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
71 lines
2.6 KiB
Python
71 lines
2.6 KiB
Python
"""
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基本面因子前视回归测试：财报不得在披露日之前被回测看到。
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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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from factors.fundamental.pe_pb import PEFactor
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from factors.fundamental.roe import ROEFactor, ROETTMDeltaFactor
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from factors.fundamental._mapping import map_fundamental_to_daily, effective_available_dates
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INDICES = pd.date_range('2024-01-01', '2024-09-30', freq='B').strftime('%Y%m%d')
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def _daily():
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return pd.DataFrame({'close': np.full(len(INDICES), 10.0)}, index=INDICES)
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def _fin_ann():
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# 提供 ann_date（实际披露日）：年报 4/25, 一季报 4/28, 中报 8/30
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return pd.DataFrame({
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'end_date': ['20231231', '20240331', '20240630'],
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'ann_date': ['20240425', '20240428', '20240830'],
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'eps': [1.0, 1.2, 1.5],
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'roe': [0.10, 0.12, 0.15],
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})
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def test_lookahead_absent_before_disclosure():
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daily = _daily()
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mapped = map_fundamental_to_daily(daily, _fin_ann(), 'eps')
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# 披露日(4/25)之前绝不可见任何财务值 → 消除前视
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pre = mapped[mapped.index <= '20240424'].dropna()
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assert pre.empty, "披露日前出现财务值 → 前视泄漏!"
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# 4/25 起可见年报 eps=1.0
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post = mapped[mapped.index >= '20240425'].dropna()
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assert abs(float(post.iloc[0]) - 1.0) < 1e-6
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def test_ann_date_refines_overlap():
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daily = _daily()
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mapped = map_fundamental_to_daily(daily, _fin_ann(), 'eps')
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# 4/25-4/27 是年报(1.0)，4/28 起切换为一季报(1.2)
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band = mapped[(mapped.index >= '20240425') & (mapped.index <= '20240427')]
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assert (band.dropna() == 1.0).all()
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post = mapped[mapped.index >= '20240428'].dropna()
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assert abs(float(post.iloc[0]) - 1.2) < 1e-6
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def test_pe_roe_no_lookahead():
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daily = _daily()
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fin = _fin_ann()
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for f in [PEFactor(fin), ROEFactor(fin), ROETTMDeltaFactor(fin)]:
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s = f.calculate(daily)
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pre = s[s.index <= '20240424'].dropna()
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assert pre.empty, f"{f.name} 在披露日前出现值 → 前视泄漏"
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def test_default_disclosure_lag_without_ann_date():
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"""无 ann_date 时用法定滞后：年报(1231)→次年4/30。"""
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daily = _daily()
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fin = pd.DataFrame({'end_date': ['20231231'], 'eps': [1.0]})
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mapped = map_fundamental_to_daily(daily, fin, 'eps')
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pre = mapped[mapped.index <= '20240429'].dropna()
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assert pre.empty, "无 ann_date 时财报不应在披露日前可见"
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post = mapped[mapped.index >= '20240430'].dropna()
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assert not post.empty |