simon/qlib
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

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

Browse Source 
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/tests/test_strategies.py
+42 -33
View File
@@ -1,13 +1,15 @@
"""M8.3 策略测试：repo CRUD + /api/strategies + expand 为 ResearchSpec。"""
"""选股策略（SelectionStrategy）测试：repo CRUD + /api/strategies + 说明生成。
2026-09 重构后：策略库只存「选股条件组合」（股票池 + 因子 + 条件），
不再持有 selection/rebalance/costs/portfolio/区间 —— 那些移到回测组合与公共配置。
旧的 `to_research_spec` / `/expand` 已移除。
"""
from __future__ import annotations
from datetime import date
import pytest
from app.api import deps
from app.domain.entities.research import SelectionSpec
from app.domain.entities.strategy import StrategyDefinition
from app.domain.entities.strategy import SelectionStrategy
from app.infrastructure.persistence.sqlalchemy.base import Base
from app.infrastructure.persistence.sqlalchemy.repositories.strategy_impl import (
SqlAlchemyStrategyRepository,
@@ -18,12 +20,12 @@ from sqlalchemy import create_engine
from sqlalchemy.orm import sessionmaker
def _st() -> StrategyDefinition:
return StrategyDefinition(
def _st() -> SelectionStrategy:
return SelectionStrategy(
name="质量成长动量",
description="ROE+动量（演示）",
factors=[{"name": "momentum_60", "weight": 1.0}],
selection=SelectionSpec(top_n=10),
conditions=[{"field": "dv_ratio", "op": "lte", "value": 30}],
)
@@ -43,7 +45,9 @@ class TestStrategyRepository:
session.commit()
got = repo.get("STG-T1")
assert got is not None and got.name == "质量成长动量"
assert got.selection.top_n == 10
# 选股策略只保留选股相关字段
assert got.factors[0].name == "momentum_60"
assert len(got.conditions) == 1 and got.conditions[0].field == "dv_ratio"
assert len(repo.list()) == 1
assert repo.get_by_name("质量成长动量") is not None
assert repo.delete("STG-T1") is True
@@ -57,13 +61,16 @@ class TestStrategyRepository:
with pytest.raises(ValueError):
repo.save(_st().model_copy(update={"id": "STG-B"}))
def test_expand_to_research_spec(self, session) -> None:
st = _st().model_copy(update={"id": "STG-E"})
spec = st.to_research_spec((date(2024, 1, 1), date(2024, 6, 1)))
assert spec.type == "backtest"
assert spec.period == (date(2024, 1, 1), date(2024, 6, 1))
assert spec.factors[0].name == "momentum_60"
assert spec.price_adjustment == "none"
def test_no_backtest_params_in_entity(self) -> None:
"""选股策略实体不应再有回测执行参数字段（重构的核心约束）。"""
st = _st()
dumped = st.model_dump()
for forbidden in (
"selection", "rebalance", "costs", "portfolio",
"initial_capital", "period", "price_adjustment",
"selection_interval_months", "rebalance_interval_months",
):
assert forbidden not in dumped, f"选股策略不应含回测参数字段 {forbidden}"
@pytest.fixture()
@@ -83,41 +90,43 @@ def client(tmp_path):
class TestStrategiesApi:
def test_crud_and_expand(self, client) -> None:
def test_crud_and_describe(self, client) -> None:
body = {
"name": "演示策略",
"description": "动量",
"factors": [{"name": "momentum_60", "weight": 1}],
"selection": {"top_n": 10},
"conditions": [{"field": "dv_ratio", "op": "lte", "value": 30}],
}
created = client.post("/api/strategies", json=body)
assert created.status_code == 200
sid = created.json()["id"]
assert sid.startswith("STG-")
assert len(client.get("/api/strategies").json()) == 1
# 回读不含回测参数字段
detail = client.get(f"/api/strategies/{sid}").json()
assert detail["name"] == "演示策略"
assert "selection" not in detail and "costs" not in detail
resp = client.post(
f"/api/strategies/{sid}/expand",
json={"period": ["2024-01-01", "2024-06-01"]},
)
assert resp.status_code == 200
spec = resp.json()
assert spec["type"] == "backtest"
assert spec["factors"][0]["name"] == "momentum_60"
assert len(client.get("/api/strategies").json()) == 1
# 说明生成：选股策略走专用路径，不假装知道回测参数
doc = client.get(f"/api/strategies/{sid}/describe").json()
assert "选股策略" in doc["summary"]
assert any("回测组合" in w for w in doc["warnings"])
assert client.delete(f"/api/strategies/{sid}").status_code == 200
assert client.get(f"/api/strategies/{sid}").status_code == 404
def test_duplicate_and_bad_period(self, client) -> None:
def test_duplicate_name_400(self, client) -> None:
body = {"name": "A", "factors": [{"name": "momentum_60", "weight": 1}]}
assert client.post("/api/strategies", json=body).status_code == 200
assert client.post("/api/strategies", json=body).status_code == 400
sid = client.get("/api/strategies").json()[0]["id"]
bad = client.post(
def test_expand_endpoint_removed(self, client) -> None:
"""/expand 已随重构移除（回测改由「回测组合」驱动，不再从单策略展开 ResearchSpec）。"""
body = {"name": "B", "factors": [{"name": "momentum_60", "weight": 1}]}
sid = client.post("/api/strategies", json=body).json()["id"]
resp = client.post(
f"/api/strategies/{sid}/expand",
json={"period": ["2024-06-01", "2024-01-01"]},
json={"period": ["2024-01-01", "2024-06-01"]},
)
assert bad.status_code == 400
assert resp.status_code in (404, 405)