用户要求:「所有买卖点详细说明买卖理由,用数据说话」「回测图上增加因子相关曲线
(买卖依据是股息率,就加股息率曲线)」「所有曲线能弹出新页面放大」。
一、买卖理由(后端产出结构化数据,前端只展示)
- 新增 `quant/trade_reasons.py`:封闭词表 + 文案构造器,组合引擎与单策略引擎共用,
避免两个引擎对同一件事写出两种说法。理由里带**引擎当时的真实数字**:
综合分名次/候选数/综合分/各因子原始值/持有交易日/预算与最低佣金/涨停比值等。
- 买入:按名次建仓、顺延成交、涨停未买、停牌未买、现金不足、不足最低佣金;
卖出:跌出 TopN(含第几名掉出)、被股票池过滤(与「跌出 TopN」分开写)、
超 Tmax 强制了结、Tmin 保护暂留、停牌/跌停顺延。
- `ActionRecord.reason` 覆盖**成交与未成交**全部买卖点(原 `reject_reason` 保留不动,
老归档仍可读);`Trade.entry_reason / exit_reason` 跟着成交记录走。
- 名次来自调仓日完整排名(新增 `_ranked_by_day`),拿不到名次时如实写「未给出名次」,
绝不编造一个名次填进去。
- 未成交明细不再只写执行层原因:把「为什么选中它、当时各因子多少」一并给出。
二、因子曲线
- `FactorCurve`:每个策略因子一条曲线,值为**当日持仓按市值加权平均的原始值**
(不做 z-score、不按方向取反,空仓日不落点、不插值、不用 0 填充),并带
label/direction/unit 供界面说明口径;`FactorDef/FactorTemplate` 新增 `unit`
(股息率 %、量比/接近新高 倍数、动量等 小数),11 个内置因子实例已逐一核对。
- 归档体积预算照旧按整包计量,无需改迁移。
三、界面
- 结果页新增「买卖说明」区块:全部买卖点 + 理由 + 数字标签,支持方向/成交状态/关键字
筛选与日期排序;成交明细表加「为什么买 / 为什么卖」两列;新增「因子曲线」区块,
每条曲线标出组合成交日,直接对照「买卖发生在什么水平」。
- 「新页面放大」:每条曲线(净值/回撤/因子/个股/月度)都能开 `/charts/{归档id}?s=...`
整页看大图;放大页是 Server Component,数据从归档直出,URL 可分享且与归档一致。
未归档的结果如实说明「未归档,无法放大」,不给坏链接。
- 数字格式与后端 `f"{v:.4f}"` 同规则(四舍六入五成双):修掉 0.03125 在理由原文里
显示 0.0312、旁边标签显示 0.0313 的不一致(17 组边界值与 Python 逐一比对一致)。
- `/factors/compose` 结果区改用同一个 `BacktestResultView`,两处口径不会再漂移。
验证:
- 新增 `tests/test_trade_reasons.py` 8 条(买入数字、跌出 TopN 名次、不在候选池、
Tmax、Tmin 暂留、涨停未成交、因子曲线加权值、空仓不落点);后端 510 条全过,ruff clean。
- 真实数据端到端:`/api/combos/run` 6 个月高股息组合(EXP-8EA2819B)13 个买卖点
100% 带理由与数字,因子曲线 dividend_yield 117 点、单位 %;
`scripts/verify_backtest_page_contract.py`(4 年、301 个买卖点、140 笔成交)扩展断言
理由词表/名次/因子值/曲线单调性后通过。
- 浏览器实测:归档详情页与放大页 `/charts/...?s=factor:dividend_yield` 等 5 种曲线
全部 200 渲染,截图确认表格与曲线数值正确。
341 lines
12 KiB
TypeScript
341 lines
12 KiB
TypeScript
"use client";
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import { useEffect, useState } from "react";
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import { apiGet } from "@/lib/api";
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import { submitJob, waitJob } from "@/lib/jobs";
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import { factorLabel, pickableFactors } from "@/lib/factors";
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import type { BacktestResult, FactorMeta, ResearchSpec } from "@/lib/types";
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import { recentRange } from "@/lib/dates";
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import {
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PageHeader,
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Card,
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Pill,
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Field,
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Btn,
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Banner,
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Progress,
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Signed,
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} from "@/components/ui";
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import { BacktestResultView } from "@/components/BacktestResultView";
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import { Icon } from "@/components/icons";
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interface Pick {
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name: string;
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weight: number;
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}
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export default function ComposePage() {
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const [factors, setFactors] = useState<FactorMeta[]>([]);
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const [picks, setPicks] = useState<Pick[]>([]);
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const [topN, setTopN] = useState(10);
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const [rebalance, setRebalance] = useState<"monthly" | "weekly">("monthly");
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const [excludeSt, setExcludeSt] = useState(true);
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const [start, setStart] = useState("");
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const [end, setEnd] = useState("");
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const [result, setResult] = useState<BacktestResult | null>(null);
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/** 本次结果的归档 id:结果区的「新页面放大」从归档读同一份数据 */
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const [archiveId, setArchiveId] = useState<string | null>(null);
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const [running, setRunning] = useState(false);
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const [jobId, setJobId] = useState("");
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const [error, setError] = useState("");
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useEffect(() => {
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let alive = true;
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apiGet<FactorMeta[]>("/factors")
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.then((list) => {
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if (!alive) return;
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// 停用/算不出来的因子不摆进候选(停用仍可被既有策略解析,只是不该再被选中)
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setFactors(pickableFactors(list));
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setPicks([
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{ name: "momentum_60", weight: 1.5 },
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{ name: "volatility_60", weight: 1.0 },
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]);
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})
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.catch((e: Error) => alive && setError(e.message));
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const { start: s, end: e } = recentRange();
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setStart(s);
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setEnd(e);
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return () => {
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alive = false;
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};
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}, []);
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function togglePick(name: string) {
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setPicks((prev) =>
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prev.some((p) => p.name === name)
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? prev.filter((p) => p.name !== name)
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: [...prev, { name, weight: 1 }],
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);
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}
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function setWeight(name: string, weight: number) {
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setPicks((prev) => prev.map((p) => (p.name === name ? { ...p, weight } : p)));
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}
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function removePick(name: string) {
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setPicks((prev) => prev.filter((p) => p.name !== name));
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}
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async function run() {
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const valid = picks.filter((p) => Number.isFinite(p.weight) && p.weight > 0);
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if (valid.length === 0) {
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setError("请选择至少一个因子并设置大于 0 的权重");
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return;
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}
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setRunning(true);
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setError("");
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setJobId("");
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setResult(null);
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setArchiveId(null); // 新一次运行:先清掉上一次的归档 id,避免放大到旧结果
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try {
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const spec: ResearchSpec = {
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type: "backtest",
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universe: { exclude_st: excludeSt, min_listing_days: 0 },
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factors: valid.map((p) => ({ name: p.name, weight: p.weight })),
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selection: { top_n: topN },
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rebalance,
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period: [start, end],
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};
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const { job_id } = await submitJob(spec);
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setJobId(job_id);
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const out = await waitJob<BacktestResult>(job_id);
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if (out.status === "success" && out.result) {
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setResult(out.result);
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setArchiveId(out.experimentId ?? null);
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} else {
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setError(`任务${out.status}${out.error ? `:${out.error}` : ""}`);
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}
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} catch (e) {
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setError((e as Error).message);
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} finally {
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setRunning(false);
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setJobId("");
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}
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}
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return (
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<>
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<PageHeader
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title="因子组合"
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sub="多因子横截面 z-score 标准化后按权重叠加成综合分,每期取 Top N 等权持有。"
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actions={
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<Pill tone="accent" icon="layers">
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{picks.length} 个因子
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</Pill>
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}
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/>
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<Card title="组合方式(如何合成一个分数)" icon="scale">
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<ol className="steplist">
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<li>选择若干因子并设置权重(默认 1;低为好方向由引擎自动反向)。</li>
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<li>
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每个交易日:每个因子在全体股票横截面上做 <b>z-score 标准化</b>(当日缺失因子值的股票不参与该因子得分)。
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</li>
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<li>
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综合得分 = <b>Σ(权重 × 标准化后因子得分)</b>,得分越高越优先。
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</li>
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<li>每期按综合得分取 Top N 等权持有,到下一调仓日再平衡(含成本 / 涨跌停 / 停牌近似)。</li>
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</ol>
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</Card>
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<Card
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title="选择因子并设置权重"
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icon="target"
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sub="权重可为小数(如 1.5 = 更侧重该因子)"
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flush
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>
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<div className="table-wrap">
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<table className="tbl">
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<thead>
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<tr>
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<th style={{ width: 46 }}></th>
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<th>因子</th>
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<th>方向</th>
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<th style={{ width: 120 }}>权重</th>
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<th>简介</th>
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</tr>
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</thead>
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<tbody>
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{factors.map((f) => {
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const pick = picks.find((p) => p.name === f.name);
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return (
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<tr key={f.name} className={pick ? "row-active" : undefined}>
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<td>
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{/* 勾选框要用 .check--cell 包一层:裸 16px 的 checkbox 点击目标太小
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(本项目 UI 自检要求 ≥28px,且与同排输入框等高) */}
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<label className="check check--cell">
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<input
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type="checkbox"
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checked={!!pick}
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onChange={() => togglePick(f.name)}
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aria-label={`选择因子 ${f.name}`}
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/>
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</label>
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</td>
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<td className="cell-strong">
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{factorLabel(f)}
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{/* 名字即身份:中文名旁边的引擎键必须看得见(含参数,如 momentum(window=90,…)) */}
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<span className="hint mono cell-hint" style={{ fontWeight: 400, overflowWrap: "anywhere" }}>
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{f.name}
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</span>
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</td>
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<td>
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<Pill tone={f.direction === "higher_is_better" ? "accent" : "violet"}>
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{f.direction === "higher_is_better" ? "高为好" : "低为好"}
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</Pill>
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</td>
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<td>
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<input
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type="number"
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className="input"
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step="0.1"
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min="0.1"
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style={{ width: 92 }}
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value={pick?.weight ?? 1}
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disabled={!pick}
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onChange={(e) => setWeight(f.name, Number(e.target.value))}
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aria-label={`${f.name} 权重`}
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/>
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</td>
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<td className="hint">{f.brief ?? f.description}</td>
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</tr>
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);
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})}
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</tbody>
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</table>
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</div>
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</Card>
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<Card title="回测条件" icon="gauge">
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{picks.length > 0 ? (
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<div className="chips" style={{ marginBottom: 14 }}>
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{picks.map((p) => (
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<span className="chip" key={p.name}>
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<b className="mono">{p.name}</b>
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权重 {p.weight}
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<button
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type="button"
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className="chip__x"
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aria-label={`移除 ${p.name}`}
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onClick={() => removePick(p.name)}
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>
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<Icon name="x" size={12} />
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</button>
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</span>
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))}
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</div>
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) : (
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<div className="hint" style={{ marginBottom: 14 }}>
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尚未选择因子 —— 在上方勾选并设置权重。
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</div>
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)}
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<div className="form-grid">
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<Field label="Top N">
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<input
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type="number"
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className="input"
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min={1}
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max={200}
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value={topN}
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onChange={(e) => setTopN(Number(e.target.value))}
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/>
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</Field>
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<Field label="调仓频率">
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<select
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className="input"
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value={rebalance}
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onChange={(e) => setRebalance(e.target.value as "monthly" | "weekly")}
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>
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<option value="monthly">月度</option>
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<option value="weekly">周度</option>
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</select>
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</Field>
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<Field label="开始日期">
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<input type="date" className="input" value={start} onChange={(e) => setStart(e.target.value)} />
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</Field>
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<Field label="结束日期">
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<input type="date" className="input" value={end} onChange={(e) => setEnd(e.target.value)} />
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</Field>
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<Field label="标的范围">
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<label className="row" style={{ gap: 6, color: "var(--text-2)", fontSize: 13, cursor: "pointer" }}>
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<input type="checkbox" checked={excludeSt} onChange={(e) => setExcludeSt(e.target.checked)} />
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剔除 ST
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</label>
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</Field>
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<Btn
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variant="primary"
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icon="play"
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loading={running}
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disabled={running || picks.length === 0}
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onClick={run}
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>
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{running ? "后台运行中…" : `回测组合(${picks.length} 个因子)`}
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</Btn>
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</div>
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{running ? (
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<div style={{ marginTop: 14 }}>
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<Progress
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value={30}
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label={
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<>
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任务 <span className="mono">{jobId || "排队中…"}</span> 后台执行中,完成后结果自动展示在本页。
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</>
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}
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/>
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</div>
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) : null}
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{error ? <div style={{ marginTop: 12 }}><Banner tone="error">{error}</Banner></div> : null}
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</Card>
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{result ? (
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<ResultView
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result={result}
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params={{ picks, topN, rebalance, excludeSt, start, end }}
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archiveId={archiveId}
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/>
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) : null}
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</>
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);
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}
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function ResultView({
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result,
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params,
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archiveId,
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}: {
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result: BacktestResult;
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params: { picks: Pick[]; topN: number; rebalance: string; excludeSt: boolean; start: string; end: string };
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archiveId?: string | null;
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}) {
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const s = result.summary;
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return (
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<>
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<div className="between" style={{ margin: "6px 0 14px" }}>
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<div className="row" style={{ flexWrap: "wrap", gap: 8 }}>
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<Pill tone="pos" icon="check">
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回测完成
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</Pill>
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<Pill tone="violet" icon="target">Top {params.topN}</Pill>
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<Pill>{params.rebalance === "monthly" ? "月度调仓" : "周度调仓"}</Pill>
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{params.excludeSt ? <Pill>剔除 ST</Pill> : null}
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<Pill>{params.start} ~ {params.end}</Pill>
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<Pill>{params.picks.length} 个因子</Pill>
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</div>
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<div className="row" style={{ fontSize: 22, fontWeight: 700 }}>
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区间收益 <Signed value={s.total_return_pct} suffix="%" />
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</div>
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</div>
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{/* 与「回测组合」共用同一个结果视图:买卖理由、因子曲线、放大入口都在那里,
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两处各写一份迟早出现「同一个结果两套图」的口径漂移 */}
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<BacktestResultView
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result={result}
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name="因子组合"
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archive={archiveId ? { id: archiveId } : undefined}
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/>
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</>
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);
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}
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