refactor: 整理rotation目录结构
将分析/测试/实验脚本从核心目录移出： - enrich_etf_data.py → scripts/ - oil_tracking.py → analysis/ - tracking_error_full.py → analysis/ - tracking_error_validation.py → analysis/ - test_start_year_analysis.py → experiments/ - experiment_select_num.py → experiments/ rotation/ 目录现在只保留核心策略代码： - simple_rotation.py (策略主逻辑) - config_loader.py (配置加载) - config_simple.yaml (配置文件) - daily_scheduler.py (调度器)
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rotation/experiments/experiment_select_num.py
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193
rotation/experiments/experiment_select_num.py
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#!/usr/bin/env python3
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"""
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select_num A/B 实验：对比 Top-1 / Top-2 / Top-3 的表现
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用法:
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python rotation/experiment_select_num.py
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"""
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import os
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import sys
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import yaml
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import json
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import tempfile
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import numpy as np
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import pandas as pd
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from pathlib import Path
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from datetime import datetime
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PROJECT_ROOT = Path(__file__).parent.parent
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sys.path.insert(0, str(PROJECT_ROOT))
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from rotation.simple_rotation import SimpleRotationStrategy
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def run_with_select_num(config_path: str, select_num: int, output_dir: Path) -> dict:
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"""运行一次策略，覆盖 select_num"""
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print(f"\n{'='*60}")
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print(f" 实验: select_num = {select_num}")
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print(f"{'='*60}\n")
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# 读取原始配置，修改 select_num，写入临时文件
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with open(config_path, 'r', encoding='utf-8') as f:
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cfg = yaml.safe_load(f)
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cfg['rotation']['select_num'] = select_num
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tmp_path = output_dir / f'config_select_{select_num}.yaml'
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with open(tmp_path, 'w', encoding='utf-8') as f:
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yaml.dump(cfg, f, default_flow_style=False, allow_unicode=True)
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strategy = SimpleRotationStrategy(config_path=str(tmp_path))
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result = strategy.run()
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if result:
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# 导出到子目录
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sub_dir = output_dir / f'select_{select_num}'
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sub_dir.mkdir(parents=True, exist_ok=True)
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strategy.export_results(output_dir=str(sub_dir))
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return result.get('metrics', {})
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return {}
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def print_comparison(all_metrics: dict):
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"""打印对比表格"""
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print(f"\n\n{'='*80}")
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print(f" select_num 实验对比结果")
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print(f"{'='*80}\n")
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header = f"{'指标':<16}"
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for n in sorted(all_metrics.keys()):
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header += f"{'Top-'+str(n):>12}"
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print(header)
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print("-" * (16 + 12 * len(all_metrics)))
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rows = [
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('累计收益', 'total_return', '{:.2%}'),
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('年化收益', 'annual_return', '{:.2%}'),
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('最大回撤', 'max_drawdown', '{:.2%}'),
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('夏普比率', 'sharpe_ratio', '{:.2f}'),
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('Calmar比率', 'calmar_ratio', '{:.2f}'),
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('日胜率', 'win_rate', '{:.2%}'),
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('交易日数', 'n_days', '{}'),
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('调仓次数', 'rebalance_count', '{}'),
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]
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for label, key, fmt in rows:
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row = f"{label:<16}"
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for n in sorted(all_metrics.keys()):
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val = all_metrics[n].get(key, 0)
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row += f"{fmt.format(val):>12}"
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print(row)
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print(f"\n{'='*80}")
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def plot_comparison(all_metrics: dict, output_dir: Path):
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"""生成对比图表"""
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import matplotlib
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matplotlib.use("Agg")
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import matplotlib.pyplot as plt
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fig, axes = plt.subplots(1, 3, figsize=(16, 5))
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fig.suptitle("select_num A/B Experiment", fontsize=14, fontweight="bold")
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nums = sorted(all_metrics.keys())
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colors = ['#E74C3C', '#3498DB', '#2ECC71']
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# 1. 收益对比
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ax = axes[0]
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annuals = [all_metrics[n].get('annual_return', 0) for n in nums]
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totals = [all_metrics[n].get('total_return', 0) for n in nums]
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x = np.arange(len(nums))
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w = 0.35
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ax.bar(x - w/2, [a*100 for a in annuals], w, label='Annual %', color='#E74C3C', alpha=0.8)
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ax.bar(x + w/2, [t*100 for t in totals], w, label='Total %', color='#3498DB', alpha=0.8)
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ax.set_xticks(x)
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ax.set_xticklabels([f'Top-{n}' for n in nums])
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ax.set_ylabel('Return (%)')
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ax.set_title('Returns')
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ax.legend()
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ax.grid(True, alpha=0.3)
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# 2. 风险对比
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ax = axes[1]
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dds = [abs(all_metrics[n].get('max_drawdown', 0)) * 100 for n in nums]
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ax.bar(x, dds, color='#E74C3C', alpha=0.7)
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ax.set_xticks(x)
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ax.set_xticklabels([f'Top-{n}' for n in nums])
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ax.set_ylabel('Max Drawdown (%)')
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ax.set_title('Risk')
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ax.grid(True, alpha=0.3)
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# 3. 夏普 & Calmar
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ax = axes[2]
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sharpes = [all_metrics[n].get('sharpe_ratio', 0) for n in nums]
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calmars = [all_metrics[n].get('calmar_ratio', 0) for n in nums]
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ax.bar(x - w/2, sharpes, w, label='Sharpe', color='#2ECC71', alpha=0.8)
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ax.bar(x + w/2, calmars, w, label='Calmar', color='#F39C12', alpha=0.8)
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ax.set_xticks(x)
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ax.set_xticklabels([f'Top-{n}' for n in nums])
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ax.set_ylabel('Ratio')
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ax.set_title('Risk-Adjusted')
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ax.legend()
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ax.grid(True, alpha=0.3)
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plt.tight_layout()
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chart_path = output_dir / 'select_num_comparison.png'
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plt.savefig(str(chart_path), dpi=150, bbox_inches="tight")
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plt.close()
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print(f"\n + Chart: {chart_path}")
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def plot_nav_comparison(output_dir: Path):
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"""加载三组 NAV 画在同一张图上"""
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import matplotlib
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matplotlib.use("Agg")
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import matplotlib.pyplot as plt
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fig, ax = plt.subplots(figsize=(14, 6))
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colors = {'1': '#E74C3C', '2': '#3498DB', '3': '#2ECC71'}
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for n in [1, 2, 3]:
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nav_path = output_dir / f'select_{n}' / 'simple_rotation_nav.csv'
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if nav_path.exists():
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df = pd.read_csv(nav_path, parse_dates=['date'])
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ax.plot(df['date'], df['nav'], label=f'Top-{n}', linewidth=1.5, color=colors[str(n)])
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ax.set_title("NAV Curve Comparison (select_num)", fontsize=14, fontweight="bold")
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ax.set_ylabel("NAV")
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ax.set_yscale("log")
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ax.legend(fontsize=11)
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ax.grid(True, alpha=0.3)
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plt.tight_layout()
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nav_chart = output_dir / 'select_num_nav_comparison.png'
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plt.savefig(str(nav_chart), dpi=150, bbox_inches="tight")
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plt.close()
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print(f" + NAV Chart: {nav_chart}")
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if __name__ == "__main__":
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if 'FLASK_API_URL' not in os.environ:
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os.environ['FLASK_API_URL'] = 'https://k3s.tokenpluse.xyz'
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config_path = str(Path(__file__).parent / 'config_simple.yaml')
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output_dir = PROJECT_ROOT / 'results' / 'experiment_select_num'
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output_dir.mkdir(parents=True, exist_ok=True)
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all_metrics = {}
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for n in [1, 2, 3]:
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metrics = run_with_select_num(config_path, n, output_dir)
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if metrics:
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all_metrics[n] = metrics
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if all_metrics:
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print_comparison(all_metrics)
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plot_comparison(all_metrics, output_dir)
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plot_nav_comparison(output_dir)
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# 保存原始指标
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metrics_path = output_dir / 'experiment_metrics.json'
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with open(metrics_path, 'w', encoding='utf-8') as f:
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json.dump({str(k): v for k, v in all_metrics.items()}, f, ensure_ascii=False, indent=2)
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print(f" + Metrics: {metrics_path}")
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112
rotation/experiments/test_start_year_analysis.py
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rotation/experiments/test_start_year_analysis.py
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"""
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Test different start years with select_num=1
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"""
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import os
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import sys
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import yaml
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from pathlib import Path
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from datetime import datetime
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PROJECT_ROOT = Path(__file__).parent.parent
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sys.path.insert(0, str(PROJECT_ROOT))
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from dotenv import load_dotenv
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load_dotenv(PROJECT_ROOT / '.env')
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from rotation.config_loader import load_rotation_config
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from rotation.simple_rotation import SimpleRotationStrategy
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def run_test(start_date: str, select_num: int) -> dict:
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"""Run backtest with specified start date and select_num."""
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config_path = PROJECT_ROOT / 'rotation' / 'config_simple.yaml'
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with open(config_path, 'r') as f:
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config = yaml.safe_load(f)
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config['backtest']['start_date'] = start_date
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config['rotation']['select_num'] = select_num
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temp_config_path = PROJECT_ROOT / 'rotation' / 'temp_config.yaml'
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with open(temp_config_path, 'w') as f:
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yaml.dump(config, f)
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try:
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strategy = SimpleRotationStrategy(str(temp_config_path))
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result = strategy.run()
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return result['metrics']
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finally:
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if temp_config_path.exists():
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temp_config_path.unlink()
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def main():
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select_num = 1
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years = [2020, 2021, 2022, 2023, 2024, 2025]
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print(f"\n{'='*80}")
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print(f"Testing select_num={select_num} with different start years")
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print(f"{'='*80}")
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results = []
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for year in years:
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start_date = f"{year}-01-01"
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print(f"\nTesting start_date={start_date}...")
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try:
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metrics = run_test(start_date, select_num)
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results.append({
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'start_year': year,
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'start_date': start_date,
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'select_num': select_num,
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'total_return': metrics.get('total_return', 0),
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'annual_return': metrics.get('annual_return', 0),
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'max_drawdown': metrics.get('max_drawdown', 0),
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'sharpe_ratio': metrics.get('sharpe_ratio', 0),
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'rebalance_count': metrics.get('rebalance_count', 0),
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'win_rate': metrics.get('win_rate', 0),
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})
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print(f" Total Return: {metrics.get('total_return', 0)*100:.2f}%")
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print(f" Annual Return: {metrics.get('annual_return', 0)*100:.2f}%")
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print(f" Max Drawdown: {metrics.get('max_drawdown', 0)*100:.2f}%")
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print(f" Sharpe Ratio: {metrics.get('sharpe_ratio', 0):.3f}")
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print(f" Rebalance Count: {metrics.get('rebalance_count', 0)}")
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except Exception as e:
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print(f" Error: {e}")
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results.append({
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'start_year': year,
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'start_date': start_date,
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'select_num': select_num,
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'error': str(e)
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})
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# Print summary table
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print(f"\n{'='*80}")
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print(f"SUMMARY TABLE (select_num={select_num})")
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print(f"{'='*80}")
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print(f"{'Start Year':<12} {'Total Return':<15} {'Annual Return':<15} {'Max Drawdown':<15} {'Sharpe':<10} {'Rebal':<8}")
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print(f"{'-'*80}")
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for r in results:
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if 'error' in r:
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print(f"{r['start_year']:<12} {'ERROR':<15}")
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else:
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print(f"{r['start_year']:<12} {r['total_return']*100:>13.2f}% {r['annual_return']*100:>13.2f}% {r['max_drawdown']*100:>13.2f}% {r['sharpe_ratio']:>9.3f} {r['rebalance_count']:>7}")
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# Save results to YAML
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output_path = PROJECT_ROOT / 'rotation' / 'results' / 'start_year_analysis.yaml'
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output_path.parent.mkdir(exist_ok=True)
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with open(output_path, 'w') as f:
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yaml.dump({
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'select_num': select_num,
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'test_date': datetime.now().isoformat(),
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'results': results
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}, f, default_flow_style=False)
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print(f"\nResults saved to: {output_path}")
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if __name__ == '__main__':
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main()
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