feat(backtest): M9-2 回测补 selection_history/signal_history/fills（Signal↔Fill 区分）
- BacktestResult 新增：RankedPick（调仓意图，与 select(as_of) 同源排序）、 ActionRecord（BUY/SELL 意图 + filled + reject_reason/price）字段 selection_history / signal_history / fills（fills=signal_history 中 filled 子集）（v3 §20.3/§22.3） - TopKBacktestRunner：调仓记录卖出/买入逐动作与是否成交；涨停/停牌导致的 「BUY 信号未成交」保留原因；意图 picks 与执行 targets 分离（不因涨停悄悄改选股视图） - ChartService.backtest_stock_chart 改用 history 生成三类标记（selection/signal/fill）， 未成交意图在图上可见（v3 §20.4） - tests/test_backtest_history.py：意图=select 一致、fills 推导、涨停拒绝可见（构造 +10% 涨停日）、序列化 roundtrip；相关回归（quant/consistency/charts）全过；全量 pytest 通过
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Simon
@@ -16,12 +16,14 @@ from datetime import date
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import pandas as pd
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from app.domain.entities.research import (
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ActionRecord,
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BacktestResult,
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BacktestSummary,
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CurvePoint,
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FactorTestReport,
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MonthlyReturn,
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Position,
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RankedPick,
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ResearchSpec,
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Trade,
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YearlyReturn,
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@@ -83,6 +85,9 @@ class TopKBacktestRunner:
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self.costs = spec.costs
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# 上一有效收盘（用于涨跌停与收益结算，处理停牌日）
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self.prev_close = self.close.ffill().shift(1)
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# M9-2：调仓意图与信号/成交记录（v3 §20.3/§22.3）
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self.selection_history: list[RankedPick] = []
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self.signal_history: list[ActionRecord] = []
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def run(self) -> BacktestResult:
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end_date = self.spec.period[1]
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@@ -128,23 +133,36 @@ class TopKBacktestRunner:
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close_d = self.close.loc[d]
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prev_d = self.prev_close.loc[d]
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sold_notional = 0.0
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day = d.date()
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# 1) 卖出：跌停或无价（停牌）持仓保留，其余卖出
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# 1) 卖出：逐持仓记录 SELL 意图与实际成交（跌停/无价则保留并说明）
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for s in [s for s in shares if shares[s] > 0]:
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c, p = close_d[s], prev_d[s]
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if _nan(c):
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self.signal_history.append(
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ActionRecord(date=day, symbol=s, signal="SELL", filled=False,
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reject_reason="无行情（停牌），保留持仓")
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)
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continue # 停牌无价：保留
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if not _nan(p) and p > 0 and c / p <= 1.0 - (_limit_up_ratio(s) - 1.0):
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self.signal_history.append(
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ActionRecord(date=day, symbol=s, signal="SELL", filled=False,
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reject_reason="跌停无法卖出，保留到下一调仓")
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)
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continue # 跌停无法卖出：保留到下一调仓
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qty = shares[s]
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proceeds = qty * float(c) * (1 - self.costs.slippage_rate)
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fee = proceeds * (self.costs.commission_rate + self.costs.stamp_tax_rate)
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cash += proceeds - fee
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sold_notional += proceeds
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self.signal_history.append(
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ActionRecord(date=day, symbol=s, signal="SELL", filled=True,
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price=float(c))
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)
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trades.append(
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Trade(
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entry_date=entry_date[s],
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exit_date=d.date(),
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exit_date=day,
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symbol=s,
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entry_price=entry_price[s],
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exit_price=float(c),
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@@ -155,20 +173,36 @@ class TopKBacktestRunner:
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entry_date.pop(s, None)
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entry_price.pop(s, None)
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# 2) 买入：取得分最高且可买的 TopN（涨停 / 无价剔除）
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# 2) 买入：先记录「选股意图」（= select(as_of) 前 top_n，v3 §22.3）
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score_d = self.score.loc[d].dropna()
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top = score_d.sort_values(ascending=False).index.tolist()
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targets: list[str] = []
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for s in top:
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if len(targets) >= self.spec.selection.top_n:
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break
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c, p = close_d[s], prev_d[s]
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if _nan(c) or _nan(p) or p <= 0:
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continue
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if c / p >= _limit_up_ratio(s):
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continue # 涨停不可追买
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targets.append(s)
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top_n = self.spec.selection.top_n
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picks = top[:top_n]
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for rank, sym in enumerate(picks, start=1):
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self.selection_history.append(
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RankedPick(date=day, symbol=sym, rank=rank,
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score=round(float(score_d[sym]), 6))
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)
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# 执行：顺序寻找可买（涨停/无价剔除；替补仅在意图被拒时进入）
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def _buyable(sym) -> tuple[bool, str | None]:
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c, p = close_d[sym], prev_d[sym]
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if _nan(c) or _nan(p) or p <= 0:
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return False, "无行情（停牌），无法买入"
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if c / p >= _limit_up_ratio(sym):
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return False, "涨停，无法追买"
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return True, None
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targets: list[str] = []
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for sym in top:
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if len(targets) >= top_n:
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break
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ok, _ = _buyable(sym)
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if ok:
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targets.append(sym)
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target_set = set(targets)
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# BUY 信号/成交记录：意图入选（filled）或意图被拒（原因）；替补成交同样如实记录
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if targets:
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budget = equal_weight_budget(cash, len(targets))
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for s in targets:
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@@ -176,10 +210,22 @@ class TopKBacktestRunner:
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price_in = c * (1 + self.costs.slippage_rate)
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invest = budget * (1 - self.costs.commission_rate)
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shares[s] = invest / price_in
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entry_date[s] = d.date()
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entry_date[s] = day
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entry_price[s] = price_in
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notional.append(budget)
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self.signal_history.append(
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ActionRecord(date=day, symbol=s, signal="BUY", filled=True,
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price=round(price_in, 4))
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)
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cash -= budget * len(targets)
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for sym in picks:
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if sym in target_set:
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continue
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_ok, reason = _buyable(sym)
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self.signal_history.append(
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ActionRecord(date=day, symbol=sym, signal="BUY", filled=False,
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reject_reason=reason or "资金不足（未成交）")
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)
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# 3) 记录调仓后仓位
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total = cash + sum(
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@@ -192,7 +238,7 @@ class TopKBacktestRunner:
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if qty > 0 and not _nan(self.close.at[d, s]):
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positions.append(
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Position(
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date=d.date(), symbol=s, weight=float(qty * self.close.at[d, s] / total)
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date=day, symbol=s, weight=float(qty * self.close.at[d, s] / total)
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)
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)
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return cash
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@@ -263,6 +309,9 @@ class TopKBacktestRunner:
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yearly_returns=yearly,
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positions=positions,
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trades=trades,
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selection_history=self.selection_history,
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signal_history=self.signal_history,
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fills=[a for a in self.signal_history if a.filled],
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turnover_pct=round(sum(notional) / max(init, 1) * 100, 2),
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unimplemented=list(_DEFAULT_UNIMPLEMENTED) + unimplemented_notes(self.spec.portfolio),
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config_snapshot=self.spec.model_dump(mode="json"),
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