- 因子元数据增加 brief 使用简介(后端 FactorDef + /api/factors 返回,9 个内置因子补齐文案) - 因子研究页: · 时间默认「今日 ~ 近 6 个月」 · 因子多选,逐个跑 IC/RankIC Job 并分卡展示报告 · 目录显示使用简介,行点击展开公式/方向/用法详解 · 新增计分规则说明与「去因子组合」入口 - 因子组合页 /factors/compose:多因子勾选+权重、组合得分规则说明(z-score×权重求和→TopN), 可配 topN/调仓/区间/ST,一键回测 Job → 净值/回撤/月度/未建模标注 - 回测页时间默认同样近 6 月 - 验证:tsc + next build 通过;组合回测(momentum_60×1.5 + volatility_60×1.0)Job 成功归档 EXP-330CAAAE(-13.51%,交易 20);后端 factors/research/api 相关测试通过 / ruff clean
261 lines
9.0 KiB
TypeScript
261 lines
9.0 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 { LineChart } from "@/components/LineChart";
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import { submitJob, waitJob } from "@/lib/jobs";
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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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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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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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apiGet<FactorMeta[]>("/factors")
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.then((list) => {
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setFactors(list);
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// 默认示例组合:中期动量(重)+ 低波动(防)
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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) => 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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}, []);
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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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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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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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} 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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<h1>因子组合</h1>
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<div className="card">
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<h2>组合方式(如何合成一个分数)</h2>
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<ol className="muted" style={{ margin: 0, paddingLeft: 18, lineHeight: 1.8 }}>
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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>
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(该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>综合得分 = Σ(权重 × 标准化后因子得分),得分越高越优先。</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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</div>
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<div className="card">
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<h2>选因子 + 设权重</h2>
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<table>
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<thead>
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<tr>
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<th></th>
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<th>因子</th>
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<th>方向</th>
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<th>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}>
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<td>
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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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/>
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</td>
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<td>{f.name}</td>
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<td>{f.direction === "higher_is_better" ? "高为好" : "低为好"}</td>
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<td>
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<input
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type="number"
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step="0.1"
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min="0.1"
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style={{ width: 80 }}
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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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/>
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</td>
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<td className="muted">{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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<div className="card">
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<h2>回测条件</h2>
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<div className="row">
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<label className="muted">
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Top N{" "}
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<input type="number" min={1} max={200} value={topN} onChange={(e) => setTopN(Number(e.target.value))} />
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</label>
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<label className="muted">
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调仓{" "}
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<select value={rebalance} onChange={(e) => setRebalance(e.target.value as "monthly" | "weekly")}>
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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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</label>
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<label className="muted">
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开始 <input type="date" value={start} onChange={(e) => setStart(e.target.value)} />
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</label>
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<label className="muted">
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结束 <input type="date" value={end} onChange={(e) => setEnd(e.target.value)} />
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</label>
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<label className="muted">
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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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<button className="primary" onClick={run} disabled={running}>
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{running ? "后台运行中…" : `回测组合(${picks.length} 个因子)`}
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</button>
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</div>
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{running && jobId && <div className="muted">任务 {jobId} 后台执行中,请稍候…</div>}
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{error && <div className="error">{error}</div>}
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</div>
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{result && <ResultView result={result} />}
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</>
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);
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}
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function ResultView({ result }: { result: BacktestResult }) {
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const s = result.summary;
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return (
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<>
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<div className="card">
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<h2>
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结果 · {s.total_return_pct.toFixed(2)}%{" "}
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<span className={s.total_return_pct >= 0 ? "good" : "bad"}>
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{s.total_return_pct >= 0 ? "▲" : "▼"}
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</span>
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</h2>
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<div className="stat-grid">
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<div className="stat">
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<div className="label">期末净值</div>
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<div className="value">{s.final_equity.toLocaleString()}</div>
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</div>
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<div className="stat">
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<div className="label">年化收益</div>
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<div className="value">{s.annual_return_pct.toFixed(2)}%</div>
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</div>
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<div className="stat">
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<div className="label">Sharpe</div>
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<div className="value">{s.sharpe.toFixed(2)}</div>
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</div>
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<div className="stat">
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<div className="label">最大回撤</div>
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<div className="value bad">{s.max_drawdown_pct.toFixed(2)}%</div>
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</div>
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<div className="stat">
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<div className="label">胜率</div>
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<div className="value">{s.win_rate_pct.toFixed(1)}%</div>
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</div>
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<div className="stat">
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<div className="label">交易 / 换手</div>
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<div className="value">{s.total_trades} / {s.avg_turnover_pct.toFixed(0)}%</div>
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</div>
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</div>
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<div style={{ marginTop: 10 }}>
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<LineChart title="净值曲线" data={result.equity_curve} color="#34d399" />
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</div>
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<LineChart title="回撤(%)" data={result.drawdown} color="#f87171" />
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</div>
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{result.monthly_returns.length > 0 && (
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<div className="card">
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<h2>月度收益(%)</h2>
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<table>
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<thead>
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<tr>
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<th>月份</th>
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<th>收益</th>
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</tr>
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</thead>
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<tbody>
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{result.monthly_returns.map((m) => (
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<tr key={`${m.year}-${m.month}`}>
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<td>{m.year}-{String(m.month).padStart(2, "0")}</td>
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<td className={m.return_pct >= 0 ? "good" : "bad"}>{m.return_pct.toFixed(2)}%</td>
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</tr>
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))}
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</tbody>
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</table>
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</div>
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)}
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<div className="card">
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<h2>未建模约束(如实标注)</h2>
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<ul className="muted">{result.unimplemented.map((u, i) => <li key={i}>{u}</li>)}</ul>
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</div>
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</>
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);
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}
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