Simon
23972e7063
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）。
163 lines
7.4 KiB
Python
163 lines
7.4 KiB
Python
"""B1-1 指数历史成分测试：Repository 快照与历史成分查询（Survivorship-free）、
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Universe.index_code 过滤接线（选股/回测只用 as_of 当日成分）。"""
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from __future__ import annotations
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from datetime import date
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from decimal import Decimal
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import pytest
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from app.domain.entities.index import IndexWeight
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from app.infrastructure.persistence.sqlalchemy.base import Base
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from app.infrastructure.persistence.sqlalchemy.repositories.index_impl import (
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SqlAlchemyIndexConstituentRepository,
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)
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from sqlalchemy import create_engine
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from sqlalchemy.orm import sessionmaker
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_CODE = "000300.SH"
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@pytest.fixture()
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def session(tmp_path):
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engine = create_engine(f"sqlite:///{tmp_path / 'idx.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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with Session() as s:
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yield s
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def _rows() -> list[IndexWeight]:
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# 2024-06 期成分：A,C（B 被剔除）；2024-11 期成分：A,B（C 新晋替换场景）
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return [
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IndexWeight(index_code=_CODE, index_name="沪深300", trade_date=date(2024, 6, 28),
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symbol="600000.SH", weight=Decimal("1.0")),
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IndexWeight(index_code=_CODE, index_name="沪深300", trade_date=date(2024, 6, 28),
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symbol="600002.SH", weight=Decimal("1.0")),
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IndexWeight(index_code=_CODE, index_name="沪深300", trade_date=date(2024, 11, 29),
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symbol="600000.SH", weight=Decimal("1.5")),
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IndexWeight(index_code=_CODE, index_name="沪深300", trade_date=date(2024, 11, 29),
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symbol="600001.SH", weight=Decimal("1.0")),
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]
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class TestIndexConstituentRepository:
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def test_upsert_and_members_at_history(self, session) -> None:
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repo = SqlAlchemyIndexConstituentRepository(session)
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assert repo.upsert_many(_rows()) == 4
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session.commit()
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# 2024-07（最近快照 2024-06）→ {A,C}；2025（最近 2024-11）→ {A,B}
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assert repo.members_at(_CODE, date(2024, 7, 15)) == {"600000.SH", "600002.SH"}
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assert repo.members_at(_CODE, date(2025, 1, 10)) == {"600000.SH", "600001.SH"}
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# 快照之前 → 空集（不返回未来成分）
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assert repo.members_at(_CODE, date(2024, 1, 1)) == set()
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assert repo.latest_date(_CODE) == date(2024, 11, 29)
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def test_upsert_idempotent(self, session) -> None:
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repo = SqlAlchemyIndexConstituentRepository(session)
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repo.upsert_many(_rows())
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session.commit()
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repo.upsert_many([_rows()[2]]) # 重复
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session.commit()
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assert len(repo.members_at(_CODE, date(2024, 12, 31))) == 2
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class TestUniverseIndexCodeFilter:
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def _build(self, tmp_path):
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engine = create_engine(f"sqlite:///{tmp_path / '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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from app.application.services.selection_service import SelectionService
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from app.domain.entities.market import Stock
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from app.infrastructure.persistence.sqlalchemy.repositories.market_impl import (
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SqlAlchemyDailyBarRepository,
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SqlAlchemyStockRepository,
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)
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from conftest_quant import bars_dataframe_to_daily_bars, synthetic_daily
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df = synthetic_daily(
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{"600000.SH": 0.008, "600001.SH": 0.006, "600002.SH": 0.004}, n=320
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)
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with Session() as session:
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SqlAlchemyStockRepository(session).upsert_many(
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[
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Stock(symbol="600000.SH", name="A", list_date=date(1999, 1, 1)),
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Stock(symbol="600001.SH", name="B", list_date=date(1999, 1, 1)),
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Stock(symbol="600002.SH", name="C", list_date=date(1999, 1, 1)),
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]
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)
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SqlAlchemyDailyBarRepository(session).upsert_many(bars_dataframe_to_daily_bars(df))
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SqlAlchemyIndexConstituentRepository(session).upsert_many(_rows())
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session.commit()
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svc = SelectionService(
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SqlAlchemyStockRepository(session),
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SqlAlchemyDailyBarRepository(session),
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index_repo=SqlAlchemyIndexConstituentRepository(session),
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)
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from app.domain.entities.research import UniverseSpec
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from app.domain.entities.selection import SelectionQuery
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# as_of=2024-10（成分 {A,C}）→ 只从 {A,C} 选，B 绝不进入
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q = SelectionQuery(
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universe=UniverseSpec(exclude_st=False, min_listing_days=0, index_code=_CODE),
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factors=[{"name": "momentum_60", "weight": 1.0}],
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top_n=2, as_of=date(2024, 10, 15),
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)
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res = svc.select(q)
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got = {c.symbol for c in res.candidates}
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assert got == {"600000.SH", "600002.SH"}
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# as_of=2025-01（成分 {A,B}）→ C 不再可入选
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q2 = SelectionQuery(
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universe=UniverseSpec(exclude_st=False, min_listing_days=0, index_code=_CODE),
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factors=[{"name": "momentum_60", "weight": 1.0}],
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top_n=2, as_of=date(2025, 1, 10),
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)
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res2 = svc.select(q2)
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assert {c.symbol for c in res2.candidates} == {"600000.SH", "600001.SH"}
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def test_index_code_filter(self, tmp_path) -> None:
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self._build(tmp_path)
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class TestDelistedUniverse:
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"""退市股的时点股票池语义（幸存者偏差修正的核心断言）。
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退市股必须在**退市日之前**纳入池子、退市之后排除；否则回测只剩「活下来的
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赢家」，收益被系统性高估（高股息策略尤其容易被股息陷阱的退市股反噬）。
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"""
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def _stock(self, symbol: str, list_date: date, delist_date: date | None):
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from app.domain.entities.market import Stock
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return Stock(
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symbol=symbol, name=f"测试{symbol}", list_date=list_date, delist_date=delist_date
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)
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def test_delisted_included_before_excluded_after(self) -> None:
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from app.domain.entities.research import UniverseSpec
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from app.quant.universe import filter_stocks
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stocks = [
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self._stock("600000.SH", date(1999, 11, 10), None),
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self._stock("000005.SZ", date(1990, 12, 10), date(2024, 4, 26)),
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]
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u = UniverseSpec(exclude_st=False, min_listing_days=0)
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before = {s.symbol for s in filter_stocks(stocks, u, as_of=date(2024, 1, 2))}
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after = {s.symbol for s in filter_stocks(stocks, u, as_of=date(2024, 6, 3))}
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on_delist_day = {s.symbol for s in filter_stocks(stocks, u, as_of=date(2024, 4, 26))}
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assert "000005.SZ" in before and "000005.SZ" not in after
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assert "000005.SZ" in on_delist_day # 退市日当天仍在（数据截至当日）
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assert "600000.SH" in before and "600000.SH" in after
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def test_st_name_excludes_regardless_of_period(self) -> None:
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"""已知局限：exclude_st 用**最新名称**判定，会把曾用名非 ST 的标的整段排除。"""
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from app.domain.entities.research import UniverseSpec
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from app.quant.universe import filter_stocks
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stocks = [self._stock("000005.SZ", date(1990, 12, 10), date(2024, 4, 26))]
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stocks[0].name = "ST星源(退)"
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u = UniverseSpec(exclude_st=True, min_listing_days=0)
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assert filter_stocks(stocks, u, as_of=date(2024, 1, 2)) == []
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u2 = UniverseSpec(exclude_st=False, min_listing_days=0)
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assert len(filter_stocks(stocks, u2, as_of=date(2024, 1, 2))) == 1
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