Simon
67d3aa1349
- portfolio.allocate_with_max_position：无上限=等权（与原实现一致）；有上限=迭代 把超过 cap×当日组合市值的标的封顶并把剩余现金在其余标的中再分配，超出留现金 - TopKBacktestRunner 买入按约束分流（默认等权路径位级不变，回归数值保持） - unimplemented 只保留行业上限（依赖行业元数据注入，如实标注） - tests/test_portfolio_constraints.py（分配数值/封顶留现金/回测持仓权重≤上限+容差、 config_snapshot）+ 旧断言更新（单股不再标注）；全量 pytest 通过
71 lines
2.4 KiB
Python
71 lines
2.4 KiB
Python
"""Portfolio Engine（v2 §16）—— 组合构建模块（M8.2）。
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MVP：等权资金拆分（与既有 TopK 回测等权语义一致，行为收敛到本模块）；
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单股/行业上限等约束为预留字段，未建模时由回测器写入 unimplemented
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（禁止假装支持，AGENT.md §24）。
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"""
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from __future__ import annotations
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from app.domain.entities.research import PortfolioSpec
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def equal_weight_budget(cash: float, target_count: int) -> float:
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"""等权单标的预算：现金均分（target_count>0）。"""
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if target_count <= 0:
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return 0.0
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return cash / target_count
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def unimplemented_notes(portfolio: PortfolioSpec) -> list[str]:
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"""组合层未建模项说明（默认空；设置约束即显式标注）。
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max_position_pct 已建模（Portfolio v1.1 单股上限分配）；行业上限依赖行业元数据
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注入（v1.1 起仍标注未建模，禁止假装支持）。
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"""
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notes: list[str] = []
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if portfolio.max_industry_weight_pct is not None:
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notes.append(
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f"最大行业权重 {portfolio.max_industry_weight_pct:.0%} 约束未建模（需行业元数据注入）"
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)
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return notes
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def allocate_with_max_position(
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cash: float,
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targets: list[str],
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equity: float,
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max_position_pct: float | None,
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) -> dict[str, float]:
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"""按单股上限的等权资金分配（M9/C2，Portfolio v1.1）。
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- 无上限 → 现金均分（与原等权语义一致）
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- 有上限 cap：迭代把「均分份额超过 cap×equity」的标的封顶，剩余现金在其余标的中
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继续均分，直至收敛；未分配现金留在组合（现金管理）。
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"""
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n = len(targets)
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if n == 0:
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return {}
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if max_position_pct is None:
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return {t: cash / n for t in targets}
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cap_value = max_position_pct * equity
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if cap_value <= 0:
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return {t: 0.0 for t in targets}
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spend: dict[str, float] = {}
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left = cash
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pool = list(targets)
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while pool and left > 1e-6:
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share = left / len(pool)
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capped = [t for t in pool if share > cap_value + 1e-9]
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if not capped:
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for t in pool:
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spend[t] = share
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break
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for t in capped:
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spend[t] = cap_value
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left -= cap_value
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pool = [x for x in pool if x != t]
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for t in targets:
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spend.setdefault(t, 0.0)
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return spend
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