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745 lines
29 KiB
Python
745 lines
29 KiB
Python
"""因子回测服务 — IC/IR 分析 + 分层回测 + 多空组合。
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纯 Polars 向量化实现，无 pandas 依赖。
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"""
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from __future__ import annotations
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import logging
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import time
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import uuid
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from dataclasses import dataclass, field
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from datetime import date, timedelta
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from typing import Literal
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import numpy as np
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import polars as pl
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from app.backtest.engine import BacktestEngine
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from app.strategy.scoring import (
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VIRTUAL_SCORING_DEPENDENCIES as DERIVED_FACTOR_DEPENDENCIES,
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)
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from app.strategy.scoring import (
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materialize_scoring_columns,
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)
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logger = logging.getLogger(__name__)
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# 可研究因子目录。保留历史 ID 兼容已有候选方案; 价格尺度相关指标优先提供归一化版本。
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FACTOR_COLUMNS: list[dict] = [
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{"id": "momentum_5d", "label": "5日动量", "group": "动量", "desc": "5个交易日累计收益率"},
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{"id": "momentum_10d", "label": "10日动量", "group": "动量", "desc": "10个交易日累计收益率"},
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{"id": "momentum_20d", "label": "20日动量", "group": "动量", "desc": "20个交易日累计收益率"},
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{"id": "momentum_30d", "label": "30日动量", "group": "动量", "desc": "30个交易日累计收益率"},
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{"id": "momentum_60d", "label": "60日动量", "group": "动量", "desc": "60个交易日累计收益率"},
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{"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"},
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{"id": "ma5_bias", "label": "MA5乖离", "group": "均线偏离", "desc": "收盘价 / MA5 - 1"},
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{"id": "ma10_bias", "label": "MA10乖离", "group": "均线偏离", "desc": "收盘价 / MA10 - 1"},
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{"id": "ma20_bias", "label": "MA20乖离", "group": "均线偏离", "desc": "收盘价 / MA20 - 1"},
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{"id": "ma30_bias", "label": "MA30乖离", "group": "均线偏离", "desc": "收盘价 / MA30 - 1"},
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{"id": "ma60_bias", "label": "MA60乖离", "group": "均线偏离", "desc": "收盘价 / MA60 - 1"},
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{"id": "ema5_bias", "label": "EMA5乖离", "group": "均线偏离", "desc": "收盘价 / EMA5 - 1"},
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{"id": "ema10_bias", "label": "EMA10乖离", "group": "均线偏离", "desc": "收盘价 / EMA10 - 1"},
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{"id": "ema20_bias", "label": "EMA20乖离", "group": "均线偏离", "desc": "收盘价 / EMA20 - 1"},
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{"id": "ema30_bias", "label": "EMA30乖离", "group": "均线偏离", "desc": "收盘价 / EMA30 - 1"},
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{"id": "ema60_bias", "label": "EMA60乖离", "group": "均线偏离", "desc": "收盘价 / EMA60 - 1"},
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{"id": "rsi_6", "label": "RSI(6)", "group": "超买超卖", "desc": "6日相对强弱指标"},
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{"id": "rsi_14", "label": "RSI(14)", "group": "超买超卖", "desc": "14日相对强弱指标"},
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{"id": "rsi_24", "label": "RSI(24)", "group": "超买超卖", "desc": "24日相对强弱指标"},
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{"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"},
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{"id": "macd_dif_pct", "label": "MACD DIF强度", "group": "趋势", "desc": "MACD DIF / 收盘价"},
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{"id": "macd_dea_pct", "label": "MACD DEA强度", "group": "趋势", "desc": "MACD DEA / 收盘价"},
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{"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"},
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{"id": "kdj_k", "label": "KDJ-K", "group": "趋势", "desc": "KDJ指标K值"},
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{"id": "kdj_d", "label": "KDJ-D", "group": "趋势", "desc": "KDJ指标D值"},
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{"id": "kdj_j", "label": "KDJ-J", "group": "趋势", "desc": "KDJ指标J值"},
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{"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"},
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{"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"},
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{"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"},
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{"id": "atr_pct", "label": "ATR相对波动", "group": "波动率", "desc": "ATR(14) / 收盘价"},
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{"id": "amplitude", "label": "日振幅", "group": "波动率", "desc": "当日高低价差 / 前收盘价"},
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{"id": "boll_width", "label": "布林带宽", "group": "波动率", "desc": "布林带上下轨宽度 / MA20"},
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{"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"},
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{"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"},
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{"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"},
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{"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"},
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{"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"},
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{"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"},
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{"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"},
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{"id": "gap_return", "label": "开盘跳空", "group": "价格位置", "desc": "开盘价 / 前收盘价 - 1"},
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{"id": "intraday_return", "label": "日内收益", "group": "价格位置", "desc": "收盘价 / 开盘价 - 1"},
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{"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"},
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{"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"},
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{"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"},
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]
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FACTOR_WARMUP_DAYS = 120
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@dataclass
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class FactorConfig:
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factor_name: str
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symbols: list[str] | None
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start: date
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end: date
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n_groups: int = 5
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rebalance: Literal["daily", "weekly", "monthly"] = "monthly"
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weight: Literal["equal", "factor_weight"] = "equal"
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fees_pct: float = 0.0002
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slippage_bps: float = 5.0
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asset_type: str = "stock"
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@dataclass
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class GroupStats:
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group: int
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label: str
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total_return: float
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annual_return: float
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max_drawdown: float
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sharpe: float
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win_rate: float
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@dataclass
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class FactorResult:
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run_id: str
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config: dict
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# IC 分析
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ic_mean: float | None = None
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ic_std: float | None = None
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ir: float | None = None
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ic_win_rate: float | None = None
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ic_series: list[dict] = field(default_factory=list)
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# 分层
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group_stats: list[dict] = field(default_factory=list)
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group_nav: list[dict] = field(default_factory=list)
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# 多空
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long_short_stats: dict = field(default_factory=dict)
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long_short_nav: list[dict] = field(default_factory=list)
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# 元信息
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elapsed_ms: float = 0.0
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n_symbols: int = 0
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n_dates: int = 0
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error: str | None = None
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@dataclass
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class FactorBatchConfig:
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factor_names: list[str]
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symbols: list[str] | None
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start: date
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end: date
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n_groups: int = 5
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rebalance: Literal["daily", "weekly", "monthly"] = "monthly"
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weight: Literal["equal", "factor_weight"] = "equal"
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fees_pct: float = 0.0002
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slippage_bps: float = 5.0
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asset_type: str = "stock"
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@dataclass
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class FactorBatchItem:
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factor_name: str
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label: str
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group: str
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ic_mean: float | None = None
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ir: float | None = None
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ic_win_rate: float | None = None
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long_short_return: float | None = None
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long_short_max_drawdown: float | None = None
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n_symbols: int = 0
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n_dates: int = 0
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elapsed_ms: float = 0.0
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error: str | None = None
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@dataclass
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class FactorBatchResult:
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run_id: str
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config: dict
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results: list[FactorBatchItem] = field(default_factory=list)
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elapsed_ms: float = 0.0
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n_symbols: int = 0
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n_dates: int = 0
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error: str | None = None
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class FactorBacktestService:
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def __init__(self, engine: BacktestEngine) -> None:
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self.engine = engine
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def run(self, config: FactorConfig) -> FactorResult:
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t0 = time.perf_counter()
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run_id = uuid.uuid4().hex[:10]
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panel = self._load_factor_panel(config, [config.factor_name])
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if panel.is_empty():
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return self._error_result(config, run_id, t0, "无数据, 请检查日期范围或先运行盘后管道")
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return self._evaluate_panel(panel, config, run_id, t0)
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def run_batch(self, config: FactorBatchConfig) -> FactorBatchResult:
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"""在同一份 Panel 上依次评估多个因子, 避免重复读取和计算指标。"""
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t0 = time.perf_counter()
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run_id = uuid.uuid4().hex[:10]
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factor_names = list(dict.fromkeys(config.factor_names))
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result_config = self._batch_config_to_dict(config, factor_names)
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if not factor_names:
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return FactorBatchResult(
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run_id=run_id,
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config=result_config,
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error="至少选择一个因子",
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)
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panel = self._load_factor_panel(config, factor_names)
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if panel.is_empty():
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return FactorBatchResult(
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run_id=run_id,
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config=result_config,
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error="无数据, 请检查日期范围或先运行盘后管道",
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elapsed_ms=round((time.perf_counter() - t0) * 1000, 1),
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)
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metadata = {item["id"]: item for item in FACTOR_COLUMNS}
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items: list[FactorBatchItem] = []
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for factor_name in factor_names:
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item_t0 = time.perf_counter()
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factor_config = FactorConfig(
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factor_name=factor_name,
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symbols=config.symbols,
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start=config.start,
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end=config.end,
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n_groups=config.n_groups,
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rebalance=config.rebalance,
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weight=config.weight,
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fees_pct=config.fees_pct,
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slippage_bps=config.slippage_bps,
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asset_type=config.asset_type,
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)
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meta = metadata.get(factor_name, {})
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try:
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result = self._evaluate_panel(
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panel,
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factor_config,
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f"{run_id}-{len(items) + 1}",
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item_t0,
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)
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long_short = result.long_short_stats
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items.append(FactorBatchItem(
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factor_name=factor_name,
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label=str(meta.get("label", factor_name)),
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group=str(meta.get("group", "")),
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ic_mean=result.ic_mean,
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ir=result.ir,
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ic_win_rate=result.ic_win_rate,
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long_short_return=long_short.get("total_return"),
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long_short_max_drawdown=long_short.get("max_drawdown"),
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n_symbols=result.n_symbols,
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n_dates=result.n_dates,
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elapsed_ms=result.elapsed_ms,
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error=result.error,
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))
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except Exception as exc: # 单因子失败不能中止整个筛选批次
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logger.exception("factor batch item failed: %s", factor_name)
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items.append(FactorBatchItem(
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factor_name=factor_name,
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label=str(meta.get("label", factor_name)),
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group=str(meta.get("group", "")),
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elapsed_ms=round((time.perf_counter() - item_t0) * 1000, 1),
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error=str(exc),
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))
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n_symbols = max((item.n_symbols for item in items), default=0)
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n_dates = max((item.n_dates for item in items), default=0)
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return FactorBatchResult(
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run_id=run_id,
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config=result_config,
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results=items,
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elapsed_ms=round((time.perf_counter() - t0) * 1000, 1),
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n_symbols=n_symbols,
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n_dates=n_dates,
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)
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def _load_factor_panel(
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self,
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config: FactorConfig | FactorBatchConfig,
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factor_names: list[str],
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) -> pl.DataFrame:
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panel_columns = [
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"symbol", "date", "open", "high", "low", "close", "volume", "amount",
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"turnover_rate",
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]
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panel_columns.extend(name for name in factor_names if name not in panel_columns)
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load_start = config.start
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if any(name != "turnover_rate" for name in factor_names):
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load_start = config.start - timedelta(days=FACTOR_WARMUP_DAYS)
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panel = self.engine.load_panel(
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config.symbols,
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load_start,
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config.end,
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columns=panel_columns,
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asset_type=config.asset_type,
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)
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if panel.is_empty():
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return panel
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missing = set(factor_names) - set(panel.columns)
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if missing:
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panel = self._compute_missing_factors(panel, missing)
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return panel
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def _evaluate_panel(
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self,
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source_panel: pl.DataFrame,
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config: FactorConfig,
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run_id: str,
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t0: float,
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) -> FactorResult:
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def _err(msg: str) -> FactorResult:
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return self._error_result(config, run_id, t0, msg)
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factor_col = config.factor_name
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if factor_col not in source_panel.columns:
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return _err(f"因子列 '{factor_col}' 不存在于 enriched 数据中, 且无法从基础行情计算")
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if "close" not in source_panel.columns:
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return _err("enriched 数据缺少收盘价 close")
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panel = source_panel.select(["symbol", "date", "close", factor_col])
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panel = panel.filter((pl.col("date") >= config.start) & (pl.col("date") <= config.end))
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# 过滤有效行
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panel = panel.filter(
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pl.col(factor_col).is_not_null()
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& pl.col("close").is_not_null()
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& (pl.col("close") > 0)
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)
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if panel.is_empty():
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return _err("过滤后无有效数据")
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panel = panel.sort(["symbol", "date"])
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n_symbols = panel["symbol"].n_unique()
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n_dates = panel["date"].n_unique()
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# 计算下期收益
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# 根据调仓频率计算不同周期的 forward return
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if config.rebalance == "daily":
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panel = panel.with_columns(
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(pl.col("close").shift(-1).over("symbol") / pl.col("close") - 1)
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.alias("_next_return")
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)
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else:
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# weekly/monthly: 计算到下个调仓日的收益
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panel = self._calc_period_return(panel, config.rebalance)
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# ── 1. IC 分析 ──
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ic_df = self._calc_ic(panel, factor_col)
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ic_series = [
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{"date": str(row["date"]), "ic": round(float(row["ic"]), 4)}
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for row in ic_df.iter_rows(named=True)
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if row["ic"] is not None and not np.isnan(float(row["ic"]))
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]
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ic_values = [r["ic"] for r in ic_series]
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ic_mean = float(np.mean(ic_values)) if ic_values else None
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ic_std = float(np.std(ic_values)) if ic_values else None
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ir = (ic_mean / ic_std) if (ic_mean is not None and ic_std and ic_std > 1e-8) else None
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ic_win_rate = (sum(1 for v in ic_values if v > 0) / len(ic_values)) if ic_values else None
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# ── 2. 分层回测 ──
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panel = self._add_groups(panel, factor_col, config.n_groups)
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group_nav = self._calc_group_nav(panel, config)
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group_stats = self._calc_group_stats(group_nav, config.start, config.end, config.rebalance)
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# ── 3. 多空组合 ──
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long_short_nav, long_short_stats = self._calc_long_short(group_nav, config)
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elapsed = (time.perf_counter() - t0) * 1000
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return FactorResult(
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run_id=run_id,
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config=self._config_to_dict(config),
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ic_mean=round(ic_mean, 4) if ic_mean is not None else None,
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ic_std=round(ic_std, 4) if ic_std is not None else None,
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ir=round(ir, 4) if ir is not None else None,
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ic_win_rate=round(ic_win_rate, 4) if ic_win_rate is not None else None,
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ic_series=ic_series,
|
||
group_stats=group_stats,
|
||
group_nav=group_nav,
|
||
long_short_stats=long_short_stats,
|
||
long_short_nav=long_short_nav,
|
||
elapsed_ms=round(elapsed, 1),
|
||
n_symbols=n_symbols,
|
||
n_dates=n_dates,
|
||
)
|
||
|
||
@staticmethod
|
||
def _compute_missing_factors(panel: pl.DataFrame, factor_cols: set[str]) -> pl.DataFrame:
|
||
required = {"symbol", "date", "open", "high", "low", "close", "volume"}
|
||
if not required.issubset(panel.columns):
|
||
missing = sorted(required - set(panel.columns))
|
||
logger.warning("factors %s cannot be computed, missing columns: %s", factor_cols, missing)
|
||
return panel
|
||
|
||
from app.indicators.pipeline import compute_indicators
|
||
|
||
derived = factor_cols & set(DERIVED_FACTOR_DEPENDENCIES)
|
||
indicator_columns = factor_cols - derived
|
||
for factor_name in derived:
|
||
indicator_columns.update(DERIVED_FACTOR_DEPENDENCIES[factor_name])
|
||
panel = compute_indicators(panel, needed=indicator_columns)
|
||
return FactorBacktestService._compute_derived_factors(panel, derived)
|
||
|
||
@staticmethod
|
||
def _compute_derived_factors(panel: pl.DataFrame, factor_cols: set[str]) -> pl.DataFrame:
|
||
return materialize_scoring_columns(panel, factor_cols)
|
||
|
||
@staticmethod
|
||
def _error_result(
|
||
config: FactorConfig,
|
||
run_id: str,
|
||
started_at: float,
|
||
message: str,
|
||
) -> FactorResult:
|
||
return FactorResult(
|
||
run_id=run_id,
|
||
config=FactorBacktestService._config_to_dict(config),
|
||
error=message,
|
||
elapsed_ms=round((time.perf_counter() - started_at) * 1000, 1),
|
||
)
|
||
|
||
# ── IC 计算 ──
|
||
|
||
@staticmethod
|
||
def _calc_ic(panel: pl.DataFrame, factor_col: str) -> pl.DataFrame:
|
||
"""计算截面 Rank IC (因子值 rank vs 下期收益 rank 的相关系数)。"""
|
||
return (
|
||
panel.filter(pl.col("_next_return").is_not_null())
|
||
.group_by("date")
|
||
.agg(
|
||
pl.corr(
|
||
pl.col(factor_col).rank(method="average"),
|
||
pl.col("_next_return").rank(method="average"),
|
||
).alias("ic")
|
||
)
|
||
.sort("date")
|
||
)
|
||
|
||
# ── 调仓期收益 ──
|
||
|
||
@staticmethod
|
||
def _calc_period_return(panel: pl.DataFrame, rebalance: str) -> pl.DataFrame:
|
||
"""计算到下个调仓日的收益。
|
||
|
||
weekly: 下个周调仓日 close / 今日 close - 1
|
||
monthly: 下个月调仓日 close / 今日 close - 1
|
||
只在调仓日标记行有效，其他行为 null。
|
||
"""
|
||
import datetime as _dt
|
||
|
||
all_dates = sorted(panel["date"].unique().to_list())
|
||
|
||
if rebalance == "weekly":
|
||
# 调仓日 = 每周一
|
||
rebalance_dates = set()
|
||
for d in all_dates:
|
||
if hasattr(d, "weekday"):
|
||
wd = d.weekday()
|
||
else:
|
||
wd = _dt.date.fromisoformat(str(d)).weekday()
|
||
if wd == 0: # Monday
|
||
rebalance_dates.add(d)
|
||
else: # monthly
|
||
# 调仓日 = 每月首个交易日
|
||
seen_months: set[str] = set()
|
||
rebalance_dates = set()
|
||
for d in sorted(all_dates):
|
||
m = str(d)[:7] # "YYYY-MM"
|
||
if m not in seen_months:
|
||
seen_months.add(m)
|
||
rebalance_dates.add(d)
|
||
|
||
if not rebalance_dates:
|
||
panel = panel.with_columns(pl.lit(None).cast(pl.Float64).alias("_next_return"))
|
||
return panel
|
||
|
||
# 对每个调仓日，找到下一个调仓日 (仅在 unique 日期上做, 成本极低)
|
||
sorted_rebalance = sorted(rebalance_dates)
|
||
reb_dates: list = []
|
||
next_dates: list = []
|
||
for i, d in enumerate(sorted_rebalance):
|
||
if i + 1 < len(sorted_rebalance):
|
||
reb_dates.append(d)
|
||
next_dates.append(sorted_rebalance[i + 1])
|
||
# 最后一个调仓日没有下一个，不计算收益
|
||
|
||
if not reb_dates:
|
||
panel = panel.with_columns(pl.lit(None).cast(pl.Float64).alias("_next_return"))
|
||
return panel
|
||
|
||
panel = panel.sort(["symbol", "date"])
|
||
date_dtype = panel.schema["date"]
|
||
|
||
# 调仓日 → 下一调仓日 的映射表 (向量化 JOIN, 替代 Python 逐行 price_map 循环)
|
||
rebal_df = pl.DataFrame(
|
||
{"date": reb_dates, "_next_reb_date": next_dates}
|
||
).with_columns(
|
||
pl.col("date").cast(date_dtype),
|
||
pl.col("_next_reb_date").cast(date_dtype),
|
||
)
|
||
|
||
# (symbol, 下一调仓日) → 该日 close 的查找表 (等价于原 price_map, 重复取 last)
|
||
price_lookup = (
|
||
panel.select(
|
||
pl.col("symbol"),
|
||
pl.col("date").alias("_next_reb_date"),
|
||
pl.col("close").alias("_next_close"),
|
||
)
|
||
.unique(subset=["symbol", "_next_reb_date"], keep="last")
|
||
)
|
||
|
||
# 只在调仓日标记行有效: 下一调仓日该股 close / 当日 close - 1; 缺价或非调仓日为 null
|
||
panel = (
|
||
panel.join(rebal_df, on="date", how="left")
|
||
.join(price_lookup, on=["symbol", "_next_reb_date"], how="left")
|
||
.with_columns(
|
||
pl.when(
|
||
pl.col("_next_reb_date").is_not_null()
|
||
& pl.col("_next_close").is_not_null()
|
||
& (pl.col("close") > 0)
|
||
)
|
||
.then(pl.col("_next_close") / pl.col("close") - 1.0)
|
||
.otherwise(None)
|
||
.cast(pl.Float64)
|
||
.alias("_next_return")
|
||
)
|
||
.drop(["_next_reb_date", "_next_close"])
|
||
.sort(["symbol", "date"])
|
||
)
|
||
return panel
|
||
|
||
# ── 分组 ──
|
||
|
||
@staticmethod
|
||
def _add_groups(panel: pl.DataFrame, factor_col: str, n_groups: int) -> pl.DataFrame:
|
||
"""截面序号分桶，避免 qcut 在重复因子值截面上抛错。"""
|
||
return (
|
||
panel.sort(["date", factor_col, "symbol"])
|
||
.with_columns(
|
||
(pl.cum_count("symbol").over("date") - 1).alias("_factor_ord"),
|
||
pl.len().over("date").alias("_factor_count"),
|
||
)
|
||
.with_columns(
|
||
(
|
||
pl.lit("Q")
|
||
+ (
|
||
((pl.col("_factor_ord") * n_groups) / pl.col("_factor_count"))
|
||
.floor()
|
||
.cast(pl.Int64)
|
||
+ 1
|
||
)
|
||
.clip(1, n_groups)
|
||
.cast(pl.Utf8)
|
||
)
|
||
.alias("_group")
|
||
)
|
||
.drop(["_factor_ord", "_factor_count"])
|
||
)
|
||
|
||
@staticmethod
|
||
def _group_sort_key(group: str) -> int:
|
||
if group.startswith("Q"):
|
||
try:
|
||
return int(group[1:])
|
||
except ValueError:
|
||
pass
|
||
return 0
|
||
|
||
# ── 分组净值 ──
|
||
|
||
@staticmethod
|
||
def _calc_group_nav(panel: pl.DataFrame, config: FactorConfig) -> list[dict]:
|
||
"""计算分组净值曲线 — 只在调仓日更新净值。"""
|
||
# 只保留有下期收益的行 (= 调仓日)
|
||
group_ret = (
|
||
panel.filter(pl.col("_next_return").is_not_null() & pl.col("_group").is_not_null())
|
||
.group_by(["date", "_group"])
|
||
.agg(pl.col("_next_return").mean().alias("group_return"))
|
||
)
|
||
|
||
# pivot: date × group
|
||
pivot = group_ret.pivot(index="date", columns="_group", values="group_return").sort("date")
|
||
|
||
if pivot.is_empty():
|
||
return []
|
||
|
||
group_cols = sorted([c for c in pivot.columns if c != "date"], key=FactorBacktestService._group_sort_key)
|
||
|
||
# 累乘净值曲线
|
||
result: list[dict] = []
|
||
nav_values: dict[str, float] = {c: 1.0 for c in group_cols}
|
||
|
||
for row in pivot.iter_rows(named=True):
|
||
entry: dict = {"date": str(row["date"])[:10]}
|
||
for c in group_cols:
|
||
ret = float(row[c]) if row[c] is not None else 0.0
|
||
nav_values[c] *= (1 + ret)
|
||
entry[c] = round(nav_values[c], 4)
|
||
result.append(entry)
|
||
|
||
return result
|
||
|
||
# ── 分组统计 ──
|
||
|
||
@staticmethod
|
||
def _calc_group_stats(
|
||
group_nav: list[dict], start: date, end: date,
|
||
rebalance: str = "monthly",
|
||
) -> list[dict]:
|
||
if not group_nav:
|
||
return []
|
||
|
||
group_cols = sorted(
|
||
[k for k in group_nav[0] if k != "date"],
|
||
key=FactorBacktestService._group_sort_key,
|
||
)
|
||
n_days = max((end - start).days, 1)
|
||
years = n_days / 365.25
|
||
|
||
stats = []
|
||
for i, c in enumerate(group_cols):
|
||
values = [r[c] for r in group_nav if r.get(c) is not None]
|
||
if not values:
|
||
continue
|
||
total_return = values[-1] - 1.0
|
||
annual_return = (values[-1]) ** (1 / max(years, 0.01)) - 1 if values[-1] > 0 else 0.0
|
||
|
||
# 最大回撤
|
||
peak = 1.0
|
||
max_dd = 0.0
|
||
for v in values:
|
||
peak = max(peak, v)
|
||
dd = (v - peak) / peak
|
||
max_dd = min(max_dd, dd)
|
||
|
||
# 日收益序列
|
||
daily_rets = []
|
||
for j in range(1, len(values)):
|
||
if values[j - 1] > 0:
|
||
daily_rets.append(values[j] / values[j - 1] - 1)
|
||
|
||
# 夏普 — 年化系数必须匹配 group_nav 的调仓频率 (每个净值点 = 一个调仓周期收益);
|
||
# 周/月频收益若乘 √252 会把 Sharpe 高估 √(252/期数) 倍 (月频 ≈4.6x, 周频 ≈2.2x)。
|
||
if daily_rets:
|
||
arr = np.array(daily_rets)
|
||
_ann = {"daily": 252, "weekly": 52, "monthly": 12}.get(rebalance, 252)
|
||
sharpe = float(np.mean(arr) / np.std(arr)) * np.sqrt(_ann) if np.std(arr) > 0 else 0.0
|
||
win_rate = float(np.mean(arr > 0))
|
||
else:
|
||
sharpe = 0.0
|
||
win_rate = 0.0
|
||
|
||
stats.append({
|
||
"group": i + 1,
|
||
"label": c,
|
||
"total_return": round(total_return, 4),
|
||
"annual_return": round(annual_return, 4),
|
||
"max_drawdown": round(max_dd, 4),
|
||
"sharpe": round(sharpe, 2),
|
||
"win_rate": round(win_rate, 4),
|
||
})
|
||
|
||
return stats
|
||
|
||
# ── 多空组合 ──
|
||
|
||
@staticmethod
|
||
def _calc_long_short(
|
||
group_nav: list[dict], config: FactorConfig,
|
||
) -> tuple[list[dict], dict]:
|
||
"""多空组合: 做多最高组 + 做空最低组。"""
|
||
if not group_nav:
|
||
return [], {}
|
||
|
||
group_cols = sorted(
|
||
[k for k in group_nav[0] if k != "date"],
|
||
key=FactorBacktestService._group_sort_key,
|
||
)
|
||
if len(group_cols) < 2:
|
||
return [], {}
|
||
|
||
top_col = group_cols[-1] # Q5 (最高)
|
||
bottom_col = group_cols[0] # Q1 (最低)
|
||
|
||
# 独立计算 top 和 bottom 的日收益，然后合成
|
||
ls_value = 1.0
|
||
prev_top = 1.0
|
||
prev_bot = 1.0
|
||
peak = 1.0
|
||
max_dd = 0.0
|
||
ls_nav: list[dict] = []
|
||
|
||
for row in group_nav:
|
||
top_nav = float(row.get(top_col, 1.0)) if row.get(top_col) is not None else 1.0
|
||
bot_nav = float(row.get(bottom_col, 1.0)) if row.get(bottom_col) is not None else 1.0
|
||
|
||
# top 组收益 (做多)
|
||
top_ret = (top_nav / prev_top - 1) if prev_top > 0 else 0.0
|
||
# bottom 组收益 (做空 = 取反)
|
||
bot_ret = -(bot_nav / prev_bot - 1) if prev_bot > 0 else 0.0
|
||
# 多空组合收益
|
||
ls_ret = (top_ret + bot_ret) / 2 # 各分配 50% 资金
|
||
ls_value *= (1 + ls_ret)
|
||
|
||
prev_top = top_nav
|
||
prev_bot = bot_nav
|
||
|
||
peak = max(peak, ls_value)
|
||
dd = (ls_value - peak) / peak if peak > 0 else 0.0
|
||
max_dd = min(max_dd, dd)
|
||
|
||
ls_nav.append({"date": row["date"], "value": round(ls_value, 4)})
|
||
|
||
total_ret = ls_value - 1.0
|
||
ls_stats = {
|
||
"total_return": round(total_ret, 4),
|
||
"max_drawdown": round(max_dd, 4),
|
||
"top_group": top_col,
|
||
"bottom_group": bottom_col,
|
||
}
|
||
|
||
return ls_nav, ls_stats
|
||
|
||
@staticmethod
|
||
def _config_to_dict(c: FactorConfig) -> dict:
|
||
return {
|
||
"factor_name": c.factor_name,
|
||
"symbols": c.symbols,
|
||
"start": str(c.start),
|
||
"end": str(c.end),
|
||
"n_groups": c.n_groups,
|
||
"rebalance": c.rebalance,
|
||
"weight": c.weight,
|
||
"fees_pct": c.fees_pct,
|
||
"slippage_bps": c.slippage_bps,
|
||
"asset_type": c.asset_type,
|
||
}
|
||
|
||
@staticmethod
|
||
def _batch_config_to_dict(c: FactorBatchConfig, factor_names: list[str]) -> dict:
|
||
return {
|
||
"factor_names": factor_names,
|
||
"symbols": c.symbols,
|
||
"start": str(c.start),
|
||
"end": str(c.end),
|
||
"n_groups": c.n_groups,
|
||
"rebalance": c.rebalance,
|
||
"weight": c.weight,
|
||
"fees_pct": c.fees_pct,
|
||
"slippage_bps": c.slippage_bps,
|
||
"asset_type": c.asset_type,
|
||
}
|