feat(backend): 策略库重构为「选股策略 + 公共配置 + 回测组合」三件套
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
@@ -24,7 +24,7 @@ from app.domain.entities.research import (
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SelectionSpec,
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UniverseSpec,
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)
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from app.domain.entities.strategy import StrategyDefinition
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from app.domain.entities.strategy import SelectionStrategy
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from app.infrastructure.persistence.sqlalchemy.base import Base
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from app.main import app
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from app.quant.factors import FactorDef
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@@ -301,17 +301,19 @@ class TestStepsAndWarnings:
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class TestDefinitionInput:
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def test_strategy_definition_input_uses_placeholder_period(self) -> None:
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st = StrategyDefinition(
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def test_selection_strategy_describes_only_selection(self) -> None:
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"""选股策略说明只讲「怎么选」，不假装知道回测参数（重构后无 period/costs/selection）。"""
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st = SelectionStrategy(
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name="演示",
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factors=[FactorSpec(name="momentum_60", weight=1.0)],
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selection=SelectionSpec(top_n=10),
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conditions=[{"field": "dv_ratio", "op": "lte", "value": 30}],
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)
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doc = describe_strategy(st)
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assert doc.summary and doc.formula and doc.steps
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assert "选股策略" in doc.summary
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assert "momentum_60" in doc.formula
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assert "1900" not in doc.formula, "占位区间不得泄漏到展示文本"
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assert any("无回测区间" in w for w in doc.warnings)
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# 如实声明回测参数不在策略内
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assert any("回测组合" in w for w in doc.warnings)
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def test_real_spec_has_no_placeholder_warning(self) -> None:
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doc = describe_strategy(_spec())
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@@ -325,13 +327,13 @@ class TestDefinitionInput:
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describe_strategy(spec)
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assert spec.model_dump() == before
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st = StrategyDefinition(name="演示", factors=[FactorSpec(name="momentum_60")])
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st = SelectionStrategy(name="演示", factors=[FactorSpec(name="momentum_60")])
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before_st = st.model_dump()
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describe_strategy(st)
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assert st.model_dump() == before_st
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def test_unsupported_input_raises_clear_type_error(self) -> None:
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with pytest.raises(TypeError, match="ResearchSpec 或 StrategyDefinition"):
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with pytest.raises(TypeError, match="ResearchSpec 或 SelectionStrategy"):
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describe_strategy({"factors": []}) # type: ignore[arg-type]
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@@ -391,7 +393,7 @@ class TestStrategyDocApi:
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assert resp.status_code == 200
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doc = resp.json()
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assert doc["summary"]
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assert any("无回测区间" in w for w in doc["warnings"])
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assert "选股策略" in doc["summary"]
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assert client.get("/api/strategies/STG-NOT-EXIST/describe").status_code == 404
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def test_post_fills_empty_description(self, client: TestClient) -> None:
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@@ -428,8 +430,9 @@ class TestStrategyDocApi:
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def test_auto_description_fits_column_width(self, client: TestClient) -> None:
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"""自动说明必须落在 `StrategyModel.description = String(300)` 之内。
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超长在 SQLite（测试库）不会报错、到 MySQL 严格模式会 Data too long，
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因此这里显式断言列宽；截断必须带省略号（显式标记，不静默改短）。
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重构后选股策略的说明只讲「怎么选」，天然简洁（不再拼回测公式），
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即使挂满全部因子也远低于列宽 —— 这里断言「一定放得下」即可；
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截断分支（超长带省略号）由 ResearchSpec 路径保留，选股策略触达不到。
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"""
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from app.api.strategies import _DESCRIPTION_MAX_CHARS
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from app.quant.factors import list_factors
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@@ -440,10 +443,8 @@ class TestStrategyDocApi:
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)
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assert resp.status_code == 200
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desc = resp.json()["description"]
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assert len(desc) <= _DESCRIPTION_MAX_CHARS
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assert desc.endswith("…"), "超长被截断时必须显式带省略号"
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assert len(desc) <= _DESCRIPTION_MAX_CHARS, "选股策略说明也必须落在列宽内"
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# 常规（单因子）说明远短于列宽：不应被截断
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normal = client.post(
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"/api/strategies",
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json={"name": "单因子策略", "factors": [{"name": "dividend_yield", "weight": 1}]},
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@@ -460,7 +461,6 @@ class TestStrategyUpdateApi:
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"name": name,
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"description": "初始说明",
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"factors": [{"name": "momentum_60", "weight": 1}],
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"selection": {"top_n": 10},
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},
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)
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assert resp.status_code == 200
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@@ -478,14 +478,12 @@ class TestStrategyUpdateApi:
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"name": "策略A",
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"description": "改后的说明",
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"factors": [{"name": "momentum_20", "weight": 2}],
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"selection": {"top_n": 5},
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},
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)
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assert resp.status_code == 200
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body = resp.json()
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assert body["id"] == sid, "原地更新必须保持 id 不变（不新建）"
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assert body["created_at"] == created_at, "PUT 不得刷新创建时间"
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assert body["selection"]["top_n"] == 5
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assert body["factors"][0]["name"] == "momentum_20"
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assert body["description"] == "改后的说明"
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