Simon
73d191b43a
- 新增 finance/tests/ 6 个测试套件（agents/backtest/dao_upsert/factors/features/fundamental_lookahead） - 数据层: data_manager / dao 优化，新增 upsert 逻辑 - 因子层: 基本面因子抽象定位 _mapping、ROE/PE/PB 重构 - 回测层: vectorbt/engine 大改动（251 行），report 增强 - ML 层: features/backtest_integration 特征工程与回测优化 - CLI: agent_cli 重构 - config/settings 扩充配置项
81 lines
2.9 KiB
Python
81 lines
2.9 KiB
Python
"""
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回测引擎回归测试：T+1 成交、涨跌停拒成交、report DatetimeIndex、截面组合资金切分。
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"""
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import sys
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import os
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sys.path.insert(0, os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
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import numpy as np
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import pandas as pd
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import pytest
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vectorbt = pytest.importorskip("vectorbt")
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from backtest.vectorbt.engine import VectorBTEngine
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from backtest.strategies.momentum_breakout import MomentumBreakoutStrategy
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@pytest.fixture
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def price_df():
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idx = pd.date_range('2024-01-01', '2024-06-30', freq='B').strftime('%Y%m%d')
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close = 100 * np.cumprod(1 + np.random.default_rng(42).normal(0.0005, 0.02, len(idx)))
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open_p = np.roll(close, 1); open_p[0] = close[0]
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pre_close = np.roll(close, 1); pre_close[0] = close[0]
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return pd.DataFrame({
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'open': open_p, 'close': close, 'pre_close': pre_close,
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'pct_chg': (close / pre_close - 1) * 100,
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}, index=idx)
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def test_backtest_runs_with_t1(price_df):
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eng = VectorBTEngine()
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rep = eng.run(MomentumBreakoutStrategy(), price_df, t_plus_one=True, limit_check=True, slippage=0.0002)
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assert not rep.equity_curve.empty
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assert isinstance(rep.equity_curve.index, pd.DatetimeIndex)
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def test_limit_up_blocks_buy(price_df):
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eng = VectorBTEngine()
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p = price_df.copy()
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i = p.index[-5]
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p.loc[i, 'close'] = p.loc[i, 'pre_close'] * 1.099
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p.loc[i, 'pct_chg'] = 9.9
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entries = pd.Series(True, index=p.index)
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exits = pd.Series(False, index=p.index)
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eff, _ = eng._apply_limit_filters(entries, exits, p)
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assert not bool(eff.loc[i]), "涨停日应抑制买入"
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assert eff.dtype == bool
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def test_limit_down_blocks_sell(price_df):
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eng = VectorBTEngine()
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p = price_df.copy()
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i = p.index[-7]
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p.loc[i, 'close'] = p.loc[i, 'pre_close'] * 0.901
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p.loc[i, 'pct_chg'] = -9.9
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_, exf = eng._apply_limit_filters(
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pd.Series(False, index=p.index), pd.Series(True, index=p.index), p)
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assert not bool(exf.loc[i]), "跌停日应抑制卖出"
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def test_normal_day_keeps_entry(price_df):
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eng = VectorBTEngine()
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p = price_df.copy()
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eff, _ = eng._apply_limit_filters(
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pd.Series(True, index=p.index), pd.Series(False, index=p.index), p)
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assert eff.sum() > 0
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def test_cross_section_investable_curve():
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idx = pd.date_range('2024-01-01', '2024-06-30', freq='B').strftime('%Y%m%d')
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uni = {}
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for i in range(4):
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c = 50 * np.cumprod(1 + np.random.default_rng(i).normal(0.0003, 0.018, len(idx)))
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o = np.roll(c, 1); o[0] = c[0]
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uni[f"600{i:04d}.SH"] = pd.DataFrame({'open': o, 'close': c}, index=idx)
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eng = VectorBTEngine(initial_capital=100000)
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rep = eng.run_cross_section(MomentumBreakoutStrategy(), uni, rebalance_freq="M")
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assert not rep.equity_curve.empty
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assert isinstance(rep.equity_curve.index, pd.DatetimeIndex)
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# 组合净值可联合投资：末值与初始资本量级相当，不会因每股满额而超限
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assert rep.equity_curve.iloc[-1] > 0 |