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https://ghfast.top/https://github.com/aeroxw/tick-stock-panel.git
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feat(v0.2): 市场阶段与主线识别 + 因子挖掘全链路 + 数据层完善
- 市场环境: 新增情绪周期6阶段(冰点/启动/主升/高潮/退潮/修复, 连板梯队驱动, EMA平滑+2日确认+弱档否决, 平均段长9.7天)与概念/行业主线排名(涨停梯队聚合, 可配置宽基/风格标签过滤); 市场环境页重构, regime 透明加列, 与5档state并存 - 挖掘: 因子与策略挖掘全链路(API/worker/进程锁/候选库/前端工作台/文档), 周度调度默认关闭且永不自动发布 - 回测: 财务快照因子(点时口径), 批量回测预计算共享下期收益, 信号路径矩阵列依赖展开修复(consecutive_limit_ups 缺列报错) - 数据/性能: enriched 生成与预热治理, 重任务限流, 行情/K线缓存复用, 时区修复 - 测试: 后端全量 914 通过; GUI 黑盒验证截图存证 gui-test-screenshots/
This commit is contained in:
shy3130
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from __future__ import annotations
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from datetime import date, timedelta
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from types import SimpleNamespace
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import polars as pl
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import pytest
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from app.backtest.mining import MiningCandidate
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from app.backtest.mining_runtime import (
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TrainingMetricProvider,
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_decode_runtime_request,
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_load_compact_factor_panel,
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_prepare_base_market,
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_rank_artifact_candidates,
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_regime_date_count,
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attach_single_forward_return,
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)
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from app.services import regime_builder
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def test_runtime_rejects_insufficient_balanced_range_before_loading_panel(
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tmp_path,
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) -> None:
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first = date(2023, 10, 13)
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dates = [first + timedelta(days=offset) for offset in range(690)]
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for value in dates:
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partition = tmp_path / "kline_daily_enriched" / f"date={value.isoformat()}"
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partition.mkdir(parents=True)
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(partition / "part.parquet").touch()
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payload = {
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"run_id": "insufficient-balanced",
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"request": {
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"factor_names": ["turnover_rate"],
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"strategy_ids": [],
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"asset_type": "stock",
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"budget_profile": "balanced",
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"start": dates[0].isoformat(),
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"end": dates[-1].isoformat(),
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},
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}
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with pytest.raises(
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ValueError,
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match=(
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r"balanced mining requires at least 786 enriched trading bars for "
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r"3 outer folds; effective range .* has 690"
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),
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):
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_decode_runtime_request(payload, tmp_path, SimpleNamespace())
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def test_single_forward_label_uses_global_trading_axis_without_jump() -> None:
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first = date(2024, 1, 2)
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missing = first + timedelta(days=1)
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resumed = first + timedelta(days=2)
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panel = pl.DataFrame({
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"symbol": ["000001.SZ", "000001.SZ"],
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"date": [first, resumed],
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"close": [10.0, 12.0],
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"turnover_rate": [1.0, 2.0],
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"unused_factor": [9.0, 10.0],
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})
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result = attach_single_forward_return(
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panel,
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start=first,
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end=resumed,
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horizon=1,
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trading_dates=[first, missing, resumed],
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factor_names=["turnover_rate"],
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)
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first_row = result.filter(pl.col("date") == first).row(0, named=True)
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assert first_row["_target_date"] == missing
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assert first_row["_next_return"] is None
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assert "_forward_return_1d" not in result.columns
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assert "close" not in result.columns
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assert "unused_factor" not in result.columns
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assert result.columns == [
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"symbol",
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"date",
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"turnover_rate",
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"_next_return",
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"_target_date",
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]
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assert result.schema["_next_return"] == pl.Float32
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assert result.schema["turnover_rate"] == pl.Float32
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fast = attach_single_forward_return(
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panel.sort(["date", "symbol"]),
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start=first,
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end=resumed,
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horizon=1,
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trading_dates=[first, missing, resumed],
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factor_names=["turnover_rate"],
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assume_unique_symbol_date=True,
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)
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assert fast.equals(result)
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def test_compact_factor_panel_matches_full_symbol_independent_calculation(
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monkeypatch,
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) -> None:
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first = date(2024, 1, 2)
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rows = []
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for symbol, offset in (("a", 0.0), ("b", 2.0), ("c", 4.0)):
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for day in range(70):
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close = 10.0 + offset + day * 0.1
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rows.append({
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"symbol": symbol,
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"date": first + timedelta(days=day),
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"open": close - 0.1,
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"high": close + 0.2,
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"low": close - 0.2,
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"close": close,
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"volume": 1000.0 + day,
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"amount": close * (1000.0 + day),
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"turnover_rate": 1.0 + day / 100.0,
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})
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raw = pl.DataFrame(rows).sort(["symbol", "date"])
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class Engine:
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def load_panel(self, *_args, **_kwargs):
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return raw
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engine = Engine()
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from app.backtest.factor import FactorBacktestService
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factor_service = FactorBacktestService(engine)
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config = SimpleNamespace(
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symbols=None,
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start=first,
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end=first + timedelta(days=69),
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asset_type="stock",
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)
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names = ("momentum_20d", "rsi_14", "ma20_bias")
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full = factor_service._compute_missing_factors(
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raw,
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set(names),
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assume_sorted=True,
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).select(["symbol", "date", "close", *names]).with_columns([
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pl.col(name).cast(pl.Float32) for name in names
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]).sort(["date", "symbol"])
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monkeypatch.setattr("app.backtest.mining_runtime._SYMBOL_BATCH_SIZE", 1)
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compact = _load_compact_factor_panel(
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factor_service,
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config,
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names,
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expected_generation="generation",
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cancel_check=None,
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)
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assert compact.equals(full)
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def test_compact_factor_panel_rejects_noncanonical_symbol_date_keys() -> None:
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first = date(2024, 1, 2)
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canonical = pl.DataFrame({
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"symbol": ["a", "a", "b"],
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"date": [first, first + timedelta(days=1), first],
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"open": [1.0, 1.0, 1.0],
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"high": [1.0, 1.0, 1.0],
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"low": [1.0, 1.0, 1.0],
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"close": [1.0, 1.0, 1.0],
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"volume": [1.0, 1.0, 1.0],
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"amount": [1.0, 1.0, 1.0],
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"turnover_rate": [1.0, 1.0, 1.0],
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})
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config = SimpleNamespace(
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symbols=None,
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start=first,
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end=first + timedelta(days=1),
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asset_type="stock",
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)
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class Engine:
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def __init__(self, panel):
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self.panel = panel
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def load_panel(self, *_args, **_kwargs):
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return self.panel
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from app.backtest.factor import FactorBacktestService
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for invalid in (
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canonical.with_columns(pl.Series(
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"date",
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[first + timedelta(days=1), first, first],
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)),
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pl.concat([canonical.slice(0, 1), canonical]),
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):
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with pytest.raises(ValueError, match="unique symbol/date"):
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_load_compact_factor_panel(
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FactorBacktestService(Engine(invalid)),
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config,
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("turnover_rate",),
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expected_generation="generation",
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cancel_check=None,
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)
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def test_artifact_finalists_are_truncated_by_oos_sharpe_before_signature() -> None:
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low = MiningCandidate(candidate_id="a-low", kind="existing_strategy", strategy_id="low")
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high = MiningCandidate(candidate_id="z-high", kind="existing_strategy", strategy_id="high")
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rows = [
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{"candidate_signature": "a-low", "sharpe": 0.2, "skipped": False},
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{"candidate_signature": "z-high", "sharpe": 1.4, "skipped": False},
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]
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assert _rank_artifact_candidates([low, high], rows, limit=1) == [high]
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def test_prepare_base_market_forwards_cancel_event(monkeypatch, tmp_path) -> None:
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cancel_event = object()
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captured = {}
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plan = SimpleNamespace(
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base_columns=frozenset(),
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intermediate_columns=frozenset(),
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indicator_columns=frozenset(),
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signal_columns=frozenset(),
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matrix_columns=frozenset(),
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instrument_columns=frozenset(),
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warmup_bars=1,
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full_feature_fallback=False,
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execution_backend="matrix_native",
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fundamental_columns=frozenset(),
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)
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research = SimpleNamespace(entry_signals=[], exit_signals=[])
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strategy_engine = SimpleNamespace(get=lambda _strategy_id: research)
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service = SimpleNamespace(
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_effective_basic_filter=lambda *_args: {},
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engine=SimpleNamespace(),
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)
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request = SimpleNamespace(
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factor_names=("turnover_rate",),
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strategy_ids=(),
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asset_type="stock",
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forward_horizon=1,
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start=date(2024, 1, 2),
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end=date(2024, 1, 3),
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symbols=None,
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)
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monkeypatch.setattr(
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"app.backtest.mining_runtime.StrategyDependencyResolver.resolve",
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lambda *_args, **_kwargs: plan,
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)
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monkeypatch.setattr(
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"app.backtest.mining_runtime.build_matrix_cache_profile",
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lambda *_args, **_kwargs: SimpleNamespace(),
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)
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def load_matrix(*_args, **kwargs):
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captured.update(kwargs)
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return "market"
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service.engine.load_market_data_matrix_for_backtest = load_matrix
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result = _prepare_base_market(
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service,
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strategy_engine,
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tmp_path,
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request,
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expected_generation="generation",
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cancel_check=cancel_event,
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)
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assert result == "market"
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assert captured["cancel_event"] is cancel_event
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def test_training_metric_provider_uses_only_supplied_fold() -> None:
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start = date(2024, 1, 2)
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rows = []
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for day_offset in range(3):
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for asset_id in range(4):
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rows.append({
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"symbol": f"{asset_id:06d}.SZ",
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"date": start + timedelta(days=day_offset),
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"factor": float(asset_id),
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"_next_return": (
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float(asset_id) if day_offset < 2 else float(-asset_id)
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),
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})
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panel = pl.DataFrame(rows)
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train = panel.filter(pl.col("date") < start + timedelta(days=2))
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provider = TrainingMetricProvider("_next_return")
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metric = provider(train, ["factor"])[0]
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assert metric.rank_ic == pytest.approx(1.0)
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assert metric.coverage == pytest.approx(1.0)
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assert provider.calls[0]["end"] == (start + timedelta(days=1)).isoformat()
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assert provider.calls[0]["rows"] == 8
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def test_regime_date_count_uses_t_minus_one_market_labels(tmp_path) -> None:
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labels = [date(2024, 1, 2) + timedelta(days=offset) for offset in range(4)]
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panel = pl.DataFrame({"date": labels})
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regime_builder.upsert_regime_history(tmp_path, pl.DataFrame({
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"date": labels[:3],
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"state": ["weak", "strong", "lean_strong"],
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"score": [20, 80, 70],
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}))
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fold = SimpleNamespace(
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test_start=labels[1].isoformat(),
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test_end=labels[3].isoformat(),
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)
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assert _regime_date_count(panel, fold, "strong", tmp_path) == 2
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assert _regime_date_count(panel, fold, "weak", tmp_path) == 1
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