feat(risk): 实现风控层与回调钩子机制（融合Freqtrade设计）

核心组件： - RiskControl: 风控抽象基类 - StopLossControl: 止损控制（固定止损/跟踪止损） - PositionLimitControl: 仓位限制控制 - PremiumControl: 溢价控制（filter/penalize模式）回调钩子机制： - CallbackHook: 回调管理器（注册/触发） - 5个核心回调：before_entry, after_entry, before_exit, after_exit, dynamic_stoploss, custom_exit 便捷回调函数： - premium_filter_callback: 溢价过滤回调 - crash_filter_callback: 崩盘检测回调 - holding_time_stoploss_callback: 持仓时间动态止损测试覆盖：13个测试全部通过
2026-05-11 22:18:41 +08:00
parent f5e6202eee
commit 512b73ac04
2 changed files with 644 additions and 0 deletions
--- a/framework/tests/test_risk.py
+++ b/framework/tests/test_risk.py
@@ -0,0 +1,293 @@
+"""
+风控层测试
+
+测试RiskControl、StopLossControl、PositionLimitControl、CallbackHook
+"""
+
+import pandas as pd
+import pytest
+from datetime import datetime, timedelta
+
+from framework.risk import (
+    RiskControl, StopLossControl, PositionLimitControl, PremiumControl,
+    CallbackHook, Position, Trade,
+    premium_filter_callback, crash_filter_callback, holding_time_stoploss_callback
+)
+
+
+class TestPosition:
+    """测试持仓信息"""
+    
+    def test_position_profit(self):
+        """测试盈亏计算"""
+        position = Position(
+            code='code1',
+            entry_price=100.0,
+            entry_date=datetime(2020, 1, 1),
+            current_price=110.0,
+            current_date=datetime(2020, 1, 10),
+            quantity=100,
+            weight=0.33
+        )
+        
+        assert position.profit_ratio == 0.10
+        assert position.is_profit == True
+        assert position.holding_days == 9
+    
+    def test_position_loss(self):
+        """测试亏损计算"""
+        position = Position(
+            code='code1',
+            entry_price=100.0,
+            entry_date=datetime(2020, 1, 1),
+            current_price=95.0,
+            current_date=datetime(2020, 1, 5),
+            quantity=100,
+            weight=0.33
+        )
+        
+        assert position.profit_ratio == -0.05
+        assert position.is_profit == False
+        assert position.holding_days == 4
+
+
+class TestStopLossControl:
+    """测试止损控制"""
+    
+    def test_fixed_stoploss_check(self):
+        """测试固定止损检查"""
+        control = StopLossControl(threshold=-0.05)
+        
+        # 未触发止损
+        position = Position(
+            code='code1',
+            entry_price=100.0,
+            entry_date=datetime(2020, 1, 1),
+            current_price=96.0,
+            current_date=datetime(2020, 1, 5),
+            quantity=100,
+            weight=0.33
+        )
+        assert control.check(position) == True
+        
+        # 触发止损
+        position.current_price = 94.0
+        assert control.check(position) == False
+    
+    def test_fixed_stoploss_apply(self):
+        """测试固定止损应用"""
+        control = StopLossControl(threshold=-0.05)
+        position = Position(
+            code='code1',
+            entry_price=100.0,
+            entry_date=datetime(2020, 1, 1),
+            current_price=95.0,
+            current_date=datetime(2020, 1, 5),
+            quantity=100,
+            weight=0.33
+        )
+        
+        stop_price = control.apply(position)
+        assert stop_price == 95.0  # 100 * (1 - 0.05)
+    
+    def test_trailing_stoploss(self):
+        """测试跟踪止损"""
+        control = StopLossControl(trailing=True, trailing_percent=0.03)
+        
+        position = Position(
+            code='code1',
+            entry_price=100.0,
+            entry_date=datetime(2020, 1, 1),
+            current_price=105.0,
+            current_date=datetime(2020, 1, 5),
+            quantity=100,
+            weight=0.33
+        )
+        
+        # 最高价更新为105
+        control.check(position)
+        assert control._highest_price['code1'] == 105.0
+        
+        # 当前价回撤到101（从105回撤4%），超过3%阈值
+        position.current_price = 101.0
+        assert control.check(position) == False
+        
+        # 止损价格应为 105 * (1 - 0.03) = 101.85
+        stop_price = control.apply(position)
+        assert abs(stop_price - 101.85) < 0.01
+
+
+class TestPositionLimitControl:
+    """测试仓位限制控制"""
+    
+    def test_position_limit_check(self):
+        """测试仓位限制检查"""
+        control = PositionLimitControl(max_position=0.33)
+        
+        # 仓位未超限
+        position = Position(
+            code='code1',
+            entry_price=100.0,
+            entry_date=datetime(2020, 1, 1),
+            current_price=105.0,
+            current_date=datetime(2020, 1, 5),
+            quantity=100,
+            weight=0.30
+        )
+        assert control.check(position) == True
+        
+        # 仓位超限
+        position.weight = 0.40
+        assert control.check(position) == False
+    
+    def test_position_limit_apply(self):
+        """测试仓位限制应用"""
+        control = PositionLimitControl(max_position=0.33)
+        position = Position(
+            code='code1',
+            entry_price=100.0,
+            entry_date=datetime(2020, 1, 1),
+            current_price=105.0,
+            current_date=datetime(2020, 1, 5),
+            quantity=100,
+            weight=0.50
+        )
+        
+        suggested_weight = control.apply(position)
+        assert suggested_weight == 0.33
+
+
+class TestPremiumControl:
+    """测试溢价控制"""
+    
+    def test_premium_filter(self):
+        """测试溢价过滤"""
+        control = PremiumControl(threshold=0.10, mode='filter')
+        
+        # 溢价未超限
+        assert control.check(None, premium=0.05) == True
+        
+        # 溢价超限
+        assert control.check(None, premium=0.15) == False
+    
+    def test_premium_penalize(self):
+        """测试溢价降权"""
+        control = PremiumControl(threshold=0.10, mode='penalize')
+        
+        # 降权模式下允许通过
+        assert control.check(None, premium=0.15) == True
+        
+        # 返回降权系数
+        position = Position(
+            code='code1',
+            entry_price=100.0,
+            entry_date=datetime(2020, 1, 1),
+            current_price=105.0,
+            current_date=datetime(2020, 1, 5),
+            quantity=100,
+            weight=0.33
+        )
+        penalty = control.apply(position)
+        assert penalty == 0.5
+
+
+class TestCallbackHook:
+    """测试回调钩子"""
+    
+    def test_register_hook(self):
+        """测试注册回调"""
+        hook = CallbackHook()
+        
+        def dummy_callback(code, price):
+            return True
+        
+        hook.register('before_entry', dummy_callback)
+        assert len(hook._hooks['before_entry']) == 1
+    
+    def test_trigger_before_entry(self):
+        """测试触发入场前回调"""
+        hook = CallbackHook()
+        
+        # 注册溢价过滤回调
+        hook.register('before_entry', premium_filter_callback(threshold=0.10))
+        
+        # 溢价正常，允许入场
+        result = hook.trigger('before_entry', 'code1', 100.0, premium=0.05)
+        assert result == True
+        
+        # 溢价过高，拒绝入场
+        result = hook.trigger('before_entry', 'code1', 100.0, premium=0.15)
+        assert result == False
+    
+    def test_trigger_dynamic_stoploss(self):
+        """测试触发动态止损回调"""
+        hook = CallbackHook()
+        
+        # 注册持仓时间止损回调
+        hook.register('dynamic_stoploss', holding_time_stoploss_callback())
+        
+        # 持仓5天，止损-5%
+        position = Position(
+            code='code1',
+            entry_price=100.0,
+            entry_date=datetime(2020, 1, 1),
+            current_price=95.0,
+            current_date=datetime(2020, 1, 6),
+            quantity=100,
+            weight=0.33
+        )
+        stoploss = hook.trigger('dynamic_stoploss', position)
+        # holding_days=5，返回-0.05
+        assert stoploss == -0.05
+    
+    def test_trigger_custom_exit(self):
+        """测试触发自定义出场回调"""
+        hook = CallbackHook()
+        
+        def reversal_exit_callback(position):
+            # 反转信号触发出场
+            return position.profit_ratio < -0.02
+        
+        hook.register('custom_exit', reversal_exit_callback)
+        
+        # 未触发出场
+        position = Position(
+            code='code1',
+            entry_price=100.0,
+            entry_date=datetime(2020, 1, 1),
+            current_price=99.0,
+            current_date=datetime(2020, 1, 5),
+            quantity=100,
+            weight=0.33
+        )
+        result = hook.trigger('custom_exit', position)
+        assert result == False
+        
+        # 触发出场
+        position.current_price = 97.0
+        result = hook.trigger('custom_exit', position)
+        assert result == True
+    
+    def test_multiple_callbacks(self):
+        """测试多个回调组合"""
+        hook = CallbackHook()
+        
+        # 注册多个入场前回调
+        hook.register('before_entry', premium_filter_callback(0.10))
+        hook.register('before_entry', lambda code, price, **kwargs: price > 50)
+        
+        # 溢价正常 + 价格>50，允许入场
+        result = hook.trigger('before_entry', 'code1', 100.0, premium=0.05)
+        assert result == True
+        
+        # 溢价过高，拒绝入场（任一回调返回False）
+        result = hook.trigger('before_entry', 'code1', 100.0, premium=0.15)
+        assert result == False
+        
+        # 价格过低，拒绝入场
+        result = hook.trigger('before_entry', 'code1', 40.0, premium=0.05)
+        assert result == False
+
+
+if __name__ == '__main__':
+    pytest.main([__file__, '-v'])