(task_id=task_id, status=state.status)
|
||
|
||
|
||
# ── 一键寻优所有策略 ───────────────────────────────────────────────────────────
|
||
|
||
|
||
@router.post("/backtest/optimize-all/run/async", response_model=TaskSubmitResponse, status_code=202)
|
||
async def run_optimize_all_async(
|
||
req: OptimizeAllBacktestRequest,
|
||
client: Any = Depends(get_client),
|
||
) -> TaskSubmitResponse:
|
||
"""提交「一键寻优所有策略」后台任务。
|
||
|
||
在单个标的上，对所有策略的预设参数网格（见 presets.STRATEGY_PRESETS）依次
|
||
做网格寻优，取各策略最优点汇总成全局排名。数据获取支持内联 ohlcv 或按
|
||
symbol 取行情。通过 GET /backtest/tasks/{task_id} 轮询结果。
|
||
"""
|
||
# 1. 取数据
|
||
if req.ohlcv is not None:
|
||
df = _ohlcv_to_df(req.ohlcv)
|
||
desc_bars = f"{len(df)} 根"
|
||
elif req.symbol is not None:
|
||
df = await _fetch_bars(client, req.symbol, req.category, 800)
|
||
desc_bars = f"{req.symbol}"
|
||
if req.start_date or req.end_date:
|
||
df = _filter_df_by_date(df, req.start_date, req.end_date)
|
||
else:
|
||
raise ValueError("必须提供 ohlcv 或 symbol")
|
||
|
||
# 2. 捕获快照
|
||
snapshot = req.model_copy()
|
||
description = f"一键寻优全部策略 | {desc_bars}"
|
||
|
||
# 3. 提交后台任务
|
||
runner = get_runner()
|
||
task_id = runner.submit(
|
||
lambda: _run_optimize_all(df, snapshot),
|
||
description=description,
|
||
)
|
||
state = runner.get(task_id)
|
||
return TaskSubmitResponse(task_id=task_id, status=state.status)
|
||
|
||
|
||
# ── 信号雷达（一键扫描已保存策略）────────────────────────────────────────────
|
||
|
||
|
||
@router.post("/backtest/signal-scan/run/async", response_model=TaskSubmitResponse, status_code=202)
|
||
async def run_signal_scan_async(
|
||
req: SignalScanRequest,
|
||
client: Any = Depends(get_client),
|
||
) -> TaskSubmitResponse:
|
||
"""提交「信号雷达」后台任务：扫描策略库全部已保存策略的最近买卖信号。
|
||
|
||
single/portfolio/multi 统一展开成"策略×标的"子任务，按 (symbol, category)
|
||
去重取最近 800 根 K 线（async 上下文内完成），后台线程内逐条跑信号流程
|
||
（与回测引擎同口径，含仓位跟踪）。只扫信号、不重跑回测、不改业绩快照。
|
||
结果为 SignalScanResult，通过 GET /backtest/tasks/{task_id} 轮询。
|
||
"""
|
||
from easy_tdx.web.signal_scan import expand_targets, fetch_scan_bars, run_scan
|
||
from easy_tdx.web.strategy_store import get_store
|
||
|
||
records = get_store().list_all()
|
||
if not records:
|
||
raise ValueError("策略库为空，请先在回测页保存策略")
|
||
|
||
targets = expand_targets(records)
|
||
bars = await fetch_scan_bars(client, targets)
|
||
description = (
|
||
f"信号扫描 | {len(records)}条策略 · {len(targets)}个子任务 · 窗口{req.window_bars}根"
|
||
)
|
||
|
||
runner = get_runner()
|
||
task_id = runner.submit(
|
||
lambda: run_scan(bars, targets, req.window_bars),
|
||
description=description,
|
||
)
|
||
state = runner.get(task_id)
|
||
return TaskSubmitResponse(task_id=task_id, status=state.status)
|
||
|
||
|
||
# ── Walk-Forward / 一条龙评估（v1.25 防过拟合链）──────────────────────────────
|
||
|
||
|
||
@router.post("/backtest/wf/run/async", response_model=TaskSubmitResponse, status_code=202)
|
||
async def run_walkforward_async(
|
||
req: BacktestRequest,
|
||
n_windows: int = 7,
|
||
client: Any = Depends(get_client),
|
||
) -> TaskSubmitResponse:
|
||
"""提交 Walk-Forward 样本外验证后台任务（默认 7 窗、每窗独立开仓）。
|
||
|
||
数据来源同 /backtest/run/async（内联 ohlcv 或按 symbol 取行情）。
|
||
结果含逐窗收益、盈利窗占比 consistency、连乘收益等，通过
|
||
GET /backtest/tasks/{task_id} 轮询。
|
||
"""
|
||
df = await _resolve_df(client, req)
|
||
snapshot = req.model_copy()
|
||
description = f"{snapshot.strategy} WF验证 | {len(df)}根 | {snapshot.symbol or '内联数据'}"
|
||
runner = get_runner()
|
||
task_id = runner.submit(
|
||
lambda: _run_walkforward(df, snapshot, n_windows), description=description
|
||
)
|
||
state = runner.get(task_id)
|
||
return TaskSubmitResponse(task_id=task_id, status=state.status)
|
||
|
||
|
||
@router.post("/backtest/evaluate/run/async", response_model=TaskSubmitResponse, status_code=202)
|
||
async def run_evaluate_async(
|
||
req: BacktestRequest,
|
||
client: Any = Depends(get_client),
|
||
) -> TaskSubmitResponse:
|
||
"""提交一条龙评估后台任务：回测 + WF + 适配性体检 + 综合评分 + S-D 评级
|
||
+ 买入持有基准对比（excess_return）。
|
||
|
||
结果结构见 ``easy_tdx.backtest.benchmark.evaluate_strategy`` 文档，
|
||
通过 GET /backtest/tasks/{task_id} 轮询；可用
|
||
GET /backtest/tasks/{task_id}/export?format=json 导出。
|
||
"""
|
||
df = await _resolve_df(client, req)
|
||
snapshot = req.model_copy()
|
||
description = f"{snapshot.strategy} 一条龙评估 | {snapshot.symbol or '内联数据'}"
|
||
runner = get_runner()
|
||
task_id = runner.submit(lambda: _run_evaluate(df, snapshot), description=description)
|
||
state = runner.get(task_id)
|
||
return TaskSubmitResponse(task_id=task_id, status=state.status)
|
||
|
||
|
||
# ── 组合级 Walk-Forward / 一条龙评估（对齐单标的防过拟合链）──────────────────
|
||
|
||
|
||
@router.post("/backtest/portfolio/wf/run/async", response_model=TaskSubmitResponse, status_code=202)
|
||
async def run_portfolio_walkforward_async(
|
||
req: PortfolioBacktestRequest,
|
||
n_windows: int = 7,
|
||
client: Any = Depends(get_client),
|
||
) -> TaskSubmitResponse:
|
||
"""提交组合级 Walk-Forward 样本外验证后台任务。
|
||
|
||
逐个标的取行情后，按全部标的日期并集切窗（预热区 + N 个连续测试窗），
|
||
每窗各标的独立回测并合成组合窗内净值。结果为
|
||
``{"walkforward": {...}}``（与单标的 WF 同构），通过
|
||
GET /backtest/tasks/{task_id} 轮询。
|
||
"""
|
||
stock_data_list = await _fetch_portfolio_bars(
|
||
client, req.stocks, req.category, req.start_date, req.end_date
|
||
)
|
||
if not stock_data_list:
|
||
raise ValueError("所有标的均未取到有效行情数据")
|
||
|
||
snapshot = req.model_copy()
|
||
description = f"{snapshot.strategy} 组合WF | {len(stock_data_list)}只标的 × {n_windows}窗"
|
||
runner = get_runner()
|
||
task_id = runner.submit(
|
||
lambda: _run_portfolio_walkforward(stock_data_list, snapshot, n_windows),
|
||
description=description,
|
||
)
|
||
state = runner.get(task_id)
|
||
return TaskSubmitResponse(task_id=task_id, status=state.status)
|
||
|
||
|
||
@router.post(
|
||
"/backtest/portfolio/evaluate/run/async", response_model=TaskSubmitResponse, status_code=202
|
||
)
|
||
async def run_portfolio_evaluate_async(
|
||
req: PortfolioBacktestRequest,
|
||
client: Any = Depends(get_client),
|
||
) -> TaskSubmitResponse:
|
||
"""提交组合级一条龙评估后台任务：组合回测 + 组合 WF + 跨标的适配性体检
|
||
+ 综合评分 + 组合评级 + 等权买入持有基准对比。
|
||
|
||
结果结构见 ``easy_tdx.backtest.benchmark.evaluate_portfolio`` 文档（与
|
||
单标的 evaluate_strategy 同构），通过 GET /backtest/tasks/{task_id} 轮询。
|
||
"""
|
||
stock_data_list = await _fetch_portfolio_bars(
|
||
client, req.stocks, req.category, req.start_date, req.end_date
|
||
)
|
||
if not stock_data_list:
|
||
raise ValueError("所有标的均未取到有效行情数据")
|
||
|
||
snapshot = req.model_copy()
|
||
description = f"{snapshot.strategy} 组合一条龙 | {len(stock_data_list)}只标的"
|
||
runner = get_runner()
|
||
task_id = runner.submit(
|
||
lambda: _run_portfolio_evaluate(stock_data_list, snapshot),
|
||
description=description,
|
||
)
|
||
state = runner.get(task_id)
|
||
return TaskSubmitResponse(task_id=task_id, status=state.status)
|
||
|
||
|
||
async def _resolve_df(client: Any, req: BacktestRequest) -> pd.DataFrame:
|
||
"""内联 ohlcv 或按 symbol 取行情（/backtest/run/async 同逻辑的复用封装）。"""
|
||
if req.ohlcv is not None:
|
||
return _ohlcv_to_df(req.ohlcv)
|
||
if req.symbol is not None:
|
||
return await _fetch_bars(client, req.symbol, req.category, max(req.count, 800))
|
||
raise ValueError("必须提供 ohlcv 或 symbol")
|
||
|
||
|
||
@router.post("/backtest/multiseed/run/async", response_model=TaskSubmitResponse, status_code=202)
|
||
async def run_multiseed_async(
|
||
req: MultiSeedRequest,
|
||
client: Any = Depends(get_client),
|
||
) -> TaskSubmitResponse:
|
||
"""提交多 seed 随机抽样验证后台任务（v1.25 晋级门槛）。
|
||
|
||
股票池逐标的取行情（async），后台线程跑 MultiSeedValidator：多 seed
|
||
抽样 → 跨样本稳定性 → 四项晋级门槛（正收益比例/平均夏普/平均交易数/
|
||
平均收益）。结果含 per_seed_positive_ratio 稳定性列，通过
|
||
GET /backtest/tasks/{task_id} 轮询。
|
||
"""
|
||
stock_dfs: dict[str, pd.DataFrame] = {}
|
||
for symbol in req.stocks:
|
||
try:
|
||
page = await _fetch_bars_paged(client, symbol, req.category, req.count)
|
||
except Exception: # noqa: BLE001 — 单标的失败跳过
|
||
continue
|
||
if len(page) >= 30:
|
||
stock_dfs[symbol] = page
|
||
if len(stock_dfs) < 2:
|
||
raise ValueError(f"股票池有效标的不足 2 只（{len(stock_dfs)}/{len(req.stocks)}）")
|
||
|
||
snapshot = req.model_copy()
|
||
description = f"{snapshot.strategy} 多seed验证 | {len(stock_dfs)}只池×{snapshot.n_seeds}seed"
|
||
runner = get_runner()
|
||
task_id = runner.submit(lambda: _run_multiseed(stock_dfs, snapshot), description=description)
|
||
state = runner.get(task_id)
|
||
return TaskSubmitResponse(task_id=task_id, status=state.status)
|
||
|
||
|
||
def _run_multiseed(stock_dfs: dict[str, pd.DataFrame], req: MultiSeedRequest) -> dict[str, Any]:
|
||
"""执行多 seed 验证（后台线程内调用）。"""
|
||
from easy_tdx.backtest.validation import MultiSeedValidator
|
||
|
||
validator = MultiSeedValidator(
|
||
strategy=_build_strategy_from(req.strategy, req.params),
|
||
stock_dfs=stock_dfs,
|
||
n_seeds=req.n_seeds,
|
||
sample_size=req.sample_size,
|
||
gates=req.gates,
|
||
cash=req.cash,
|
||
commission=req.commission,
|
||
min_commission=req.min_commission,
|
||
stamp_tax=req.stamp_tax,
|
||
slippage=req.slippage,
|
||
execution=req.execution,
|
||
auto_fees=req.auto_fees,
|
||
)
|
||
return validator.run().to_dict()
|
||
|
||
|
||
def _build_strategy_from(strategy_name: str, params: dict[str, Any]) -> Any:
|
||
"""按名 + 参数构造策略实例（registry KeyError → ValueError）。"""
|
||
from easy_tdx.backtest.strategies import get_registry
|
||
|
||
try:
|
||
entry = get_registry().get(strategy_name)
|
||
except KeyError as exc:
|
||
raise ValueError(str(exc)) from exc
|
||
return entry.build(params)
|
||
|
||
|
||
def _build_strategy(req: BacktestRequest) -> Any:
|
||
"""解析策略实例（registry KeyError → ValueError → HTTP 400）。"""
|
||
from easy_tdx.backtest.strategies import get_registry
|
||
|
||
try:
|
||
entry = get_registry().get(req.strategy)
|
||
except KeyError as exc:
|
||
raise ValueError(str(exc)) from exc
|
||
return entry.build(req.params)
|
||
|
||
|
||
def _run_walkforward(df: pd.DataFrame, req: BacktestRequest, n_windows: int = 7) -> dict[str, Any]:
|
||
"""执行 Walk-Forward 验证并附带常规回测绩效（后台线程内调用）。"""
|
||
from easy_tdx.backtest.walkforward import WalkForwardEngine
|
||
|
||
wf = WalkForwardEngine(
|
||
strategy=_build_strategy(req),
|
||
n_windows=n_windows,
|
||
cash=req.cash,
|
||
commission=req.commission,
|
||
min_commission=req.min_commission,
|
||
stamp_tax=req.stamp_tax,
|
||
slippage=req.slippage,
|
||
execution=req.execution,
|
||
symbol=req.symbol,
|
||
auto_fees=req.auto_fees,
|
||
).run(df)
|
||
return {"walkforward": wf.to_dict()}
|
||
|
||
|
||
def _run_evaluate(df: pd.DataFrame, req: BacktestRequest) -> dict[str, Any]:
|
||
"""执行一条龙评估（后台线程内调用）。"""
|
||
from easy_tdx.backtest.benchmark import evaluate_strategy
|
||
|
||
return evaluate_strategy(
|
||
strategy=_build_strategy(req),
|
||
df=df,
|
||
cash=req.cash,
|
||
commission=req.commission,
|
||
min_commission=req.min_commission,
|
||
stamp_tax=req.stamp_tax,
|
||
slippage=req.slippage,
|
||
execution=req.execution,
|
||
symbol=req.symbol,
|
||
auto_fees=req.auto_fees,
|
||
)
|
||
|
||
|
||
def _run_portfolio_walkforward(
|
||
stock_data_list: list[Any], req: PortfolioBacktestRequest, n_windows: int = 7
|
||
) -> dict[str, Any]:
|
||
"""执行组合级 Walk-Forward 验证（后台线程内调用）。"""
|
||
from easy_tdx.backtest.strategies import get_registry
|
||
from easy_tdx.backtest.walkforward import PortfolioWalkForwardEngine
|
||
|
||
try:
|
||
entry = get_registry().get(req.strategy)
|
||
except KeyError as exc:
|
||
raise ValueError(str(exc)) from exc
|
||
|
||
wf = PortfolioWalkForwardEngine(
|
||
strategy=entry.build(req.params),
|
||
stocks=stock_data_list,
|
||
n_windows=n_windows,
|
||
total_cash=req.cash,
|
||
commission=req.commission,
|
||
min_commission=req.min_commission,
|
||
stamp_tax=req.stamp_tax,
|
||
slippage=req.slippage,
|
||
execution=req.execution,
|
||
auto_fees=req.auto_fees,
|
||
).run()
|
||
return {"walkforward": wf.to_dict()}
|
||
|
||
|
||
def _run_portfolio_evaluate(
|
||
stock_data_list: list[Any], req: PortfolioBacktestRequest
|
||
) -> dict[str, Any]:
|
||
"""执行组合级一条龙评估（后台线程内调用）。"""
|
||
from easy_tdx.backtest.benchmark import evaluate_portfolio
|
||
from easy_tdx.backtest.strategies import get_registry
|
||
|
||
try:
|
||
entry = get_registry().get(req.strategy)
|
||
except KeyError as exc:
|
||
raise ValueError(str(exc)) from exc
|
||
|
||
return evaluate_portfolio(
|
||
strategy=entry.build(req.params),
|
||
stocks=stock_data_list,
|
||
total_cash=req.cash,
|
||
commission=req.commission,
|
||
min_commission=req.min_commission,
|
||
stamp_tax=req.stamp_tax,
|
||
slippage=req.slippage,
|
||
execution=req.execution,
|
||
auto_fees=req.auto_fees,
|
||
)
|
||
|
||
|
||
# ── 轮动组合回测（v1.27）─────────────────────────────────────────────────────
|
||
|
||
|
||
@router.post("/backtest/rotation/run/async", response_model=TaskSubmitResponse, status_code=202)
|
||
async def run_rotation_async(
|
||
req: RotationBacktestRequest,
|
||
client: Any = Depends(get_client),
|
||
) -> TaskSubmitResponse:
|
||
"""提交轮动组合回测后台任务（v1.27）。
|
||
|
||
按打分排名定期换仓：固定槽位等额、跌出排名自动卖出补位、日/周/月刷新、
|
||
可选槽内止盈止损。打分支持内置动量（``score="momentum"`` + ``period``）
|
||
或通达信公式数值输出（``score="formula"`` + ``formula_text`` + ``score_col``）。
|
||
"""
|
||
stock_dfs: dict[str, pd.DataFrame] = {}
|
||
for symbol in req.stocks:
|
||
try:
|
||
page = await _fetch_bars_paged(client, symbol, req.category, req.count)
|
||
except Exception: # noqa: BLE001 — 单标的失败跳过
|
||
continue
|
||
if page is not None and len(page) >= 30:
|
||
stock_dfs[symbol] = page
|
||
if len(stock_dfs) < 2:
|
||
raise ValueError(f"股票池有效标的不足 2 只（{len(stock_dfs)}/{len(req.stocks)}）")
|
||
|
||
snapshot = req.model_copy()
|
||
description = f"轮动组合 | {len(stock_dfs)}只 × {snapshot.slots}槽 × {snapshot.refresh}"
|
||
runner = get_runner()
|
||
task_id = runner.submit(lambda: _run_rotation(stock_dfs, snapshot), description=description)
|
||
state = runner.get(task_id)
|
||
return TaskSubmitResponse(task_id=task_id, status=state.status)
|
||
|
||
|
||
def _run_rotation(
|
||
stock_dfs: dict[str, pd.DataFrame], req: RotationBacktestRequest
|
||
) -> dict[str, Any]:
|
||
"""执行轮动回测（后台线程内调用）。"""
|
||
from easy_tdx.backtest.rotation import RotationEngine, formula_score, momentum_score
|
||
|
||
if req.score == "formula":
|
||
if not req.formula_text:
|
||
raise ValueError("score=formula 需要提供 formula_text")
|
||
score_fn = formula_score(req.formula_text, req.score_col)
|
||
else:
|
||
score_fn = momentum_score(req.period)
|
||
|
||
engine = RotationEngine(
|
||
stock_dfs=stock_dfs,
|
||
score_fn=score_fn,
|
||
slots=req.slots,
|
||
refresh=req.refresh,
|
||
cash=req.cash,
|
||
commission=req.commission,
|
||
min_commission=req.min_commission,
|
||
stamp_tax=req.stamp_tax,
|
||
stop_loss=req.stop_loss,
|
||
take_profit=req.take_profit,
|
||
)
|
||
out = engine.run().to_dict()
|
||
# 组合评级（净值曲线口径）
|
||
from easy_tdx.backtest.grading import grade_portfolio_equity
|
||
|
||
out["grade"] = grade_portfolio_equity(out["equity_curve"]).to_dict()
|
||
return out
|
||
|
||
|
||
# ── 内部实现 ───────────────────────────────────────────────────────────────────
|
||
|
||
|
||
def _run_backtest(df: pd.DataFrame, req: BacktestRequest) -> dict[str, Any]:
|
||
"""执行回测并返回清洗后的结果字典（后台线程内调用）。"""
|
||
from easy_tdx.backtest import BacktestEngine
|
||
from easy_tdx.backtest.strategies import get_registry
|
||
|
||
# 解析策略 + 校验参数（registry 抛 KeyError，统一转 ValueError → HTTP 400）
|
||
try:
|
||
entry = get_registry().get(req.strategy)
|
||
except KeyError as exc:
|
||
raise ValueError(str(exc)) from exc
|
||
strategy = entry.build(req.params)
|
||
|
||
engine = BacktestEngine(
|
||
strategy=strategy,
|
||
cash=req.cash,
|
||
commission=req.commission,
|
||
min_commission=req.min_commission,
|
||
stamp_tax=req.stamp_tax,
|
||
slippage=req.slippage,
|
||
execution=req.execution,
|
||
symbol=req.symbol,
|
||
auto_fees=req.auto_fees,
|
||
)
|
||
result = engine.run(df)
|
||
out = serialize_result(result)
|
||
# v1.25：评级/评分后端化——REST 直接输出 S-D 档位与 0-100 综合分
|
||
from easy_tdx.backtest.grading import grade_performance
|
||
from easy_tdx.backtest.scoring import score_strategy
|
||
|
||
out["grade"] = grade_performance(dict(result.performance)).to_dict()
|
||
out["score"] = score_strategy(dict(result.performance)).to_dict()
|
||
return out
|
||
|
||
|
||
def _ohlcv_to_df(records: list[dict[str, Any]]) -> pd.DataFrame:
|
||
"""把内联 OHLCV 记录列表转为 DataFrame，校验必需列并把 datetime 转为真正的时间类型。
|
||
|
||
StrategyDataProxy 依赖 datetime 列为 datetime64/pandas Timestamp 才能正确
|
||
编码为 YYYYMMDD 整数；若内联数据传字符串日期，这里负责转换。
|
||
"""
|
||
required = {"datetime", "open", "high", "low", "close", "vol", "amount"}
|
||
df = pd.DataFrame(records)
|
||
missing = required - set(df.columns)
|
||
if missing:
|
||
raise ValueError(f"ohlcv 缺少必需列: {sorted(missing)}；需要 {sorted(required)}")
|
||
if len(df) < 2:
|
||
raise ValueError(f"ohlcv 至少需要 2 根 K 线，当前 {len(df)} 根")
|
||
# 确保 datetime 是真正的时间类型（容忍字符串/数值输入）
|
||
if not pd.api.types.is_datetime64_any_dtype(df["datetime"]):
|
||
df["datetime"] = pd.to_datetime(df["datetime"], errors="coerce")
|
||
return df
|
||
|
||
|
||
def _normalize_bars_dt(df: pd.DataFrame) -> pd.DataFrame:
|
||
"""把取到的 K 线规范化为引擎可直接消费的列布局（返回新 df 或原 df）。
|
||
|
||
引擎（StrategyDataProxy / PortfolioTracker）：时间列必须叫 ``datetime``
|
||
（``date`` 列会被当成数值列强转 float 而报错），类型接受 int YYYYMMDD
|
||
或 datetime64。真实 TDX 日线返回 int ``date`` 列、分钟线返回 ``datetime``，
|
||
而 E2E mock 返回字符串 ``date``——这里统一：改名 ``date``→``datetime``、
|
||
字符串/对象类型 coerce 成 datetime64、删除遗留的 ``date`` 冗余列。
|
||
"""
|
||
if "datetime" not in df.columns and "date" in df.columns:
|
||
df = df.copy()
|
||
df["datetime"] = df["date"]
|
||
dt = df["datetime"]
|
||
if dt.dtype.kind not in "iu" and not pd.api.types.is_datetime64_any_dtype(dt):
|
||
df = df.copy()
|
||
df["datetime"] = pd.to_datetime(df["datetime"], errors="coerce")
|
||
if "date" in df.columns:
|
||
df = df.drop(columns=["date"])
|
||
return df
|
||
|
||
|
||
async def _fetch_bars_paged(client: Any, symbol: str, category: str, count: int) -> pd.DataFrame:
|
||
"""按 800/页翻页取最多 ``count`` 根 K 线，返回时间升序 DataFrame。
|
||
|
||
TDX 协议单次 get_security_bars 最多返回 800 根：count>800 的单次调用会被
|
||
服务器静默截断（multiseed / rotation / formula 曾各自单页取数，悄悄少
|
||
数据）。本辅助按 start=0,800,1600… 翻页拼接，页间按时间升序排序；
|
||
末页不足 800 根视为数据起点，提前停止。列结构与 get_security_bars
|
||
原始输出一致（日线 ``date`` / 分钟 ``datetime``），不做改名/类型规整。
|
||
"""
|
||
from easy_tdx.web.convert import category_from_str, market_from_str
|
||
|
||
market_str, code = symbol.split(":", 1)
|
||
market = market_from_str(market_str)
|
||
cat = category_from_str(category)
|
||
frames: list[pd.DataFrame] = []
|
||
fetched = 0
|
||
while fetched < count:
|
||
page_size = min(_BARS_PAGE_SIZE, count - fetched)
|
||
page_df = await client.get_security_bars(market, code, cat, fetched, page_size)
|
||
if page_df is None or len(page_df) == 0:
|
||
break
|
||
frames.append(page_df)
|
||
fetched += len(page_df)
|
||
if len(page_df) < page_size:
|
||
break # 数据起点
|
||
if not frames:
|
||
return pd.DataFrame()
|
||
df = pd.concat(frames, ignore_index=True)
|
||
dt_col = "datetime" if "datetime" in df.columns else "date"
|
||
if dt_col in df.columns:
|
||
# 页间天然逆序（page0=最新一页），拼接后按时间升序
|
||
df = df.sort_values(dt_col).reset_index(drop=True)
|
||
return df
|
||
|
||
|
||
async def _fetch_bars(client: Any, symbol: str, category: str, count: int) -> pd.DataFrame:
|
||
"""按标的取 K 线（async，必须在 event loop 内调用）。"""
|
||
df = await _fetch_bars_paged(client, symbol, category, count)
|
||
if len(df) == 0:
|
||
raise ValueError(f"标的 {symbol} 未取到任何 K 线数据")
|
||
return _normalize_bars_dt(df)
|
||
|
||
|
||
def _run_portfolio_backtest(
|
||
stock_data_list: list[Any], req: PortfolioBacktestRequest
|
||
) -> dict[str, Any]:
|
||
"""执行组合回测并返回清洗后的结果字典（后台线程内调用）。
|
||
|
||
与单标的 ``_run_backtest`` 对齐：附带组合评级（``grade_portfolio_equity``，
|
||
净值曲线 5 维度口径）与综合评分（``score_strategy``，无 WF 时权重自动
|
||
归一化），供前端/REST 直接消费。
|
||
"""
|
||
from easy_tdx.backtest.grading import grade_portfolio_equity
|
||
from easy_tdx.backtest.portfolio_engine import PortfolioBacktestEngine
|
||
from easy_tdx.backtest.scoring import score_strategy
|
||
from easy_tdx.backtest.strategies import get_registry
|
||
|
||
try:
|
||
entry = get_registry().get(req.strategy)
|
||
except KeyError as exc:
|
||
raise ValueError(str(exc)) from exc
|
||
strategy = entry.build(req.params)
|
||
|
||
engine = PortfolioBacktestEngine(
|
||
strategy=strategy,
|
||
stocks=stock_data_list,
|
||
total_cash=req.cash,
|
||
commission=req.commission,
|
||
min_commission=req.min_commission,
|
||
stamp_tax=req.stamp_tax,
|
||
slippage=req.slippage,
|
||
execution=req.execution,
|
||
auto_fees=req.auto_fees,
|
||
)
|
||
result = engine.run()
|
||
out = serialize_result(result)
|
||
# 组合评级（净值曲线口径）+ 综合评分——与单标的回测响应同构
|
||
if len(result.combined_equity) >= 2:
|
||
out["grade"] = grade_portfolio_equity(
|
||
result.combined_equity.to_dict(orient="records")
|
||
).to_dict()
|
||
out["score"] = score_strategy(dict(result.total_performance)).to_dict()
|
||
return out
|
||
|
||
|
||
async def _fetch_portfolio_bars(
|
||
client: Any,
|
||
stocks: list[str],
|
||
category: str,
|
||
start_date: str | None,
|
||
end_date: str | None,
|
||
) -> list[Any]:
|
||
"""逐个标的取 K 线并组装 StockData 列表（async，必须在 event loop 内调用）。
|
||
|
||
当 start_date 超出单次 800 根覆盖范围时，自动翻页拉取（与前端 fetchBars
|
||
同逻辑）。单个标的取数失败时跳过（不中断整个组合），全部失败返回空列表。
|
||
"""
|
||
from easy_tdx.backtest.portfolio_engine import StockData
|
||
from easy_tdx.web.convert import category_from_str, market_from_str
|
||
|
||
max_pages = 10 # 翻页上限：10 × 800 = 8000 根
|
||
stock_data_list: list[StockData] = []
|
||
for symbol in stocks:
|
||
market_str, code = symbol.split(":", 1)
|
||
frames: list[pd.DataFrame] = []
|
||
for page in range(max_pages):
|
||
try:
|
||
page_df = await client.get_security_bars(
|
||
market_from_str(market_str),
|
||
code,
|
||
category_from_str(category),
|
||
page * 800,
|
||
800,
|
||
)
|
||
except Exception:
|
||
break # 单页失败则停止该标的的翻页
|
||
if len(page_df) == 0:
|
||
break
|
||
frames.append(page_df)
|
||
# 已覆盖到 start_date（本页最早一根 ≤ start_date）则停止
|
||
if start_date and len(page_df) > 0:
|
||
dt_col = "datetime" if "datetime" in page_df.columns else "date"
|
||
oldest = str(page_df[dt_col].iloc[-1])[:10]
|
||
if oldest <= start_date:
|
||
break
|
||
if len(page_df) < 800:
|
||
break # 数据起点
|
||
|
||
if not frames:
|
||
continue
|
||
df = pd.concat(frames, ignore_index=True)
|
||
# 列名归一化：日线返回 date，分钟线返回 datetime
|
||
if "datetime" not in df.columns and "date" in df.columns:
|
||
df = df.copy()
|
||
df["datetime"] = df["date"]
|
||
# 翻页拼接后按时间正序排序（页间逆序）
|
||
df = df.sort_values("datetime").reset_index(drop=True)
|
||
df = _normalize_bars_dt(df)
|
||
# 日期范围过滤
|
||
if start_date or end_date:
|
||
dt_str = df["datetime"].astype(str).str.slice(0, 10)
|
||
mask = pd.Series(True, index=df.index)
|
||
if start_date:
|
||
mask &= dt_str >= start_date
|
||
if end_date:
|
||
mask &= dt_str <= end_date
|
||
df = df[mask]
|
||
if len(df) < 2:
|
||
continue
|
||
stock_data_list.append(
|
||
StockData(code=code, market=market_str, df=df.reset_index(drop=True))
|
||
)
|
||
return stock_data_list
|
||
|
||
|
||
async def _fetch_multi_strategy_bars(
|
||
client: Any,
|
||
items: list[Any],
|
||
) -> list[Any]:
|
||
"""逐个策略槽位取行情 + 构造策略实例，组装 StrategySlot 列表（async）。
|
||
|
||
每条 item 自带 symbol（如 "SH:601088"）、category、start/end_date、strategy+params。
|
||
单条取数或策略构造失败则跳过（不中断整组）。返回的 StrategySlot 已绑定好策略
|
||
实例与 df，可直接交给后台线程跑引擎（避免把 async client 带进线程）。
|
||
"""
|
||
from easy_tdx.backtest.multi_strategy_engine import StrategySlot
|
||
from easy_tdx.backtest.strategies import get_registry
|
||
from easy_tdx.web.convert import category_from_str, market_from_str
|
||
|
||
registry = get_registry()
|
||
slots: list[StrategySlot] = []
|
||
for item in items:
|
||
# 1. 解析策略（未知策略跳过）
|
||
try:
|
||
entry = registry.get(item.strategy)
|
||
except KeyError:
|
||
continue
|
||
# 2. 逐页取行情（覆盖 start_date，最多 10 页 = 8000 根）
|
||
market_str, code = item.symbol.split(":", 1)
|
||
frames: list[pd.DataFrame] = []
|
||
for page in range(10):
|
||
try:
|
||
page_df = await client.get_security_bars(
|
||
market_from_str(market_str),
|
||
code,
|
||
category_from_str(item.category),
|
||
page * 800,
|
||
800,
|
||
)
|
||
except Exception:
|
||
break
|
||
if len(page_df) == 0:
|
||
break
|
||
frames.append(page_df)
|
||
if item.start_date and len(page_df) > 0:
|
||
dt_col = "datetime" if "datetime" in page_df.columns else "date"
|
||
oldest = str(page_df[dt_col].iloc[-1])[:10]
|
||
if oldest <= item.start_date:
|
||
break
|
||
if len(page_df) < 800:
|
||
break
|
||
if not frames:
|
||
continue
|
||
df = pd.concat(frames, ignore_index=True)
|
||
if "datetime" not in df.columns and "date" in df.columns:
|
||
df = df.copy()
|
||
df["datetime"] = df["date"]
|
||
df = df.sort_values("datetime").reset_index(drop=True)
|
||
df = _normalize_bars_dt(df)
|
||
# 日期范围过滤
|
||
if item.start_date or item.end_date:
|
||
df = _filter_df_by_date(df, item.start_date, item.end_date)
|
||
if len(df) < 2:
|
||
continue
|
||
# 3. 构造策略实例（参数非法跳过该条）
|
||
try:
|
||
strategy = entry.build(item.params)
|
||
except ValueError:
|
||
continue
|
||
label = item.strategy_label or entry.label
|
||
slots.append(StrategySlot(label=label, symbol=item.symbol, strategy=strategy, df=df))
|
||
return slots
|
||
|
||
|
||
def _run_multi_strategy_backtest(
|
||
slots: list[Any], req: MultiStrategyBacktestRequest
|
||
) -> dict[str, Any]:
|
||
"""执行多策略组合回测并返回清洗后的结果字典（后台线程内调用）。
|
||
|
||
与组合回测 ``_run_portfolio_backtest`` 同构：附带组合评级（净值口径）
|
||
与综合评分，供前端/REST 直接消费。
|
||
"""
|
||
from easy_tdx.backtest.grading import grade_portfolio_equity
|
||
from easy_tdx.backtest.multi_strategy_engine import MultiStrategyEngine
|
||
from easy_tdx.backtest.scoring import score_strategy
|
||
|
||
engine = MultiStrategyEngine(
|
||
strategies=slots,
|
||
total_cash=req.cash,
|
||
commission=req.commission,
|
||
min_commission=req.min_commission,
|
||
stamp_tax=req.stamp_tax,
|
||
slippage=req.slippage,
|
||
execution=req.execution,
|
||
)
|
||
result = engine.run()
|
||
out = serialize_result(result)
|
||
# 组合评级（净值曲线口径）+ 综合评分——与单标的/多标的组合响应同构
|
||
if len(result.combined_equity) >= 2:
|
||
out["grade"] = grade_portfolio_equity(
|
||
result.combined_equity.to_dict(orient="records")
|
||
).to_dict()
|
||
out["score"] = score_strategy(dict(result.total_performance)).to_dict()
|
||
return out
|
||
|
||
|
||
def _run_multi_strategy_walkforward(
|
||
slots: list[Any], req: MultiStrategyBacktestRequest, n_windows: int = 7
|
||
) -> dict[str, Any]:
|
||
"""执行多策略组合级 Walk-Forward 验证（后台线程内调用）。"""
|
||
from easy_tdx.backtest.walkforward import MultiStrategyWalkForwardEngine
|
||
|
||
wf = MultiStrategyWalkForwardEngine(
|
||
strategies=slots,
|
||
n_windows=n_windows,
|
||
total_cash=req.cash,
|
||
commission=req.commission,
|
||
min_commission=req.min_commission,
|
||
stamp_tax=req.stamp_tax,
|
||
slippage=req.slippage,
|
||
execution=req.execution,
|
||
).run()
|
||
return {"walkforward": wf.to_dict()}
|
||
|
||
|
||
def _run_multi_strategy_evaluate(
|
||
slots: list[Any], req: MultiStrategyBacktestRequest
|
||
) -> dict[str, Any]:
|
||
"""执行多策略组合级一条龙评估（后台线程内调用）。"""
|
||
from easy_tdx.backtest.benchmark import evaluate_multi
|
||
|
||
return evaluate_multi(
|
||
strategies=slots,
|
||
total_cash=req.cash,
|
||
commission=req.commission,
|
||
min_commission=req.min_commission,
|
||
stamp_tax=req.stamp_tax,
|
||
slippage=req.slippage,
|
||
execution=req.execution,
|
||
)
|
||
|
||
|
||
def _resolve_effective_fees(
|
||
auto_fees: bool,
|
||
symbol: str | None,
|
||
commission: float,
|
||
min_commission: float,
|
||
stamp_tax: float,
|
||
) -> tuple[float, float, float]:
|
||
"""auto_fees 品种费率解析（与 BacktestEngine 同款口径）。
|
||
|
||
显式非默认值优先（调用方有意覆盖），默认值按品种费率表替换（如
|
||
ETF/可转债免印花税）。ParamGridOptimizer 无 auto_fees 参数，寻优端点
|
||
在 web 层预解析成具体费率再传入，保证与单标的回测同口径。
|
||
"""
|
||
if not auto_fees or not symbol:
|
||
return commission, min_commission, stamp_tax
|
||
from easy_tdx.backtest.fees import resolve_fee_model
|
||
|
||
fee = resolve_fee_model(symbol)
|
||
if commission == 0.0003:
|
||
commission = fee.commission
|
||
if min_commission == 5.0:
|
||
min_commission = fee.min_commission
|
||
if stamp_tax == 0.001:
|
||
stamp_tax = fee.stamp_tax
|
||
return commission, min_commission, stamp_tax
|
||
|
||
|
||
def _run_optimize(df: pd.DataFrame, req: OptimizeBacktestRequest) -> dict[str, Any]:
|
||
"""执行参数网格寻优并返回清洗后的结果字典（后台线程内调用）。"""
|
||
from easy_tdx.backtest.benchmark import run_buy_hold_benchmark
|
||
from easy_tdx.backtest.optimizer import ParamGridOptimizer
|
||
|
||
commission, min_commission, stamp_tax = _resolve_effective_fees(
|
||
req.auto_fees, req.symbol, req.commission, req.min_commission, req.stamp_tax
|
||
)
|
||
optimizer = ParamGridOptimizer(
|
||
strategy_name=req.strategy,
|
||
param_grid=req.param_grid,
|
||
df=df,
|
||
cash=req.cash,
|
||
commission=commission,
|
||
min_commission=min_commission,
|
||
stamp_tax=stamp_tax,
|
||
slippage=req.slippage,
|
||
execution=req.execution,
|
||
workers=req.workers,
|
||
)
|
||
result = optimizer.run()
|
||
out = result.to_dict()
|
||
# 买入持有基准（同区间/同费率/同资金，与一条龙评估同口径），供前端在
|
||
# 最优结果旁直观对比「策略 vs 买入不动」。
|
||
out["buy_hold"] = run_buy_hold_benchmark(
|
||
df,
|
||
cash=req.cash,
|
||
commission=commission,
|
||
min_commission=min_commission,
|
||
stamp_tax=stamp_tax,
|
||
slippage=req.slippage,
|
||
execution=req.execution,
|
||
symbol=req.symbol,
|
||
auto_fees=req.auto_fees,
|
||
)
|
||
return out
|
||
|
||
|
||
def _optimize_one_strategy(
|
||
strategy_name: str,
|
||
grid: dict[str, list[Any]],
|
||
df: pd.DataFrame,
|
||
cash: float,
|
||
commission: float,
|
||
slippage: float,
|
||
execution: str,
|
||
) -> dict[str, Any] | None:
|
||
"""跑单个策略的网格寻优，返回其最优点摘要（模块顶层，可被 ProcessPoolExecutor pickle）。
|
||
|
||
必须是模块级顶层函数：Windows 下 ProcessPoolExecutor 用 spawn 方式启动子进程，
|
||
子进程按 ``module.qualname`` 重新 import 本函数。lambda / 闭包 / 嵌套函数不可 pickle。
|
||
|
||
策略类（``registry.get(name).build()``）在子进程内构造，从不跨进程传递，
|
||
因此天然避开了 screen scanner 当年遇到的"策略类不可 pickle"问题。
|
||
返回纯 dict（所有值都是 JSON 原生类型），可安全 pickle 回主进程。
|
||
"""
|
||
from easy_tdx.backtest.optimizer import ParamGridOptimizer
|
||
|
||
try:
|
||
optimizer = ParamGridOptimizer(
|
||
strategy_name=strategy_name,
|
||
param_grid=grid,
|
||
df=df,
|
||
cash=cash,
|
||
commission=commission,
|
||
slippage=slippage,
|
||
execution=execution,
|
||
)
|
||
except ValueError:
|
||
# 单策略网格超限（不应发生，预设已控制规模）→ 跳过
|
||
return None
|
||
|
||
result = optimizer.run()
|
||
if result.best is None:
|
||
return None
|
||
|
||
return {
|
||
"strategy": strategy_name,
|
||
"params": result.best.params,
|
||
"total_return": result.best.total_return,
|
||
"sharpe": result.best.sharpe,
|
||
"max_drawdown": result.best.max_drawdown,
|
||
"total_trades": result.best.total_trades,
|
||
"win_rate": result.best.win_rate,
|
||
"profit_factor": result.best.profit_factor,
|
||
"grid_points": len(result.results),
|
||
}
|
||
|
||
|
||
def _run_optimize_all(df: pd.DataFrame, req: OptimizeAllBacktestRequest) -> dict[str, Any]:
|
||
"""对所有策略的预设网格逐策略寻优，汇总成全局排名（后台线程内调用）。
|
||
|
||
遍历 ``STRATEGY_PRESETS`` 中每个策略，用其预设参数网格跑
|
||
:class:`ParamGridOptimizer`，取各策略的最优点（best）组装排名。单个策略
|
||
无有效结果（如全网格回测失败）则跳过。
|
||
|
||
并发：``req.workers >= 2`` 时用 ``ProcessPoolExecutor`` 跨进程并行寻优
|
||
（回测是 CPU-bound，numpy/pandas 持 GIL，线程无加速，必须用进程）。
|
||
``workers`` 为 0 或 1 时串行。进程池在函数内 ``with`` 创建/销毁，对前端
|
||
轮询与 task_runner 透明。
|
||
"""
|
||
from easy_tdx.backtest.benchmark import run_buy_hold_benchmark
|
||
from easy_tdx.backtest.strategies import get_registry
|
||
from easy_tdx.backtest.strategies.presets import STRATEGY_PRESETS
|
||
|
||
registry = get_registry()
|
||
# 过滤出已注册的策略 + 解析 label（label 必须在主进程取，避免子进程各自解析不一致）
|
||
jobs: list[tuple[str, dict[str, list[Any]]]] = []
|
||
labels: dict[str, str] = {}
|
||
for strategy_name, grid in STRATEGY_PRESETS.items():
|
||
if strategy_name not in registry.names():
|
||
continue
|
||
labels[strategy_name] = registry.get(strategy_name).label
|
||
jobs.append((strategy_name, grid))
|
||
|
||
# 跑寻优：串行 or 进程池并行
|
||
raw_results: list[dict[str, Any]] = []
|
||
if req.workers and req.workers >= 2:
|
||
import concurrent.futures
|
||
|
||
with concurrent.futures.ProcessPoolExecutor(max_workers=req.workers) as executor:
|
||
futures = {
|
||
executor.submit(
|
||
_optimize_one_strategy,
|
||
name,
|
||
grid,
|
||
df,
|
||
req.cash,
|
||
req.commission,
|
||
req.slippage,
|
||
req.execution,
|
||
): name
|
||
for name, grid in jobs
|
||
}
|
||
for future in concurrent.futures.as_completed(futures):
|
||
res = future.result()
|
||
if res is not None:
|
||
raw_results.append(res)
|
||
else:
|
||
for name, grid in jobs:
|
||
res = _optimize_one_strategy(
|
||
name, grid, df, req.cash, req.commission, req.slippage, req.execution
|
||
)
|
||
if res is not None:
|
||
raw_results.append(res)
|
||
|
||
# 组装排名（主进程统一构造 Pydantic 模型，保证类型一致）
|
||
ranking: list[OptimizeAllRankEntry] = []
|
||
per_strategy: dict[str, OptimizeAllRankEntry] = {}
|
||
total_grid = 0
|
||
for res in raw_results:
|
||
strategy_name = res["strategy"]
|
||
entry = OptimizeAllRankEntry(
|
||
strategy=strategy_name,
|
||
strategy_label=labels[strategy_name],
|
||
params=res["params"],
|
||
total_return=res["total_return"],
|
||
sharpe=res["sharpe"],
|
||
max_drawdown=res["max_drawdown"],
|
||
total_trades=res["total_trades"],
|
||
win_rate=res["win_rate"],
|
||
profit_factor=res["profit_factor"],
|
||
grid_points=res["grid_points"],
|
||
)
|
||
ranking.append(entry)
|
||
per_strategy[strategy_name] = entry
|
||
total_grid += res["grid_points"]
|
||
|
||
# 按 total_return 降序
|
||
ranking.sort(key=lambda r: r.total_return, reverse=True)
|
||
best = ranking[0] if ranking else None
|
||
|
||
result_obj = OptimizeAllResult(
|
||
ranking=ranking,
|
||
best=best,
|
||
per_strategy=per_strategy,
|
||
total_grid_points=total_grid,
|
||
# 买入持有基准（同区间/同费率/同资金），供前端在全局最佳旁直观对比
|
||
buy_hold=run_buy_hold_benchmark(
|
||
df,
|
||
cash=req.cash,
|
||
commission=req.commission,
|
||
slippage=req.slippage,
|
||
execution=req.execution,
|
||
),
|
||
)
|
||
return result_obj.model_dump()
|
||
|
||
|
||
def _filter_df_by_date(df: pd.DataFrame, start: str | None, end: str | None) -> pd.DataFrame:
|
||
"""按日期范围过滤 DataFrame（闭区间，比较 YYYY-MM-DD）。"""
|
||
if not start and not end:
|
||
return df
|
||
dt_col = "datetime" if "datetime" in df.columns else "date"
|
||
dt_str = df[dt_col].astype(str).str.slice(0, 10)
|
||
mask = pd.Series(True, index=df.index)
|
||
if start:
|
||
mask &= dt_str >= start
|
||
if end:
|
||
mask &= dt_str <= end
|
||
return df[mask].reset_index(drop=True)
|
||
|
||
|
||
def _now() -> float:
|
||
"""获取当前时间戳（隔离 import，便于测试）。"""
|
||
import time
|
||
|
||
return time.time()
|