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kevin9327
7a13713903
attach_fundamental_factors 用公告日做 asof 回看再按「严格大于」门控: 日期正好等于新一期公告日时, join_asof 已匹配到「当天还不能用」的新记录, 门控随即置 null, 打断上一期的前向填充。矩阵路径 build_fundamental_matrices 按 searchsorted(side="right") 逐期覆盖, 公告当日保留上一期, 两条路径因此不一致 (其 docstring 声明与 attach_fundamental_factors 同口径)。 asof 键改用生效日 (公告日次日), 只命中已生效的报告期; 公告前仍为 null 的门控不变。 补 tests/test_fundamental_factors.py 的两条公告一致性用例。
213 lines
8.3 KiB
Python
213 lines
8.3 KiB
Python
"""财务因子点时接入测试: 公告日门控 / 无数据 null 安全 / 双路径一致 / 历史累积同步。"""
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from __future__ import annotations
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from datetime import date, timedelta
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from pathlib import Path
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import numpy as np
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import polars as pl
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from app.backtest.fundamentals import (
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FUNDAMENTAL_FACTOR_NAMES,
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attach_fundamental_factors,
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build_fundamental_matrices,
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load_fundamental_snapshot,
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)
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from app.backtest.matrix import build_market_data_matrix
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def _snapshot_frame(rows: list[dict]) -> pl.DataFrame:
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frame = pl.DataFrame({
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"period_end": ["2026-03-31"] * len(rows),
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"symbol": [r["symbol"] for r in rows],
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"announce_date": [r["announce"] for r in rows],
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"roe": [r.get("roe", 10.0) for r in rows],
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"bps": [r.get("bps", 5.0) for r in rows],
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"revenue_yoy": [r.get("revenue_yoy", 8.0) for r in rows],
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})
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return (
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frame.with_columns(
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pl.col("announce_date").str.slice(0, 10).str.to_date().alias("_announce")
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)
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.sort(["symbol", "_announce"])
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)
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def _daily_panel(start: date, days: int, symbols: tuple[str, ...]) -> pl.DataFrame:
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rows = []
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for offset in range(days):
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for symbol in symbols:
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rows.append({
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"symbol": symbol,
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"date": start + timedelta(days=offset),
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"open": 10.0,
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"high": 10.5,
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"low": 9.5,
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"close": 10.0 + offset * 0.1,
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"volume": 1000.0,
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})
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return pl.DataFrame(rows).sort(["symbol", "date"])
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def test_attach_gates_on_announce_date_strictly():
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panel = _daily_panel(date(2026, 4, 1), 10, ("600000.SH", "000001.SZ"))
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snapshot = _snapshot_frame([
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# 公告日 4-5: 4-5 当天不可用, 4-6 起 roe=20
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{"symbol": "600000.SH", "announce": "2026-04-05", "roe": 20.0, "bps": 4.0},
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# 无财务数据的标的
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])
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attached = attach_fundamental_factors(panel, snapshot, ["roe_latest", "pb_latest"])
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values = attached.filter(pl.col("symbol") == "600000.SH").sort("date")
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roe = values["roe_latest"].to_list()
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assert roe[:5] == [None] * 5 # 4-1 ~ 4-5 均不可用 (含公告当日)
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assert roe[5:] == [20.0] * 5 # 4-6 起生效
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# 无财务数据标的全 null, 绝不填 0
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other = attached.filter(pl.col("symbol") == "000001.SZ")["roe_latest"]
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assert other.null_count() == other.len()
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# pb = close / bps, 公告前 null
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pb = values["pb_latest"].to_list()
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assert pb[:5] == [None] * 5
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close_6 = values.filter(pl.col("date") == date(2026, 4, 6))["close"].item()
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assert abs(pb[5] - close_6 / 4.0) < 1e-12
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def test_attach_replaces_with_newer_announcement():
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panel = _daily_panel(date(2026, 4, 1), 20, ("600000.SH",))
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snapshot = _snapshot_frame([
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{"symbol": "600000.SH", "announce": "2026-04-05", "roe": 20.0},
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{"symbol": "600000.SH", "announce": "2026-04-15", "roe": 33.0},
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])
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attached = attach_fundamental_factors(panel, snapshot, ["roe_latest"]).sort("date")
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roe = attached["roe_latest"].to_list()
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assert roe[4] is None # 4-5 公告日
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assert roe[5] == 20.0 # 4-6 起 20.0
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assert roe[13] == 20.0 # 4-14
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assert roe[14] == 20.0 # 4-15 二次公告日: 新一期尚未生效, 仍保留上一期
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assert roe[15] == 33.0 # 4-16 起新公告生效
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def test_attach_without_snapshot_keeps_null_columns():
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panel = _daily_panel(date(2026, 4, 1), 5, ("600000.SH",))
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attached = attach_fundamental_factors(panel, None, ["roe_latest", "pb_latest"])
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for name in ("roe_latest", "pb_latest"):
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assert name in attached.columns
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assert attached[name].null_count() == attached.height
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def test_matrix_field_matches_polars_attach():
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panel = _daily_panel(date(2026, 4, 1), 12, ("600000.SH", "000001.SZ"))
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snapshot = _snapshot_frame([
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{"symbol": "600000.SH", "announce": "2026-04-05", "roe": 20.0, "bps": 4.0},
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{"symbol": "000001.SZ", "announce": "2026-04-08", "roe": -5.0, "bps": -1.0},
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])
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attached = attach_fundamental_factors(panel, snapshot, ["roe_latest", "pb_latest"])
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market = build_market_data_matrix(panel)
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matrices = build_fundamental_matrices(market, snapshot, ["roe_latest", "pb_latest"])
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symbols = {s: i for i, s in enumerate(market.symbols)}
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dates = {str(d): t for t, d in enumerate(
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sorted({row["date"] for row in panel.iter_rows(named=True)})
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)}
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for name in ("roe_latest", "pb_latest"):
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matrix = matrices[name]
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for row in attached.iter_rows(named=True):
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expected = row[name]
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actual = matrix[dates[str(row["date"])], symbols[row["symbol"]]]
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if expected is None:
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assert np.isnan(actual), (name, row["date"], row["symbol"], actual)
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else:
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np.testing.assert_allclose(actual, expected, rtol=1e-6)
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def test_matrix_field_matches_polars_attach_across_two_announcements():
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"""换报告期时两条路径仍须一致: 新公告当日应保留上一期值(前向填充不断档)。"""
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panel = _daily_panel(date(2026, 4, 1), 20, ("600000.SH",))
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snapshot = _snapshot_frame([
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{"symbol": "600000.SH", "announce": "2026-04-05", "roe": 20.0},
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{"symbol": "600000.SH", "announce": "2026-04-15", "roe": 33.0},
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])
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attached = attach_fundamental_factors(panel, snapshot, ["roe_latest"]).sort("date")
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market = build_market_data_matrix(panel)
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matrix = build_fundamental_matrices(market, snapshot, ["roe_latest"])["roe_latest"]
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column = market.symbols.index("600000.SH")
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for row_index, value in enumerate(attached["roe_latest"].to_list()):
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actual = matrix[row_index, column]
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if value is None:
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assert np.isnan(actual), (row_index, actual)
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else:
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np.testing.assert_allclose(actual, value, rtol=1e-6)
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def test_bps_nonpositive_gives_null_pb():
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panel = _daily_panel(date(2026, 4, 1), 8, ("000001.SZ",))
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snapshot = _snapshot_frame([
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{"symbol": "000001.SZ", "announce": "2026-04-02", "bps": -1.0},
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])
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attached = attach_fundamental_factors(panel, snapshot, ["pb_latest"])
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assert attached["pb_latest"].null_count() == attached.height
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def test_load_snapshot_from_missing_dir_returns_none(tmp_path: Path):
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assert load_fundamental_snapshot(tmp_path) is None
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assert load_fundamental_snapshot(None) is None
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def test_snapshot_requires_announce_date(tmp_path: Path):
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out = tmp_path / "financials" / "metrics"
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out.mkdir(parents=True)
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pl.DataFrame({
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"symbol": ["600000.SH"],
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"announce_date": [None],
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"roe": [10.0],
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"gross_margin": [30.0],
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"net_margin": [5.0],
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"revenue_yoy": [8.0],
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"net_income_yoy": [6.0],
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"debt_to_asset_ratio": [40.0],
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"bps": [5.0],
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}).write_parquet(out / "part.parquet")
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# 公告日缺失的行无法做点时门控, 视为无有效快照
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assert load_fundamental_snapshot(tmp_path) is None
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def test_fundamental_factor_names_are_catalogued():
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from app.backtest.factor import FACTOR_COLUMNS
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catalog_ids = {item["id"] for item in FACTOR_COLUMNS}
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assert catalog_ids >= FUNDAMENTAL_FACTOR_NAMES
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def test_financial_sync_merges_history(tmp_path: Path):
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from app.services import financial_sync as fs
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old = pl.DataFrame({
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"symbol": ["600000.SH", "600000.SH"],
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"period_end": ["2025-09-30", "2025-12-31"],
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"announce_date": ["2025-10-28", "2026-01-20"],
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"roe": [8.0, 9.0],
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})
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latest = pl.DataFrame({
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"symbol": ["600000.SH", "000001.SZ"],
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"period_end": ["2026-03-31", "2026-03-31"],
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"announce_date": ["2026-04-25", "2026-04-24"],
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"roe": [10.0, 5.0],
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})
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merged = fs._merge_report_history(old, latest)
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assert merged.height == 4 # 旧各期保留 + 新一期并入
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# 同期修正: 旧 2025-12-31 公告 2026-01-20 vs 更晚的修正公告
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revised = pl.DataFrame({
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"symbol": ["600000.SH"],
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"period_end": ["2025-12-31"],
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"announce_date": ["2026-02-01"],
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"roe": [9.5],
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})
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merged2 = fs._merge_report_history(old, revised)
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row = merged2.filter(
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(pl.col("symbol") == "600000.SH") & (pl.col("period_end") == "2025-12-31")
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)
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assert row.height == 1
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assert row["roe"].item() == 9.5
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assert merged2.height == 2 # 修正不增加行数
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