test(experiments): add France CAC40 and SEA ETF experiments
- Add France CAC40 market test (004) - Add SEA ETF limited test (005) - Add France in EU category test (006) - Update experiment README with new results - Modify emerging market test description
This commit is contained in:
200
tests/experiments/ab_test_france.py
Normal file
200
tests/experiments/ab_test_france.py
Normal file
@@ -0,0 +1,200 @@
|
||||
"""
|
||||
A/B测试：添加法国CAC40市场大类的影响
|
||||
对比：
|
||||
- A组（对照组）：当前配置（无法国）
|
||||
- B组（实验组）：添加法国CAC40作为新大类
|
||||
|
||||
核心问题：法国市场是否能有效补充欧洲分散
|
||||
"""
|
||||
|
||||
import sys
|
||||
from pathlib import Path
|
||||
sys.path.insert(0, str(Path(__file__).parent.parent.parent))
|
||||
|
||||
from strategies.rotation.engine import RotationStrategy
|
||||
import pandas as pd
|
||||
import yaml
|
||||
|
||||
|
||||
def create_config_with_france(base_config: dict) -> dict:
|
||||
"""在基础配置上添加法国市场"""
|
||||
config = base_config.copy()
|
||||
config['code_list'] = base_config['code_list'].copy()
|
||||
|
||||
# 添加法国CAC40（新大类）
|
||||
# 当前已有德国DAX(EU)，法国可以增加欧洲内部的多样性
|
||||
# 注意：德国和法国同属EU大类，但这是不同的指数
|
||||
config['code_list']['^FCHI'] = {
|
||||
'name': '法国CAC40',
|
||||
'etf': '513080.SH', # 法国ETF华安
|
||||
'market': 'FR' # 法国大类（独立于德国）
|
||||
}
|
||||
|
||||
return config
|
||||
|
||||
|
||||
def run_backtest(config: dict, label: str) -> dict:
|
||||
"""运行回测并返回关键指标"""
|
||||
print(f"\n{'='*60}")
|
||||
print(f" {label}")
|
||||
print(f"{'='*60}")
|
||||
|
||||
strategy = RotationStrategy(config)
|
||||
result = strategy.run()
|
||||
|
||||
if result is None or len(result) == 0:
|
||||
return None
|
||||
|
||||
# 计算指标
|
||||
strategy_nav = result['轮动策略净值']
|
||||
strategy_ret = result['轮动策略日收益率']
|
||||
|
||||
total_return = strategy_nav.iloc[-1] - 1
|
||||
days = len(result)
|
||||
years = days / 250
|
||||
cagr = (strategy_nav.iloc[-1] ** (1/years)) - 1 if years > 0 else 0
|
||||
excess_ret = strategy_ret.mean() * 250
|
||||
vol = strategy_ret.std() * (250 ** 0.5)
|
||||
sharpe = excess_ret / vol if vol > 0 else 0
|
||||
rolling_max = strategy_nav.cummax()
|
||||
drawdown = (strategy_nav - rolling_max) / rolling_max
|
||||
max_dd = drawdown.min()
|
||||
calmar = cagr / abs(max_dd) if max_dd < 0 else 0
|
||||
win_rate = (strategy_ret > 0).sum() / len(strategy_ret)
|
||||
|
||||
# 统计大类数量
|
||||
markets = set()
|
||||
for code_info in config['code_list'].values():
|
||||
markets.add(code_info.get('market', 'A'))
|
||||
|
||||
metrics = {
|
||||
'label': label,
|
||||
'大类数量': len(markets),
|
||||
'累计收益': total_return,
|
||||
'CAGR': cagr,
|
||||
'Sharpe': sharpe,
|
||||
'MaxDD': max_dd,
|
||||
'Calmar': calmar,
|
||||
'日胜率': win_rate,
|
||||
}
|
||||
|
||||
print(f"\n大类数量: {metrics['大类数量']}")
|
||||
print(f"累计收益: {metrics['累计收益']:.2%}")
|
||||
print(f"CAGR: {metrics['CAGR']:.2%}")
|
||||
print(f"Sharpe: {metrics['Sharpe']:.2f}")
|
||||
print(f"MaxDD: {metrics['MaxDD']:.2%}")
|
||||
print(f"Calmar: {metrics['Calmar']:.2f}")
|
||||
print(f"日胜率: {metrics['日胜率']:.2%}")
|
||||
|
||||
return metrics
|
||||
|
||||
|
||||
def compare_results(a_metrics: dict, b_metrics: dict):
|
||||
"""对比两组结果"""
|
||||
print(f"\n{'='*60}")
|
||||
print(f" 对比结果")
|
||||
print(f"{'='*60}")
|
||||
|
||||
print(f"\n{'指标':<15} {'A组(无法国)':<15} {'B组(有法国)':<15} {'差异':<15}")
|
||||
print("-" * 60)
|
||||
|
||||
metrics_keys = ['大类数量', '累计收益', 'CAGR', 'Sharpe', 'MaxDD', 'Calmar', '日胜率']
|
||||
|
||||
for key in metrics_keys:
|
||||
a_val = a_metrics.get(key, 0)
|
||||
b_val = b_metrics.get(key, 0)
|
||||
|
||||
diff = b_val - a_val
|
||||
if key in ['累计收益', 'CAGR', 'MaxDD', '日胜率']:
|
||||
a_str = f"{a_val:.2%}"
|
||||
b_str = f"{b_val:.2%}"
|
||||
diff_str = f"{diff*100:+.2f}%"
|
||||
elif key == '大类数量':
|
||||
a_str = str(a_val)
|
||||
b_str = str(b_val)
|
||||
diff_str = f"+{diff}" if diff > 0 else str(diff)
|
||||
else:
|
||||
a_str = f"{a_val:.2f}"
|
||||
b_str = f"{b_val:.2f}"
|
||||
diff_str = f"{diff:+.2f}"
|
||||
|
||||
print(f"{key:<15} {a_str:<15} {b_str:<15} {diff_str:<15}")
|
||||
|
||||
print("-" * 60)
|
||||
|
||||
print(f"\n【关键发现】")
|
||||
print(f"添加法国CAC40大类效果：")
|
||||
|
||||
if b_metrics['大类数量'] > a_metrics['大类数量']:
|
||||
print(f" ✓ 大类数量增加 {b_metrics['大类数量'] - a_metrics['大类数量']}")
|
||||
|
||||
if b_metrics['累计收益'] > a_metrics['累计收益']:
|
||||
print(f" ✓ 累计收益提升 {b_metrics['累计收益'] - a_metrics['累计收益']:.2%}")
|
||||
print(f" → 法国市场确实带来收益增益")
|
||||
elif b_metrics['累计收益'] < a_metrics['累计收益']:
|
||||
print(f" ✗ 累计收益下降 {a_metrics['累计收益'] - b_metrics['累计收益']:.2%}")
|
||||
print(f" → 法国动量信号可能不如德国强")
|
||||
|
||||
if b_metrics['Sharpe'] > a_metrics['Sharpe']:
|
||||
print(f" ✓ Sharpe改善 {b_metrics['Sharpe'] - a_metrics['Sharpe']:.2f}")
|
||||
else:
|
||||
print(f" ✗ Sharpe下降 {a_metrics['Sharpe'] - b_metrics['Sharpe']:.2f}")
|
||||
|
||||
print(f"\n【与德国DAX对比分析】")
|
||||
print(f" 当前配置：德国DAX (513030.SH) → EU大类")
|
||||
print(f" 新增配置：法国CAC40 (513080.SH) → FR大类")
|
||||
print(f" ")
|
||||
print(f" 德国 vs 法国特点：")
|
||||
print(f" ├─ 德国DAX：工业权重高（汽车、机械）")
|
||||
print(f" ├─ 法国CAC：奢侈品权重高（LV、欧莱雅）")
|
||||
print(f" └─ 两者风格不同，可能互补")
|
||||
|
||||
print(f"\n【策略建议】")
|
||||
if b_metrics['累计收益'] > a_metrics['累计收益'] and b_metrics['Sharpe'] >= a_metrics['Sharpe'] * 0.95:
|
||||
print(f" 建议：添加法国CAC40（欧洲分散有效）")
|
||||
elif b_metrics['累计收益'] < a_metrics['累计收益'] * 0.95:
|
||||
print(f" 建议：暂不添加法国（收益损失较大）")
|
||||
print(f" 原因：法国动量信号可能不如德国DAX强")
|
||||
else:
|
||||
print(f" 建议：保持观察，欧洲分散效果有限")
|
||||
|
||||
|
||||
def main():
|
||||
"""主函数"""
|
||||
config_path = Path(__file__).parent.parent.parent / 'config' / 'strategies' / 'rotation.yaml'
|
||||
with open(config_path, 'r') as f:
|
||||
base_config = yaml.safe_load(f)
|
||||
|
||||
# 添加 end_date
|
||||
from datetime import datetime
|
||||
base_config['end_date'] = datetime.now().strftime('%Y-%m-%d')
|
||||
|
||||
print(f"\n{'='*60}")
|
||||
print(f" A/B测试：添加法国CAC40市场大类")
|
||||
print(f"{'='*60}")
|
||||
print(f"\n研究问题：")
|
||||
print(f" - 添加法国CAC40作为新大类（FR）")
|
||||
print(f" - 与德国DAX（EU）形成欧洲内部分散")
|
||||
print(f" - 德国工业风格 vs 法国奢侈品风格")
|
||||
print(f" - 验证欧洲分散是否有效")
|
||||
|
||||
# A组：当前配置
|
||||
a_metrics = run_backtest(base_config, "A组: 当前配置（仅德国DAX）")
|
||||
|
||||
# B组：添加法国CAC40
|
||||
config_with_france = create_config_with_france(base_config)
|
||||
b_metrics = run_backtest(config_with_france, "B组: 添加法国CAC40")
|
||||
|
||||
# 对比
|
||||
if a_metrics and b_metrics:
|
||||
compare_results(a_metrics, b_metrics)
|
||||
|
||||
# 保存结果
|
||||
results_df = pd.DataFrame([a_metrics, b_metrics])
|
||||
results_path = Path(__file__).parent.parent.parent / 'results' / 'ab_test_france.csv'
|
||||
results_df.to_csv(results_path, index=False)
|
||||
print(f"\n对比结果已保存: {results_path}")
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
main()
|
||||
Reference in New Issue
Block a user