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fix(rotation): 修复 backtest detail 中指数和 ETF 累计收益计算 bug

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- 问题：cum_return_idx 和 cum_return_etf 使用相同的 ETF 价格计算
- 修复：分别使用指数价格（raw）和 ETF 价格（hfq）独立计算
- 验证：72.6% 的持仓记录显示差异（0.06%~0.48%），符合预期
- 新增验证脚本：verify_cum_return_fix.py
This commit is contained in:
aszerW
2026-05-26 23:22:26 +08:00
parent 6a86a27108
commit ee2453f65e
3 changed files with 424 additions and 7 deletions
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24
framework_v2/strategies/rotation/rotation.py
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@@ -795,19 +795,29 @@ class GlobalRotationStrategy(StrategyBase):
trading_days_held = len(trading_calendar[(trading_calendar >= entry_dt) & (trading_calendar <= date)])
asset['holding_days'] = trading_days_held
# 累计收益
# 累计收益（分别使用 ETF 和指数价格计算）
if hs['entry_price'] and hs['entry_price'] > 0:
# ETF 累计收益
if code in etf_close_dict:
cur = etf_close_dict[code].reindex(trading_calendar, method='ffill').get(date)
if cur and pd.notna(cur):
cum_ret = float(cur) / hs['entry_price'] - 1
asset['cum_return_etf'] = self._safe_val(cum_ret, 4)
asset['cum_return_idx'] = self._safe_val(cum_ret, 4)
etf_cur = etf_close_dict[code].reindex(trading_calendar, method='ffill').get(date)
if etf_cur and pd.notna(etf_cur):
etf_cum_ret = float(etf_cur) / hs['entry_price'] - 1
asset['cum_return_etf'] = self._safe_val(etf_cum_ret, 4)
else:
asset['cum_return_etf'] = None
asset['cum_return_idx'] = None
else:
asset['cum_return_etf'] = None
# 指数累计收益（独立计算）
if code in index_close_dict:
idx_cur = index_close_dict[code].reindex(trading_calendar, method='ffill').get(date)
idx_entry = index_close_dict[code].reindex(trading_calendar, method='ffill').get(entry_dt)
if idx_cur and idx_entry and pd.notna(idx_entry) and float(idx_entry) > 0:
idx_cum_ret = float(idx_cur) / float(idx_entry) - 1
asset['cum_return_idx'] = self._safe_val(idx_cum_ret, 4)
else:
asset['cum_return_idx'] = None
else:
asset['cum_return_idx'] = None
else:
asset['cum_return_etf'] = None