test(framework_v2): 添加配置系统测试和策略示例
配置文件: - rotation_global.yaml: 扁平化资产池配置示例，演示 group 策略分组 * 13 个标的覆盖 7 个策略分组（US_TECH, CN_GROWTH, JP_BROAD, EU_BROAD, HK_TECH, COMMODITY, FIXED_INCOME） * signal_source/trade_source 分离配置（跨市场场景） * 分散化选股配置示例（注释状态） * 默认使用 Flask API 数据源 测试用例: - test_flat_asset_pool.py: 7/7 测试通过 * 扁平配置加载验证 * 策略分组功能测试（by_group, groups, count） * 信号/交易标的获取（get_signal_codes, get_trade_codes） * 信号→交易映射（get_signal_to_trade_mapping） * 分散化配置验证 * 标的配置详情验证 - test_config.py: 配置加载器测试 - test_simple_rotation.py: 简单轮动策略端到端测试
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framework_v2/config/rotation_global.yaml
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268
framework_v2/config/rotation_global.yaml
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# 跨市场轮动策略配置（扁平化设计）
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#
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# 配置版本: 2.0.0
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# 最后更新: 2024-04-16
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# 策略名称: rotation_global
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# 描述: 全球资产大类轮动 - 扁平化资产池设计
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# ============================================================
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# 元数据
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# ============================================================
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metadata:
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version: "2.0.0"
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strategy: "rotation_global"
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description: "全球资产大类轮动策略 V2 - 扁平化资产池"
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last_updated: "2024-04-16"
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# ============================================================
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# 资产池配置（扁平化设计）
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# ============================================================
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asset_pools:
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assets:
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# ============================================================
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# 美股指数（通过 A 股 ETF 交易）
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# ============================================================
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"NDX":
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name: "纳指100"
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group: "US_TECH"
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signal_source: "NDX" # 纳指信号
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trade_source: "513100.SH" # A股ETF交易
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description: "纳斯达克100指数，科技股代表"
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"SPX":
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name: "标普500"
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group: "US_TECH"
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signal_source: "SPX"
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trade_source: "513500.SH"
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description: "标普500指数，美股大盘"
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# ============================================================
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# A股指数（直接交易 ETF）
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# ============================================================
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"399006.SZ":
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name: "创业板指"
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group: "CN_GROWTH"
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signal_source: "399006.SZ"
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trade_source: "159915.SZ"
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description: "创业板指数，成长股代表"
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"000300.SH":
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name: "沪深300"
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group: "CN_GROWTH"
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signal_source: "000300.SH"
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trade_source: "510300.SH"
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description: "沪深300指数，大盘蓝筹"
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"H30269.CSI":
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name: "中证红利低波"
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group: "CN_GROWTH"
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signal_source: "H30269.CSI"
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trade_source: "512890.SH"
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description: "红利低波指数，价值股代表"
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# ============================================================
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# 日本股市（通过 A 股 ETF 交易）
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# ============================================================
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"N225":
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name: "日经225"
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group: "JP_BROAD"
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signal_source: "N225"
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trade_source: "513520.SH"
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description: "日经225指数，日本股市"
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# ============================================================
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# 欧洲股市（通过 A 股 ETF 交易）
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# ============================================================
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"GDAXI":
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name: "德国DAX"
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group: "EU_BROAD"
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signal_source: "GDAXI"
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trade_source: "513030.SH"
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description: "德国DAX指数，欧洲股市"
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# ============================================================
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# 港股（通过 A 股 ETF 交易）
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# ============================================================
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"HSI":
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name: "恒生指数"
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group: "HK_TECH"
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signal_source: "HSI"
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trade_source: "159920.SZ"
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description: "恒生指数，香港股市"
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"HSTECH.HK":
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name: "恒生科技"
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group: "HK_TECH"
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signal_source: "HSTECH.HK"
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trade_source: "513130.SH"
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description: "恒生科技指数，港股科技"
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# ============================================================
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# 商品（国际期货信号 → A股ETF交易）
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# ============================================================
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"GC=F":
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name: "黄金"
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group: "COMMODITY"
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signal_source: "GC=F" # COMEX黄金期货
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trade_source: "518880.SH" # A股黄金ETF
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description: "COMEX黄金期货，避险资产"
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"CL=F":
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name: "原油"
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group: "COMMODITY"
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signal_source: "CL=F" # WTI原油期货
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trade_source: "160723.SZ" # A股原油基金
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description: "WTI原油期货，能源商品"
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"HG=F":
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name: "有色金属"
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group: "COMMODITY"
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signal_source: "HG=F" # COMEX铜期货
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trade_source: "159980.SZ" # A股有色ETF
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description: "COMEX铜期货，工业金属"
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# ============================================================
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# 固定收益（直接交易指数）
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# ============================================================
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"931862.CSI":
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name: "短债指数"
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group: "FIXED_INCOME"
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signal_source: "931862.CSI"
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trade_source: "931862.CSI" # 直接交易指数（无ETF）
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description: "中证0-9个月国债指数，久期<1年，防御配置"
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# ============================================================
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# 加密货币（未来扩展示例）
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# ============================================================
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# "BTC":
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# name: "比特币"
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# group: "CRYPTO"
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# signal_source: "BTC"
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# trade_source: "BTC"
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# description: "比特币，数字黄金"
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# ============================================================
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# 外汇（未来扩展示例）
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# ============================================================
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# "EURUSD":
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# name: "欧元/美元"
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# group: "FOREX"
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# signal_source: "EURUSD"
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# trade_source: "EURUSD"
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# description: "欧元/美元汇率"
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# ============================================================
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# 基准配置
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# ============================================================
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benchmark:
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code: "000300.SH"
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name: "沪深300"
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# ============================================================
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# 回测配置
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# ============================================================
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backtest:
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start_date: "2020-01-01"
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# end_date: null # null 表示至今
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# ============================================================
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# 因子配置
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# ============================================================
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factor:
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type: "weighted_momentum" # 因子类型: momentum / slope_r2 / weighted_momentum
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n_days: 25 # 动量窗口期（5-250天）
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# 动态周期参数（可选）
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auto_day: false # 是否启用动态周期
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min_days: 20 # 最小周期
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max_days: 60 # 最大周期
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# ============================================================
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# 轮动配置
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# ============================================================
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rotation:
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# ============================================================
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# 模式 1：全局选股（默认）
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# ============================================================
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select_num: 5 # 全局选 Top-5
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diversified: false # 不分散化
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# ============================================================
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# 模式 2：分散化选股（取消注释启用）
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# ============================================================
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# diversified: true # 启用分散化
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# diversification_groups: # 按市场分组选股
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# - group: "US_TECH"
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# select_num: 1 # 美股选 1 只
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# - group: "CN_GROWTH"
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# select_num: 1 # A股选 1 只
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# - group: "JP_BROAD"
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# select_num: 1 # 日本选 1 只
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# - group: "EU_BROAD"
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# select_num: 1 # 欧洲选 1 只
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# - group: "HK_TECH"
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# select_num: 1 # 港股选 1 只
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# - group: "COMMODITY"
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# select_num: 1 # 商品选 1 只
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# - group: "FIXED_INCOME"
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# select_num: 1 # 债券选 1 只
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# 阈值配置（统一 V2/V3）
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threshold:
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mode: "dynamic" # 阈值模式: fixed / dynamic
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fixed_value: 0.0 # 固定阈值（mode=fixed时使用）
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# 动态阈值配置（mode=dynamic时使用）
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dynamic:
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reference: "931862.CSI" # 参考标的（短债指数）
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ratio: 1.0 # 阈值 = 短债动量 × ratio
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fallback_enabled: true # 参考不可用时是否回退
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fallback_value: 0.0 # 回退值
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# ============================================================
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# 调仓配置
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# ============================================================
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rebalance:
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min_hold_days: 1 # 最低持有天数（1-30）
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score_threshold: 0.0 # 调仓得分阈值（0-0.5，表示%）
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trade_cost: 0.001 # 单次换仓成本（0-0.01，即 0.1%）
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# ============================================================
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# 溢价控制配置
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# ============================================================
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premium_control:
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enabled: true # 是否启用溢价控制
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default_threshold: 0.10 # 默认溢价阈值（10%）
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mode: "filter" # 控制模式: filter（排除）/ penalize（降权）
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penalty_factor: 0.5 # 降权惩罚系数
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# 按市场覆盖配置
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market_overrides:
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CN_EQUITY: # A股 ETF
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enabled: false # 不启用（溢价通常 < 0.5%）
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HK_EQUITY: # 港股 ETF
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enabled: true
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threshold: 0.10 # 阈值 10%
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US_EQUITY: # 美股 ETF
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enabled: true
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threshold: 0.10 # 阈值 10%
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JP_EQUITY: # 日本 ETF
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enabled: true
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threshold: 0.10 # 阈值 10%
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EU_EQUITY: # 欧洲 ETF
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enabled: true
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threshold: 0.10 # 阈值 10%
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COMMODITY: # 商品 ETF
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enabled: false # 不启用
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# ============================================================
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# 数据配置
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# ============================================================
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data:
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# 数据源列表（按优先级排序）
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sources:
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# 主数据源：Flask API
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- type: "flask_api"
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enabled: true
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url: "${FLASK_API_URL}" # 从环境变量读取
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timeout: 120
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285
framework_v2/tests/test_config.py
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285
framework_v2/tests/test_config.py
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"""
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测试配置加载和验证
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验证：
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1. 配置文件加载
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2. Pydantic Schema 验证
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3. 环境变量替换
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4. 错误处理
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"""
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import sys
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from pathlib import Path
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import os
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# 添加项目根目录到路径
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project_root = Path(__file__).parent.parent.parent
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if str(project_root) not in sys.path:
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sys.path.insert(0, str(project_root))
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from framework_v2.config import load_config, ConfigLoader
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from framework_v2.config.schemas import RotationStrategyConfig, MarketType
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def test_load_config():
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"""测试 1: 加载配置文件"""
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print("\n" + "=" * 70)
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print(" 测试 1: 加载配置文件")
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print("=" * 70)
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# 设置环境变量（模拟）
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os.environ['FLASK_API_URL'] = 'https://k3s.tokenpluse.xyz'
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os.environ['TUSHARE_TOKEN'] = 'test_token_123'
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# 加载配置
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config = load_config('rotation_example.yaml')
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print(f"\n✓ 配置加载成功")
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print(f" 版本: {config.metadata.version}")
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print(f" 策略: {config.metadata.strategy}")
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print(f" 资产池: {len(config.asset_pools.equity)} 股票, "
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f"{len(config.asset_pools.commodity)} 商品, "
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f"{len(config.asset_pools.fixed_income)} 债券")
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# 验证基本字段
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assert config.metadata.version == "1.0.0"
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assert config.factor.n_days == 25
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assert config.rotation.select_num == 3
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print("\n✓ 测试通过")
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def test_asset_pools():
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"""测试 2: 资产池配置"""
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print("\n" + "=" * 70)
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print(" 测试 2: 资产池配置")
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print("=" * 70)
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config = load_config('rotation_example.yaml')
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# 验证股票资产
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print(f"\n股票资产 ({len(config.asset_pools.equity)} 只):")
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for code, asset in config.asset_pools.equity.items():
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print(f" {code}: {asset.name} ({asset.market.value})")
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if asset.etf:
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print(f" ETF: {asset.etf}")
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# 验证商品资产
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print(f"\n商品资产 ({len(config.asset_pools.commodity)} 只):")
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for code, asset in config.asset_pools.commodity.items():
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print(f" {code}: {asset.name}")
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# 验证固定收益
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print(f"\n固定收益 ({len(config.asset_pools.fixed_income)} 只):")
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for code, asset in config.asset_pools.fixed_income.items():
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print(f" {code}: {asset.name} (ETF: {asset.etf})")
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# 验证市场类型
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assert config.asset_pools.equity["399006.SZ"].market == MarketType.CN_EQUITY
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assert config.asset_pools.equity["NDX"].market == MarketType.US_EQUITY
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assert config.asset_pools.commodity["GC=F"].market == MarketType.COMMODITY
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print("\n✓ 测试通过")
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def test_threshold_config():
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"""测试 3: 阈值配置"""
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print("\n" + "=" * 70)
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print(" 测试 3: 阈值配置")
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print("=" * 70)
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config = load_config('rotation_example.yaml')
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print(f"\n阈值模式: {config.rotation.threshold.mode}")
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print(f" 参考标的: {config.rotation.threshold.dynamic.reference}")
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print(f" 倍数: {config.rotation.threshold.dynamic.ratio}")
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print(f" 回退启用: {config.rotation.threshold.dynamic.fallback_enabled}")
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assert config.rotation.threshold.mode.value == "dynamic"
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assert config.rotation.threshold.dynamic.reference == "931862.CSI"
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print("\n✓ 测试通过")
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def test_data_sources():
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"""测试 4: 数据源配置"""
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print("\n" + "=" * 70)
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print(" 测试 4: 数据源配置")
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print("=" * 70)
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config = load_config('rotation_example.yaml')
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print(f"\n数据源 ({len(config.data.sources)} 个):")
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for i, source in enumerate(config.data.sources, 1):
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print(f" {i}. {source.type.value}")
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print(f" 启用: {source.enabled}")
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print(f" 超时: {source.timeout}s")
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if source.url:
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print(f" URL: {source.url}")
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# 验证环境变量替换
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flask_api_source = config.data.sources[0]
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assert flask_api_source.url == 'https://k3s.tokenpluse.xyz'
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print("\n✓ 测试通过")
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def test_validation_errors():
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"""测试 5: 验证错误处理"""
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print("\n" + "=" * 70)
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print(" 测试 5: 验证错误处理")
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print("=" * 70)
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# 测试 1: n_days 超出范围
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print("\n[5.1] 测试 n_days 超出范围...")
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try:
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from framework_v2.config.schemas import FactorConfig
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# n_days = 1000（超出 5-250 范围）
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invalid_config = {
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||||
"asset_pools": {"equity": {}, "commodity": {}, "fixed_income": {}},
|
||||
"benchmark": {"code": "000300.SH", "name": "沪深300"},
|
||||
"backtest": {"start_date": "2020-01-01"},
|
||||
"factor": {"n_days": 1000}, # 错误：超出范围
|
||||
"data": {
|
||||
"sources": [{"type": "flask_api", "url": "test"}]
|
||||
}
|
||||
}
|
||||
|
||||
RotationStrategyConfig(**invalid_config)
|
||||
print(" ✗ 应该抛出验证错误")
|
||||
assert False
|
||||
except Exception as e:
|
||||
print(f" ✓ 正确捕获验证错误: {type(e).__name__}")
|
||||
|
||||
# 测试 2: 缺少必需字段
|
||||
print("\n[5.2] 测试缺少必需字段...")
|
||||
try:
|
||||
invalid_config = {
|
||||
"asset_pools": {"equity": {}, "commodity": {}, "fixed_income": {}},
|
||||
# 缺少 benchmark
|
||||
"backtest": {"start_date": "2020-01-01"},
|
||||
"data": {
|
||||
"sources": [{"type": "flask_api", "url": "test"}]
|
||||
}
|
||||
}
|
||||
|
||||
RotationStrategyConfig(**invalid_config)
|
||||
print(" ✗ 应该抛出验证错误")
|
||||
assert False
|
||||
except Exception as e:
|
||||
print(f" ✓ 正确捕获验证错误: {type(e).__name__}")
|
||||
|
||||
# 测试 3: 环境变量未设置
|
||||
print("\n[5.3] 测试环境变量未设置...")
|
||||
try:
|
||||
# 删除环境变量
|
||||
old_value = os.environ.pop('FLASK_API_URL', None)
|
||||
|
||||
invalid_config = {
|
||||
"asset_pools": {"equity": {}, "commodity": {}, "fixed_income": {}},
|
||||
"benchmark": {"code": "000300.SH", "name": "沪深300"},
|
||||
"backtest": {"start_date": "2020-01-01"},
|
||||
"data": {
|
||||
"sources": [{"type": "flask_api", "url": "${FLASK_API_URL}"}]
|
||||
}
|
||||
}
|
||||
|
||||
RotationStrategyConfig(**invalid_config)
|
||||
print(" ✗ 应该抛出验证错误")
|
||||
assert False
|
||||
except ValueError as e:
|
||||
print(f" ✓ 正确捕获环境变量错误: {e}")
|
||||
finally:
|
||||
# 恢复环境变量
|
||||
if old_value:
|
||||
os.environ['FLASK_API_URL'] = old_value
|
||||
|
||||
print("\n✓ 测试通过")
|
||||
|
||||
|
||||
def test_env_substitution():
|
||||
"""测试 6: 环境变量替换"""
|
||||
print("\n" + "=" * 70)
|
||||
print(" 测试 6: 环境变量替换")
|
||||
print("=" * 70)
|
||||
|
||||
loader = ConfigLoader()
|
||||
|
||||
# 测试 1: 基本替换
|
||||
print("\n[6.1] 基本替换...")
|
||||
os.environ['TEST_VAR'] = 'test_value'
|
||||
|
||||
config = {
|
||||
"url": "${TEST_VAR}"
|
||||
}
|
||||
result = loader._substitute_env_vars(config)
|
||||
assert result["url"] == "test_value"
|
||||
print(f" ✓ ${{TEST_VAR}} → {result['url']}")
|
||||
|
||||
# 测试 2: 默认值
|
||||
print("\n[6.2] 默认值...")
|
||||
config = {
|
||||
"url": "${NON_EXISTENT_VAR:default_value}"
|
||||
}
|
||||
result = loader._substitute_env_vars(config)
|
||||
assert result["url"] == "default_value"
|
||||
print(f" ${{NON_EXISTENT_VAR:default_value}} → {result['url']}")
|
||||
|
||||
# 测试 3: 嵌套结构
|
||||
print("\n[6.3] 嵌套结构...")
|
||||
os.environ['API_URL'] = 'https://api.example.com'
|
||||
|
||||
config = {
|
||||
"data": {
|
||||
"sources": [
|
||||
{"url": "${API_URL}"}
|
||||
]
|
||||
}
|
||||
}
|
||||
result = loader._substitute_env_vars(config)
|
||||
assert result["data"]["sources"][0]["url"] == "https://api.example.com"
|
||||
print(f" ✓ 嵌套替换成功")
|
||||
|
||||
print("\n✓ 测试通过")
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
print("\n" + "=" * 70)
|
||||
print(" 配置加载和验证测试")
|
||||
print("=" * 70)
|
||||
|
||||
tests = [
|
||||
("加载配置文件", test_load_config),
|
||||
("资产池配置", test_asset_pools),
|
||||
("阈值配置", test_threshold_config),
|
||||
("数据源配置", test_data_sources),
|
||||
("验证错误处理", test_validation_errors),
|
||||
("环境变量替换", test_env_substitution),
|
||||
]
|
||||
|
||||
passed = 0
|
||||
failed = 0
|
||||
|
||||
for name, test_func in tests:
|
||||
try:
|
||||
test_func()
|
||||
passed += 1
|
||||
except Exception as e:
|
||||
print(f"\n✗ 测试失败: {name}")
|
||||
print(f" 错误: {e}")
|
||||
import traceback
|
||||
traceback.print_exc()
|
||||
failed += 1
|
||||
|
||||
print("\n" + "=" * 70)
|
||||
print(" 测试总结")
|
||||
print("=" * 70)
|
||||
print(f" ✓ 通过 - {passed}")
|
||||
if failed > 0:
|
||||
print(f" ✗ 失败 - {failed}")
|
||||
print(f"\n总计: {passed}/{passed + failed} 通过")
|
||||
print("=" * 70 + "\n")
|
||||
|
||||
if failed > 0:
|
||||
sys.exit(1)
|
||||
281
framework_v2/tests/test_flat_asset_pool.py
Normal file
281
framework_v2/tests/test_flat_asset_pool.py
Normal file
@@ -0,0 +1,281 @@
|
||||
"""
|
||||
测试扁平化资产池配置
|
||||
|
||||
验证：
|
||||
1. 扁平化配置加载
|
||||
2. 按市场分组
|
||||
3. 信号/交易标的获取
|
||||
4. 跨市场映射
|
||||
"""
|
||||
|
||||
import sys
|
||||
from pathlib import Path
|
||||
import os
|
||||
|
||||
# 添加项目根目录到路径
|
||||
project_root = Path(__file__).parent.parent
|
||||
if str(project_root) not in sys.path:
|
||||
sys.path.insert(0, str(project_root))
|
||||
|
||||
from framework_v2.config import load_config
|
||||
from framework_v2.config.schemas import GroupConfig
|
||||
|
||||
|
||||
def test_flat_config_load():
|
||||
"""测试 1: 加载扁平化配置"""
|
||||
print("\n" + "=" * 70)
|
||||
print(" 测试 1: 加载扁平化配置")
|
||||
print("=" * 70)
|
||||
|
||||
# 设置环境变量
|
||||
os.environ['FLASK_API_URL'] = 'https://k3s.tokenpluse.xyz'
|
||||
os.environ['TUSHARE_TOKEN'] = 'test_token'
|
||||
|
||||
# 加载配置
|
||||
config = load_config('rotation_global.yaml')
|
||||
|
||||
print(f"\n✓ 配置加载成功")
|
||||
print(f" 版本: {config.metadata.version}")
|
||||
print(f" 策略: {config.metadata.strategy}")
|
||||
print(f" 总标的数: {config.asset_pools.count()}")
|
||||
|
||||
# 验证基本字段
|
||||
assert config.metadata.version == "2.0.0"
|
||||
assert config.asset_pools.count() == 13 # 12 个标的
|
||||
|
||||
print("\n✓ 测试通过")
|
||||
|
||||
|
||||
def test_market_grouping():
|
||||
"""测试 2: 按市场分组"""
|
||||
print("\n" + "=" * 70)
|
||||
print(" 测试 2: 按市场分组")
|
||||
print("=" * 70)
|
||||
|
||||
config = load_config('rotation_global.yaml')
|
||||
|
||||
# 获取所有市场
|
||||
markets = config.asset_pools.groups
|
||||
print(f"\n市场类型 ({len(markets)} 个):")
|
||||
for market in markets:
|
||||
count = config.asset_pools.count(market)
|
||||
print(f" {market}: {count} 只")
|
||||
|
||||
# 按市场分组
|
||||
by_group = config.asset_pools.by_group
|
||||
print(f"\n市场分组:")
|
||||
for market, assets in by_group.items():
|
||||
print(f"\n {market} ({len(assets)} 只):")
|
||||
for code, asset in assets.items():
|
||||
print(f" {code}: {asset.name}")
|
||||
|
||||
# 验证市场数量
|
||||
assert len(markets) == 7 # US_TECH, CN_GROWTH, JP_BROAD, EU_BROAD, HK_TECH, COMMODITY, FIXED_INCOME # US_EQUITY, CN_EQUITY, JP_EQUITY, EU_EQUITY, HK_EQUITY, COMMODITY, FIXED_INCOME
|
||||
assert config.asset_pools.count('US_TECH') == 2
|
||||
assert config.asset_pools.count('CN_GROWTH') == 3
|
||||
assert config.asset_pools.count('COMMODITY') == 3
|
||||
assert config.asset_pools.count('FIXED_INCOME') == 1
|
||||
|
||||
print("\n✓ 测试通过")
|
||||
|
||||
|
||||
def test_signal_trade_codes():
|
||||
"""测试 3: 信号和交易标的"""
|
||||
print("\n" + "=" * 70)
|
||||
print(" 测试 3: 信号和交易标的")
|
||||
print("=" * 70)
|
||||
|
||||
config = load_config('rotation_global.yaml')
|
||||
|
||||
# 获取所有信号标的
|
||||
signal_codes = config.asset_pools.get_signal_codes()
|
||||
print(f"\n信号标的 (13 个):")
|
||||
for code in signal_codes:
|
||||
print(f" {code}")
|
||||
|
||||
# 获取所有交易标的
|
||||
trade_codes = config.asset_pools.get_trade_codes()
|
||||
print(f"\n交易标的 (13 个):")
|
||||
for code in trade_codes:
|
||||
print(f" {code}")
|
||||
|
||||
# 获取特定市场的信号标的
|
||||
us_signals = config.asset_pools.get_signal_codes('US_TECH')
|
||||
print(f"\n美股信号标的: {us_signals}")
|
||||
|
||||
# 验证
|
||||
assert len(signal_codes) == 13
|
||||
assert len(trade_codes) == 13
|
||||
assert 'NDX' in signal_codes
|
||||
assert '513100.SH' in trade_codes
|
||||
assert len(us_signals) == 2
|
||||
|
||||
print("\n✓ 测试通过")
|
||||
|
||||
|
||||
def test_signal_to_trade_mapping():
|
||||
"""测试 4: 信号→交易映射"""
|
||||
print("\n" + "=" * 70)
|
||||
print(" 测试 4: 信号→交易映射")
|
||||
print("=" * 70)
|
||||
|
||||
config = load_config('rotation_global.yaml')
|
||||
|
||||
# 获取映射
|
||||
mapping = config.asset_pools.get_signal_to_trade_mapping()
|
||||
|
||||
print(f"\n信号→交易映射:")
|
||||
for signal, trade in mapping.items():
|
||||
asset = config.asset_pools.assets.get(signal)
|
||||
cross_market = "✗" if asset.signal_source == asset.trade_source else "✓"
|
||||
print(f" {cross_market} {signal} → {trade}")
|
||||
|
||||
# 验证跨市场标的
|
||||
print(f"\n跨市场标的:")
|
||||
for code, asset in config.asset_pools.assets.items():
|
||||
if asset.is_cross_market:
|
||||
print(f" {code}: {asset.signal_source} → {asset.trade_source}")
|
||||
|
||||
# 验证映射
|
||||
assert mapping['NDX'] == '513100.SH'
|
||||
assert mapping['399006.SZ'] == '159915.SZ'
|
||||
assert mapping['GC=F'] == '518880.SH'
|
||||
assert mapping['931862.CSI'] == '931862.CSI' # 非跨市场
|
||||
|
||||
# 验证跨市场属性
|
||||
assert config.asset_pools.assets['NDX'].is_cross_market == True
|
||||
assert config.asset_pools.assets['931862.CSI'].is_cross_market == False
|
||||
|
||||
print("\n✓ 测试通过")
|
||||
|
||||
|
||||
def test_market_specific_mapping():
|
||||
"""测试 5: 特定市场映射"""
|
||||
print("\n" + "=" * 70)
|
||||
print(" 测试 5: 特定市场映射")
|
||||
print("=" * 70)
|
||||
|
||||
config = load_config('rotation_global.yaml')
|
||||
|
||||
# 获取美股映射
|
||||
us_mapping = config.asset_pools.get_signal_to_trade_mapping('US_TECH')
|
||||
print(f"\n美股映射:")
|
||||
for signal, trade in us_mapping.items():
|
||||
print(f" {signal} → {trade}")
|
||||
|
||||
# 获取商品映射
|
||||
commodity_mapping = config.asset_pools.get_signal_to_trade_mapping('COMMODITY')
|
||||
print(f"\n商品映射:")
|
||||
for signal, trade in commodity_mapping.items():
|
||||
print(f" {signal} → {trade}")
|
||||
|
||||
# 验证
|
||||
assert len(us_mapping) == 2
|
||||
assert len(commodity_mapping) == 3
|
||||
assert us_mapping['NDX'] == '513100.SH'
|
||||
assert commodity_mapping['GC=F'] == '518880.SH'
|
||||
|
||||
print("\n✓ 测试通过")
|
||||
|
||||
|
||||
def test_diversification_config():
|
||||
"""测试 6: 分散化配置"""
|
||||
print("\n" + "=" * 70)
|
||||
print(" 测试 6: 分散化配置")
|
||||
print("=" * 70)
|
||||
|
||||
config = load_config('rotation_global.yaml')
|
||||
|
||||
print(f"\n轮动配置:")
|
||||
print(f" 选股数量: {config.rotation.select_num}")
|
||||
print(f" 分散化: {config.rotation.diversified}")
|
||||
print(f" 分散化分组: {config.rotation.diversification_groups}")
|
||||
|
||||
# 验证默认配置（全局模式）
|
||||
assert config.rotation.select_num == 5
|
||||
assert config.rotation.diversified == False
|
||||
assert config.rotation.diversification_groups is None
|
||||
|
||||
print("\n✓ 测试通过")
|
||||
|
||||
|
||||
def test_asset_config_details():
|
||||
"""测试 7: 标的配置详情"""
|
||||
print("\n" + "=" * 70)
|
||||
print(" 测试 7: 标的配置详情")
|
||||
print("=" * 70)
|
||||
|
||||
config = load_config('rotation_global.yaml')
|
||||
|
||||
# 检查纳指配置
|
||||
ndx = config.asset_pools.assets['NDX']
|
||||
print(f"\n纳指100 配置:")
|
||||
print(f" 名称: {ndx.name}")
|
||||
print(f" 市场: {ndx.group}")
|
||||
print(f" 信号来源: {ndx.signal_source}")
|
||||
print(f" 交易来源: {ndx.trade_source}")
|
||||
print(f" 跨市场: {ndx.is_cross_market}")
|
||||
print(f" 描述: {ndx.description}")
|
||||
|
||||
# 检查短债配置
|
||||
bond = config.asset_pools.assets['931862.CSI']
|
||||
print(f"\n短债指数 配置:")
|
||||
print(f" 名称: {bond.name}")
|
||||
print(f" 市场: {bond.group}")
|
||||
print(f" 信号来源: {bond.signal_source}")
|
||||
print(f" 交易来源: {bond.trade_source}")
|
||||
print(f" 跨市场: {bond.is_cross_market}")
|
||||
|
||||
# 验证
|
||||
assert ndx.name == "纳指100"
|
||||
assert ndx.group == 'US_TECH'
|
||||
assert ndx.signal_source == "NDX"
|
||||
assert ndx.trade_source == "513100.SH"
|
||||
assert ndx.is_cross_market == True
|
||||
|
||||
assert bond.signal_source == bond.trade_source
|
||||
assert bond.is_cross_market == False
|
||||
|
||||
print("\n✓ 测试通过")
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
print("\n" + "=" * 70)
|
||||
print(" 扁平化资产池配置测试")
|
||||
print("=" * 70)
|
||||
|
||||
tests = [
|
||||
("加载扁平化配置", test_flat_config_load),
|
||||
("按市场分组", test_market_grouping),
|
||||
("信号和交易标的", test_signal_trade_codes),
|
||||
("信号→交易映射", test_signal_to_trade_mapping),
|
||||
("特定市场映射", test_market_specific_mapping),
|
||||
("分散化配置", test_diversification_config),
|
||||
("标的配置详情", test_asset_config_details),
|
||||
]
|
||||
|
||||
passed = 0
|
||||
failed = 0
|
||||
|
||||
for name, test_func in tests:
|
||||
try:
|
||||
test_func()
|
||||
passed += 1
|
||||
except Exception as e:
|
||||
print(f"\n✗ 测试失败: {name}")
|
||||
print(f" 错误: {e}")
|
||||
import traceback
|
||||
traceback.print_exc()
|
||||
failed += 1
|
||||
|
||||
print("\n" + "=" * 70)
|
||||
print(" 测试总结")
|
||||
print("=" * 70)
|
||||
print(f" ✓ 通过 - {passed}")
|
||||
if failed > 0:
|
||||
print(f" ✗ 失败 - {failed}")
|
||||
print(f"\n总计: {passed}/{passed + failed} 通过")
|
||||
print("=" * 70 + "\n")
|
||||
|
||||
if failed > 0:
|
||||
sys.exit(1)
|
||||
128
framework_v2/tests/test_simple_rotation.py
Normal file
128
framework_v2/tests/test_simple_rotation.py
Normal file
@@ -0,0 +1,128 @@
|
||||
"""
|
||||
测试简单轮动策略
|
||||
|
||||
验证完整流程：
|
||||
1. 配置加载
|
||||
2. 策略初始化
|
||||
3. 数据获取
|
||||
4. 因子计算
|
||||
5. 信号生成
|
||||
6. 回测执行
|
||||
"""
|
||||
|
||||
import sys
|
||||
from pathlib import Path
|
||||
import os
|
||||
|
||||
# 添加项目根目录到路径
|
||||
project_root = Path(__file__).parent.parent
|
||||
if str(project_root) not in sys.path:
|
||||
sys.path.insert(0, str(project_root))
|
||||
|
||||
from framework_v2.config import load_config
|
||||
from framework_v2.strategies.rotation.simple import SimpleRotationStrategy
|
||||
|
||||
|
||||
def test_simple_rotation():
|
||||
"""测试简单轮动策略完整流程"""
|
||||
|
||||
print("\n" + "=" * 70)
|
||||
print(" 简单轮动策略端到端测试")
|
||||
print("=" * 70)
|
||||
|
||||
# 设置环境变量
|
||||
os.environ['FLASK_API_URL'] = 'https://k3s.tokenpluse.xyz'
|
||||
|
||||
# 1. 加载配置
|
||||
print("\n[1/6] 加载配置...")
|
||||
config_path = Path(__file__).parent.parent / 'strategies' / 'rotation' / 'config_simple.yaml'
|
||||
config = load_config(str(config_path))
|
||||
print(f" ✓ 配置加载成功")
|
||||
print(f" 策略: {config.metadata.strategy}")
|
||||
print(f" 标的: {list(config.asset_pools.equity.keys())}")
|
||||
print(f" 回测: {config.backtest.start_date} ~ {config.backtest.end_date}")
|
||||
|
||||
# 2. 初始化策略
|
||||
print("\n[2/6] 初始化策略...")
|
||||
strategy = SimpleRotationStrategy(config)
|
||||
print(f" ✓ 策略初始化成功")
|
||||
print(f" 名称: {strategy.name}")
|
||||
print(f" 动量窗口: {config.factor.n_days} 天")
|
||||
print(f" 选股数量: {strategy.select_num}")
|
||||
|
||||
# 3. 获取数据
|
||||
print("\n[3/6] 获取数据...")
|
||||
codes = strategy.get_codes()
|
||||
print(f" 标的列表: {codes}")
|
||||
|
||||
data = strategy.get_data()
|
||||
print(f" ✓ 获取 {len(data)} 个标的")
|
||||
for code, df in data.items():
|
||||
print(f" {code}: {len(df)} 天 ({df.index[0].date()} ~ {df.index[-1].date()})")
|
||||
|
||||
# 4. 计算因子
|
||||
print("\n[4/6] 计算因子...")
|
||||
factors = strategy.compute_factors(data)
|
||||
print(f" ✓ 计算 {len(factors)} 个因子")
|
||||
for code, factor in factors.items():
|
||||
print(f" {code}: {len(factor)} 值, 范围 [{factor.min():.4f}, {factor.max():.4f}]")
|
||||
|
||||
# 5. 生成信号
|
||||
print("\n[5/6] 生成信号...")
|
||||
signals = strategy.generate_signals(factors)
|
||||
n_signals = signals.sum().sum()
|
||||
print(f" ✓ 生成 {signals.shape[0]} 个交易日信号")
|
||||
print(f" 总信号数: {n_signals}")
|
||||
print(f" 平均每日持仓: {signals.mean().mean():.2%}")
|
||||
|
||||
# 6. 仓位管理
|
||||
print("\n[6/6] 仓位管理...")
|
||||
positions = strategy.manage_positions(signals)
|
||||
print(f" ✓ 仓位分配完成")
|
||||
print(f" 权重和: {positions.sum(axis=1).mean():.2%}")
|
||||
|
||||
# 7. 执行回测
|
||||
print("\n执行回测...")
|
||||
result = strategy._execute_backtest(positions, data)
|
||||
|
||||
# 打印结果
|
||||
print("\n" + "=" * 70)
|
||||
print(" 回测结果")
|
||||
print("=" * 70)
|
||||
|
||||
metrics = result['metrics']
|
||||
print(f"\n 总收益率: {metrics['total_return']:.2%}")
|
||||
print(f" 年化收益: {metrics['annual_return']:.2%}")
|
||||
print(f" 最大回撤: {metrics['max_drawdown']:.2%}")
|
||||
print(f" 夏普比率: {metrics['sharpe_ratio']:.2f}")
|
||||
print(f" 交易天数: {metrics['n_days']}")
|
||||
|
||||
# 验证结果
|
||||
print("\n" + "=" * 70)
|
||||
print(" 验证")
|
||||
print("=" * 70)
|
||||
|
||||
assert metrics['total_return'] != 0, "总收益率不应为 0"
|
||||
print(" ✓ 总收益率有效")
|
||||
|
||||
assert len(result['equity_curve']) > 0, "净值曲线不应为空"
|
||||
print(" ✓ 净值曲线有效")
|
||||
|
||||
assert positions.sum(axis=1).max() <= 1.01, "权重和不应超过 100%"
|
||||
print(" ✓ 仓位权重有效")
|
||||
|
||||
print("\n" + "=" * 70)
|
||||
print(" ✓ 所有测试通过")
|
||||
print("=" * 70 + "\n")
|
||||
|
||||
return result
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
try:
|
||||
result = test_simple_rotation()
|
||||
except Exception as e:
|
||||
print(f"\n✗ 测试失败: {e}")
|
||||
import traceback
|
||||
traceback.print_exc()
|
||||
sys.exit(1)
|
||||
Reference in New Issue
Block a user