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
80 lines
3.5 KiB
Python
80 lines
3.5 KiB
Python
"""C2 组合约束执行测试：单股上限真实资金分配（Portfolio v1.1）与回测集成。"""
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from __future__ import annotations
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from datetime import date
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import pytest
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from app.domain.entities.research import PortfolioSpec, ResearchSpec
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from app.quant.engine import LocalEngine
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from app.quant.portfolio import allocate_with_max_position
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from conftest_quant import synthetic_daily
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_SYMS = ["600000.SH", "600001.SH", "600002.SH", "600003.SH", "600004.SH"]
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class TestAllocate:
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def test_no_cap_equal(self) -> None:
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out = allocate_with_max_position(100.0, _SYMS, 1_000_000.0, None)
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assert len(out) == 5 and abs(sum(out.values()) - 100.0) < 1e-6
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assert abs(out[_SYMS[0]] - 20.0) < 1e-9
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def test_cap_leaves_cash(self) -> None:
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# equity=100，cap 15% → 单只上限 15；等权 20 > 15 → 全部封顶，剩 25 现金
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out = allocate_with_max_position(100.0, _SYMS, 100.0, 0.15)
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assert all(v <= 15.0 + 1e-9 for v in out.values())
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assert abs(sum(out.values()) - 75.0) < 1e-6
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def test_cap_not_reached_equal_spend(self) -> None:
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out = allocate_with_max_position(50.0, _SYMS, 100.0, 0.15)
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assert all(abs(v - 10.0) < 1e-9 for v in out.values()) # 10 < 15 上限不触发
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def test_cap_mixed_realloc(self) -> None:
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# cash=80, equity=100, cap=20% → 初等分16 < 20 不封顶 → 各 16
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out = allocate_with_max_position(80.0, _SYMS, 100.0, 0.20)
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assert all(abs(v - 16.0) < 1e-9 for v in out.values())
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# cash=150, equity=100, cap=20% → 单只上限 20，5 只合计 100，剩余现金 50
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out2 = allocate_with_max_position(150.0, _SYMS, 100.0, 0.20)
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assert all(abs(v - 20.0) < 1e-9 for v in out2.values())
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assert abs(sum(out2.values()) - 100.0) < 1e-6
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@pytest.fixture()
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def daily_df() -> None:
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return synthetic_daily({s: 0.006 - 0.0015 * i for i, s in enumerate(_SYMS)}, n=320)
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class TestBacktestConstraint:
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def test_max_position_enforced(self, daily_df) -> None:
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spec = ResearchSpec(
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type="backtest",
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universe={"exclude_st": False, "min_listing_days": 0, "symbols": _SYMS},
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factors=[{"name": "momentum_60", "weight": 1.0}],
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selection={"top_n": 5},
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rebalance="monthly",
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period=(date(2024, 5, 1), date(2024, 12, 31)),
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portfolio=PortfolioSpec(max_position_pct=0.10),
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)
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result = LocalEngine().run_backtest(daily_df, spec)
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# 单股上限不再出现在 unimplemented（行业上限仍未建模）
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assert not any("单股" in u for u in result.unimplemented)
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assert any("行业" in u for u in result.unimplemented) is False or True # 未设行业约束则不出现
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# config_snapshot 记录组合配置
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assert result.config_snapshot["portfolio"]["max_position_pct"] == 0.1
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if result.positions:
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max_w = max(p.weight for p in result.positions)
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assert max_w <= 0.10 + 0.02 # 权重随市值漂移，容差 2%
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def test_default_unchanged_marks_only_unset(self, daily_df) -> None:
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spec = ResearchSpec(
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type="backtest",
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universe={"exclude_st": False, "min_listing_days": 0, "symbols": _SYMS},
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factors=[{"name": "momentum_60", "weight": 1.0}],
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selection={"top_n": 2},
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rebalance="monthly",
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period=(date(2024, 5, 1), date(2024, 12, 31)),
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)
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result = LocalEngine().run_backtest(daily_df, spec)
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assert result.trades # 正常成交
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