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feat(backend): 策略库重构为「选股策略 + 公共配置 + 回测组合」三件套

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按用户目标把原来「一个策略 = 全套参数」拆开（已确认的设计决策）：
- 公共配置 GlobalConfig（全局唯一）：佣金/印花税/滑点/最低佣金/复权口径/基准
- 选股策略 SelectionStrategy（原 StrategyDefinition 改名）：只剩股票池+因子+条件，
  不再持有 selection/rebalance/costs/portfolio/区间/资金
- 回测组合 BacktestCombo：引用若干选股策略 + 回测时才定的参数
  （起始资金、持仓数 N、持仓天数区间 [Tmin,Tmax]、调仓时机 日/周/月、区间）

引擎（app/quant/combo_engine.py，新增）：
- 多策略打分 = 并集 + Borda 秩和（各策略 1/名次 求和；不假设不同策略分值可比，
  能容纳各策略股票池不同）；抽出纯函数 borda_combine 便于单测
- 持仓天数区间 [Tmin,Tmax]：Tmax **每个交易日**强制了结（安全阀，月频下也不超期）；
  Tmin 仅在调仓日保护（掉出 TopN 但未满 Tmin 暂留，防频繁换手）；调仓日为增量调仓
  （只卖超期/掉队且满 Tmin 的，从 TopN 补买至 N 只，不主动减持以尊重 Tmin）
- 调仓时机 daily/weekly/monthly（local_engine.rebalance_dates 新增日频分支）
- 产出与旧 runner 同构的 BacktestResult，前端可视化无需改动；config_snapshot 固化
  ComboRunSpec（组合+当时各策略定义+当时成本/复权）保证可复现

数据层：
- 新表 global_config（默认行：万三/hfq/最低佣金5元）、backtest_combo
- 迁移 b4c5d6e7f8a9：建两表 + 把存量 strategy.config_json 的回测参数键剥掉、
  spec_type 收敛为 selection（已在真实 MariaDB 验证：STG-16BFBF08 清洗后只剩
  universe/factors/conditions）
- 仓储 SqlAlchemyGlobalConfigRepository / SqlAlchemyComboRepository + Protocol

API：
- /api/config GET/PUT；/api/combos CRUD + /{id}/run + /run（kind=combo 异步 Job）
- job_executor 新增 combo 分支：取齐策略+读公共配置→ComboService.run，归档 kind
  记 backtest（结果结构相同）
- /api/strategies 切到 SelectionStrategy，移除已废弃的 /{id}/expand
- strategy_doc.describe_strategy 支持 SelectionStrategy（只讲「怎么选」，如实声明
  资金/持仓/调仓/成本/区间在回测组合里定）

旧的 ResearchSpec + /api/backtests 保留（因子测试与既有契约自检仍用），
作为底层 escape hatch；用户产品路径改为回测组合。

测试：新增 test_combo_engine(6)/test_combo_service(3)/test_combo_api(5)，
改写 test_strategies/test_strategy_doc 适配新模型。全量 403 passed（原 388）。
This commit is contained in:
Simon
2026-09-30 21:43:28 +08:00
parent 50a1030afa
commit 40bd603b44
25 changed files with 2250 additions and 174 deletions
Download Patch File Download Diff File Expand all files Collapse all files
backend/app/infrastructure/persistence/sqlalchemy/models/__init__.py
+4
View File
@@ -7,6 +7,10 @@
from app.infrastructure.persistence.sqlalchemy.models.composite import ( # noqa: F401
FactorCompositeModel,
)
from app.infrastructure.persistence.sqlalchemy.models.combo import ( # noqa: F401
BacktestComboModel,
GlobalConfigModel,
)
from app.infrastructure.persistence.sqlalchemy.models.factor import ( # noqa: F401
FactorDefinitionModel,
)
backend/app/infrastructure/persistence/sqlalchemy/models/combo.py
+47
View File
@@ -0,0 +1,47 @@
"""公共配置 + 回测组合表（2026-09 重构）。
- `global_config`：全局唯一一行（id="default"），存费率/滑点/最低佣金/复权口径/基准。
- `backtest_combo`：回测组合，引用若干选股策略（strategy_ids JSON）+ 回测参数
（资金/持仓数/持仓天数区间/调仓时机/区间）。费率与复权不在此表 —— 运行时从
global_config 快照进归档的 config_snapshot，保证可复现。
"""
from __future__ import annotations
from datetime import date, datetime
from sqlalchemy import Date, DateTime, Integer, Numeric, String, Text
from sqlalchemy.orm import Mapped, mapped_column
from app.infrastructure.persistence.sqlalchemy.base import Base
class GlobalConfigModel(Base):
__tablename__ = "global_config"
id: Mapped[str] = mapped_column(String(32), primary_key=True) # 恒为 "default"
commission_rate: Mapped[float] = mapped_column(Numeric(10, 6), default=0.0003)
stamp_tax_rate: Mapped[float] = mapped_column(Numeric(10, 6), default=0.0005)
slippage_rate: Mapped[float] = mapped_column(Numeric(10, 6), default=0.001)
min_commission: Mapped[float] = mapped_column(Numeric(10, 4), default=5.0)
price_adjustment: Mapped[str] = mapped_column(String(8), default="hfq")
benchmark: Mapped[str] = mapped_column(String(16), default="000300.SH")
updated_at: Mapped[datetime | None] = mapped_column(DateTime, nullable=True)
class BacktestComboModel(Base):
__tablename__ = "backtest_combo"
id: Mapped[str] = mapped_column(String(32), primary_key=True)
name: Mapped[str] = mapped_column(String(64), unique=True)
description: Mapped[str] = mapped_column(String(300), default="")
strategy_ids_json: Mapped[str] = mapped_column(Text) # JSON list[str]
initial_capital: Mapped[float] = mapped_column(Numeric(20, 2), default=1_000_000.0)
hold_count: Mapped[int] = mapped_column(Integer, default=20)
hold_min_days: Mapped[int] = mapped_column(Integer, default=0)
hold_max_days: Mapped[int | None] = mapped_column(Integer, nullable=True)
rebalance_freq: Mapped[str] = mapped_column(String(12), default="monthly")
start_date: Mapped[date] = mapped_column(Date)
end_date: Mapped[date] = mapped_column(Date)
version: Mapped[str] = mapped_column(String(16), default="1")
created_at: Mapped[datetime] = mapped_column(DateTime)
backend/app/infrastructure/persistence/sqlalchemy/repositories/combo_impl.py
+135
View File
@@ -0,0 +1,135 @@
"""回测组合 + 公共配置 Repository 的 SQLAlchemy 实现（2026-09 重构）。"""
from __future__ import annotations
import json
from datetime import datetime
from sqlalchemy import select
from sqlalchemy.orm import Session
from app.domain.entities.combo import BacktestCombo, GlobalConfig
from app.infrastructure.persistence.sqlalchemy.models.combo import (
BacktestComboModel,
GlobalConfigModel,
)
DEFAULT_CONFIG_ID = "default"
class SqlAlchemyGlobalConfigRepository:
def __init__(self, session: Session) -> None:
self._session = session
def get(self) -> GlobalConfig:
row = self._session.get(GlobalConfigModel, DEFAULT_CONFIG_ID)
if row is None:
return GlobalConfig() # 未配置过 → 返回默认值（不写库，由调用方决定是否 save）
return GlobalConfig(
id=row.id,
commission_rate=float(row.commission_rate),
stamp_tax_rate=float(row.stamp_tax_rate),
slippage_rate=float(row.slippage_rate),
min_commission=float(row.min_commission),
price_adjustment=row.price_adjustment,
benchmark=row.benchmark,
updated_at=row.updated_at,
)
def save(self, config: GlobalConfig) -> GlobalConfig:
row = self._session.get(GlobalConfigModel, DEFAULT_CONFIG_ID)
if row is None:
row = GlobalConfigModel(id=DEFAULT_CONFIG_ID)
self._session.add(row)
row.commission_rate = config.commission_rate
row.stamp_tax_rate = config.stamp_tax_rate
row.slippage_rate = config.slippage_rate
row.min_commission = config.min_commission
row.price_adjustment = config.price_adjustment
row.benchmark = config.benchmark
row.updated_at = datetime.now()
self._session.flush()
return config.model_copy(update={"id": DEFAULT_CONFIG_ID, "updated_at": row.updated_at})
class SqlAlchemyComboRepository:
def __init__(self, session: Session) -> None:
self._session = session
def save(self, combo: BacktestCombo) -> BacktestCombo:
if not combo.id:
raise ValueError("需要 id（由调用方生成）")
dup = self._session.scalar(
select(BacktestComboModel).where(BacktestComboModel.name == combo.name).limit(1)
)
if dup is not None and dup.id != combo.id:
raise ValueError(f"回测组合名已存在：{combo.name}")
now = combo.created_at or datetime.now()
row = self._session.get(BacktestComboModel, combo.id)
strategy_ids_json = json.dumps(combo.strategy_ids, ensure_ascii=False)
if row is None:
self._session.add(
BacktestComboModel(
id=combo.id,
name=combo.name,
description=combo.description,
strategy_ids_json=strategy_ids_json,
initial_capital=combo.initial_capital,
hold_count=combo.hold_count,
hold_min_days=combo.hold_min_days,
hold_max_days=combo.hold_max_days,
rebalance_freq=combo.rebalance_freq,
start_date=combo.period[0],
end_date=combo.period[1],
version=combo.version,
created_at=now,
)
)
else:
row.name = combo.name
row.description = combo.description
row.strategy_ids_json = strategy_ids_json
row.initial_capital = combo.initial_capital
row.hold_count = combo.hold_count
row.hold_min_days = combo.hold_min_days
row.hold_max_days = combo.hold_max_days
row.rebalance_freq = combo.rebalance_freq
row.start_date = combo.period[0]
row.end_date = combo.period[1]
row.version = combo.version
self._session.flush()
return combo
def get(self, combo_id: str) -> BacktestCombo | None:
row = self._session.get(BacktestComboModel, combo_id)
return _to_combo(row) if row else None
def list(self) -> list[BacktestCombo]:
rows = self._session.scalars(
select(BacktestComboModel).order_by(BacktestComboModel.created_at.desc())
).all()
return [_to_combo(r) for r in rows]
def delete(self, combo_id: str) -> bool:
row = self._session.get(BacktestComboModel, combo_id)
if row is None:
return False
self._session.delete(row)
return True
def _to_combo(row: BacktestComboModel) -> BacktestCombo:
return BacktestCombo(
id=row.id,
name=row.name,
description=row.description,
strategy_ids=json.loads(row.strategy_ids_json),
initial_capital=float(row.initial_capital),
hold_count=row.hold_count,
hold_min_days=row.hold_min_days,
hold_max_days=row.hold_max_days,
rebalance_freq=row.rebalance_freq,
period=(row.start_date, row.end_date),
version=row.version,
created_at=row.created_at,
)
backend/app/infrastructure/persistence/sqlalchemy/repositories/strategy_impl.py
+22 -9
View File
@@ -1,6 +1,8 @@
"""策略 Repository 的 SQLAlchemy 实现（M8.3）。
"""选股策略 Repository 的 SQLAlchemy 实现。
config 以 JSON 存（StrategyDefinition.model_dump）；读取时重建实体。
config_json 只存选股相关字段（universe/factors/conditions）；读取时重建 SelectionStrategy。
2026-09 重构：策略库不再持有回测执行参数（selection/rebalance/costs/portfolio/区间），
旧行若残留这些键，读出时由 Pydantic 的 extra 忽略策略丢弃（见 _to_entity）。
"""
from __future__ import annotations
@@ -11,7 +13,7 @@ from datetime import datetime
from sqlalchemy import select
from sqlalchemy.orm import Session
from app.domain.entities.strategy import StrategyDefinition
from app.domain.entities.strategy import SelectionStrategy
from app.infrastructure.persistence.sqlalchemy.models.strategy import StrategyModel
@@ -19,7 +21,7 @@ class SqlAlchemyStrategyRepository:
def __init__(self, session: Session) -> None:
self._session = session
def save(self, definition: StrategyDefinition) -> StrategyDefinition:
def save(self, definition: SelectionStrategy) -> SelectionStrategy:
if not definition.id:
raise ValueError("需要 id（由调用方生成）")
dup = self._session.scalar(
@@ -51,17 +53,17 @@ class SqlAlchemyStrategyRepository:
self._session.flush()
return definition
def get(self, strategy_id: str) -> StrategyDefinition | None:
def get(self, strategy_id: str) -> SelectionStrategy | None:
row = self._session.get(StrategyModel, strategy_id)
return _to_entity(row) if row else None
def get_by_name(self, name: str) -> StrategyDefinition | None:
def get_by_name(self, name: str) -> SelectionStrategy | None:
row = self._session.scalar(
select(StrategyModel).where(StrategyModel.name == name).limit(1)
)
return _to_entity(row) if row else None
def list(self) -> list[StrategyDefinition]:
def list(self) -> list[SelectionStrategy]:
rows = self._session.scalars(
select(StrategyModel).order_by(StrategyModel.name)
).all()
@@ -75,7 +77,15 @@ class SqlAlchemyStrategyRepository:
return True
def _to_entity(row: StrategyModel) -> StrategyDefinition:
# 旧 strategy.config_json 可能残留的回测执行参数字段（重构前写入）—— 读出时丢弃，
# 因为 SelectionStrategy 不再承载它们（已迁到回测组合 / 公共配置）。
_LEGACY_BACKTEST_KEYS = frozenset({
"selection", "rebalance", "costs", "portfolio", "price_adjustment",
"selection_interval_months", "rebalance_interval_months",
})
def _to_entity(row: StrategyModel) -> SelectionStrategy:
data = json.loads(row.config_json)
# 列字段由 DB 行回填，避免与 config_json 重复。
# description 必须一并回填：它是列字段（String(300)），save() 会写入，
@@ -83,7 +93,10 @@ def _to_entity(row: StrategyModel) -> StrategyDefinition:
# （读写不对称：保存的说明看不到，策略库/编辑页都拿不到）。
for key in ("name", "version", "description", "spec_type"):
data.pop(key, None)
return StrategyDefinition(
# 丢弃旧行的回测参数字段（Pydantic 默认 forbid extra 会因这些键报错）
for key in _LEGACY_BACKTEST_KEYS:
data.pop(key, None)
return SelectionStrategy(
id=row.id, name=row.name, version=row.version, description=row.description,
created_at=row.created_at, **data,
)