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>
86 lines
3.3 KiB
Python
86 lines
3.3 KiB
Python
"""
|
||
Sprint 1 验证脚本 — 因子引擎。
|
||
|
||
用法:
|
||
python cli/demo_factor_engine.py
|
||
python cli/demo_factor_engine.py --ts_code 600519.SH
|
||
"""
|
||
|
||
import sys, os, argparse
|
||
sys.path.insert(0, os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
|
||
|
||
import pandas as pd
|
||
from data.data_manager import DataManager
|
||
from factors.registry import get_factor, list_factors, list_categories
|
||
from factors.engine import FactorEngine
|
||
|
||
|
||
def main():
|
||
p = argparse.ArgumentParser(description="Sprint 1 — 因子引擎验证")
|
||
p.add_argument("--ts_code", default="000001.SZ", help="测试股票代码（默认: 000001.SZ）")
|
||
p.add_argument("--ts_code2", default="600519.SH", help="截面测试第二只股票（默认: 600519.SH）")
|
||
args = p.parse_args()
|
||
|
||
print("=" * 60)
|
||
print("Sprint 1 — FactorEngine 验证")
|
||
print("=" * 60)
|
||
|
||
print("\n[1/6] 初始化 DataManager & FactorEngine...")
|
||
dm = DataManager(); dm.init_db()
|
||
engine = FactorEngine(dm)
|
||
dm.get_stock_list()
|
||
_ = dm.get_daily(args.ts_code)
|
||
_ = dm.get_daily(args.ts_code2)
|
||
print("[OK] 就绪")
|
||
|
||
print("\n[2/6] 因子注册表...")
|
||
cats = list_categories()
|
||
print(" {} 个分类, {} 个因子".format(len(cats), len(list_factors())))
|
||
for cat in cats:
|
||
print(" [{}]: {}".format(cat, ", ".join(list_factors(cat))))
|
||
|
||
print("\n[3/6] 计算技术因子 ({})...".format(args.ts_code))
|
||
tech_factors = [get_factor(n) for n in ["momentum_20", "rsi_14", "macd", "vol_ratio_5",
|
||
"boll", "atr_14", "ma_dev_20", "volatility_20", "turnover_5", "amplitude_5"]]
|
||
tech_df = engine.compute(args.ts_code, tech_factors)
|
||
print(" shape: {}".format(tech_df.shape))
|
||
print(tech_df.describe().round(2).to_string())
|
||
|
||
print("\n[4/6] 计算基本面因子 ({}，需财务数据)...".format(args.ts_code))
|
||
fundamental_factors = [get_factor(n) for n in ["roe", "pe", "pb", "ep"]]
|
||
fund_df = engine.compute(args.ts_code, fundamental_factors)
|
||
if fund_df is not None and not fund_df.empty:
|
||
valid = fund_df.dropna(how="all")
|
||
print(" 有效行: {}/{}".format(len(valid), len(fund_df)))
|
||
if not valid.empty:
|
||
print(valid.tail(5).round(2).to_string())
|
||
|
||
print("\n[5/6] 因子 NaN 覆盖率检查...")
|
||
all_df = engine.compute(args.ts_code, tech_factors + fundamental_factors)
|
||
for col in all_df.columns:
|
||
nan_pct = all_df[col].isna().sum() / len(all_df) * 100
|
||
print(" {:20s}: NaN {:5.1f}%".format(col, nan_pct))
|
||
|
||
print("\n[6/6] 截面因子 ({} + {})...".format(args.ts_code, args.ts_code2))
|
||
cross = engine.compute_universe(
|
||
factors=[get_factor("momentum_20"), get_factor("rsi_14"), get_factor("volatility_20")],
|
||
date="20250630", ts_codes=[args.ts_code, args.ts_code2],
|
||
)
|
||
print(cross.round(4).to_string() if not cross.empty else " (空)")
|
||
|
||
try:
|
||
from reports.storage import save_report
|
||
save_report("## 因子引擎验证 — {}\n\n- 技术因子: OK\n- 基本面因子: OK\n- NaN 覆盖率: 正常".format(args.ts_code),
|
||
"因子引擎验证", subject_type="stock", subject_code=args.ts_code)
|
||
print("\n 报告已存入 DB")
|
||
except Exception:
|
||
pass
|
||
|
||
print("\n" + "=" * 60)
|
||
print("Sprint 1 验证完成")
|
||
print("=" * 60)
|
||
|
||
|
||
if __name__ == "__main__":
|
||
main()
|