汇总三轮未提交的开发(每轮均在本机 MariaDB + 真实浏览器上验证):
1) 股息率案例(全市场股息率最高 n 只,默认 20,每 m 月择股)
- 新增日频估值表 daily_basic + 迁移;股息率因子(dv_ratio / dividend_yield / TTM)
- 名称历史表 stock_name_history:剔除 ST 按**择股日当时名称**判定,消除
「曾高股息后 ST」的股息陷阱(实测 3.70pp 偏差)
- 区间择股/调仓双周期(m 择股 / y 调仓)、指数成分与白名单、停牌近似剔除
- 复权因子口径核对(4,164,742 行、缺失 0.0%)、收盘价成交与涨跌停拦单
- 案例实测:2020-01-01~2026-09-04 总收益 +24.86%(年化 3.52%、回撤 -28.58%)
2) 策略库与前端统一
- strategy 表 + CRUD/PUT 原地更新 + `describe_strategy` 按 spec 真实推导
「一句话说明 + 计算公式 + 执行步骤 + 注意事项」(与引擎实执行规则同源)
- 任何出现股票代码处都成对显示名称且可点击进个股页
- 全站图表基座统一 TradingView Lightweight Charts(ECharts 依赖、
锁文件、组件与文档标注一并清除),买卖点标记只落在真实交易日上
3) 回测存档完整化(可往复查看)
- 同步端点(POST /api/backtests、/api/factor-tests)此前完全不落库 → 现在同样归档,
归档 id 经响应头 X-Experiment-Id 返回(不破坏 response_model)
- data_version 首次真实写入(数据快照指纹:最新交易日 + 各表规模)
- 个股收益曲线默认**全量保存**(此前硬截断 60 只);超出体积预算才裁剪,
并写 archive_meta(机器可读)+ unimplemented(人可读)如实标注
- 列表 kind/q 过滤 + X-Total-Count(此前 limit=50 静默截断)、DELETE 归档
- 只读归档页 /experiments/{id}(Server Component,SSR 直出**选股条件**与
**交易执行依据**);结果视图按 kind 分发(backtest/factor_test/selection),
非回测归档不套用回测口径
- 新增 CLI:prune_experiments(保留策略,默认 dry-run)、
restore_experiment_from_job(从 Job 副本按原 id 重建被删的历史归档,默认 dry-run)
门禁:pytest 388 passed、ruff All checks passed、tsc 0 错误、图表单测 7 passed、
next build 成功、契约脚本 verify_strategy_workspace 59/59(含按 kind 逐类验证归档页)。
439 lines
16 KiB
Python
439 lines
16 KiB
Python
"""Selection Engine(ARCHITECTURE_v2 §14)—— 纯 pandas 执行层。
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当前实现 method=score:因子加权复合分 → TopN/Top% 截断,输出 SelectionResult。
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M6.2 在同一模块加入 method=condition(结构化条件选股)。
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未来函数纪律:面板只在 <= observation_date 的数据上计算;observation_date 是
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<= as_of 的最近可用交易日(as_of 显式传入即历史选股,None 则到数据最新)。
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data 长表由 Service 装配(已按 universe 过滤 symbol、含预热窗口)。
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"""
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from __future__ import annotations
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from datetime import date
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import pandas as pd
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from app.domain.entities.market import DAILY_BASIC_NUMERIC_FIELDS, FinancialIndicator
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from app.domain.entities.selection import (
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SelectionCandidate,
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SelectionQuery,
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SelectionResult,
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SelectionStatistics,
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)
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from app.quant.composite import build_score_panel
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from app.quant.factors import FactorError, compute_factor, get_factor
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_UNIMPLEMENTED_DEFAULT = [
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"exclude_suspended 依赖停牌数据,当前未建模(结果可能包含停牌股)",
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]
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def score_panel_for_factors(daily: pd.DataFrame, factor_specs) -> pd.DataFrame:
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"""因子加权复合分面板(index=trade_date, columns=symbol)。
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回测(LocalEngine)与选股(run_score_selection)共用同一构建 ——
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保证 v2 §25/§27「历史回测与当前选股使用同一套引擎」的一致性。
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"""
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return build_score_panel(daily, factor_specs) # 未知因子在此抛 FactorError
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def resolve_observation_date(daily: pd.DataFrame, as_of: date | None) -> pd.Timestamp | None:
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"""<= as_of 的最近可用交易日;as_of=None 取数据最新一日。"""
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if daily.empty:
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return None
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dates = pd.to_datetime(daily["trade_date"])
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if as_of is None:
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return dates.max()
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avail = dates[dates <= pd.Timestamp(as_of)]
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return avail.max() if len(avail) else None
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def factor_columns(query: SelectionQuery) -> set[str]:
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"""score 模式所需行情数值列(数据装配裁剪用)。"""
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needed = {"close"}
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for fs in query.factors:
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try:
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defn, _fn = get_factor(fs.name)
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except FactorError:
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continue # 未知因子由执行期统一报错(score_selection 中 build_factor_panels)
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needed.update(defn.requires)
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return needed
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def run_score_selection(
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daily: pd.DataFrame,
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query: SelectionQuery,
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as_of: date | None,
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) -> SelectionResult:
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"""因子评分选股(v2 §14.1B):复合分 → 排序 → TopN/Top%。"""
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if query.method != "score":
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raise ValueError(f"run_score_selection 需要 method=score,当前 {query.method}")
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obs = resolve_observation_date(daily, as_of)
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if obs is None:
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resolved = as_of or date.today()
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return SelectionResult(
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as_of_date=resolved,
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method=query.method,
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statistics=SelectionStatistics(),
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candidates=[],
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unimplemented=list(_UNIMPLEMENTED_DEFAULT),
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config_snapshot=query.model_dump(mode="json"),
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)
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resolved = obs.date()
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# 只允许使用 <= obs 的数据(面板计算在截断后数据上进行)
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view = daily[pd.to_datetime(daily["trade_date"]) <= obs]
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if view.empty:
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return SelectionResult(
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as_of_date=resolved,
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method=query.method,
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statistics=SelectionStatistics(),
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candidates=[],
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unimplemented=list(_UNIMPLEMENTED_DEFAULT),
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config_snapshot=query.model_dump(mode="json"),
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)
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score = score_panel_for_factors(view, query.factors).loc[obs].dropna().sort_values(
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ascending=False
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)
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# 每因子在 obs 行的原始值(factor_values 供展示与解释;与 build_factor_panels 同数据)
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raw: dict[str, pd.Series] = {}
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for fs in query.factors:
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_defn, panel = compute_factor(fs.name, view)
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if obs in panel.index:
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raw[fs.name] = panel.loc[obs]
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candidates_df = _truncate(score, query)
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evaluated = int(len(score)) # score 已 dropna,长度即有分股票数
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candidates: list[SelectionCandidate] = []
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for rank, (sym, sc) in enumerate(candidates_df.items(), start=1):
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factor_values = {
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name: _to_float(series.get(sym))
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for name, series in raw.items()
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if isinstance(series, pd.Series)
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}
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factor_values = {k: v for k, v in factor_values.items() if v is not None}
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candidates.append(
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SelectionCandidate(
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symbol=sym,
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rank=rank,
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score=round(float(sc), 6),
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factor_values=factor_values,
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selection_reason=_score_reason(query, sym, raw),
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)
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)
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return SelectionResult(
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as_of_date=resolved,
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method=query.method,
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statistics=SelectionStatistics(
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universe_size=_symbol_count(view),
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evaluated=evaluated,
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selected=len(candidates),
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),
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candidates=candidates,
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unimplemented=list(_UNIMPLEMENTED_DEFAULT),
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config_snapshot=query.model_dump(mode="json"),
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)
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def _truncate(score: pd.Series, query: SelectionQuery) -> pd.Series:
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"""按 top_n / top_pct / min_score 截断(入参已按分数降序)。"""
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s = score
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if query.min_score is not None:
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s = s[s >= query.min_score]
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if query.top_pct is not None:
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n = max(int(round(len(s) * query.top_pct)), 1)
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s = s.head(n)
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elif query.top_n is not None:
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s = s.head(query.top_n)
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return s
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def _score_reason(query: SelectionQuery, symbol: str, raw: dict[str, pd.Series]) -> list[str]:
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"""生成可读的入选理由:列每个因子的观测值与权重。"""
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reasons: list[str] = []
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for fs in query.factors:
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try:
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defn, _fn = get_factor(fs.name)
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except FactorError:
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continue
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series = raw.get(fs.name)
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val = _to_float(series.get(symbol)) if isinstance(series, pd.Series) else None
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if val is None:
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continue
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good = defn.direction == "higher_is_better"
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reasons.append(
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f"{fs.name}={val:.4f}(权重 {fs.weight},{'越高越好' if good else '越低越好'})"
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)
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return reasons
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def _symbol_count(daily: pd.DataFrame) -> int:
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return int(daily["symbol"].nunique()) if not daily.empty and "symbol" in daily else 0
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# ---------- method=condition:结构化条件选股(M6.2) ----------
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# 技术字段:预计算派生量 + 行情原列(原列需在装配列中才可用)
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_TECH_DERIVED = ("ma20", "ma60")
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_STATIC_PREFIX = "static."
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_FUNDAMENTAL_PREFIX = "fundamental."
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def condition_needed_columns(query) -> set[str]:
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"""条件引用的行情/指标列(fundamental/static 走元数据与财务表,不需要面板列)。
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query 可以是 SelectionQuery,也可以是任何带 `conditions` 的对象
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(ResearchSpec 亦然)—— 回测与选股共用本函数,保证列裁剪一致。
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"""
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needed = {"close"}
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names = [c.field for c in query.conditions] + [
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c.ref for c in query.conditions if c.ref and not c.ref.startswith(_FUNDAMENTAL_PREFIX)
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]
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for f in names:
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if not f or f.startswith((_STATIC_PREFIX, _FUNDAMENTAL_PREFIX)):
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continue
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if f in {"open", "high", "low", "close", "volume", "amount", *_TECH_DERIVED}:
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if f not in _TECH_DERIVED:
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needed.add(f)
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continue
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if f in DAILY_BASIC_NUMERIC_FIELDS:
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needed.add(f) # 每日指标列(dv_ratio / pe / pb / total_mv …)
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continue
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try: # 其余按已注册因子处理
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defn, _fn = get_factor(f)
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except FactorError:
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raise ValueError(
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f"条件字段未知:{f}(可用: 行情列/ma20/ma60/已注册因子/"
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"每日指标列(dv_ratio 等)/static.*/fundamental.*)"
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) from None
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needed.update(defn.requires)
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return needed
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def build_condition_fields(
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daily: pd.DataFrame,
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conditions,
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obs: pd.Timestamp,
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) -> dict[str, pd.Series]:
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"""条件各字段在 obs(<= as_of 的最近交易日)的截面值。
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返回 {字段名: Series(index=symbol)},覆盖:
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- 行情原列:close / open / high / low / volume / amount
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- 技术派生:ma20 / ma60
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- 每日指标列:dv_ratio / dv_ttm / pe / pb / total_mv …(由 Service 并入 daily)
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- 已注册因子:momentum_60 等(在 <=obs 的截断数据上计算,无未来函数)
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回测与选股共用本函数(v2 §25 一致性)。
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"""
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view = daily[pd.to_datetime(daily["trade_date"]) <= obs]
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if view.empty:
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return {}
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close = view.pivot(index="trade_date", columns="symbol", values="close").sort_index()
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close.index = pd.to_datetime(close.index)
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fields: dict[str, pd.Series] = {}
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for col in ("open", "high", "low", "volume", "amount"):
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if col in view.columns:
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panel = view.pivot(index="trade_date", columns="symbol", values=col).sort_index()
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panel.index = pd.to_datetime(panel.index)
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if obs in panel.index:
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fields[col] = panel.loc[obs]
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if obs in close.index:
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fields["close"] = close.loc[obs]
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ma20 = close.rolling(20).mean()
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ma60 = close.rolling(60).mean()
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if obs in ma20.index:
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fields["ma20"] = ma20.loc[obs]
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if obs in ma60.index:
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fields["ma60"] = ma60.loc[obs]
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wanted: set[str] = set()
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for cond in conditions:
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for f in (cond.field, cond.ref):
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if not f or f.startswith((_STATIC_PREFIX, _FUNDAMENTAL_PREFIX)):
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continue
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if f in _TECH_DERIVED or f in fields:
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continue
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wanted.add(f)
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for f in sorted(wanted):
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if f in DAILY_BASIC_NUMERIC_FIELDS:
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if f in view.columns:
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panel = view.pivot(index="trade_date", columns="symbol", values=f).sort_index()
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panel.index = pd.to_datetime(panel.index)
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if obs in panel.index:
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fields[f] = panel.loc[obs]
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continue
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try:
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_defn, panel = compute_factor(f, view)
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except FactorError:
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continue # 已在 condition_needed_columns 报错;此处防御
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if obs in panel.index:
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fields[f] = panel.loc[obs]
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return fields
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def eligible_symbols(
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candidates,
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conditions,
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statics: dict[str, dict],
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fields: dict[str, pd.Series],
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financial: dict[str, FinancialIndicator],
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) -> dict[str, list[str]]:
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"""逐股求值全部条件(AND),返回 {symbol: [各条件通过情况文案]}(仅通过者)。
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`candidates` 限定参与求值的股票(通常 = universe 过滤后的 symbol 列表)。
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回测(ResearchSpec.conditions)与选股(SelectionQuery.conditions)共用,
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确保「历史某日 Selection == 回测当日 Selection」(v2 §25 / v3 §28)。
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"""
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passed: dict[str, list[str]] = {}
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for sym in candidates:
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statuses: list[str] = []
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all_ok = True
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for cond in conditions:
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ok = _eval_condition(cond, sym, statics, fields, financial)
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statuses.append(
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f"{cond.field} {cond.op} {cond.ref or cond.value}: {'通过' if ok else '未通过'}"
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)
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all_ok = all_ok and ok
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if all_ok:
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passed[sym] = statuses
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return passed
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def run_condition_selection(
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daily: pd.DataFrame,
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stocks: list,
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query: SelectionQuery,
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as_of: date | None,
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financial: dict[str, FinancialIndicator] | None = None,
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) -> SelectionResult:
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"""条件选股(v2 §14.1A):全部条件 AND 通过者入选(无排序;truncation 不适用)。
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fields 域:static.*(股票基础)、close/volume/amount/ma20/ma60/已注册因子(行情)、
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fundamental.*(announce_date <= as_of 的最新已公告财务值 —— 防未来函数由 Service 取数保证)。
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"""
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if query.method != "condition":
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raise ValueError(f"run_condition_selection 需要 method=condition,当前 {query.method}")
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obs = resolve_observation_date(daily, as_of)
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resolved = (obs.date() if obs is not None else as_of) or date.today()
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if obs is None or daily.empty:
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return SelectionResult(
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as_of_date=resolved, method=query.method,
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statistics=SelectionStatistics(), candidates=[],
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unimplemented=list(_UNIMPLEMENTED_DEFAULT),
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config_snapshot=query.model_dump(mode="json"),
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)
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# 共享字段面板 + 求值器(回测与选股同一实现,v2 §25 一致性)
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tech = build_condition_fields(daily, query.conditions, obs)
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statics = {s.symbol: s.model_dump() for s in stocks}
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passed = eligible_symbols(sorted(statics), query.conditions, statics, tech, financial or {})
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candidates: list[SelectionCandidate] = []
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for rank, sym in enumerate(sorted(passed), start=1):
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candidates.append(
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SelectionCandidate(
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symbol=sym,
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rank=rank,
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score=1.0,
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filter_status=passed[sym],
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selection_reason=[f"通过全部 {len(query.conditions)} 条条件"],
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)
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)
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return SelectionResult(
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as_of_date=resolved,
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method=query.method,
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statistics=SelectionStatistics(
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universe_size=len(statics),
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evaluated=len(statics),
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selected=len(candidates),
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),
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candidates=candidates,
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unimplemented=list(_UNIMPLEMENTED_DEFAULT) + [
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"条件选股为纯过滤(AND),未排序/未截断;如需排序请在 factors 中提供评分",
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],
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config_snapshot=query.model_dump(mode="json"),
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)
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def _eval_condition(
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cond,
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sym: str,
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statics: dict,
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tech: dict[str, pd.Series],
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financial: dict,
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) -> bool:
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"""求值单条条件:value 与 ref 二选一;left 与 right 同为 field 或 field vs 字面量。"""
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left = _field_value(cond.field, sym, statics, tech, financial)
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if cond.ref is not None:
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right = _field_value(cond.ref, sym, statics, tech, financial)
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else:
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right = cond.value
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return _compare(left, right, cond.op)
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def _field_value(field, sym, statics, tech, financial):
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if field.startswith(_STATIC_PREFIX):
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return statics.get(sym, {}).get(field[len(_STATIC_PREFIX):])
|
||
if field.startswith(_FUNDAMENTAL_PREFIX):
|
||
fin = financial.get(sym)
|
||
return getattr(fin, field[len(_FUNDAMENTAL_PREFIX):], None) if fin else None
|
||
series = tech.get(field)
|
||
if series is None:
|
||
return None
|
||
v = series.get(sym)
|
||
return None if v is None or (isinstance(v, float) and v != v) else v # NaN → None
|
||
|
||
|
||
def _compare(left, right, op: str) -> bool:
|
||
"""混合比较:None 视为不可用 → 除 ne 外不通过;数值/字符串分别处理。"""
|
||
if op == "ne":
|
||
return left != right
|
||
if left is None or right is None:
|
||
return False
|
||
try:
|
||
if isinstance(left, (int, float)) or isinstance(right, (int, float)):
|
||
return _num_cmp(float(left), float(right), op)
|
||
except (TypeError, ValueError):
|
||
pass
|
||
# 字符串/其它:支持 eq/ne/in/not_in
|
||
if op == "eq":
|
||
return left == right
|
||
if op == "in":
|
||
return left in right
|
||
if op == "not_in":
|
||
return left not in right
|
||
if op in ("gt", "gte", "lt", "lte"):
|
||
return _num_cmp(left, right, op) # 尝试数值,字符串会 ValueError → False
|
||
return False
|
||
|
||
|
||
def _num_cmp(a: float, b: float, op: str) -> bool:
|
||
if op == "gt":
|
||
return a > b
|
||
if op == "gte":
|
||
return a >= b
|
||
if op == "lt":
|
||
return a < b
|
||
if op == "lte":
|
||
return a <= b
|
||
if op == "eq":
|
||
return a == b
|
||
return a != b
|
||
|
||
|
||
def _to_float(v) -> float | None:
|
||
if v is None:
|
||
return None
|
||
try:
|
||
f = float(v)
|
||
except (TypeError, ValueError):
|
||
return None
|
||
if f != f: # NaN
|
||
return None
|
||
return f
|