Simon
40bd603b44
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）。
110 lines
4.4 KiB
Python
110 lines
4.4 KiB
Python
"""公共配置 + 回测组合 API 测试（TestClient + 内存 SQLite）。
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覆盖：
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- /api/config GET 返回默认值、PUT 持久化；
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- /api/combos CRUD（name 唯一、原地更新保留 created_at、删除）；
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- /api/combos/{id}/run 在策略缺失时提前 400（不等到后台才失败）。
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"""
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from __future__ import annotations
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import pytest
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from app.api import deps
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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 fastapi.testclient import TestClient
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from sqlalchemy import create_engine
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from sqlalchemy.orm import sessionmaker
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@pytest.fixture()
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def client(tmp_path) -> TestClient:
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engine = create_engine(f"sqlite:///{tmp_path / 'combo_api.db'}", future=True)
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Base.metadata.create_all(engine)
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Session = sessionmaker(bind=engine, expire_on_commit=False)
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def _session_override():
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with Session() as s:
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yield s
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app.dependency_overrides[deps.get_session] = _session_override
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with TestClient(app) as c:
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yield c
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app.dependency_overrides.clear()
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class TestConfigApi:
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def test_get_returns_defaults(self, client: TestClient) -> None:
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cfg = client.get("/api/config").json()
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assert cfg["id"] == "default"
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assert cfg["price_adjustment"] == "hfq"
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assert cfg["min_commission"] == 5.0
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def test_put_persists(self, client: TestClient) -> None:
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body = {
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"commission_rate": 0.00025, "stamp_tax_rate": 0.0005,
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"slippage_rate": 0.0008, "min_commission": 3.0,
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"price_adjustment": "qfq", "benchmark": "000905.SH",
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}
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resp = client.put("/api/config", json=body)
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assert resp.status_code == 200
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got = client.get("/api/config").json()
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assert got["commission_rate"] == pytest.approx(0.00025)
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assert got["price_adjustment"] == "qfq"
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assert got["benchmark"] == "000905.SH"
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class TestCombosApi:
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def _make_strategy(self, client: TestClient, name: str) -> str:
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resp = client.post(
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"/api/strategies",
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json={"name": name, "factors": [{"name": "dividend_yield", "weight": 1}]},
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)
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assert resp.status_code == 200
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return resp.json()["id"]
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def test_crud(self, client: TestClient) -> None:
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sid = self._make_strategy(client, "高股息")
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body = {
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"name": "组合A", "strategy_ids": [sid],
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"initial_capital": 500000, "hold_count": 10,
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"hold_min_days": 5, "hold_max_days": 30,
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"rebalance_freq": "weekly", "period": ["2024-01-01", "2024-06-01"],
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}
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created = client.post("/api/combos", json=body)
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assert created.status_code == 200
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cid = created.json()["id"]
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assert cid.startswith("CMB-")
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assert created.json()["hold_max_days"] == 30
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assert len(client.get("/api/combos").json()) == 1
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detail = client.get(f"/api/combos/{cid}").json()
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assert detail["strategy_ids"] == [sid]
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assert detail["rebalance_freq"] == "weekly"
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# 原地更新保留 id 与 created_at
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created_at = detail["created_at"]
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upd = client.put(f"/api/combos/{cid}", json={**body, "name": "组合A", "hold_count": 15})
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assert upd.status_code == 200
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assert upd.json()["id"] == cid
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assert upd.json()["created_at"] == created_at
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assert upd.json()["hold_count"] == 15
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assert client.delete(f"/api/combos/{cid}").status_code == 200
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assert client.get(f"/api/combos/{cid}").status_code == 404
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def test_duplicate_name_400(self, client: TestClient) -> None:
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sid = self._make_strategy(client, "S")
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body = {"name": "重名", "strategy_ids": [sid], "hold_count": 5,
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"rebalance_freq": "monthly", "period": ["2024-01-01", "2024-02-01"]}
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assert client.post("/api/combos", json=body).status_code == 200
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assert client.post("/api/combos", json=body).status_code == 400
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def test_run_missing_strategy_400(self, client: TestClient) -> None:
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"""引用不存在的策略 → 提交时即 400，而非等后台 Job 才失败。"""
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body = {"name": "缺策略组合", "strategy_ids": ["STG-NOT-EXIST"], "hold_count": 5,
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"rebalance_freq": "monthly", "period": ["2024-01-01", "2024-02-01"]}
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resp = client.post("/api/combos/run", json=body)
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assert resp.status_code == 400
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assert "不存在" in resp.json()["detail"]
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