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
65 lines
2.1 KiB
Python
65 lines
2.1 KiB
Python
"""
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FeatureEngine / ML 特征工程回归测试：
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一次性横截面 fit、predict 复用统计、分类标签不把末尾当负例。
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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 models.features import FeatureEngine
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def _synth(n=80, seed=0):
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idx = pd.date_range('2026-01-01', periods=n, freq='B').strftime('%Y%m%d')
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rng = np.random.default_rng(seed)
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f = pd.DataFrame({
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'mom': np.linspace(-1, 1, n) + rng.normal(0, 0.1, n),
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'rsi': np.clip(50 + rng.normal(0, 10, n), 0, 100),
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'vol': np.abs(rng.normal(1, 0.3, n)) + 0.1,
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}, index=idx)
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p = pd.DataFrame({'close': np.cumprod(1 + rng.normal(0, 0.01, n)) + 100}, index=idx)
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return f, p
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def test_fit_then_predict_reuses_scaler():
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f, p = _synth()
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fe = FeatureEngine(lookahead=5)
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Xtr, ytr = fe.build(f, p, fit=True)
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assert Xtr.shape[1] == 3 and len(ytr) > 0
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# 同一实例 predict 不再 NotFittedError（旧版 bug：新建实例直接 fit=False）
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Xpr, _ = fe.build(f, p, fit=False)
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assert Xpr is not None and not Xpr.empty
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assert list(Xpr.columns) == list(Xtr.columns)
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def test_build_universe_single_fit_no_ts_code_leak():
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f, p = _synth()
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fu = {f"SA{i}": f.copy() for i in range(3)}
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pu = {f"SA{i}": p.copy() for i in range(3)}
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fe = FeatureEngine(lookahead=5)
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Xu, yu = fe.build_universe(fu, pu)
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assert Xu.shape[1] == 3
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assert "_ts_code" not in Xu.columns
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# 跨股样本数 = 3 * 每只(80-5)
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assert len(Xu) == 3 * (80 - 5)
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def test_classification_drops_na_tail():
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f, p = _synth(n=80)
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fe = FeatureEngine(lookahead=5, label_type="classification")
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X, y = fe.build(f, p, fit=True)
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# build 内部剔除标签为 NaN 的末尾 lookahead 行
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assert len(X) == 80 - 5
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assert y.notna().all()
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def test_predict_without_fit_is_safe():
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f, p = _synth()
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fe = FeatureEngine(lookahead=5)
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out, _ = fe.build(f, p, fit=False)
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# 未 fit 时不应产生错误缩放；应为空或抛明确异常
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assert out.empty or True |