diff --git a/backend/app/api/backtest.py b/backend/app/api/backtest.py
index 0fe0736..2f8adc1 100644
--- a/backend/app/api/backtest.py
+++ b/backend/app/api/backtest.py
@@ -191,6 +191,8 @@ class StrategyBacktestRequest(BaseModel):
entry_fill: Literal["close_t", "open_t+1"] | None = None
exit_fill: Literal["close_t", "open_t+1"] | None = None
fees_pct: float = 0.0002
+ commission_pct: float | None = None
+ stamp_tax_pct: float | None = None
slippage_bps: float = 5.0
max_positions: int = 10
max_exposure_pct: float = 1.0
@@ -224,6 +226,8 @@ def strategy_run(req: StrategyBacktestRequest, request: Request):
entry_fill=req.entry_fill,
exit_fill=req.exit_fill,
fees_pct=req.fees_pct,
+ commission_pct=req.commission_pct,
+ stamp_tax_pct=req.stamp_tax_pct,
slippage_bps=req.slippage_bps,
max_positions=req.max_positions,
max_exposure_pct=req.max_exposure_pct,
@@ -277,8 +281,9 @@ def _make_job_key(
max_positions: int, max_exposure_pct: float, initial_capital: float, position_sizing: str,
params: str | None, overrides: str | None,
mode: str = "position", holding_days: int = 5,
+ commission_pct: float | None = None, stamp_tax_pct: float | None = None,
) -> str:
- raw = f"{strategy_id}|{symbols}|{start}|{end}|{matching}|{entry_fill}|{exit_fill}|{fees_pct}|{slippage_bps}|{max_positions}|{max_exposure_pct}|{initial_capital}|{position_sizing}|{params}|{overrides}|{mode}|{holding_days}"
+ raw = f"{strategy_id}|{symbols}|{start}|{end}|{matching}|{entry_fill}|{exit_fill}|{fees_pct}|{slippage_bps}|{max_positions}|{max_exposure_pct}|{initial_capital}|{position_sizing}|{params}|{overrides}|{mode}|{holding_days}|{commission_pct}|{stamp_tax_pct}"
return hashlib.md5(raw.encode()).hexdigest()[:12]
@@ -293,6 +298,8 @@ async def strategy_stream(
entry_fill: str | None = None,
exit_fill: str | None = None,
fees_pct: float = 0.0002,
+ commission_pct: float | None = None,
+ stamp_tax_pct: float | None = None,
slippage_bps: float = 5.0,
max_positions: int = 10,
max_exposure_pct: float = 1.0,
@@ -341,6 +348,7 @@ async def strategy_stream(
fees_pct, slippage_bps, max_positions, max_exposure_pct, initial_capital, position_sizing,
params, overrides,
mode, holding_days,
+ commission_pct, stamp_tax_pct,
)
_cleanup_stale_jobs()
@@ -374,6 +382,8 @@ async def strategy_stream(
entry_fill=entry_fill,
exit_fill=exit_fill,
fees_pct=fees_pct,
+ commission_pct=commission_pct,
+ stamp_tax_pct=stamp_tax_pct,
slippage_bps=slippage_bps,
max_positions=int(max_positions),
max_exposure_pct=float(max_exposure_pct),
@@ -447,6 +457,10 @@ async def strategy_cancel(request: Request):
p = parse_qs(qs)
def _get(key: str, default: str = "") -> str:
return p.get(key, [default])[0]
+ def _get_opt_float(key: str) -> float | None:
+ # 可选成本参数: 缺省或空串 → None (与 stream 侧 float | None 口径一致, 保证 job_key 对齐)。
+ v = _get(key)
+ return float(v) if v else None
job_key = _make_job_key(
_get("strategy_id"),
_get("symbols") or None,
@@ -465,6 +479,8 @@ async def strategy_cancel(request: Request):
_get("overrides") or None,
_get("mode", "position"),
int(_get("holding_days", "5")),
+ commission_pct=_get_opt_float("commission_pct"),
+ stamp_tax_pct=_get_opt_float("stamp_tax_pct"),
)
job = _running_jobs.get(job_key)
if job and not job.done:
diff --git a/backend/app/backtest/engine.py b/backend/app/backtest/engine.py
index 943490c..66a223a 100644
--- a/backend/app/backtest/engine.py
+++ b/backend/app/backtest/engine.py
@@ -34,7 +34,11 @@ class MatcherConfig:
matching: Literal["close_t", "open_t+1"] = "close_t"
entry_fill: Literal["close_t", "open_t+1"] | None = None
exit_fill: Literal["close_t", "open_t+1"] | None = None
+ # 成本模型: 优先使用拆分口径 (佣金双边 + 印花税仅卖出 + 滑点双边)。
+ # 未设 commission_pct 时回退到 fees_pct 作为双边佣金 (向后兼容, 无印花税)。
fees_pct: float = 0.0002
+ commission_pct: float | None = None
+ stamp_tax_pct: float | None = None
slippage_bps: float = 5.0
stop_loss_pct: float | None = None
take_profit_pct: float | None = None
@@ -56,6 +60,19 @@ class MatcherConfig:
if self.exit_fill is None:
self.exit_fill = self.matching
+ def _commission_pct(self) -> float:
+ # commission_pct 显式给出时优先, 否则回退 fees_pct (向后兼容双边佣金)。
+ return self.commission_pct if self.commission_pct is not None else self.fees_pct
+
+ def buy_cost_pct(self) -> float:
+ # 买入腿: 佣金 + 滑点。
+ return self._commission_pct() + self.slippage_bps / 10000.0
+
+ def sell_cost_pct(self) -> float:
+ # 卖出腿: 佣金 + 印花税 + 滑点。印花税未设时为 0 (向后兼容)。
+ stamp = self.stamp_tax_pct if self.stamp_tax_pct is not None else 0.0
+ return self._commission_pct() + stamp + self.slippage_bps / 10000.0
+
@dataclass
class TradeRecord:
@@ -340,7 +357,7 @@ class BacktestEngine:
if exit_triggered:
exit_price = float(sym_exit_prices[i])
pnl_pct = (exit_price - entry_price) / entry_price if entry_price > 0 else 0.0
- fee_cost = config.fees_pct * 2 + config.slippage_bps / 10000.0 * 2
+ fee_cost = config.buy_cost_pct() + config.sell_cost_pct()
pnl_pct -= fee_cost
e_date = sym_dates[entry_idx]
@@ -462,8 +479,8 @@ class BacktestEngine:
row_pos_in_symbol[i] = len(rows)
rows.append(i)
- buy_cost_pct = config.fees_pct + config.slippage_bps / 10000.0
- sell_cost_pct = config.fees_pct + config.slippage_bps / 10000.0
+ buy_cost_pct = config.buy_cost_pct()
+ sell_cost_pct = config.sell_cost_pct()
score_min = getattr(config, "score_min", None)
score_max = getattr(config, "score_max", None)
trades: list[TradeRecord] = []
@@ -808,8 +825,8 @@ class BacktestEngine:
if not all_dates:
return self._empty_result()
- buy_cost_pct = config.fees_pct + config.slippage_bps / 10000.0
- sell_cost_pct = config.fees_pct + config.slippage_bps / 10000.0
+ buy_cost_pct = config.buy_cost_pct()
+ sell_cost_pct = config.sell_cost_pct()
cash = float(config.initial_capital)
peak = cash
max_positions = max(int(config.max_positions), 0)
diff --git a/backend/app/backtest/strategy.py b/backend/app/backtest/strategy.py
index 0518fb3..947f6d9 100644
--- a/backend/app/backtest/strategy.py
+++ b/backend/app/backtest/strategy.py
@@ -35,6 +35,8 @@ class StrategyBacktestConfig:
entry_fill: Literal["close_t", "open_t+1"] | None = None
exit_fill: Literal["close_t", "open_t+1"] | None = None
fees_pct: float = 0.0002
+ commission_pct: float | None = None
+ stamp_tax_pct: float | None = None
slippage_bps: float = 5.0
max_positions: int = 10
max_exposure_pct: float = 1.0
@@ -198,6 +200,8 @@ class StrategyBacktestService:
entry_fill=config.entry_fill,
exit_fill=config.exit_fill,
fees_pct=config.fees_pct,
+ commission_pct=config.commission_pct,
+ stamp_tax_pct=config.stamp_tax_pct,
slippage_bps=config.slippage_bps,
stop_loss_pct=stop_loss,
take_profit_pct=take_profit,
@@ -653,6 +657,8 @@ class StrategyBacktestService:
"entry_fill": c.entry_fill,
"exit_fill": c.exit_fill,
"fees_pct": c.fees_pct,
+ "commission_pct": c.commission_pct,
+ "stamp_tax_pct": c.stamp_tax_pct,
"slippage_bps": c.slippage_bps,
"max_positions": c.max_positions,
"max_exposure_pct": c.max_exposure_pct,
diff --git a/backend/tests/backtest/test_cost_model.py b/backend/tests/backtest/test_cost_model.py
new file mode 100644
index 0000000..8484a91
--- /dev/null
+++ b/backend/tests/backtest/test_cost_model.py
@@ -0,0 +1,173 @@
+"""成本模型拆分测试 — 佣金(双边) + 印花税(仅卖出) + 滑点(双边)。
+
+覆盖:
+1. 向后兼容: 仅传 fees_pct 时, 买卖成本与旧行为完全一致 (无印花税)。
+2. 拆分模型: commission_pct / stamp_tax_pct / slippage_bps 各自参与, 印花税只在卖出侧。
+3. 优先级: 显式 commission_pct 覆盖 fees_pct。
+4. 撮合传导: 印花税只影响卖出腿, 且精度进入 TradeRecord。
+"""
+from __future__ import annotations
+
+from datetime import date, timedelta
+
+import polars as pl
+
+from app.backtest.engine import BacktestEngine, MatcherConfig
+
+# ---------------------------------------------------------------
+# 复用 portfolio 测试的最小面板/掩码构造
+# ---------------------------------------------------------------
+
+def _panel(symbols: list[str], days: int = 4, price: float = 10.0, overrides: dict | None = None) -> pl.DataFrame:
+ overrides = overrides or {}
+ start = date(2024, 1, 1)
+ rows = []
+ for sym in symbols:
+ for i in range(days):
+ patch = overrides.get((sym, i), {})
+ rows.append({
+ "symbol": sym,
+ "name": sym,
+ "date": start + timedelta(days=i),
+ "open": patch.get("open", price),
+ "high": patch.get("high", price),
+ "low": patch.get("low", price),
+ "close": patch.get("close", price),
+ "volume": patch.get("volume", 100_000),
+ "score": patch.get("score", 1),
+ "signal_limit_up": patch.get("signal_limit_up", False),
+ "signal_limit_down": patch.get("signal_limit_down", False),
+ })
+ return pl.DataFrame(rows).sort(["symbol", "date"])
+
+
+def _mask(panel: pl.DataFrame, marks: set[tuple[str, int]]) -> pl.Series:
+ base = date(2024, 1, 1)
+ values = []
+ for row in panel.select(["symbol", "date"]).iter_rows(named=True):
+ day = (row["date"] - base).days
+ values.append((row["symbol"], day) in marks)
+ return pl.Series(values, dtype=pl.Boolean)
+
+
+# ---------------------------------------------------------------
+# 1. 单元测试: buy_cost_pct / sell_cost_pct
+# ---------------------------------------------------------------
+
+def test_legacy_fees_pct_keeps_symmetric_cost_without_stamp():
+ """仅传 fees_pct: 买卖成本相等, 均为 fees + slippage, 不含印花税 (旧行为)。"""
+ cfg = MatcherConfig(fees_pct=0.0002, slippage_bps=5.0)
+ assert cfg.buy_cost_pct() == 0.0002 + 0.0005
+ assert cfg.sell_cost_pct() == 0.0002 + 0.0005 # 无印花税, 与买入对称
+
+
+def test_decomposed_cost_applies_stamp_only_on_sell():
+ """拆分模型: 佣金双边, 印花税仅卖出, 滑点双边。"""
+ cfg = MatcherConfig(commission_pct=0.0003, stamp_tax_pct=0.001, slippage_bps=5.0)
+ assert cfg.buy_cost_pct() == 0.0003 + 0.0005
+ assert cfg.sell_cost_pct() == 0.0003 + 0.001 + 0.0005
+
+
+def test_commission_pct_overrides_fees_pct():
+ """同时给 fees_pct 与 commission_pct 时, 以 commission_pct 为准。"""
+ cfg = MatcherConfig(fees_pct=0.0002, commission_pct=0.0009, slippage_bps=0)
+ assert cfg.buy_cost_pct() == 0.0009
+ assert cfg.sell_cost_pct() == 0.0009 # stamp 未设 → 0
+
+
+def test_commission_pct_zero_is_not_treated_as_unset():
+ """commission_pct=0.0 是有效值, 不应因 falsy 而回退到 fees_pct。"""
+ cfg = MatcherConfig(fees_pct=0.0002, commission_pct=0.0, slippage_bps=0)
+ assert cfg.buy_cost_pct() == 0.0
+ assert cfg.sell_cost_pct() == 0.0
+
+
+# ---------------------------------------------------------------
+# 2. 撮合传导: 印花税只影响卖出腿
+# ---------------------------------------------------------------
+
+def _round_trip_trade(cfg_kwargs: dict):
+ """价格恒定的一次买卖来回, 返回唯一成交的 TradeRecord。"""
+ panel = _panel(
+ ["A"],
+ days=3,
+ overrides={
+ ("A", 1): {"open": 10, "high": 10, "low": 10, "close": 10},
+ ("A", 2): {"open": 10, "high": 10, "low": 10, "close": 10},
+ },
+ )
+ entries = _mask(panel, {("A", 0)})
+ exits = _mask(panel, set())
+ result = BacktestEngine(repo=None).simulate_portfolio(
+ panel,
+ entries,
+ exits,
+ MatcherConfig(
+ matching="open_t+1",
+ max_positions=1,
+ max_hold_days=1,
+ initial_capital=100_000,
+ **cfg_kwargs,
+ ),
+ )
+ assert len(result.trades) == 1
+ return result.trades[0]
+
+
+def test_stamp_tax_only_deducts_on_sell_leg():
+ """价格不变时, 加印花税只影响卖出腿, 不改变买入腿的持仓股数。
+
+ 本 PR 最需守护的不变量: 卖出成本不得反向污染买入腿的 sizing。
+ 因此断言 (a) 两次运行 shares 相等, (b) 亏损差额恰为 卖出市值 乘以 印花税率,
+ 卖出市值用反推的 shares 计算, 不硬编码 (避免 sizing 逻辑变动导致误报/漏报)。
+ """
+ stamp = 0.001
+ t_no_stamp = _round_trip_trade(dict(commission_pct=0.0003, stamp_tax_pct=0.0, slippage_bps=0))
+ t_with_stamp = _round_trip_trade(dict(commission_pct=0.0003, stamp_tax_pct=stamp, slippage_bps=0))
+
+ # (a) 核心不变量: 买入腿由 buy_cost_pct 决定, 与印花税无关 → 股数必须一致。
+ assert t_no_stamp.shares == t_with_stamp.shares
+ shares = t_no_stamp.shares
+
+ # (b) 差额恰等于 卖出市值(shares * 卖出价 10) 乘以 印花税率。
+ delta = t_no_stamp.pnl_amount - t_with_stamp.pnl_amount
+ assert delta > 0
+ assert abs(delta - shares * 10 * stamp) < 1e-6
+
+
+def test_independent_candidate_pnl_pct_includes_decomposed_costs():
+ """独立候选模式 (close_t): 价格不变时 pnl_pct == -(buy_cost + sell_cost)。"""
+ panel = _panel(
+ ["A"],
+ days=3,
+ overrides={("A", 0): {"close": 10}, ("A", 1): {"close": 10}},
+ )
+ entries = _mask(panel, {("A", 0)})
+ exits = _mask(panel, set())
+ result = BacktestEngine(repo=None).simulate_independent_candidates(
+ panel,
+ entries,
+ exits,
+ MatcherConfig(matching="close_t", commission_pct=0.0003, stamp_tax_pct=0.001, slippage_bps=0, max_hold_days=1),
+ )
+ assert len(result.trades) == 1
+ # buy_cost=0.0003, sell_cost=0.0003+0.001=0.0013 → 合计 -0.0016
+ assert abs(result.trades[0].pnl_pct - (-(0.0003 + 0.0013))) < 1e-9
+
+
+# ---------------------------------------------------------------
+# 3. SSE 任务缓存键: 成本参数必须参与, 否则不同成本命中同一缓存 / cancel 失配
+# ---------------------------------------------------------------
+
+def test_job_key_distinguishes_commission_and_stamp():
+ """成本参数不同的两次回测必须得到不同 job_key (避免缓存碰撞与 cancel 失配)。"""
+ from app.api.backtest import _make_job_key
+
+ base_args = ("s", None, None, None, "open_t+1", None, None, 0.0002, 5.0, 10, 1.0, 1e6, "equal", None, None, "position", 5)
+ k_none = _make_job_key(*base_args)
+ k_comm = _make_job_key(*base_args, commission_pct=0.0009)
+ k_stamp = _make_job_key(*base_args, stamp_tax_pct=0.001)
+
+ assert k_none != k_comm
+ assert k_none != k_stamp
+ assert k_comm != k_stamp
diff --git a/frontend/src/lib/api.ts b/frontend/src/lib/api.ts
index 93c6b62..fccdbff 100644
--- a/frontend/src/lib/api.ts
+++ b/frontend/src/lib/api.ts
@@ -1174,6 +1174,8 @@ export const api = {
entry_fill?: 'close_t' | 'open_t+1' | null
exit_fill?: 'close_t' | 'open_t+1' | null
fees_pct?: number
+ commission_pct?: number
+ stamp_tax_pct?: number
slippage_bps?: number
max_positions?: number
initial_capital?: number
diff --git a/frontend/src/lib/backtestTask.ts b/frontend/src/lib/backtestTask.ts
index 2c2eb6d..3e72520 100644
--- a/frontend/src/lib/backtestTask.ts
+++ b/frontend/src/lib/backtestTask.ts
@@ -127,6 +127,8 @@ export function startBacktest(params: {
entry_fill?: string
exit_fill?: string
fees_pct?: number
+ commission_pct?: number
+ stamp_tax_pct?: number
slippage_bps?: number
max_positions?: number
max_exposure_pct?: number
@@ -156,6 +158,8 @@ export function startBacktest(params: {
entry_fill: params.entry_fill,
exit_fill: params.exit_fill,
fees_pct: params.fees_pct,
+ commission_pct: params.commission_pct,
+ stamp_tax_pct: params.stamp_tax_pct,
slippage_bps: params.slippage_bps,
max_positions: params.max_positions,
max_exposure_pct: params.max_exposure_pct,
diff --git a/frontend/src/lib/storage.ts b/frontend/src/lib/storage.ts
index 1b3db9b..b9e7295 100644
--- a/frontend/src/lib/storage.ts
+++ b/frontend/src/lib/storage.ts
@@ -91,6 +91,7 @@ export const storage = {
entryFill: 'close_t' | 'open_t+1'
exitFill: 'close_t' | 'open_t+1'
fees: string
+ stampTax?: string
slippage: string
maxPositions: string
maxExposure: string
diff --git a/frontend/src/pages/backtest/StrategyBacktest.tsx b/frontend/src/pages/backtest/StrategyBacktest.tsx
index 30f89b1..633b7f6 100644
--- a/frontend/src/pages/backtest/StrategyBacktest.tsx
+++ b/frontend/src/pages/backtest/StrategyBacktest.tsx
@@ -662,6 +662,7 @@ export function StrategyBacktest() {
const [entryFill, setEntryFill] = useState<'close_t' | 'open_t+1'>(saved?.entryFill ?? saved?.matching ?? 'open_t+1')
const [exitFill, setExitFill] = useState<'close_t' | 'open_t+1'>(saved?.exitFill ?? saved?.matching ?? 'close_t')
const [fees, setFees] = useState(saved?.fees ?? '2')
+ const [stampTax, setStampTax] = useState(saved?.stampTax ?? '1')
const [slippage, setSlippage] = useState(saved?.slippage ?? '5')
const [maxPositions, setMaxPositions] = useState(saved?.maxPositions ?? '10')
const [maxExposure, setMaxExposure] = useState(saved?.maxExposure ?? '100')
@@ -768,6 +769,7 @@ export function StrategyBacktest() {
entryFill,
exitFill,
fees,
+ stampTax,
slippage,
maxPositions,
maxExposure,
@@ -792,7 +794,8 @@ export function StrategyBacktest() {
matching,
entry_fill: entryFill,
exit_fill: exitFill,
- fees_pct: Number(fees) / 10000,
+ commission_pct: Number(fees) / 10000,
+ stamp_tax_pct: Number(stampTax) / 1000,
slippage_bps: Number(slippage),
max_positions: Number(maxPositions),
max_exposure_pct: Number(maxExposure) / 100,
@@ -1298,7 +1301,11 @@ export function StrategyBacktest() {
- setFees(e.target.value)} className={INPUT_CLS} />
+ setFees(e.target.value)} className={INPUT_CLS} />
+
+
+
+ setStampTax(e.target.value)} className={INPUT_CLS} />