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refactor: 删除 SimpleRotationStrategy 简化版

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- 删除 simple.py（已被 GlobalRotationStrategy 替代）
- 删除 backtest_simple_rotation.py 回测脚本
- 删除 test_simple_rotation.py 测试脚本
- 更新 __init__.py 移除 SimpleRotationStrategy 导出
- 现在只保留 GlobalRotationStrategy 正式版
This commit is contained in:
aszerW
2026-05-25 01:33:23 +08:00
parent e8e4e9c3ac
commit b89e975aed
4 changed files with 1 additions and 532 deletions
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98
framework_v2/scripts/backtest_simple_rotation.py
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"""
简单轮动策略回测脚本
测试场景：指数信号 → ETF收益
- 使用指数计算动量信号
- 使用 ETF 计算收益
"""
import sys
from pathlib import Path
# 添加项目根目录到 Python 路径
project_root = Path(__file__).parent.parent.parent
sys.path.insert(0, str(project_root))
from framework_v2.config import load_config
from framework_v2.strategies.rotation.simple import SimpleRotationStrategy
def run_backtest():
"""运行回测"""
print("=" * 70)
print(" ETF轮动策略回测（V2 框架）")
print(" 场景：指数信号 → ETF收益，复现 V1 结果")
print("=" * 70)
# 加载配置
config_file = project_root / "framework_v2" / "strategies" / "rotation" / "config_simple.yaml"
print(f"\n配置文件: {config_file}")
config = load_config(str(config_file))
# 打印配置摘要
print("\n" + "=" * 70)
print(" 配置摘要")
print("=" * 70)
print(f"策略名称: {config.metadata.strategy}")
print(f"回测区间: {config.backtest.start_date} ~ {config.backtest.end_date or '至今'}")
print(f"因子类型: {config.factor.type.value}")
print(f"动量窗口: {config.factor.n_days} 天")
print(f"选股数量: {config.rotation.select_num}")
# 打印资产池
print(f"\n资产池 ({config.asset_pools.count()} 个标的):")
for code, asset in config.asset_pools.assets.items():
print(f" {code}: {asset.name}")
print(f" 分组: {asset.group}")
print(f" 信号: {asset.signal_source}")
print(f" 交易: {asset.trade_source}")
print(f" 跨市场: {'是' if asset.is_cross_market else '否'}")
# 创建策略
print("\n" + "=" * 70)
print(" 运行回测...")
print("=" * 70)
strategy = SimpleRotationStrategy(config)
result = strategy.run()
# 打印结果
print("\n" + "=" * 70)
print(" 回测结果")
print("=" * 70)
metrics = result['metrics']
print(f"总收益: {metrics['total_return']:.2%}")
print(f"年化收益: {metrics['annual_return']:.2%}")
print(f"最大回撤: {metrics['max_drawdown']:.2%}")
print(f"夏普比率: {metrics['sharpe_ratio']:.2f}")
print(f"交易天数: {metrics['n_days']}")
# 打印净值曲线
equity_curve = result['equity_curve']
print(f"\n净值曲线:")
print(f" 起始净值: {equity_curve.iloc[0]:.4f}")
print(f" 结束净值: {equity_curve.iloc[-1]:.4f}")
print(f" 数据点数: {len(equity_curve)}")
# 保存结果
output_dir = project_root / "framework_v2" / "results"
output_dir.mkdir(exist_ok=True)
# 保存净值曲线
equity_curve.to_csv(output_dir / "simple_rotation_equity.csv")
print(f"\n净值曲线已保存: {output_dir / 'simple_rotation_equity.csv'}")
# 保存持仓记录
positions = result['positions']
positions.to_csv(output_dir / "simple_rotation_positions.csv")
print(f"持仓记录已保存: {output_dir / 'simple_rotation_positions.csv'}")
print("\n" + "=" * 70)
print(" 回测完成！")
print("=" * 70)
if __name__ == "__main__":
run_backtest()