feat: 股息率案例口径 + 策略库与图表统一 + 回测存档完整化

汇总三轮未提交的开发(每轮均在本机 MariaDB + 真实浏览器上验证):

1) 股息率案例(全市场股息率最高 n 只,默认 20,每 m 月择股)
   - 新增日频估值表 daily_basic + 迁移;股息率因子(dv_ratio / dividend_yield / TTM)
   - 名称历史表 stock_name_history:剔除 ST 按**择股日当时名称**判定,消除
     「曾高股息后 ST」的股息陷阱(实测 3.70pp 偏差)
   - 区间择股/调仓双周期(m 择股 / y 调仓)、指数成分与白名单、停牌近似剔除
   - 复权因子口径核对(4,164,742 行、缺失 0.0%)、收盘价成交与涨跌停拦单
   - 案例实测:2020-01-01~2026-09-04 总收益 +24.86%(年化 3.52%、回撤 -28.58%)

2) 策略库与前端统一
   - strategy 表 + CRUD/PUT 原地更新 + `describe_strategy` 按 spec 真实推导
     「一句话说明 + 计算公式 + 执行步骤 + 注意事项」(与引擎实执行规则同源)
   - 任何出现股票代码处都成对显示名称且可点击进个股页
   - 全站图表基座统一 TradingView Lightweight Charts(ECharts 依赖、
     锁文件、组件与文档标注一并清除),买卖点标记只落在真实交易日上

3) 回测存档完整化(可往复查看)
   - 同步端点(POST /api/backtests、/api/factor-tests)此前完全不落库 → 现在同样归档,
     归档 id 经响应头 X-Experiment-Id 返回(不破坏 response_model)
   - data_version 首次真实写入(数据快照指纹:最新交易日 + 各表规模)
   - 个股收益曲线默认**全量保存**(此前硬截断 60 只);超出体积预算才裁剪,
     并写 archive_meta(机器可读)+ unimplemented(人可读)如实标注
   - 列表 kind/q 过滤 + X-Total-Count(此前 limit=50 静默截断)、DELETE 归档
   - 只读归档页 /experiments/{id}(Server Component,SSR 直出**选股条件**与
     **交易执行依据**);结果视图按 kind 分发(backtest/factor_test/selection),
     非回测归档不套用回测口径
   - 新增 CLI:prune_experiments(保留策略,默认 dry-run)、
     restore_experiment_from_job(从 Job 副本按原 id 重建被删的历史归档,默认 dry-run)

门禁:pytest 388 passed、ruff All checks passed、tsc 0 错误、图表单测 7 passed、
next build 成功、契约脚本 verify_strategy_workspace 59/59(含按 kind 逐类验证归档页)。
This commit is contained in:
Simon
2026-09-20 07:31:04 +08:00
parent 7e15b7251e
commit 23972e7063
112 changed files with 17908 additions and 3893 deletions
@@ -10,15 +10,20 @@ from app.infrastructure.persistence.sqlalchemy.models.composite import ( # noqa
from app.infrastructure.persistence.sqlalchemy.models.factor import ( # noqa: F401
FactorDefinitionModel,
)
from app.infrastructure.persistence.sqlalchemy.models.index import ( # noqa: F401
IndexWeightModel,
)
from app.infrastructure.persistence.sqlalchemy.models.jobs import ( # noqa: F401
ExperimentModel,
JobModel,
)
from app.infrastructure.persistence.sqlalchemy.models.market import ( # noqa: F401
AdjustFactorModel,
DailyBasicModel,
FinancialIndicatorModel,
StockDailyModel,
StockModel,
StockNameHistoryModel,
SyncLogModel,
TradingCalendarModel,
)
@@ -1,14 +1,25 @@
"""Phase 4:Job(异步任务)与 Experiment(实验归档)表。"""
"""Phase 4:Job(异步任务)与 Experiment(实验归档)表。
`result_json` 使用 MEDIUMTEXT(MySQL 上限 16MB):全市场多年回测的结果含
净值/回撤曲线、逐笔成交、Signal↔Fill 记录与个股收益曲线,实测可达数 MB,
MySQL `TEXT`(64KB)会直接报 1406 Data too long 导致 Job 归档失败
(2026-09 高股息案例实测:约 1.2MB → 落库失败)。
SQLite 不区分 TEXT 长度,故模型层统一用 MEDIUMTEXT.with_variant 保持跨库可用。
"""
from __future__ import annotations
from datetime import datetime
from sqlalchemy import DateTime, String, Text
from sqlalchemy.dialects.mysql import MEDIUMTEXT
from sqlalchemy.orm import Mapped, mapped_column
from app.infrastructure.persistence.sqlalchemy.base import Base
# 长 JSON 列类型:MySQL 用 MEDIUMTEXT(16MB),其它方言退化为 TEXT(SQLite 无长度限制)
_LONG_JSON = Text().with_variant(MEDIUMTEXT(), "mysql")
class JobModel(Base):
__tablename__ = "job"
@@ -19,7 +30,7 @@ class JobModel(Base):
stage: Mapped[str | None] = mapped_column(String(24), nullable=True)
spec_json: Mapped[str] = mapped_column(Text)
error: Mapped[str | None] = mapped_column(Text, nullable=True)
result_json: Mapped[str | None] = mapped_column(Text, nullable=True)
result_json: Mapped[str | None] = mapped_column(_LONG_JSON, nullable=True)
experiment_id: Mapped[str | None] = mapped_column(String(32), nullable=True)
created_at: Mapped[datetime] = mapped_column(DateTime)
started_at: Mapped[datetime | None] = mapped_column(DateTime, nullable=True)
@@ -32,7 +43,7 @@ class ExperimentModel(Base):
id: Mapped[str] = mapped_column(String(32), primary_key=True)
kind: Mapped[str] = mapped_column(String(16))
spec_json: Mapped[str] = mapped_column(Text)
result_json: Mapped[str] = mapped_column(Text)
result_json: Mapped[str] = mapped_column(_LONG_JSON)
summary_text: Mapped[str | None] = mapped_column(String(200), nullable=True)
code_version: Mapped[str | None] = mapped_column(String(40), nullable=True)
data_version: Mapped[str | None] = mapped_column(String(40), nullable=True)
@@ -81,6 +81,37 @@ class AdjustFactorModel(Base):
factor: Mapped[Decimal] = mapped_column(Numeric(20, 6))
class DailyBasicModel(Base):
"""每日指标快照(Tushare daily_basic)—— 估值 / 股息率 / 市值。
幂等键 (symbol, trade_date):同一交易日同一股票唯一一行。
dv_ratio/dv_ttm 为时点值,研究侧按 trade_date <= as_of 取用(无未来函数)。
"""
__tablename__ = "daily_basic"
__table_args__ = (UniqueConstraint("symbol", "trade_date", name="uq_basic_symbol_date"),)
id: Mapped[int] = mapped_column(PK_INT, primary_key=True, autoincrement=True)
symbol: Mapped[str] = mapped_column(String(SYMBOL_LEN), index=True)
trade_date: Mapped[date] = mapped_column(Date, index=True)
source: Mapped[str] = mapped_column(String(16), default="tushare", server_default="tushare")
close: Mapped[Decimal | None] = mapped_column(Numeric(12, 4), nullable=True)
turnover_rate: Mapped[Decimal | None] = mapped_column(Numeric(12, 4), nullable=True)
volume_ratio: Mapped[Decimal | None] = mapped_column(Numeric(12, 4), nullable=True)
pe: Mapped[Decimal | None] = mapped_column(Numeric(16, 4), nullable=True)
pe_ttm: Mapped[Decimal | None] = mapped_column(Numeric(16, 4), nullable=True)
pb: Mapped[Decimal | None] = mapped_column(Numeric(16, 4), nullable=True)
ps: Mapped[Decimal | None] = mapped_column(Numeric(16, 4), nullable=True)
ps_ttm: Mapped[Decimal | None] = mapped_column(Numeric(16, 4), nullable=True)
dv_ratio: Mapped[Decimal | None] = mapped_column(Numeric(12, 4), nullable=True)
dv_ttm: Mapped[Decimal | None] = mapped_column(Numeric(12, 4), nullable=True)
total_share: Mapped[Decimal | None] = mapped_column(Numeric(24, 4), nullable=True)
float_share: Mapped[Decimal | None] = mapped_column(Numeric(24, 4), nullable=True)
free_share: Mapped[Decimal | None] = mapped_column(Numeric(24, 4), nullable=True)
total_mv: Mapped[Decimal | None] = mapped_column(Numeric(24, 4), nullable=True)
circ_mv: Mapped[Decimal | None] = mapped_column(Numeric(24, 4), nullable=True)
class FinancialIndicatorModel(Base):
"""财务指标快照 —— report_date(报告期) 与 announce_date(公告日) 并存。"""
@@ -115,3 +146,26 @@ class SyncLogModel(Base):
row_count: Mapped[int] = mapped_column(default=0)
data_start: Mapped[date | None] = mapped_column(Date, nullable=True)
data_end: Mapped[date | None] = mapped_column(Date, nullable=True)
class StockNameHistoryModel(Base):
"""股票名称变更历史(Tushare namechange)—— 时点 ST / 风险警示判定的依据。
幂等键 (symbol, start_date):同一股票同一名称生效起点唯一一行。
查询语义:`name` 在 [start_date, end_date] 内有效;`end_date` 为空表示至今有效。
时点取值:`start_date <= as_of AND (end_date IS NULL OR end_date >= as_of)`。
"""
__tablename__ = "stock_name_history"
__table_args__ = (
UniqueConstraint("symbol", "start_date", name="uq_name_symbol_start"),
)
id: Mapped[int] = mapped_column(PK_INT, primary_key=True, autoincrement=True)
symbol: Mapped[str] = mapped_column(String(SYMBOL_LEN), index=True)
name: Mapped[str] = mapped_column(String(64))
start_date: Mapped[date] = mapped_column(Date, index=True)
end_date: Mapped[date | None] = mapped_column(Date, nullable=True, index=True)
ann_date: Mapped[date | None] = mapped_column(Date, nullable=True)
change_reason: Mapped[str | None] = mapped_column(String(32), nullable=True)
source: Mapped[str] = mapped_column(String(16), default="tushare", server_default="tushare")