refactor: 归档旧代码,保留新框架结构

归档内容:
- core/ (数据源、因子计算、通用工具) → archive/legacy_core/
- strategies/rotation/engine.py, portfolio.py, report.py → archive/legacy_core/
- scripts/ (run_rotation, daily_scheduler) → archive/legacy_scripts/
- examples/ → archive/legacy_examples/
- tests/ (实验、对比测试) → archive/legacy_tests/
- 单独文件 (fetch_*.py, 动量.py, 全球市场.py等) → archive/single_files/

保留新结构:
- framework/ (抽象接口)
- strategies/shared/ (定制组件)
- strategies/rotation/strategy.py (新策略)
- 外层配置: .env, .dockerignore, build-and-push.sh, hk_ecs.pem, README.md, requirements.txt
- Docker相关: Dockerfile, Dockerfile_base, docker-compose.yml

更新README反映新框架架构
This commit is contained in:
2026-05-11 23:34:23 +08:00
parent f663d51b87
commit 1fca536c95
61 changed files with 221 additions and 159 deletions

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#!/usr/bin/env python3
"""
ETF轮动策略回测入口
用法:
python scripts/run_rotation.py
python scripts/run_rotation.py --config config/strategies/rotation.yaml
"""
import sys
import time
import yaml
import argparse
from pathlib import Path
# 添加项目根目录到路径
project_root = Path(__file__).parent.parent
sys.path.insert(0, str(project_root))
from strategies.rotation.engine import RotationStrategy
from strategies.rotation.portfolio import track_positions, save_trades
from strategies.rotation.report import generate_performance_report
from config.settings import DEFAULT_CODE_NAME_MAP, DEFAULT_BENCHMARK_NAME
def load_config(config_path: str) -> dict:
"""加载配置文件"""
with open(config_path, "r", encoding="utf-8") as f:
return yaml.safe_load(f)
def main():
parser = argparse.ArgumentParser(description="ETF轮动策略回测")
parser.add_argument(
"--config",
type=str,
default="config/strategies/rotation.yaml",
help="配置文件路径",
)
parser.add_argument(
"--save-path",
type=str,
default="results/report",
help="报告保存路径前缀",
)
args = parser.parse_args()
start_time = time.time()
print("=" * 60)
print(" ETF轮动策略 回测系统")
print("=" * 60)
# 加载配置
config = load_config(args.config)
# 如果未设置 end_date默认使用最新日期
if not config.get('end_date'):
from datetime import datetime
config['end_date'] = datetime.now().strftime('%Y-%m-%d')
# 从配置中读取 code_list新的配置格式{代码: {name, etf, market}}
code_list_config = config.get('code_list', {})
# 提取代码列表和名称映射
if isinstance(code_list_config, dict):
code_list = list(code_list_config.keys())
# 构建 code_name_map: {代码: 名称}
code_name_map = {}
for code, cfg in code_list_config.items():
if isinstance(cfg, dict):
code_name_map[code] = cfg.get('name', code)
else:
# 兼容旧格式
code_name_map[code] = cfg
else:
# 兼容旧格式(列表)
code_list = code_list_config
code_name_map = DEFAULT_CODE_NAME_MAP
code_list_config = {}
benchmark_config = config.get('benchmark', {})
benchmark_name = benchmark_config.get('name', DEFAULT_BENCHMARK_NAME)
print(f"\n配置文件: {args.config}")
print(f"候选标的: {len(code_list)}")
# 统计ETF映射情况
etf_count = sum(1 for cfg in code_list_config.values() if isinstance(cfg, dict) and cfg.get('etf'))
crypto_count = sum(1 for cfg in code_list_config.values() if isinstance(cfg, dict) and cfg.get('market') == 'CRYPTO')
print(f" - ETF映射: {etf_count}")
print(f" - 直接交易: {crypto_count} 只(加密货币)")
print(f"回测区间: {config['start_date']} ~ {config['end_date']}")
print(f"因子类型: {config['factor_type']}")
print(f"窗口天数: {config['n_days']}")
print(f"选中数量: {config['select_num']}")
print(f"调仓周期: {config['rebalance_days']}")
print(f"交易成本: {config['trade_cost']:.2%}")
# 保持 config 中的 code_list 为完整配置格式(用于引擎内部解析)
# 不需要修改 config['code_list'],引擎会直接使用原始配置
# 创建策略实例
strategy = RotationStrategy(config)
# 运行回测
print("\n" + "=" * 60)
print("开始回测...")
print("=" * 60)
backtest_result = strategy.run()
# 持仓跟踪
print("\n" + "=" * 60)
print("持仓跟踪...")
print("=" * 60)
trades_df, summary_df = track_positions(
backtest_result,
code_name_map=code_name_map,
select_num=config["select_num"],
)
save_trades(trades_df, summary_df, save_path=args.save_path)
# 生成绩效报告
print("\n" + "=" * 60)
print("生成绩效报告...")
print("=" * 60)
metrics = generate_performance_report(
backtest_result,
strategy.valid_codes,
code_name_map=code_name_map,
benchmark_name=benchmark_name,
save_path=args.save_path,
select_num=config["select_num"],
code_config=code_list_config, # 传入完整配置以显示ETF映射
index_data=strategy.index_data, # 传入指数数据
etf_price_data=strategy.etf_data, # 传入ETF价格数据
etf_nav_data_raw=strategy.etf_nav_data, # 传入ETF净值数据
)
elapsed = time.time() - start_time
print(f"\n总耗时: {elapsed:.1f}")
return metrics
if __name__ == "__main__":
main()