feat(factor): C1 因子相关性分析(横截面 Spearman 矩阵 + API)

- evaluation.factor_correlation_report:多因子共同日期 ∩ 后逐日横截面 Spearman 相关
  取均值 → FactorCorrelationReport(冗余剔除前置,v3 §12 Correlation→Redundancy)
- ResearchService.run_factor_correlation + POST /api/factor-correlations
  (universe/factors/period;与其它研究同装配口径)
- tests/test_factor_correlation.py:矩阵对角=1/近线性±相关符号/对称/无共同日期补零、
  API 冒烟;全量 pytest 通过
This commit is contained in:
Simon
2026-09-09 07:31:49 +08:00
parent 93e32f4e63
commit 0d05bfd187
5 changed files with 227 additions and 1 deletions
+42
View File
@@ -6,13 +6,20 @@ Phase 3 为同步执行(样本有限);Phase 4 将改为 Job + SSE 异步
from __future__ import annotations
from datetime import date
from fastapi import APIRouter, HTTPException
from pydantic import BaseModel, Field
from app.api.deps import ResearchServiceDep
from app.domain.entities.research import (
BacktestResult,
FactorCorrelationReport,
FactorSpec,
FactorTestReport,
ResearchSpec,
SelectionSpec,
UniverseSpec,
)
from app.quant.factors import FactorError
@@ -54,3 +61,38 @@ def last_backtest() -> BacktestResult:
if "default" not in _LAST_BACKTEST:
raise HTTPException(status_code=404, detail="尚无回测结果,请先 POST /api/backtests")
return _LAST_BACKTEST["default"]
class FactorCorrelationRequest(BaseModel):
"""因子相关性分析请求(v3 §12)。"""
universe: UniverseSpec = UniverseSpec()
factors: list[FactorSpec] = Field(min_length=2)
period: tuple[date, date]
price_adjustment: str = Field(default="none", pattern="^(none|qfq)$")
@router.post(
"/factor-correlations",
response_model=FactorCorrelationReport,
summary="多因子两两相关(横截面 Spearman)",
)
def run_factor_correlation(
req: FactorCorrelationRequest,
service: ResearchServiceDep,
) -> FactorCorrelationReport:
if req.period[0] >= req.period[1]:
raise HTTPException(status_code=400, detail="period 必须满足 start < end")
spec = ResearchSpec(
type="factor_test",
universe=req.universe,
price_adjustment=req.price_adjustment,
factors=req.factors,
selection=SelectionSpec(top_n=10),
rebalance="monthly",
period=req.period,
)
try:
return service.run_factor_correlation(spec)
except (ValueError, FactorError) as exc:
raise HTTPException(status_code=400, detail=str(exc)) from exc