qlib/frontend/web/lib/chartSeries.ts

/**
 * 回测结果曲线 → 图表序列的**唯一构造处**。
 *
 * 为什么单独抽出来：同一条曲线会在三个地方出现 —— 回测结果页、归档详情页、
 * 以及「新页面放大」的 `/charts/{id}`。三处各写一份格式化逻辑，迟早出现
 * 「同一张图两个页面数值口径不一样」。这里把每类曲线的取数、颜色、数值格式、
 * 买卖点标注统一成函数，页面只管摆放。
 */

import type { LwFormatKey, LwSeries, LwMarker } from "@/components/charts/LwChart";
import { CHART, fmtNum } from "@/components/charts/theme";
import type { ActionRecord, BacktestResult, FactorCurve, SymbolCurve } from "@/lib/types";

/** 因子值的量纲说明与人读格式（"%" / "倍数" / "小数"，None = 无量纲） */
export function factorValueFormat(curve: FactorCurve): (v: number) => string {
  if (curve.unit === "%") return (v) => `${v.toFixed(3)}%`;
  if (curve.unit === "倍数") return (v) => `${v.toFixed(3)}×`;
  // 小数：原值 0.15 = 15% —— 图上按百分数显示更好读，但标签里会注明「原值为小数」
  if (curve.unit === "小数") return (v) => `${(v * 100).toFixed(2)}%`;
  return (v) => v.toFixed(4);
}

/**
 * 因子曲线的格式标识（给 Server Component 用）。
 *
 * 与 `factorValueFormat` 必须一致：两处定义同一件事会漂移，因此这里直接按 unit 分支，
 * 且在单测/自检里比对两者的输出。
 */
export function factorFormatKey(curve: FactorCurve): LwFormatKey {
  if (curve.unit === "%") return "pct3";
  if (curve.unit === "倍数") return "times3";
  if (curve.unit === "小数") return "frac-pct";
  return "auto4";
}

/** 因子曲线口径的完整说明（图上必须写，避免把「持仓加权平均」读成别的口径） */
export function factorCurveNote(curve: FactorCurve): string {
  const unitNote =
    curve.unit === "小数"
      ? "原值为小数（0.15 即 15%），图上按百分数显示"
      : curve.unit
        ? `单位：${curve.unit}`
        : "无量纲";
  const dir = curve.direction === "lower_is_better" ? "越低越好" : "越高越好";
  return (
    `口径：每个交易日**当日持仓按市值加权平均**的因子原始值（不做 z-score、不按方向取反），` +
    `空仓日不落点。${unitNote}；方向 ${dir}。`
  );
}

/** 因子曲线序列 */
export function factorSeries(curve: FactorCurve, index = 0): LwSeries {
  const colors = [CHART.accent, CHART.violet, CHART.pos, CHART.neg, CHART.amber];
  return {
    key: `factor-${curve.name}`,
    label: `${curve.label}（持仓加权）`,
    type: "line",
    lineWidth: 2,
    color: colors[index % colors.length],
    data: curve.points.map((p) => ({ time: p.date, value: p.value })),
    lastValueVisible: true,
  };
}

/** 同一日多次成交合并成一个标记（图上不叠字） */
export function portfolioMarkers(
  fills: ActionRecord[] | undefined,
  validDates?: Set<string>
): LwMarker[] {
  const byDate = new Map<string, { BUY: boolean; SELL: boolean }>();
  for (const f of fills ?? []) {
    if (validDates && !validDates.has(f.date)) continue;
    const cur = byDate.get(f.date) ?? { BUY: false, SELL: false };
    cur[f.signal] = true;
    byDate.set(f.date, cur);
  }
  const out: LwMarker[] = [];
  for (const [time, kinds] of byDate) {
    if (kinds.BUY) out.push({ time, kind: "BUY", text: "买" });
    if (kinds.SELL) out.push({ time, kind: "SELL", text: "卖" });
  }
  return out.sort((a, b) => (a.time < b.time ? -1 : 1));
}

export function equitySeries(result: BacktestResult): LwSeries[] {
  return [
    {
      key: "equity",
      label: "组合净值（元）",
      type: "area",
      color: CHART.pos,
      data: result.equity_curve.map((p) => ({ time: p.date, value: p.value })),
      lastValueVisible: true,
    },
  ];
}

export function drawdownSeries(result: BacktestResult): LwSeries[] {
  return [
    {
      key: "dd",
      label: "回撤（%）",
      type: "area",
      color: CHART.neg,
      data: result.drawdown.map((p) => ({ time: p.date, value: p.value })),
      lastValueVisible: true,
    },
  ];
}

export function symbolSeries(curve: SymbolCurve): LwSeries[] {
  return [
    {
      key: "sym",
      label: `${curve.symbol} 持仓期累计收益（%）`,
      type: "area",
      color: CHART.accent,
      data: curve.points.map((p) => ({ time: p.date, value: p.value })),
      lastValueVisible: true,
    },
  ];
}

export function symbolMarkers(curve: SymbolCurve): LwMarker[] {
  const dates = new Set(curve.points.map((p) => p.date));
  return (curve.marks ?? [])
    .filter((a) => dates.has(a.date))
    .map((a) => ({
      time: a.date,
      kind: a.signal,
      text: a.signal === "BUY" ? "买" : "卖",
    }));
}

/** 月度收益（柱状） */
export function monthlySeries(result: BacktestResult): LwSeries[] {
  return [
    {
      key: "monthly",
      label: "月度收益（%）",
      type: "bar",
      color: CHART.accent,
      data: result.monthly_returns.map((m) => ({
        time: `${m.year}-${String(m.month).padStart(2, "0")}-01`,
        value: m.return_pct,
      })),
      lastValueVisible: true,
    },
  ];
}

export const equityValueFormat = (v: number) => fmtNum(v);