Simon
e9f59d3cf8
- domain：ResearchSpec（universe/factors/selection/rebalance/costs 校验）+ 标准化 BacktestResult / FactorTestReport - 因子引擎：注册表 + 元数据，内置 9 个行情因子（momentum/volatility/量比/乖离/反转），支持自定义注册；只用行情字段规避未来函数 - 评估：横截面 IC / RankIC（rank+pearson 免 scipy）/ ICIR / 分层收益 - 回测：TopK 等权低频，无未来函数记账（t 收盘成交、自 t+1 计收益），成本/涨跌停/停牌约束，未建模项显式写入 unimplemented（AGENT §24） - 引擎抽象 QuantEngine + LocalEngine（pandas 默认实现）；qlib_adapter 桥接占位 —— pyqlib 无 aarch64+cp312 wheel（ROADMAP 已备注） - 真实链路冒烟：600519 2024 月度动量回测闭环产出标准结果 - 测试 60 passed / ruff clean
49 lines
1.5 KiB
Python
49 lines
1.5 KiB
Python
"""研究引擎抽象与默认实现（业务层依赖本接口，可替换引擎）。
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切换引擎（如未来在支持平台启用 Qlib）只需注入不同实现 —— 业务代码不变。
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"""
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from __future__ import annotations
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from typing import Protocol
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import pandas as pd
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from app.domain.entities.research import BacktestResult, FactorTestReport, ResearchSpec
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from app.quant.local_engine import (
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TopKBacktestRunner,
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build_factor_panels,
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composite_score,
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run_spec_factor_test,
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)
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class QuantEngine(Protocol):
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"""研究引擎端口：因子面板构建 / 因子测试 / 回测。"""
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name: str
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def run_factor_test(
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self, daily: pd.DataFrame, spec: ResearchSpec, horizon_days: int = 21
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) -> FactorTestReport: ...
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def run_backtest(self, daily: pd.DataFrame, spec: ResearchSpec) -> BacktestResult: ...
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class LocalEngine:
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"""默认引擎：纯 pandas 实现（无 Qlib 依赖），见 local_engine.py 的纪律说明。"""
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name = "local"
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def run_factor_test(
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self, daily: pd.DataFrame, spec: ResearchSpec, horizon_days: int = 21
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) -> FactorTestReport:
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report, _panels = run_spec_factor_test(daily, spec, horizon_days)
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return report
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def run_backtest(self, daily: pd.DataFrame, spec: ResearchSpec) -> BacktestResult:
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panels = build_factor_panels(daily, spec.factors)
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score = composite_score(panels)
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close = daily.pivot(index="trade_date", columns="symbol", values="close").sort_index()
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return TopKBacktestRunner(spec, score, close).run()
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