From 341611c32b337faa7044ba6d4d24fcaa0852279c Mon Sep 17 00:00:00 2001
From: aszerW <aszer27937@gmail.com>
Date: Sun, 24 May 2026 14:25:25 +0800
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- 使用 Pydantic Schema 验证配置类型安全
- 实现扁平化 AssetPool，移除预设分类（equity/commodity/fixed_income）
- 移除 MarketType 枚举，改用 group 字符串字段实现策略分组
- AssetConfig 引入 signal_source/trade_source 分离，支持跨市场场景
- ConfigLoader 支持通用 StrategyConfig，向后兼容 RotationStrategyConfig
- 新增 GroupConfig 替代 MarketGroupConfig，支持分散化选股

重构核心：
- market → group（策略分组语义，组内竞争强制分散）
- by_market → by_group
- MarketGroupConfig → GroupConfig
---
 framework_v2/config/__init__.py |  72 ++++++
 framework_v2/config/loader.py   | 247 ++++++++++++++++++
 framework_v2/config/schemas.py  | 444 ++++++++++++++++++++++++++++++++
 3 files changed, 763 insertions(+)
 create mode 100644 framework_v2/config/__init__.py
 create mode 100644 framework_v2/config/loader.py
 create mode 100644 framework_v2/config/schemas.py

diff --git a/framework_v2/config/__init__.py b/framework_v2/config/__init__.py
new file mode 100644
index 0000000..e8111e1
--- /dev/null
+++ b/framework_v2/config/__init__.py
@@ -0,0 +1,72 @@
+"""
+配置模块
+
+提供配置加载、验证、管理功能
+"""
+
+from framework_v2.config.schemas import (
+    # 完整配置
+    RotationStrategyConfig,
+    StrategyConfig,  # 通用配置
+    
+    # 子配置
+    AssetPool,
+    AssetConfig,
+    PremiumConfig,
+    GroupConfig,
+    FactorConfig,
+    RotationConfig,
+    ThresholdConfig,
+    DynamicThresholdConfig,
+    RebalanceConfig,
+    PremiumControlConfig,
+    DataConfig,
+    DataSourceConfig,
+    BenchmarkConfig,
+    BacktestConfig,
+    MetadataConfig,
+    
+    # 枚举（已移除 MarketType，改用字符串 group）
+    FactorType,
+    PremiumMode,
+    ThresholdMode,
+    DataSourceType,
+)
+
+from framework_v2.config.loader import (
+    ConfigLoader,
+    get_config_loader,
+    load_config,
+)
+
+__all__ = [
+    # 配置 Schema
+    'RotationStrategyConfig',
+    'StrategyConfig',
+    'AssetPool',
+    'AssetConfig',
+    'PremiumConfig',
+    'GroupConfig',
+    'FactorConfig',
+    'RotationConfig',
+    'ThresholdConfig',
+    'DynamicThresholdConfig',
+    'RebalanceConfig',
+    'PremiumControlConfig',
+    'DataConfig',
+    'DataSourceConfig',
+    'BenchmarkConfig',
+    'BacktestConfig',
+    'MetadataConfig',
+    
+    # 枚举（已移除 MarketType，改用字符串 group）
+    'FactorType',
+    'PremiumMode',
+    'ThresholdMode',
+    'DataSourceType',
+    
+    # 加载器
+    'ConfigLoader',
+    'get_config_loader',
+    'load_config',
+]
diff --git a/framework_v2/config/loader.py b/framework_v2/config/loader.py
new file mode 100644
index 0000000..772d5e6
--- /dev/null
+++ b/framework_v2/config/loader.py
@@ -0,0 +1,247 @@
+"""
+配置加载器
+
+支持：
+1. YAML 配置文件加载
+2. Pydantic Schema 验证
+3. 环境变量替换
+4. 配置合并（默认值 + 用户配置）
+"""
+
+import os
+import re
+import yaml
+from pathlib import Path
+from typing import Optional, Dict, Any
+
+from framework_v2.config.schemas import StrategyConfig, RotationStrategyConfig
+
+
+class ConfigLoader:
+    """
+    配置加载器
+    
+    用法:
+        loader = ConfigLoader()
+        config = loader.load('config/rotation.yaml')
+    """
+    
+    def __init__(self, config_dir: str = None):
+        """
+        初始化
+        
+        Args:
+            config_dir: 配置目录（默认 framework_v2/config）
+        """
+        if config_dir is None:
+            # 默认配置目录
+            config_dir = Path(__file__).parent
+        
+        self.config_dir = Path(config_dir)
+    
+    def load(self, config_file: str, config_type: str = 'strategy') -> StrategyConfig:
+        """
+        加载配置文件
+        
+        Args:
+            config_file: 配置文件路径（相对路径或绝对路径）
+            config_type: 配置类型（'strategy' 或 'rotation'）
+        
+        Returns:
+            验证后的配置对象
+        
+        示例:
+            >>> loader = ConfigLoader()
+            >>> config = loader.load('rotation_example.yaml')
+            >>> print(config.factor.n_days)
+            25
+        """
+        # 1. 解析文件路径
+        config_path = self._resolve_path(config_file)
+        
+        # 2. 读取 YAML
+        with open(config_path, 'r', encoding='utf-8') as f:
+            config_dict = yaml.safe_load(f)
+        
+        # 3. 环境变量替换
+        config_dict = self._substitute_env_vars(config_dict)
+        
+        # 4. Pydantic 验证（根据类型选择 Schema）
+        if config_type == 'rotation':
+            # 兼容旧版本：轮动策略专用配置
+            config = RotationStrategyConfig(**config_dict)
+        else:
+            # 通用策略配置（推荐）
+            config = StrategyConfig(**config_dict)
+        
+        return config
+    
+    def load_dict(self, config_dict: Dict[str, Any], config_type: str = 'strategy') -> StrategyConfig:
+        """
+        从字典加载配置
+        
+        Args:
+            config_dict: 配置字典
+            config_type: 配置类型（'strategy' 或 'rotation'）
+        
+        Returns:
+            验证后的配置对象
+        """
+        # 环境变量替换
+        config_dict = self._substitute_env_vars(config_dict)
+        
+        # Pydantic 验证（根据类型选择 Schema）
+        if config_type == 'rotation':
+            config = RotationStrategyConfig(**config_dict)
+        else:
+            config = StrategyConfig(**config_dict)
+        
+        return config
+    
+    def _resolve_path(self, config_file: str) -> Path:
+        """
+        解析配置文件路径
+        
+        Args:
+            config_file: 配置文件路径
+        
+        Returns:
+            绝对路径
+        """
+        path = Path(config_file)
+        
+        # 如果是绝对路径，直接返回
+        if path.is_absolute():
+            if not path.exists():
+                raise FileNotFoundError(f"配置文件不存在: {path}")
+            return path
+        
+        # 相对路径：先在配置目录查找
+        config_path = self.config_dir / path
+        if config_path.exists():
+            return config_path
+        
+        # 然后在当前工作目录查找
+        cwd_path = Path.cwd() / path
+        if cwd_path.exists():
+            return cwd_path
+        
+        raise FileNotFoundError(
+            f"配置文件未找到: {path}\n"
+            f"搜索路径:\n"
+            f"  - {config_path}\n"
+            f"  - {cwd_path}"
+        )
+    
+    def _substitute_env_vars(self, config: Any) -> Any:
+        """
+        替换配置中的环境变量
+        
+        支持格式：
+        - ${VAR_NAME}
+        - ${VAR_NAME:default_value}
+        
+        Args:
+            config: 配置对象（dict/list/str）
+        
+        Returns:
+            替换后的配置
+        """
+        if isinstance(config, dict):
+            return {
+                key: self._substitute_env_vars(value)
+                for key, value in config.items()
+            }
+        elif isinstance(config, list):
+            return [
+                self._substitute_env_vars(item)
+                for item in config
+            ]
+        elif isinstance(config, str):
+            # 匹配 ${VAR_NAME} 或 ${VAR_NAME:default}
+            pattern = r'\$\{([^}]+)\}'
+            
+            def replace_match(match):
+                var_expr = match.group(1)
+                
+                # 检查是否有默认值
+                if ':' in var_expr:
+                    var_name, default = var_expr.split(':', 1)
+                else:
+                    var_name = var_expr
+                    default = None
+                
+                # 从环境变量读取
+                value = os.getenv(var_name)
+                
+                if value is None:
+                    if default is not None:
+                        return default
+                    else:
+                        raise ValueError(
+                            f"环境变量未设置: {var_name}\n"
+                            f"请设置环境变量或在配置中使用默认值: ${{{var_name}:default_value}}"
+                        )
+                
+                return value
+            
+            return re.sub(pattern, replace_match, config)
+        else:
+            return config
+    
+    def get_available_configs(self) -> list:
+        """
+        获取可用的配置文件列表
+        
+        Returns:
+            配置文件名列表
+        """
+        if not self.config_dir.exists():
+            return []
+        
+        return [
+            f.name
+            for f in self.config_dir.glob('*.yaml')
+            if f.is_file()
+        ]
+
+
+# 全局实例
+_config_loader: Optional[ConfigLoader] = None
+
+
+def get_config_loader(config_dir: str = None) -> ConfigLoader:
+    """
+    获取配置加载器单例
+    
+    Args:
+        config_dir: 配置目录
+    
+    Returns:
+        ConfigLoader 实例
+    """
+    global _config_loader
+    
+    if _config_loader is None:
+        _config_loader = ConfigLoader(config_dir)
+    
+    return _config_loader
+
+
+def load_config(config_file: str, config_type: str = 'strategy') -> StrategyConfig:
+    """
+    快捷函数：加载配置文件
+    
+    Args:
+        config_file: 配置文件路径
+        config_type: 配置类型（'strategy' 或 'rotation'）
+    
+    Returns:
+        验证后的配置对象
+    
+    示例:
+        >>> from framework_v2.config import load_config
+        >>> config = load_config('rotation_example.yaml')
+    """
+    loader = get_config_loader()
+    return loader.load(config_file, config_type=config_type)
diff --git a/framework_v2/config/schemas.py b/framework_v2/config/schemas.py
new file mode 100644
index 0000000..cbf02c1
--- /dev/null
+++ b/framework_v2/config/schemas.py
@@ -0,0 +1,444 @@
+"""
+配置 Schema 定义
+
+使用 Pydantic 验证配置文件的类型安全
+"""
+
+from pydantic import BaseModel, Field, field_validator, model_validator
+from typing import Optional, Dict, List, Literal
+from enum import Enum
+from datetime import date
+
+
+# ============================================================
+# 枚举类型
+# ============================================================
+
+# 注意：不再使用 MarketType 枚举，改用字符串类型的 group 字段
+# group 字段用于策略分组（组内竞争，强制分散）
+
+
+class FactorType(str, Enum):
+    """因子类型枚举"""
+    MOMENTUM = "momentum"
+    SLOPE_R2 = "slope_r2"
+    WEIGHTED_MOMENTUM = "weighted_momentum"
+
+
+class PremiumMode(str, Enum):
+    """溢价控制模式"""
+    FILTER = "filter"                 # 完全排除
+    PENALIZE = "penalize"             # 降权
+
+
+class ThresholdMode(str, Enum):
+    """阈值模式"""
+    FIXED = "fixed"                   # 固定阈值
+    DYNAMIC = "dynamic"               # 动态阈值
+
+
+class DataSourceType(str, Enum):
+    """数据源类型"""
+    FLASK_API = "flask_api"
+    TUSHARE = "tushare"
+    YFINANCE = "yfinance"
+
+
+# ============================================================
+# 资产池 Schema（扁平化设计）
+# ============================================================
+
+class PremiumConfig(BaseModel):
+    """溢价控制配置"""
+    enabled: bool = Field(default=True, description="是否启用")
+    threshold: float = Field(default=0.10, ge=0, le=1.0, description="溢价阈值")
+
+
+class AssetConfig(BaseModel):
+    """
+    标的配置（通用，支持所有场景）
+    
+    场景 1：指数信号 → 指数收益
+      signal_source: "NDX"
+      trade_source: "NDX"
+    
+    场景 2：指数信号 → ETF收益
+      signal_source: "NDX"
+      trade_source: "513100.SH"
+    
+    场景 3：ETF信号 → ETF收益
+      signal_source: "518880.SH"
+      trade_source: "518880.SH"
+    
+    场景 4：个股信号 → 个股收益
+      signal_source: "AAPL"
+      trade_source: "AAPL"
+    """
+    name: str = Field(..., description="标的名称")
+    group: str = Field(..., description="策略分组（组内竞争，强制分散）")
+    
+    # 核心字段：信号来源和交易来源
+    signal_source: str = Field(..., description="信号来源代码（计算因子用）")
+    trade_source: str = Field(..., description="交易来源代码（计算收益用）")
+    
+    # 可选字段
+    description: Optional[str] = Field(None, description="标的描述")
+    etf: Optional[str] = Field(None, description="ETF代码（兼容旧配置）")
+    premium_control: Optional["PremiumConfig"] = Field(None, description="溢价控制配置")
+    
+    @property
+    def is_cross_market(self) -> bool:
+        """是否跨市场（信号和交易不同）"""
+        return self.signal_source != self.trade_source
+
+
+class AssetPool(BaseModel):
+    """
+    资产池（扁平化设计）
+    
+    优势：
+    1. 不预设分类，支持任意策略分组
+    2. 通过 group 字段自动分组
+    3. 配置简单直观
+    4. 易于扩展新分组
+    
+    示例:
+        asset_pool:
+          assets:
+            "NDX":
+              name: "纳指100"
+              group: "US_TECH"
+              signal_source: "NDX"
+              trade_source: "513100.SH"
+            
+            "BTC":
+              name: "比特币"
+              group: "CRYPTO"
+              signal_source: "BTC"
+              trade_source: "BTC"
+    """
+    assets: Dict[str, AssetConfig] = Field(
+        default_factory=dict,
+        description="所有标的（flat结构）"
+    )
+    
+    @property
+    def by_group(self) -> Dict[str, Dict[str, AssetConfig]]:
+        """按策略分组"""
+        groups = {}
+        for code, asset in self.assets.items():
+            group = asset.group
+            if group not in groups:
+                groups[group] = {}
+            groups[group][code] = asset
+        return groups
+    
+    @property
+    def groups(self) -> list:
+        """获取所有策略分组"""
+        return list(self.by_group.keys())
+    
+    def get_signal_codes(self, group: str = None) -> list:
+        """
+        获取信号标的
+        
+        Args:
+            group: 可选，过滤特定分组（如 'US_TECH'）
+        """
+        if group:
+            return [
+                asset.signal_source 
+                for asset in self.assets.values()
+                if asset.group == group
+            ]
+        return [asset.signal_source for asset in self.assets.values()]
+    
+    def get_trade_codes(self, group: str = None) -> list:
+        """获取交易标的"""
+        if group:
+            return [
+                asset.trade_source 
+                for asset in self.assets.values()
+                if asset.group == group
+            ]
+        return [asset.trade_source for asset in self.assets.values()]
+    
+    def get_signal_to_trade_mapping(self, group: str = None) -> Dict[str, str]:
+        """获取信号→交易映射"""
+        mapping = {}
+        for asset in self.assets.values():
+            if group and asset.group != group:
+                continue
+            mapping[asset.signal_source] = asset.trade_source
+        return mapping
+    
+    def count(self, group: str = None) -> int:
+        """获取标的数量"""
+        if group:
+            return len([a for a in self.assets.values() if a.group == group])
+        return len(self.assets)
+    
+    @field_validator('assets')
+    @classmethod
+    def check_non_empty(cls, v):
+        """至少配置一个标的"""
+        if not v:
+            import warnings
+            warnings.warn("资产池为空")
+        return v
+
+
+# ============================================================
+# 因子配置 Schema
+# ============================================================
+
+class FactorConfig(BaseModel):
+    """因子配置"""
+    type: FactorType = Field(default=FactorType.WEIGHTED_MOMENTUM, description="因子类型")
+    n_days: int = Field(default=25, ge=5, le=250, description="动量窗口期（天数）")
+    
+    # 动态周期参数
+    auto_day: bool = Field(default=False, description="是否启用动态周期")
+    min_days: int = Field(default=20, ge=5, le=100, description="最小周期")
+    max_days: int = Field(default=60, ge=20, le=250, description="最大周期")
+
+
+# ============================================================
+# 阈值配置 Schema
+# ============================================================
+
+class DynamicThresholdConfig(BaseModel):
+    """动态阈值配置"""
+    reference: str = Field(..., description="参考标的代码")
+    ratio: float = Field(default=1.0, gt=0, description="倍数")
+    fallback_enabled: bool = Field(default=True, description="参考不可用时是否回退")
+    fallback_value: float = Field(default=0.0, description="回退值")
+
+
+class ThresholdConfig(BaseModel):
+    """阈值配置（统一 V2/V3）"""
+    mode: ThresholdMode = Field(default=ThresholdMode.DYNAMIC, description="阈值模式")
+    fixed_value: float = Field(default=0.0, description="固定阈值（mode=fixed时使用）")
+    dynamic: Optional[DynamicThresholdConfig] = Field(None, description="动态阈值（mode=dynamic时使用）")
+    
+    @model_validator(mode='after')
+    def validate_dynamic_config(self):
+        """验证动态阈值配置"""
+        if self.mode == ThresholdMode.DYNAMIC and self.dynamic is None:
+            raise ValueError("dynamic 模式必须配置 dynamic 字段")
+        return self
+
+
+# ============================================================
+# 轮动配置 Schema
+# ============================================================
+
+class GroupConfig(BaseModel):
+    """策略分组配置（用于分散化选股）"""
+    group: str = Field(..., description="策略分组名称")
+    select_num: int = Field(default=1, ge=1, le=10, description="该分组选股数量")
+
+
+class RotationConfig(BaseModel):
+    """
+    轮动配置
+    
+    支持两种选股模式：
+    1. 全局选股：diversified=false，直接选 Top-N
+    2. 分散化选股：diversified=true，按策略分组选股
+    """
+    select_num: int = Field(default=3, ge=1, le=20, description="选股数量（全局模式）")
+    diversified: bool = Field(default=False, description="是否分散化选股")
+    
+    # 分散化配置（可选）
+    diversification_groups: Optional[List[GroupConfig]] = Field(
+        None,
+        description="分散化分组配置（diversified=true时使用）"
+    )
+    
+    threshold: ThresholdConfig = Field(
+        default_factory=ThresholdConfig,
+        description="动量阈值"
+    )
+
+
+# ============================================================
+# 调仓配置 Schema
+# ============================================================
+
+class RebalanceConfig(BaseModel):
+    """调仓配置"""
+    min_hold_days: int = Field(default=1, ge=1, le=30, description="最低持有天数")
+    score_threshold: float = Field(default=0.0, ge=0, le=0.5, description="调仓得分阈值（%）")
+    trade_cost: float = Field(default=0.001, ge=0, le=0.01, description="单次换仓成本")
+
+
+# ============================================================
+# 溢价控制 Schema
+# ============================================================
+
+class MarketPremiumOverride(BaseModel):
+    """市场溢价覆盖配置"""
+    enabled: bool = Field(default=True, description="是否启用")
+    threshold: float = Field(default=0.10, ge=0, le=1.0, description="溢价阈值")
+
+
+class PremiumControlConfig(BaseModel):
+    """溢价控制配置"""
+    enabled: bool = Field(default=True, description="是否启用溢价控制")
+    default_threshold: float = Field(default=0.10, ge=0, le=1.0, description="默认溢价阈值")
+    mode: PremiumMode = Field(default=PremiumMode.FILTER, description="控制模式")
+    penalty_factor: float = Field(default=0.5, ge=0, le=1.0, description="降权惩罚系数")
+    
+    # 按市场覆盖
+    market_overrides: Dict[str, MarketPremiumOverride] = Field(
+        default_factory=dict,
+        description="按市场覆盖配置"
+    )
+
+
+# ============================================================
+# 数据源配置 Schema
+# ============================================================
+
+class DataSourceConfig(BaseModel):
+    """单个数据源配置"""
+    type: DataSourceType = Field(..., description="数据源类型")
+    enabled: bool = Field(default=True, description="是否启用")
+    timeout: int = Field(default=120, ge=10, le=600, description="超时时间（秒）")
+    
+    # Flask API 特定配置
+    url: Optional[str] = Field(None, description="API地址（flask_api使用）")
+    
+    # Tushare 特定配置
+    token: Optional[str] = Field(None, description="Tushare Token（tushare使用）")
+
+
+class DataConfig(BaseModel):
+    """数据配置"""
+    sources: List[DataSourceConfig] = Field(..., description="数据源列表（按优先级排序）")
+    use_cache: bool = Field(default=True, description="是否使用本地缓存")
+    cache_dir: str = Field(default="data_cache", description="缓存目录")
+    
+    @field_validator('sources')
+    @classmethod
+    def check_at_least_one(cls, v):
+        """至少配置一个数据源"""
+        if not v:
+            raise ValueError("必须配置至少一个数据源")
+        return v
+
+
+# ============================================================
+# 基准配置 Schema
+# ============================================================
+
+class BenchmarkConfig(BaseModel):
+    """基准配置"""
+    code: str = Field(..., description="基准代码")
+    name: str = Field(..., description="基准名称")
+
+
+# ============================================================
+# 回测配置 Schema
+# ============================================================
+
+class BacktestConfig(BaseModel):
+    """回测配置"""
+    start_date: str = Field(..., description="回测起始日期（YYYY-MM-DD）")
+    end_date: Optional[str] = Field(None, description="回测结束日期（None表示至今）")
+
+
+# ============================================================
+# 元数据 Schema
+# ============================================================
+
+class MetadataConfig(BaseModel):
+    """配置元数据"""
+    version: str = Field(default="1.0.0", description="配置版本")
+    strategy: str = Field(default="rotation", description="策略名称")
+    description: str = Field(default="", description="配置描述")
+    last_updated: Optional[str] = Field(None, description="最后更新日期")
+
+
+# ============================================================
+# 完整策略配置 Schema
+# ============================================================
+
+class RotationStrategyConfig(BaseModel):
+    """
+    ETF轮动策略完整配置
+    
+    使用示例:
+        from framework_v2.config.schemas import RotationStrategyConfig
+        import yaml
+        
+        with open('config/rotation.yaml') as f:
+            config_dict = yaml.safe_load(f)
+        
+        config = RotationStrategyConfig(**config_dict)
+    """
+    metadata: MetadataConfig = Field(default_factory=MetadataConfig, description="元数据")
+    
+    # 资产池
+    asset_pools: AssetPool = Field(..., description="资产池配置")
+    
+    # 基准
+    benchmark: BenchmarkConfig = Field(..., description="基准配置")
+    
+    # 回测
+    backtest: BacktestConfig = Field(..., description="回测配置")
+    
+    # 因子
+    factor: FactorConfig = Field(default_factory=FactorConfig, description="因子配置")
+    
+    # 轮动
+    rotation: RotationConfig = Field(default_factory=RotationConfig, description="轮动配置")
+    
+    # 调仓
+    rebalance: RebalanceConfig = Field(default_factory=RebalanceConfig, description="调仓配置")
+    
+    # 溢价控制
+    premium_control: PremiumControlConfig = Field(default_factory=PremiumControlConfig, description="溢价控制")
+    
+    # 数据
+    data: DataConfig = Field(..., description="数据配置")
+
+
+# ============================================================
+# 通用策略配置 Schema（V2 架构）
+# ============================================================
+
+class StrategyConfig(BaseModel):
+    """
+    通用策略配置（支持所有策略类型）
+    
+    使用示例:
+        from framework_v2.config import load_config
+        config = load_config('rotation.yaml')
+    """
+    metadata: MetadataConfig = Field(default_factory=MetadataConfig, description="元数据")
+    
+    # 资产池
+    asset_pools: AssetPool = Field(..., description="资产池配置")
+    
+    # 基准
+    benchmark: BenchmarkConfig = Field(..., description="基准配置")
+    
+    # 回测
+    backtest: BacktestConfig = Field(..., description="回测配置")
+    
+    # 因子
+    factor: FactorConfig = Field(default_factory=FactorConfig, description="因子配置")
+    
+    # 轮动（可选）
+    rotation: Optional[RotationConfig] = Field(None, description="轮动配置")
+    
+    # 调仓
+    rebalance: RebalanceConfig = Field(default_factory=RebalanceConfig, description="调仓配置")
+    
+    # 溢价控制
+    premium_control: PremiumControlConfig = Field(default_factory=PremiumControlConfig, description="溢价控制")
+    
+    # 数据
+    data: DataConfig = Field(..., description="数据配置")