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tick-stock-panel/backend/tests/test_factor_registry.py
T
shy3130 e3a2fbce13 feat(ext-data): 扩展表字段接入信号与因子(数值因子/评分 + string 归属筛选) 
数值字段(int/float) → 信号+因子双通道:
- ext_factors: 帧组装时 join 扩展列并注册 kind=base 因子(分组「扩展数据」),
  时序模式按 (symbol,交易日) 精确对齐无未来函数, 快照模式仅当日单日帧
  注入(历史帧跳过防未来函数)
- registry.all_factors 惰性同步(配置目录签名幂等, 以注册表为权威增删);
  custom_signals.allowed_fields 自动并入 → 信号下拉/因子库/AI提示词/检验
  同一份清单; factor 补算入口按需注入
- 失效链: 上传/拉取/配置变更自动清扩展帧缓存+策略缓存, API层补
  repo.clear_cache; 写入后下一次计算立即生效
- 列名保留中文(预设表字段名), 非ASCII数值字段只进信号不注册因子
  (DSL标识符ASCII-only)

string 字段(概念/行业归属) → 仅信号条件通道:
- 运算符 包含(contains,字面量匹配非正则)/等于/不等于, 右值为字符串字面量,
  可与数值条件混合(强势板块归属 AND 热度阈值)
- 前端信号编辑器按字段类型切换运算符与右值输入; /options 暴露
  stringFields; AI 提示词含字符串字段清单与 contains 用法
- string 不注册为因子(数值口径), 空值不误报

测试: test_ext_factors 18个(PIT对齐/跨日不泄露/快照门控/写入失效/
contains字面量/中文列名端到端等); 存量因子计数测试补 data/ 运行时隔离
夹具(黄金断言不依赖本机扩展表); 受影响回归148个全过; pnpm build 通过;
ruff 对齐 main 基线
2026-09-06 18:27:33 +08:00

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"""因子注册表 (L-REG) P1 收口快照测试。
黄金数据为收口前 factor.py / scoring.py 的字面量副本。
任何目录漂移 (id/label/group/desc/顺序/依赖/预热) 都必须在改动前更新这里的黄金数据,
保证历史候选方案引用的因子 id 与挖掘调度顺序 (FACTOR_COLUMNS[:48]) 不受影响。
"""
from __future__ import annotations
import pytest
from app.factors.registry import (
FactorSpec,
all_factors,
factor_columns_view,
factor_dependencies,
get_factor,
register_factor,
scoring_warmups,
virtual_dependencies,
)
# --- 黄金数据: 收口前 factor.py FACTOR_COLUMNS 原文 ---
GOLDEN_COLUMNS: list[dict] = [
{"id": "momentum_5d", "label": "5日动量", "group": "动量", "desc": "5个交易日累计收益率"},
{"id": "momentum_10d", "label": "10日动量", "group": "动量", "desc": "10个交易日累计收益率"},
{"id": "momentum_20d", "label": "20日动量", "group": "动量", "desc": "20个交易日累计收益率"},
{"id": "momentum_30d", "label": "30日动量", "group": "动量", "desc": "30个交易日累计收益率"},
{"id": "momentum_60d", "label": "60日动量", "group": "动量", "desc": "60个交易日累计收益率"},
{"id": "change_pct", "label": "日涨跌幅", "group": "动量", "desc": "当日收盘相对前收盘的收益率"},
{"id": "ma5_bias", "label": "MA5乖离", "group": "均线偏离", "desc": "收盘价 / MA5 - 1"},
{"id": "ma10_bias", "label": "MA10乖离", "group": "均线偏离", "desc": "收盘价 / MA10 - 1"},
{"id": "ma20_bias", "label": "MA20乖离", "group": "均线偏离", "desc": "收盘价 / MA20 - 1"},
{"id": "ma30_bias", "label": "MA30乖离", "group": "均线偏离", "desc": "收盘价 / MA30 - 1"},
{"id": "ma60_bias", "label": "MA60乖离", "group": "均线偏离", "desc": "收盘价 / MA60 - 1"},
{"id": "ema5_bias", "label": "EMA5乖离", "group": "均线偏离", "desc": "收盘价 / EMA5 - 1"},
{"id": "ema10_bias", "label": "EMA10乖离", "group": "均线偏离", "desc": "收盘价 / EMA10 - 1"},
{"id": "ema20_bias", "label": "EMA20乖离", "group": "均线偏离", "desc": "收盘价 / EMA20 - 1"},
{"id": "ema30_bias", "label": "EMA30乖离", "group": "均线偏离", "desc": "收盘价 / EMA30 - 1"},
{"id": "ema60_bias", "label": "EMA60乖离", "group": "均线偏离", "desc": "收盘价 / EMA60 - 1"},
{"id": "rsi_6", "label": "RSI(6)", "group": "超买超卖", "desc": "6日相对强弱指标"},
{"id": "rsi_14", "label": "RSI(14)", "group": "超买超卖", "desc": "14日相对强弱指标"},
{"id": "rsi_24", "label": "RSI(24)", "group": "超买超卖", "desc": "24日相对强弱指标"},
{"id": "macd_hist", "label": "MACD柱(原值)", "group": "趋势", "desc": "兼容历史研究; 跨股票比较建议优先使用MACD柱强度"},
{"id": "macd_dif_pct", "label": "MACD DIF强度", "group": "趋势", "desc": "MACD DIF / 收盘价"},
{"id": "macd_dea_pct", "label": "MACD DEA强度", "group": "趋势", "desc": "MACD DEA / 收盘价"},
{"id": "macd_hist_pct", "label": "MACD柱强度", "group": "趋势", "desc": "MACD柱 / 收盘价, 消除股价尺度影响"},
{"id": "kdj_k", "label": "KDJ-K", "group": "趋势", "desc": "KDJ指标K值"},
{"id": "kdj_d", "label": "KDJ-D", "group": "趋势", "desc": "KDJ指标D值"},
{"id": "kdj_j", "label": "KDJ-J", "group": "趋势", "desc": "KDJ指标J值"},
{"id": "boll_position", "label": "布林位置", "group": "趋势", "desc": "收盘价在布林带下轨到上轨之间的位置"},
{"id": "annual_vol_20d", "label": "20日波动率", "group": "波动率", "desc": "20日收益率年化标准差"},
{"id": "atr_14", "label": "ATR(14)原值", "group": "波动率", "desc": "兼容历史研究; 跨股票比较建议优先使用ATR相对波动"},
{"id": "atr_pct", "label": "ATR相对波动", "group": "波动率", "desc": "ATR(14) / 收盘价"},
{"id": "amplitude", "label": "日振幅", "group": "波动率", "desc": "当日高低价差 / 前收盘价"},
{"id": "boll_width", "label": "布林带宽", "group": "波动率", "desc": "布林带上下轨宽度 / MA20"},
{"id": "vol_ratio_5d", "label": "5日量比", "group": "量价", "desc": "当日成交量 / 前5日平均成交量"},
{"id": "vol_ratio_10d", "label": "10日量比", "group": "量价", "desc": "当日成交量 / 前10日平均成交量"},
{"id": "vol_trend_5_10", "label": "成交量趋势", "group": "量价", "desc": "5日平均成交量 / 10日平均成交量 - 1"},
{"id": "turnover_rate", "label": "换手率", "group": "量价", "desc": "使用历史时点流通股本计算的当日换手率"},
{"id": "turnover_ratio_5d", "label": "换手率放大", "group": "量价", "desc": "当日换手率 / 前5日平均换手率 - 1"},
{"id": "log_amount", "label": "成交额对数", "group": "量价", "desc": "ln(成交额 + 1), 降低极端规模影响"},
{"id": "amount_ratio_5d", "label": "成交额放大", "group": "量价", "desc": "当日成交额 / 前5日平均成交额 - 1"},
{"id": "gap_return", "label": "开盘跳空", "group": "价格位置", "desc": "开盘价 / 前收盘价 - 1"},
{"id": "intraday_return", "label": "日内收益", "group": "价格位置", "desc": "收盘价 / 开盘价 - 1"},
{"id": "close_position", "label": "收盘位置", "group": "价格位置", "desc": "收盘价在当日最低价到最高价之间的位置"},
{"id": "distance_to_high_60d", "label": "距60日高点", "group": "价格位置", "desc": "收盘价 / 60日最高收盘价 - 1"},
{"id": "distance_from_low_60d", "label": "距60日低点", "group": "价格位置", "desc": "收盘价 / 60日最低收盘价 - 1"},
{"id": "vwap_bias", "label": "VWAP乖离", "group": "价格位置", "desc": "收盘价 / 当日成交均价 - 1, 成交均价 = 成交额 / (成交量x100)"},
{"id": "max_ret_20d", "label": "20日最大单日涨幅", "group": "收益形态", "desc": "近20个交易日单日涨幅最大值(彩票效应, 高值代表博彩型特征强)"},
{"id": "ret_skew_20d", "label": "20日收益偏度", "group": "收益形态", "desc": "近20个交易日日收益偏度, 高值代表右偏(偶发大涨)"},
{"id": "up_days_20d", "label": "20日上涨天数", "group": "收益形态", "desc": "近20个交易日中上涨天数(0~20)"},
{"id": "amihud_20d", "label": "20日Amihud非流动性", "group": "流动性", "desc": "近20日平均 |日涨跌幅| / 成交额(亿元), 高值代表流动性差"},
{"id": "turnover_z_60d", "label": "换手率60日z分", "group": "流动性", "desc": "(当日换手率 - 前60日均值) / 前60日标准差, 衡量换手异动"},
{"id": "vol_price_corr_20d", "label": "20日量价相关", "group": "量价", "desc": "近20个交易日日涨跌幅与成交量的相关系数, 高值代表量价同向"},
{"id": "vol_trend_5_60", "label": "量能趋势(5/60)", "group": "量价", "desc": "5日平均成交量 / 60日平均成交量 - 1"},
{"id": "limit_up_count_20d", "label": "涨停基因(20日)", "group": "涨停基因", "desc": "近20个交易日涨停次数"},
{"id": "limit_up_count_60d", "label": "涨停基因(60日)", "group": "涨停基因", "desc": "近60个交易日涨停次数"},
{"id": "pb_latest", "label": "市净率(最新公告)", "group": "财务", "desc": "收盘价 / 最新已公告每股净资产; 无财务数据或公告前为空"},
{"id": "roe_latest", "label": "ROE(最新公告)", "group": "财务", "desc": "最新已公告净资产收益率(%); 无财务数据或公告前为空"},
{"id": "gross_margin_latest", "label": "毛利率(最新公告)", "group": "财务", "desc": "最新已公告销售毛利率(%)"},
{"id": "net_margin_latest", "label": "净利率(最新公告)", "group": "财务", "desc": "最新已公告销售净利率(%)"},
{"id": "revenue_yoy_latest", "label": "营收增速(最新公告)", "group": "财务", "desc": "最新已公告营业收入同比(%)"},
{"id": "net_income_yoy_latest", "label": "净利增速(最新公告)", "group": "财务", "desc": "最新已公告归母净利润同比(%)"},
{"id": "debt_ratio_latest", "label": "资产负债率(最新公告)", "group": "财务", "desc": "最新已公告资产负债率(%)"},
# --- 扩充批次 (2026-09-05): 追加于目录尾部, 前 48 项挖掘调度顺序不变 ---
{"id": "log_float_mv", "label": "流通市值对数", "group": "规模", "desc": "ln(收盘价 x 当日成交量 / 换手率), 由换手率反推流通股本, 高值代表大盘"},
{"id": "momentum_120d", "label": "120日动量", "group": "动量", "desc": "120个交易日累计收益率 (中期动量, 与短窗口互补)"},
{"id": "mom_accel_20_60", "label": "动量加速度", "group": "动量", "desc": "20日动量 - 60日动量, 衡量近期动量相对中期是否增强"},
{"id": "rsi_14_delta_5d", "label": "RSI五日变化", "group": "超买超卖", "desc": "RSI(14) - 5日前的RSI(14), 衡量强弱指标的边际变化"},
{"id": "overnight_ret_20d", "label": "20日隔夜收益", "group": "收益形态", "desc": "近20日累计隔夜收益(开盘价/前收盘-1求和), A股隔夜与日内收益的定价机制不同"},
{"id": "intraday_ret_20d", "label": "20日日内收益", "group": "收益形态", "desc": "近20日累计日内收益(收盘价/开盘价-1求和), 与隔夜收益构成收益分解"},
{"id": "downside_vol_20d", "label": "20日下行波动", "group": "波动率", "desc": "sqrt(近20日 min(日收益,0)^2 均值), 只度量下跌侧风险"},
{"id": "vol_regime_5_60", "label": "波动率状态(5/60)", "group": "波动率", "desc": "5日收益标准差 / 60日收益标准差, 高值代表波动骤然放大"},
{"id": "amplitude_trend_20_60", "label": "振幅趋势(20/60)", "group": "波动率", "desc": "20日平均振幅 / 60日平均振幅 - 1"},
{"id": "obv_trend_20d", "label": "20日量能潮", "group": "量价", "desc": "近20日 sign(日收益)x成交量 之和 / (20日均量x20), 有界[-1,1], 净买入方向的一致性"},
{"id": "amount_mean_20d", "label": "20日均成交额(亿)", "group": "量价", "desc": "近20日平均成交额(亿元), 规模/流动性水平量"},
{"id": "turnover_mean_20d", "label": "20日均换手", "group": "流动性", "desc": "近20日平均换手率, A股经典低换手溢价因子"},
{"id": "turnover_std_20d", "label": "20日换手波动", "group": "流动性", "desc": "近20日换手率标准差 / 均值 (变异系数), 衡量交易活跃的稳定性"},
{"id": "position_240d", "label": "一年价格位置", "group": "价格位置", "desc": "收盘价在近240个交易日最低价到最高价之间的位置 (0~1)"},
{"id": "distance_to_high_240d", "label": "距一年高点", "group": "价格位置", "desc": "收盘价 / 240日最高收盘价 - 1, 接近0代表贴近一年新高"},
{"id": "kdj_kd_diff", "label": "KDJ K-D差", "group": "趋势", "desc": "KDJ K值 - D值, 正值代表快线在慢线上方"},
]
GOLDEN_VIRTUAL_DEPS: dict[str, frozenset[str]] = {
**{
f"ma{period}_bias": frozenset({"close", f"ma{period}"})
for period in (5, 10, 20, 30, 60)
},
**{
f"ema{period}_bias": frozenset({"close", f"ema{period}"})
for period in (5, 10, 20, 30, 60)
},
"macd_dif_pct": frozenset({"close", "macd_dif"}),
"macd_dea_pct": frozenset({"close", "macd_dea"}),
"macd_hist_pct": frozenset({"close", "macd_hist"}),
"boll_position": frozenset({"close", "boll_upper", "boll_lower"}),
"atr_pct": frozenset({"close", "atr_14"}),
"boll_width": frozenset({"ma20", "boll_upper", "boll_lower"}),
"vol_ratio_10d": frozenset({"volume"}),
"vol_trend_5_10": frozenset({"vol_ma5", "vol_ma10"}),
"turnover_ratio_5d": frozenset({"turnover_rate"}),
"log_amount": frozenset({"amount"}),
"amount_ratio_5d": frozenset({"amount"}),
"gap_return": frozenset({"open", "prev_close"}),
"intraday_return": frozenset({"open", "close"}),
"close_position": frozenset({"high", "low", "close"}),
"distance_to_high_60d": frozenset({"close", "high_60d"}),
"distance_from_low_60d": frozenset({"close", "low_60d"}),
"max_ret_20d": frozenset({"close"}),
"ret_skew_20d": frozenset({"close"}),
"up_days_20d": frozenset({"close"}),
"amihud_20d": frozenset({"close", "amount"}),
"turnover_z_60d": frozenset({"turnover_rate"}),
"vol_price_corr_20d": frozenset({"close", "volume"}),
"vwap_bias": frozenset({"close", "volume", "amount"}),
"vol_trend_5_60": frozenset({"volume"}),
"limit_up_count_20d": frozenset({"consecutive_limit_ups"}),
"limit_up_count_60d": frozenset({"consecutive_limit_ups"}),
# --- 扩充批次 (2026-09-05) ---
"log_float_mv": frozenset({"close", "volume", "turnover_rate"}),
"momentum_120d": frozenset({"close"}),
"mom_accel_20_60": frozenset({"momentum_20d", "momentum_60d"}),
"rsi_14_delta_5d": frozenset({"rsi_14"}),
"overnight_ret_20d": frozenset({"open", "prev_close"}),
"intraday_ret_20d": frozenset({"open", "close"}),
"downside_vol_20d": frozenset({"close"}),
"vol_regime_5_60": frozenset({"close"}),
"amplitude_trend_20_60": frozenset({"amplitude"}),
"obv_trend_20d": frozenset({"close", "volume"}),
"amount_mean_20d": frozenset({"amount"}),
"turnover_mean_20d": frozenset({"turnover_rate"}),
"turnover_std_20d": frozenset({"turnover_rate"}),
"position_240d": frozenset({"close"}),
"distance_to_high_240d": frozenset({"close"}),
"kdj_kd_diff": frozenset({"kdj_k", "kdj_d"}),
}
GOLDEN_WARMUP: dict[str, int] = {
"vol_ratio_10d": 11,
"turnover_ratio_5d": 6,
"amount_ratio_5d": 6,
"max_ret_20d": 21,
"ret_skew_20d": 21,
"up_days_20d": 21,
"amihud_20d": 21,
"turnover_z_60d": 61,
"vol_price_corr_20d": 21,
"vol_trend_5_60": 60,
"limit_up_count_20d": 21,
"limit_up_count_60d": 61,
# --- 扩充批次 (2026-09-05) ---
"momentum_120d": 121,
"rsi_14_delta_5d": 6,
"overnight_ret_20d": 21,
"intraday_ret_20d": 21,
"downside_vol_20d": 21,
"vol_regime_5_60": 61,
"amplitude_trend_20_60": 61,
"obv_trend_20d": 21,
"amount_mean_20d": 21,
"turnover_mean_20d": 21,
"turnover_std_20d": 21,
"position_240d": 241,
"distance_to_high_240d": 241,
}
@pytest.fixture(autouse=True)
def _isolate_runtime_ext_factors(tmp_path, monkeypatch):
"""扩展因子按 settings.data_dir 惰性注册: 计数/顺序黄金断言必须与
运行时 data/ 目录的扩展表配置隔离, 否则结果依赖本机数据。"""
from app import config as app_config
from app.factors import ext_factors
monkeypatch.setattr(app_config.settings, "data_dir", tmp_path)
ext_factors._frame_cache.clear()
ext_factors._sync_state = None
# 主动清掉其他测试泄漏进注册表的 ext_ 条目, 保证黄金断言密闭
from app.factors.registry import _REGISTRY
for fid in [k for k in list(_REGISTRY) if k.startswith(ext_factors.EXT_PREFIX)]:
_REGISTRY.pop(fid, None)
yield
ext_factors._frame_cache.clear()
ext_factors._sync_state = None
def test_factor_columns_snapshot() -> None:
"""注册表生成的 FACTOR_COLUMNS 与收口前字面量逐项一致 (含顺序)。"""
from app.backtest.factor import FACTOR_COLUMNS
assert FACTOR_COLUMNS == GOLDEN_COLUMNS
assert factor_columns_view() == GOLDEN_COLUMNS
def test_virtual_dependencies_snapshot() -> None:
"""注册表生成的依赖声明与收口前字面量逐项一致。"""
from app.strategy.scoring import VIRTUAL_SCORING_DEPENDENCIES
assert VIRTUAL_SCORING_DEPENDENCIES == GOLDEN_VIRTUAL_DEPS
assert virtual_dependencies() == GOLDEN_VIRTUAL_DEPS
def test_scoring_warmup_snapshot() -> None:
from app.strategy.scoring import _ROLLING_SCORING_WARMUP
assert _ROLLING_SCORING_WARMUP == GOLDEN_WARMUP
assert scoring_warmups() == GOLDEN_WARMUP
def test_catalog_counts_and_kinds() -> None:
specs = all_factors()
assert len(specs) == 77
assert len({spec.id for spec in specs}) == 77 # id 唯一
virtual = [spec for spec in specs if spec.kind == "virtual"]
assert len(virtual) == 52 # ma/ema 10 + 原有 26 + 扩充批次 16
financial = [spec for spec in specs if spec.pit]
assert len(financial) == 7
assert all(spec.pit_source == "financial_announce" for spec in financial)
assert all(spec.asset_types == frozenset({"stock"}) for spec in financial)
def test_mining_schedule_order_prefix_unchanged() -> None:
"""挖掘调度取 FACTOR_COLUMNS[:48], 首元素必须保持 momentum_5d。"""
from app.backtest.factor import FACTOR_COLUMNS
assert FACTOR_COLUMNS[0]["id"] == "momentum_5d"
assert len(FACTOR_COLUMNS) >= 48
def test_get_factor_and_dependencies() -> None:
spec = get_factor("ma20_bias")
assert spec is not None
assert spec.dependencies == frozenset({"close", "ma20"})
assert spec.warmup_bars == 1 # 无滚动窗口, 与历史默认一致
resolved = factor_dependencies(["ma20_bias", "rsi_14", "unknown_col"])
assert resolved == frozenset({"close", "ma20", "rsi_14", "unknown_col"})
def test_asset_type_filter() -> None:
stock = all_factors(asset_type="stock")
etf = all_factors(asset_type="etf")
assert len(stock) == 77
assert len(etf) == 70 # 财务 7 项仅股票
def test_register_factor_rejects_duplicate() -> None:
spec = get_factor("rsi_14")
assert spec is not None
with pytest.raises(ValueError, match="已注册"):
register_factor(spec)
def test_register_factor_allows_version_bump() -> None:
from app.factors import registry
fresh = FactorSpec(id="__test_custom_factor", label="测试因子", group="测试", formula_text="close", kind="custom")
register_factor(fresh)
bumped = FactorSpec(
id="__test_custom_factor", label="测试因子", group="测试", formula_text="close + 1",
kind="custom", version=2,
)
register_factor(bumped)
try:
current = get_factor("__test_custom_factor")
assert current is not None
assert current.version == 2
assert current.formula_text == "close + 1"
finally:
# 清理测试注册项; 目录视图 (_CATALOG) 不受 _REGISTRY 动态注册影响
registry._REGISTRY.pop("__test_custom_factor", None)
def _client():
from fastapi import FastAPI
from fastapi.testclient import TestClient
from app.api.factors import router
app = FastAPI()
app.include_router(router)
return TestClient(app)
def test_factors_api_contract() -> None:
client = _client()
response = client.get("/api/factors")
assert response.status_code == 200
payload = response.json()
factors = payload["factors"]
assert len(factors) == 77
first = factors[0]
assert first["id"] == "momentum_5d"
assert first["kind"] == "base"
assert first["formula"] == "5个交易日累计收益率"
assert first["asset_types"] == ["etf", "stock"]
ma20 = next(item for item in factors if item["id"] == "ma20_bias")
assert ma20["kind"] == "virtual"
assert ma20["dependencies"] == ["close", "ma20"]
pb = next(item for item in factors if item["id"] == "pb_latest")
assert pb["pit"] is True
assert pb["asset_types"] == ["stock"]
mv = next(item for item in factors if item["id"] == "log_float_mv")
assert mv["kind"] == "virtual"
assert mv["scale_free"] is False
def test_factors_api_asset_filter_and_validation() -> None:
client = _client()
etf = client.get("/api/factors", params={"asset_type": "etf"}).json()["factors"]
assert len(etf) == 70
assert all("stock" in item["asset_types"] for item in etf)
# 非法资产类型 → 422 (fail-closed, 不静默回退全量)
assert client.get("/api/factors", params={"asset_type": "index"}).status_code == 422
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