simonandClaude Opus 4.7
271a9343a5
7 Sprints 全部完成: Sprint 0: 基础设施 (DataManager + MariaDB) Sprint 1: 因子引擎 (34因子/12分类) Sprint 2: VectorBT 回测 (5策略+截面) Sprint 3: Optuna 优化 (+Walk-Forward) Sprint 4: ML 模型 (LightGBM+CatBoost) Sprint 5: Qwen 情绪因子 (三源新闻+日期对齐) Sprint 6: Agent 系统 (4Agent+日报.md/.html) 生产加固 (15项): Tushare双源fallback, SSH自动恢复, pool_pre_ping, save_daily先删后插, load_dotenv绝对路径, 日报5d/20d修复, RiskAgent改上证指数, 昨日对比+数据截止, mac_report utf8mb4, CLAUDE-*.md 9条已知Bug, demo全参数化, djapi数据源归一化, indexDatas API修正 Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
90 lines
4.3 KiB
Python
90 lines
4.3 KiB
Python
"""
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Sprint 2 验证脚本 — 回测引擎。
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用法:
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python cli/demo_backtest.py
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python cli/demo_backtest.py --ts_code 600519.SH
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"""
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import sys, os, argparse
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sys.path.insert(0, os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
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from data.data_manager import DataManager
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from factors.engine import FactorEngine
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from factors.registry import get_factor
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from backtest.vectorbt.engine import VectorBTEngine
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from backtest.strategies.sma_cross import SMACrossStrategy
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from backtest.strategies.rsi_mean_revert import RSIMeanRevertStrategy
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from backtest.strategies.momentum_breakout import MomentumBreakoutStrategy
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from backtest.strategies.factor_cross import FactorCrossStrategy
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from backtest.strategies.factor_rotation import FactorRotationStrategy
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def run_strategy(name, strategy, price_df, factor_df, engine):
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print("\n" + "-" * 60)
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print("策略: {}".format(name))
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try:
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report = engine.run(strategy, price_df, factor_df)
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print(report.summary())
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return report
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except Exception as e:
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print(" [FAIL] {}".format(e))
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return None
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def main():
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p = argparse.ArgumentParser(description="Sprint 2 — 回测引擎验证")
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p.add_argument("--ts_code", default="000001.SZ", help="测试股票代码（默认: 000001.SZ）")
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args = p.parse_args()
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print("=" * 60)
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print("Sprint 2 — VectorBT 回测引擎验证")
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print("=" * 60)
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print("\n[1/5] 初始化 DataManager / FactorEngine / VectorBTEngine...")
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dm = DataManager(); dm.init_db()
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engine_fe = FactorEngine(dm)
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engine_bt = VectorBTEngine()
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price_df = dm.get_daily(args.ts_code).set_index("trade_date").sort_index()
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print(" 日线: {} 条 ({} ~ {})".format(len(price_df), price_df.index[0], price_df.index[-1]))
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factors = [get_factor(n) for n in ["momentum_20", "rsi_14", "macd", "volatility_20", "ma_dev_20", "turnover_5"]]
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factor_df = engine_fe.compute(args.ts_code, factors)
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print(" 因子: {} 个, {} 个交易日".format(factor_df.shape[1], factor_df.shape[0]))
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print("[OK] 就绪")
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results = []
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print("\n[2/5] 测试均线交叉策略...")
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results.append(("SMA Cross (5,20)", SMACrossStrategy(fast=5, slow=20), run_strategy("SMA Cross (5,20)", SMACrossStrategy(fast=5, slow=20), price_df, factor_df, engine_bt)))
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results.append(("SMA Cross (10,60)", SMACrossStrategy(fast=10, slow=60), run_strategy("SMA Cross (10,60)", SMACrossStrategy(fast=10, slow=60), price_df, factor_df, engine_bt)))
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print("\n[3/5] 测试 RSI 反转策略...")
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results.append(("RSI Revert (30/70)", RSIMeanRevertStrategy(oversold=30, overbought=70), run_strategy("RSI Revert (30/70)", RSIMeanRevertStrategy(oversold=30, overbought=70), price_df, factor_df, engine_bt)))
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results.append(("RSI Revert (20/80)", RSIMeanRevertStrategy(oversold=20, overbought=80), run_strategy("RSI Revert (20/80)", RSIMeanRevertStrategy(oversold=20, overbought=80), price_df, factor_df, engine_bt)))
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print("\n[4/5] 测试动量突破 + 因子交叉...")
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results.append(("Momentum Breakout (20)", MomentumBreakoutStrategy(lookback=20, exit_period=10), run_strategy("Momentum Breakout (20)", MomentumBreakoutStrategy(lookback=20, exit_period=10), price_df, factor_df, engine_bt)))
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results.append(("Factor Cross", FactorCrossStrategy("momentum_20", buy_threshold=0, cross_direction="up"), run_strategy("Factor Cross", FactorCrossStrategy("momentum_20", buy_threshold=0, cross_direction="up"), price_df, factor_df, engine_bt)))
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results.append(("Factor Rotation", FactorRotationStrategy(factor_name="momentum_20", top_n=5), run_strategy("Factor Rotation", FactorRotationStrategy(factor_name="momentum_20", top_n=5), price_df, factor_df, engine_bt)))
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# 存入 DB
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try:
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from reports.storage import save_report
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summary = "## 回测验证 — {}\n\n".format(args.ts_code)
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for name, s, report in results:
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if report:
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summary += "### {}\n{}\n\n".format(name, report.summary())
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save_report(summary, "回测验证", subject_type="stock", subject_code=args.ts_code)
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print("\n 报告已存入 DB")
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except Exception as e:
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print("\n [WARN] 报告入库失败: {}".format(e))
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print("\n" + "=" * 60)
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print("Sprint 2 验证完成")
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print("=" * 60)
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if __name__ == "__main__":
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main()
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