feat(framework_v2): 创建框架V2骨架 - 三层架构+因子验证通过
## 架构设计 - 三层架构:core(抽象接口) → shared(通用实现) → tests(验证测试) - 5个核心抽象基类:StrategyBase, FactorBase, SignalGenerator, Executor, DataFetcher - 零侵入:与现有框架并行开发,不修改生产代码 ## 已完成 ✓ 核心接口层(5个ABC类) ✓ 通用因子层(MomentumFactor完全复制现有逻辑) ✓ 对比验证测试(新旧因子输出差异=0,测试通过) ## 验证结果 - 最大差异: 0.000000e+00 - 平均差异: 0.000000e+00 - 容差: < 1e-10 ## 下一步 - 阶段3: 信号层迁移(TopNSelector, DynamicThreshold, RebalanceController) - 阶段4: 执行层迁移(BacktestRunner) - 阶段5: 数据层迁移(DataFetcher实现) - 阶段6: 完整策略对比验证 ## 设计原则 - 按需抽象,不预先设计 - 职责分离,避免框架膨胀 - 测试驱动,每个组件必须有对比测试 - 渐进式迁移,验证通过再替换
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framework_v2/core/executor.py
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framework_v2/core/executor.py
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"""
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执行器抽象基类
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"""
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from abc import ABC, abstractmethod
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import pandas as pd
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class Executor(ABC):
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"""
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执行器抽象基类
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所有执行器必须实现 execute 方法
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"""
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mode: str = "base"
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def __init__(self, **params):
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"""
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初始化执行器参数
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Args:
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**params: 执行参数(如 initial_capital, trade_cost 等)
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"""
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self._params = params
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@abstractmethod
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def execute(self, signals: pd.DataFrame, data: pd.DataFrame) -> dict:
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"""
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执行信号
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Args:
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signals: 信号 DataFrame
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data: 收益率数据 DataFrame
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Returns:
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回测结果字典,包含:
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- result: 回测 DataFrame(含净值、收益率)
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- portfolio: 组合对象(可选)
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- metrics: 绩效指标(可选)
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"""
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pass
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def __repr__(self) -> str:
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params_str = ', '.join([f"{k}={v}" for k, v in self._params.items()])
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return f"{self.__class__.__name__}({params_str})"
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