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kevin9327
e5f7f625fb
_json_safe 先命中 `isinstance(v, (int, float, str, bool))` 分支, 原生 float 的 inf/NaN 被原样放行; numpy 分支也只挡 NaN 不挡 inf。pf.stats() 经 pandas Series.to_dict() 出来时 numpy 标量已装箱成原生 float, 所以清洗实际全部落空。 Starlette 的 JSONResponse 用 json.dumps(allow_nan=False) 渲染, 响应体里出现 一个 inf/NaN 就是整个 POST /api/backtest/run 500 (ValueError: Out of range float values are not JSON compliant)。全部交易都盈利时 Profit Factor = inf、零波动时 Sharpe = NaN 都会触发。 把非有限判定提到原生标量分支之前, 与 app/api/backtest._json_safe 同口径。
85 lines
2.8 KiB
Python
85 lines
2.8 KiB
Python
"""信号回测统计里的 inf/NaN 必须在出接口前清成 null。
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Starlette 的 JSONResponse 用 json.dumps(..., allow_nan=False) 渲染, 响应体里
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只要出现一个 inf/NaN, 整个 POST /api/backtest/run 直接 500
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(ValueError: Out of range float values are not JSON compliant)。
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vectorbt 的 pf.stats() 常态产出这类值: 全部交易都盈利时 Profit Factor = inf,
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零波动/无交易时 Sharpe 等为 NaN; pandas 的 Series.to_dict() 会把 numpy 标量
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装箱成原生 float, 所以 _json_safe 的 (int, float, str, bool) 分支会原样放行。
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"""
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from __future__ import annotations
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import json
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from datetime import date
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import numpy as np
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import pytest
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from app.services.backtest import _config_to_dict, _json_safe
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def _render_like_starlette(payload) -> str:
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"""与 starlette.responses.JSONResponse.render 同参数。"""
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return json.dumps(payload, ensure_ascii=False, allow_nan=False, separators=(",", ":"))
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@pytest.mark.parametrize(
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"value",
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[
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float("inf"), # Profit Factor: 没有亏损单
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float("-inf"),
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float("nan"), # Sharpe / Sortino: 零波动
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np.float64("inf"),
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np.float64("nan"),
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],
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)
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def test_non_finite_values_become_null(value):
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assert _json_safe(value) is None
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def test_stats_dict_survives_starlette_json_render():
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"""pf.stats() 形态的统计字典清洗后可被 allow_nan=False 渲染。"""
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stats_dict = {
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"Total Return [%]": 12.5,
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"Profit Factor": float("inf"), # 全胜 → gross_loss = 0
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"Sharpe Ratio": float("nan"),
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"Max Drawdown [%]": np.float64(3.25),
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"Start": date(2026, 1, 2),
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}
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cleaned = {k: _json_safe(v) for k, v in stats_dict.items()}
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rendered = json.loads(_render_like_starlette(cleaned))
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assert rendered["Profit Factor"] is None
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assert rendered["Sharpe Ratio"] is None
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assert rendered["Total Return [%]"] == 12.5
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assert rendered["Max Drawdown [%]"] == 3.25
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assert rendered["Start"] == "2026-01-02"
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def test_finite_and_non_float_values_pass_through():
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"""回归保护: 有限数值/字符串/bool/None/日期的既有行为不变。"""
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assert _json_safe(1.5) == 1.5
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assert _json_safe(np.float64(2.5)) == 2.5
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assert _json_safe(3) == 3
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assert _json_safe(np.int64(4)) == 4
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assert _json_safe("abc") == "abc"
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assert _json_safe(True) is True
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assert _json_safe(None) is None
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assert _json_safe(date(2026, 1, 2)) == "2026-01-02"
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def test_config_payload_is_json_renderable():
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"""/api/backtest/run 的 config 段本身无非法浮点 (对照组)。"""
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from app.services.backtest import BacktestConfig
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cfg = BacktestConfig(
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symbols=["600000.SH"],
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start=date(2026, 1, 2),
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end=date(2026, 2, 2),
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entries=["signal_ma_golden_5_20"],
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exits=[],
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)
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_render_like_starlette(_config_to_dict(cfg))
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