tick-stock-panel/backend/tests/backtest/test_composite_backtest_e2e.py

"""叠加策略回测端到端集成测试 (M2 验证)。

用真实的内置 matrix_native 子策略(ma_golden_cross + macd_golden) + 合成行情 panel,
完整跑通 StrategyBacktestService.run() 的 composite 分支:
特征计划合并 → 超集矩阵加载 → 逐子策略信号 → 合并(退出投影) → 撮合 → 结果归因。

验证两种模式(position/full)和两种合并模式(union/intersect)的关键路径。
合成数据用上涨趋势制造金叉信号。
"""
from __future__ import annotations

from datetime import date, timedelta
from pathlib import Path

import numpy as np
import polars as pl
import pytest

from app.backtest.engine import BacktestEngine
from app.backtest.matrix import build_market_data_matrix
from app.backtest.strategy import StrategyBacktestConfig, StrategyBacktestService
from app.strategy.engine import StrategyEngine


def _synthetic_panel() -> pl.DataFrame:
    """构造上涨趋势的合成 panel: 前 50 天横盘, 后 50 天上涨, 制造金叉信号。"""
    np.random.seed(42)
    n_days = 100
    symbols = ["000001.SZ", "000002.SZ", "600000.SH"]
    rows = []
    for sym_idx, sym in enumerate(symbols):
        base = 10.0 + sym_idx * 5
        for t in range(n_days):
            d = date(2025, 1, 2) + timedelta(days=int(t * 1.5))
            if t < 50:
                close = base + np.random.uniform(-0.3, 0.3)
            else:
                close = base * (1 + (t - 50) * 0.015) + np.random.uniform(-0.3, 0.3)
            open_p = close + np.random.uniform(-0.2, 0.2)
            high = max(open_p, close) + np.random.uniform(0.1, 0.5)
            low = min(open_p, close) - np.random.uniform(0.1, 0.5)
            vol = float(np.random.uniform(1e6, 5e6))
            rows.append({
                "symbol": sym, "date": d, "open": open_p, "high": high,
                "low": low, "close": close, "volume": vol,
                "raw_close": close, "raw_high": high, "raw_low": low,
            })
    return pl.DataFrame(rows).sort(["symbol", "date"])


class _RepoStub:
    def get_index_daily(self, *args, **kwargs) -> pl.DataFrame:
        return pl.DataFrame()


def _make_service(panel: pl.DataFrame, builtin: Path, comp_dir: Path):
    """构造 StrategyBacktestService, 用 monkeypatch 的数据加载。"""
    bt_engine = BacktestEngine(_RepoStub())

    def _load_mdm(self, symbols, start, end, feature_plan, asset_type="stock", **kw):
        df = panel.filter((pl.col("date") >= start) & (pl.col("date") <= end))
        if symbols:
            df = df.filter(pl.col("symbol").is_in(symbols))
        cols = [c for c in sorted(set(feature_plan.base_columns)) if c in df.columns]
        return build_market_data_matrix(df.select(cols), field_columns=feature_plan.matrix_columns)

    bt_engine.load_market_data_matrix_for_backtest = _load_mdm.__get__(bt_engine)
    strategy_engine = StrategyEngine(strategy_dirs=[builtin, comp_dir])
    return StrategyBacktestService(bt_engine, strategy_engine)


def _write_composite(
    comp_dir: Path, sid: str, children: list, *, merge_mode="union", min_confirm=0
):
    children_repr = ", ".join(
        f'{{"strategy_id": "{c}", "weight": {w}}}' for c, w in children
    )
    opts = '["union", "intersect"]'
    params_block = (
        f'{{"id": "merge_mode", "type": "select", '
        f'"options": {opts}, "default": "{merge_mode}"}}, '
        f'{{"id": "min_confirm", "type": "int", "default": {min_confirm}}}'
    )
    (comp_dir / f"{sid}.py").write_text(
        f'''META = {{"id": "{sid}", "name": "{sid}", "asset_types": ["stock"], "timeframes": ["1d"],
        "params": [{params_block}], "children": [{children_repr}]}}
EXECUTION_BACKEND = "composite"
''',
        encoding="utf-8",
    )


@pytest.fixture
def composite_setup(tmp_path):
    builtin = Path(__file__).resolve().parents[2] / "app" / "strategy" / "builtin"
    comp_dir = tmp_path / "composite"
    comp_dir.mkdir(parents=True)
    _write_composite(comp_dir, "custom_e2e_blend", [("ma_golden_cross", 0.5), ("macd_golden", 0.5)])
    panel = _synthetic_panel()
    svc = _make_service(panel, builtin, comp_dir)
    return svc, comp_dir


def test_composite_backtest_position_mode(composite_setup):
    """position 模式: composite 回测产出交易、净值曲线和归因。"""
    svc, _ = composite_setup
    cfg = StrategyBacktestConfig(
        strategy_id="custom_e2e_blend", symbols=None,
        start=date(2025, 2, 1), end=date(2025, 5, 1),
        mode="position", max_positions=5, holding_days=10,
        overrides={"basic_filter": {"enabled": False}},
    )
    result = svc.run(cfg)
    assert result.error is None, f"回测失败: {result.error}"
    assert len(result.trades) > 0, "应产出交易"
    assert len(result.equity_curve) > 0, "应有净值曲线"
    assert result.strategy_info is not None
    children = result.strategy_info.get("composite_children")
    assert children is not None and len(children) == 2
    assert {c["id"] for c in children} == {"ma_golden_cross", "macd_golden"}


def test_composite_backtest_full_mode(composite_setup):
    """full 模式(独立候选): composite 回测能跑通。"""
    svc, _ = composite_setup
    cfg = StrategyBacktestConfig(
        strategy_id="custom_e2e_blend", symbols=None,
        start=date(2025, 2, 1), end=date(2025, 5, 1),
        mode="full", holding_days=10,
        overrides={"basic_filter": {"enabled": False}},
    )
    result = svc.run(cfg)
    assert result.error is None, f"full 模式失败: {result.error}"
    assert len(result.trades) > 0


def test_composite_backtest_intersect_min1_equals_union(composite_setup):
    """intersect min_confirm=1 应等价于 union(都产出交易)。"""
    svc, comp_dir = composite_setup
    _write_composite(
        comp_dir, "custom_e2e_blend",
        [("ma_golden_cross", 0.5), ("macd_golden", 0.5)],
        merge_mode="intersect", min_confirm=1,
    )
    svc.strategy_engine.reload()
    cfg = StrategyBacktestConfig(
        strategy_id="custom_e2e_blend", symbols=None,
        start=date(2025, 2, 1), end=date(2025, 5, 1),
        mode="position", max_positions=5, holding_days=10,
        overrides={"basic_filter": {"enabled": False}},
    )
    result = svc.run(cfg)
    assert result.error is None, f"intersect 模式失败: {result.error}"
    assert len(result.trades) > 0, "min_confirm=1 应产出交易(等价 union)"


def test_worker_strategy_dirs_includes_composite(tmp_path):
    """回归: 回测 worker 子进程重建引擎时必须扫描 composite 目录。

    缺陷历史: worker._strategy_dirs 曾遗漏 composite 目录, 导致回测子进程
    找不到 composite 策略(报 unknown strategy)。main.py 与 worker.py 必须一致。
    """
    from app.backtest.worker import _strategy_dirs

    dirs = _strategy_dirs(tmp_path)
    dir_names = [d.name for d in dirs]
    assert "builtin" in dir_names
    assert "composite" in dir_names, f"worker._strategy_dirs 缺 composite 目录: {dir_names}"
    assert "custom" in dir_names
    assert "ai" in dir_names