refactor(archive): move unused modules to archive/
Archive legacy framework and utility modules that are no longer referenced by the active core (datasource/ and rotation/): - framework/ -> archive/framework/ - framework_v2/ -> archive/framework_v2/ - strategies/ -> archive/strategies/ - config/ -> archive/config/ - visualization/ -> archive/visualization/ - scripts/ -> archive/scripts/ - tests/ -> archive/tests/ - run_rotation.py, run_us_rotation.py -> archive/single_files/ - compare_*.py, test_api_dates.py -> archive/single_files/
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174
archive/framework/tests/test_execution.py
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174
archive/framework/tests/test_execution.py
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"""
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执行层测试
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测试Portfolio、Executor抽象接口
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"""
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import pandas as pd
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import numpy as np
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import pytest
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from datetime import datetime
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from framework.execution import Portfolio, Executor, BacktestExecutor, DryRunExecutor
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from framework.risk import Position
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class TestPortfolio:
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"""测试Portfolio"""
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def test_portfolio_init(self):
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"""测试初始化"""
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portfolio = Portfolio(initial_capital=100000)
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assert portfolio.initial_capital == 100000
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assert portfolio.cash == 100000
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assert len(portfolio.positions) == 0
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def test_add_position(self):
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"""测试添加持仓"""
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portfolio = Portfolio(initial_capital=100000)
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portfolio.add_position(
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code='AAPL',
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price=100.0,
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quantity=10,
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time=datetime.now()
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)
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assert len(portfolio.positions) == 1
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assert 'AAPL' in portfolio.positions
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assert portfolio.cash == 99000 # 100000 - 100*10
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def test_remove_position(self):
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"""测试移除持仓"""
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portfolio = Portfolio(initial_capital=100000)
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portfolio.add_position('AAPL', 100.0, 10, datetime.now())
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profit = portfolio.remove_position('AAPL', 110.0, datetime.now())
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assert len(portfolio.positions) == 0
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assert profit == 100.0 # (110-100)*10
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assert portfolio.cash == 100100 # 99000 + 110*10
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def test_update_prices(self):
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"""测试更新价格"""
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portfolio = Portfolio(initial_capital=100000)
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portfolio.add_position('AAPL', 100.0, 10, datetime.now())
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portfolio.add_position('MSFT', 200.0, 5, datetime.now())
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portfolio.update_prices({'AAPL': 110.0, 'MSFT': 220.0})
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assert portfolio.positions['AAPL'].current_price == 110.0
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assert portfolio.positions['MSFT'].current_price == 220.0
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def test_get_net_value(self):
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"""测试净值计算"""
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portfolio = Portfolio(initial_capital=100000)
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portfolio.add_position('AAPL', 100.0, 10, datetime.now())
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portfolio.update_prices({'AAPL': 110.0})
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net_value = portfolio.get_net_value()
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expected = 99000 + 110 * 10 # cash + position_value
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assert net_value == expected
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def test_get_weight(self):
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"""测试权重计算"""
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portfolio = Portfolio(initial_capital=100000)
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portfolio.add_position('AAPL', 100.0, 100, datetime.now())
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portfolio.update_prices({'AAPL': 110.0})
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weight = portfolio.get_weight('AAPL')
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# 持仓价值=110*100=11000,净值=90000+11000=101000
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expected_weight = 11000 / 101000
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assert abs(weight - expected_weight) < 0.01
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def test_record_net_value(self):
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"""测试净值记录"""
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portfolio = Portfolio(initial_capital=100000)
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portfolio.record_net_value()
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portfolio.add_position('AAPL', 100.0, 10, datetime.now())
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portfolio.record_net_value()
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series = portfolio.get_net_value_series()
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assert len(series) == 2
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def test_portfolio_repr(self):
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"""测试字符串表示"""
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portfolio = Portfolio(initial_capital=100000)
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portfolio.add_position('AAPL', 100.0, 10, datetime.now())
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repr_str = repr(portfolio)
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assert 'Portfolio' in repr_str
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assert 'positions=1' in repr_str
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class TestBacktestExecutor:
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"""测试回测执行器"""
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def test_backtest_executor_init(self):
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"""测试初始化"""
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executor = BacktestExecutor(initial_capital=100000, trade_cost=0.001)
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assert executor.initial_capital == 100000
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assert executor.trade_cost == 0.001
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assert executor.mode == "backtest"
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def test_backtest_execute(self):
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"""测试回测执行"""
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executor = BacktestExecutor(initial_capital=100000)
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dates = pd.date_range('2020-01-01', periods=50)
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signals = pd.DataFrame({
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'signal': ['AAPL'] * 50
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}, index=dates)
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data = pd.DataFrame({
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'close': np.random.randn(50).cumsum() + 100
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}, index=dates)
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portfolio = executor.execute(signals, data)
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assert isinstance(portfolio, Portfolio)
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def test_backtest_executor_repr(self):
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"""测试字符串表示"""
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executor = BacktestExecutor(initial_capital=100000, trade_cost=0.001)
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repr_str = repr(executor)
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assert 'BacktestExecutor' in repr_str
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class TestDryRunExecutor:
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"""测试DryRun执行器"""
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def test_dry_run_executor_init(self):
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"""测试初始化"""
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executor = DryRunExecutor(verbose=True)
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assert executor.verbose == True
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assert executor.mode == "dry_run"
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def test_dry_run_execute(self):
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"""测试模拟执行"""
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executor = DryRunExecutor(verbose=False)
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dates = pd.date_range('2020-01-01', periods=50)
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signals = pd.DataFrame({
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'signal': ['AAPL,MSFT'] * 50
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}, index=dates)
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data = pd.DataFrame({
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'close': np.random.randn(50).cumsum() + 100
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}, index=dates)
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portfolio = executor.execute(signals, data)
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assert isinstance(portfolio, Portfolio)
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if __name__ == '__main__':
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pytest.main([__file__, '-v'])
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