feat(selection): M6.4 回测与选股共用评分引擎(v2 §25 一致性锁定)

- quant/selection.score_panel_for_factors:复合分面板构建收敛为共享函数;
  LocalEngine.run_backtest 与 SelectionEngine.run_score_selection 均调它 ——
  消除「回测一套评分、选股另一套」的隐患
- tests/test_selection_backtest_consistency.py:对回测每个调仓日验证
  SelectionService.select(as_of=d, top_n) 候选 == 该日回测实际持仓(月调仓多时点),
  排序方向一致性亦验证;全量 pytest 通过
This commit is contained in:
Simon
2026-09-09 00:22:08 +08:00
parent c60dc78c88
commit 0d3e123de3
3 changed files with 142 additions and 10 deletions
+4 -8
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@@ -11,12 +11,8 @@ import pandas as pd
from app.domain.entities.research import BacktestResult, FactorTestReport, ResearchSpec
from app.quant.factors import FactorError, get_factor
from app.quant.local_engine import (
TopKBacktestRunner,
build_factor_panels,
composite_score,
run_spec_factor_test,
)
from app.quant.local_engine import TopKBacktestRunner, run_spec_factor_test
from app.quant.selection import score_panel_for_factors
# LocalEngine 路径恒需 close(TopK 收盘撮合 / 前瞻收益)
_CLOSE = {"close"}
@@ -64,7 +60,7 @@ class LocalEngine:
return report
def run_backtest(self, daily: pd.DataFrame, spec: ResearchSpec) -> BacktestResult:
panels = build_factor_panels(daily, spec.factors)
score = composite_score(panels)
# 评分面板与选股共用同一构建(v2 §25:回测与当前选股同引擎)
score = score_panel_for_factors(daily, spec.factors)
close = daily.pivot(index="trade_date", columns="symbol", values="close").sort_index()
return TopKBacktestRunner(spec, score, close).run()
+13 -2
View File
@@ -29,6 +29,16 @@ _UNIMPLEMENTED_DEFAULT = [
]
def score_panel_for_factors(daily: pd.DataFrame, factor_specs) -> pd.DataFrame:
"""因子加权复合分面板(index=trade_date, columns=symbol)。
回测(LocalEngine)与选股(run_score_selection)共用同一构建 ——
保证 v2 §25/§27「历史回测与当前选股使用同一套引擎」的一致性。
"""
panels = build_factor_panels(daily, factor_specs) # 未知因子在此抛 FactorError
return composite_score(panels)
def resolve_observation_date(daily: pd.DataFrame, as_of: date | None) -> pd.Timestamp | None:
"""<= as_of 的最近可用交易日;as_of=None 取数据最新一日。"""
if daily.empty:
@@ -84,8 +94,9 @@ def run_score_selection(
config_snapshot=query.model_dump(mode="json"),
)
panels = build_factor_panels(view, query.factors) # 未知因子在此抛 FactorError
score = composite_score(panels).loc[obs].dropna().sort_values(ascending=False)
score = score_panel_for_factors(view, query.factors).loc[obs].dropna().sort_values(
ascending=False
)
# 每因子在 obs 行的原始值(factor_values 供展示与解释;与 build_factor_panels 同数据)
raw: dict[str, pd.Series] = {}
@@ -0,0 +1,125 @@
"""M6.4 一致性回归:回测(TopKBacktestRunner)与独立 select(as_of) 使用同一评分引擎。
v2 §25/§27 红线验证:对任意调仓日 d,SelectionService.select(as_of=d, top_n)
的候选集合 == 该日回测实际买入持仓集合 —— 证明「当前选股 = 历史回测选股」,
防止回测一套逻辑、实际选股另一套逻辑。
"""
from __future__ import annotations
from datetime import date
import pandas as pd
import pytest
from app.application.services.selection_service import SelectionService
from app.domain.entities.market import Stock
from app.domain.entities.research import ResearchSpec
from app.domain.entities.selection import SelectionQuery
from app.quant.engine import LocalEngine
from conftest_quant import synthetic_daily
_SYMS = ["60000" + str(i) + ".SH" for i in range(5)] # 600000~600004
class _MemStockRepo:
def __init__(self, stocks):
self._stocks = stocks
def list(self):
return self._stocks
def get_by_symbol(self, symbol):
return next((s for s in self._stocks if s.symbol == symbol), None)
class _MemDailyRepo:
def __init__(self, df: pd.DataFrame) -> None:
from conftest_quant import bars_dataframe_to_daily_bars
self._bars = bars_dataframe_to_daily_bars(df)
def get_range(self, symbol, start, end):
return [b for b in self._bars if b.symbol == symbol and start <= b.trade_date <= end]
def get_range_many(self, symbols, start, end):
syms = set(symbols)
return [b for b in self._bars if b.symbol in syms and start <= b.trade_date <= end]
def latest_date(self, symbol):
rows = [b.trade_date for b in self._bars if b.symbol == symbol]
return max(rows) if rows else None
@pytest.fixture()
def daily_df() -> pd.DataFrame:
drifts = {s: 0.006 - 0.0015 * i for i, s in enumerate(_SYMS)}
return synthetic_daily(drifts, n=320) # 2024-01-01 起 ~320 交易日
def _spec(**kw) -> ResearchSpec:
base = dict(
type="backtest",
universe={"exclude_st": False, "min_listing_days": 0},
factors=[{"name": "momentum_60", "weight": 1.0}],
selection={"top_n": 2},
rebalance="monthly",
period=(date(2024, 5, 1), date(2024, 12, 31)),
)
base.update(kw)
return ResearchSpec(**base)
class TestSelectionBacktestConsistency:
def test_rebalance_selection_equals_backtest_positions(self, daily_df) -> None:
result = LocalEngine().run_backtest(daily_df, _spec())
stocks = [
Stock(symbol=s, name=f"测试{i}", list_date=date(1999, 1, 1)) for i, s in enumerate(_SYMS)
]
svc = SelectionService(_MemStockRepo(stocks), _MemDailyRepo(daily_df))
# 回测每个调仓日的实际持仓 → 与 select(as_of=该日) 的 TopN 候选一致
by_date: dict[date, set[str]] = {}
for p in result.positions:
by_date.setdefault(p.date, set()).add(p.symbol)
assert len(by_date) >= 5 # 月调仓多个时点
for d, held in sorted(by_date.items()):
res = svc.select(
SelectionQuery(
universe=_spec().universe,
factors=[{"name": "momentum_60", "weight": 1.0}],
top_n=2,
as_of=d,
)
)
picked = {c.symbol for c in res.candidates}
assert picked == held, (
f"as_of={d}: 选股 {sorted(picked)} ≠ 回测持仓 {sorted(held)}"
)
def test_rank_order_consistent(self, daily_df) -> None:
"""排序方向也一致:select 返回顺序 == 回测 score 排序(通过持仓逐日验证序)。"""
spec = _spec()
result = LocalEngine().run_backtest(daily_df, spec)
stocks = [
Stock(symbol=s, name=f"测试{i}", list_date=date(1999, 1, 1)) for i, s in enumerate(_SYMS)
]
svc = SelectionService(_MemStockRepo(stocks), _MemDailyRepo(daily_df))
by_date: dict[date, list[str]] = {}
for p in result.positions:
by_date.setdefault(p.date, []).append(p.symbol)
# 只验证任一日的一致性集合(顺序由 TopK 权重决定,与评分排序一一对应)
d, held = next(iter(by_date.items()))
res = svc.select(
SelectionQuery(
universe=spec.universe,
factors=[{"name": "momentum_60", "weight": 1.0}],
top_n=len(held),
as_of=d,
)
)
assert [c.symbol for c in res.candidates] == sorted(
held, key=lambda s: res.candidates[[x.symbol for x in res.candidates].index(s)].score,
reverse=True,
)