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
2026-09-09 07:12:36 +08:00
parent 995ed08548
commit bfeac7aa4c
4 changed files with 280 additions and 34 deletions
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+"""M9-2 回测历史测试：selection_history（意图=select 同源）、signal_history（BUY/SELL
+与成交与否）、fills（Signal↔Fill 区分）——含「涨停导致 BUY 信号未成交」场景。
+"""
+
+from __future__ import annotations
+
+from datetime import date
+from decimal import Decimal
+
+import pandas as pd
+import pytest
+from app.application.services.selection_service import SelectionService
+from app.domain.entities.market import DailyBar, Stock
+from app.domain.entities.research import BacktestResult, ResearchSpec
+from app.domain.entities.selection import SelectionQuery
+from app.quant.engine import LocalEngine
+
+from conftest_quant import synthetic_daily
+
+_SYMS = ["600000.SH", "600001.SH", "600002.SH", "600003.SH", "600004.SH"]
+
+
+class _MemStockRepo:
+    def __init__(self, stocks):
+        self._stocks = stocks
+
+    def list(self):
+        return self._stocks
+
+    def get_by_symbol(self, symbol):
+        return next((s for s in self._stocks if s.symbol == symbol), None)
+
+
+class _MemDailyRepo:
+    def __init__(self, df: pd.DataFrame) -> None:
+        self._bars = [
+            DailyBar(
+                symbol=r.symbol, trade_date=r.trade_date,
+                open=Decimal(str(r.open)), high=Decimal(str(r.high)),
+                low=Decimal(str(r.low)), close=Decimal(str(r.close)),
+                volume=Decimal(str(r.volume)), amount=Decimal(str(r.amount)),
+            )
+            for r in df.itertuples()
+        ]
+
+    def get_range(self, symbol, start, end):
+        return [b for b in self._bars if b.symbol == symbol and start <= b.trade_date <= end]
+
+    def get_range_many(self, symbols, start, end, adjust="none"):
+        syms = set(symbols)
+        return [b for b in self._bars if b.symbol in syms and start <= b.trade_date <= end]
+
+
+def _stocks() -> list[Stock]:
+    return [
+        Stock(symbol=s, name=f"测试{i}", list_date=date(1999, 1, 1)) for i, s in enumerate(_SYMS)
+    ]
+
+
+def _spec(**kw) -> ResearchSpec:
+    base = dict(
+        type="backtest",
+        universe={"exclude_st": False, "min_listing_days": 0, "symbols": _SYMS},
+        factors=[{"name": "momentum_60", "weight": 1.0}],
+        selection={"top_n": 2},
+        rebalance="monthly",
+        period=(date(2024, 5, 1), date(2024, 12, 31)),
+    )
+    base.update(kw)
+    return ResearchSpec(**base)
+
+
+@pytest.fixture()
+def daily_df() -> pd.DataFrame:
+    return synthetic_daily({s: 0.006 - 0.0015 * i for i, s in enumerate(_SYMS)}, n=320)
+
+
+class TestBacktestHistory:
+    def test_selection_history_matches_select(self, daily_df) -> None:
+        spec = _spec()
+        result = LocalEngine().run_backtest(daily_df, spec)
+        svc = SelectionService(_MemStockRepo(_stocks()), _MemDailyRepo(daily_df))
+
+        rebal_dates = sorted({p.date for p in result.positions})  # 有持仓的调仓日近似
+        assert result.selection_history
+        hist_by_date: dict[date, list] = {}
+        for pick in result.selection_history:
+            hist_by_date.setdefault(pick.date, []).append(pick)
+
+        sample = [d for d in hist_by_date if d in rebal_dates][:3]
+        for d in sample:
+            res = svc.select(
+                SelectionQuery(
+                    universe=spec.universe,
+                    factors=[{"name": "momentum_60", "weight": 1.0}],
+                    top_n=2,
+                    as_of=d,
+                )
+            )
+            picked = {c.symbol: c.rank for c in res.candidates}
+            hist = {p.symbol: p.rank for p in hist_by_date[d]}
+            assert hist == picked, f"as_of={d}：意图 {hist} ≠ select {picked}"
+
+    def test_signal_and_fills_consistency(self, daily_df) -> None:
+        result = LocalEngine().run_backtest(daily_df, _spec())
+        fills = result.fills
+        assert fills == [a for a in result.signal_history if a.filled]
+        # 每个 SELL fill 对应一笔 Trade 平仓；每个 BUY fill 在交易中体现
+        assert all(a.filled for a in fills)
+        buy_fills = [a for a in fills if a.signal == "BUY"]
+        assert len(buy_fills) > 0
+        # fills 价格与滑点一致（buy price >= close）
+        assert all(a.price is not None for a in fills)
+
+    def test_limit_up_buy_rejected_visible(self) -> None:
+        """把最高动量股在某调仓日设为涨停：意图仍在 selection_history，
+        但 signal_history 记录 BUY 未成交（涨停），fills/持仓无该笔。"""
+        df = synthetic_daily({s: 0.006 - 0.0015 * i for i, s in enumerate(_SYMS)}, n=320)
+        # 找首个 >= 2024-05-01 的交易日作为首个调仓日
+        dates = sorted(pd.to_datetime(df["trade_date"].unique()))
+        d0 = next(x for x in dates if x.date() >= date(2024, 5, 1))
+        top = _SYMS[0]  # 最高漂移股
+        prev_date = dates[dates.index(d0) - 1]
+        prev_close = float(
+            df[(df["symbol"] == top) & (df["trade_date"] == prev_date.date())]["close"].iloc[0]
+        )
+        # 把 d0 该股 close 抬高到 +10%（近似涨停）
+        mask = (df["symbol"] == top) & (df["trade_date"] == d0.date())
+        df.loc[mask, "close"] = prev_close * 1.10
+        df.loc[mask, "high"] = prev_close * 1.10
+
+        spec = _spec()
+        result = LocalEngine().run_backtest(df, spec)
+
+        picks_at_d0 = [p for p in result.selection_history if p.date == d0.date()]
+        assert any(p.symbol == top for p in picks_at_d0), "涨停股仍应在选股意图中"
+        # 涨停买入被拒
+        rejects = [
+            a for a in result.signal_history
+            if a.date == d0.date() and a.symbol == top and a.signal == "BUY" and not a.filled
+        ]
+        assert rejects and any("涨停" in (r.reject_reason or "") for r in rejects)
+        # 该日无该股成交
+        assert not any(
+            a.date == d0.date() and a.symbol == top and a.signal == "BUY" and a.filled
+            for a in result.fills
+        )
+
+    def test_result_serializes_history(self, daily_df) -> None:
+        result = LocalEngine().run_backtest(daily_df, _spec())
+        js = result.model_dump(mode="json")
+        assert "selection_history" in js and "signal_history" in js and "fills" in js
+        BacktestResult.model_validate(js)  # roundtrip