aszer/etf
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

test: 更新测试以验证框架重构正确性

Browse Source 
- 测试文件改用strategies.shared的具体实现
- 新增framework_comparison_test.py对比新旧实现结果
- 因子计算相关系数达到1.0000，差异为0.000000
- 79个单元测试全部通过
This commit is contained in:
aszerW
2026-05-11 23:10:02 +08:00
parent de31271ab3
commit fc59836ec3
7 changed files with 1066 additions and 618 deletions
Download Patch File Download Diff File Expand all files Collapse all files

188
framework/tests/test_execution.py
View File

@@ -1,101 +1,173 @@
"""
执行层测试
测试Portfolio、Executor抽象接口
"""
import pytest
import pandas as pd
import numpy as np
import pytest
from datetime import datetime
from framework.execution import Executor, BacktestExecutor, DryRunExecutor, Portfolio
from framework.execution import Portfolio, Executor, BacktestExecutor, DryRunExecutor
from framework.risk import Position
class TestExecutor:
"""测试执行器基类"""
class TestPortfolio:
"""测试Portfolio"""
def test_executor_mode(self):
"""测试执行器模式"""
backtest = BacktestExecutor()
assert backtest.get_mode() == "backtest"
def test_portfolio_init(self):
"""测试初始化"""
portfolio = Portfolio(initial_capital=100000)
dry_run = DryRunExecutor()
assert dry_run.get_mode() == "dry_run"
assert portfolio.initial_capital == 100000
assert portfolio.cash == 100000
assert len(portfolio.positions) == 0
def test_add_position(self):
"""测试添加持仓"""
portfolio = Portfolio(initial_capital=100000)
portfolio.add_position(
code='AAPL',
price=100.0,
quantity=10,
time=datetime.now()
)
assert len(portfolio.positions) == 1
assert 'AAPL' in portfolio.positions
assert portfolio.cash == 99000 # 100000 - 100*10
def test_remove_position(self):
"""测试移除持仓"""
portfolio = Portfolio(initial_capital=100000)
portfolio.add_position('AAPL', 100.0, 10, datetime.now())
profit = portfolio.remove_position('AAPL', 110.0, datetime.now())
assert len(portfolio.positions) == 0
assert profit == 100.0 # (110-100)*10
assert portfolio.cash == 100100 # 99000 + 110*10
def test_update_prices(self):
"""测试更新价格"""
portfolio = Portfolio(initial_capital=100000)
portfolio.add_position('AAPL', 100.0, 10, datetime.now())
portfolio.add_position('MSFT', 200.0, 5, datetime.now())
portfolio.update_prices({'AAPL': 110.0, 'MSFT': 220.0})
assert portfolio.positions['AAPL'].current_price == 110.0
assert portfolio.positions['MSFT'].current_price == 220.0
def test_get_net_value(self):
"""测试净值计算"""
portfolio = Portfolio(initial_capital=100000)
portfolio.add_position('AAPL', 100.0, 10, datetime.now())
portfolio.update_prices({'AAPL': 110.0})
net_value = portfolio.get_net_value()
expected = 99000 + 110 * 10 # cash + position_value
assert net_value == expected
def test_get_weight(self):
"""测试权重计算"""
portfolio = Portfolio(initial_capital=100000)
portfolio.add_position('AAPL', 100.0, 100, datetime.now())
portfolio.update_prices({'AAPL': 110.0})
weight = portfolio.get_weight('AAPL')
# 持仓价值=110*100=11000，净值=90000+11000=101000
expected_weight = 11000 / 101000
assert abs(weight - expected_weight) < 0.01
def test_record_net_value(self):
"""测试净值记录"""
portfolio = Portfolio(initial_capital=100000)
portfolio.record_net_value()
portfolio.add_position('AAPL', 100.0, 10, datetime.now())
portfolio.record_net_value()
series = portfolio.get_net_value_series()
assert len(series) == 2
def test_portfolio_repr(self):
"""测试字符串表示"""
portfolio = Portfolio(initial_capital=100000)
portfolio.add_position('AAPL', 100.0, 10, datetime.now())
repr_str = repr(portfolio)
assert 'Portfolio' in repr_str
assert 'positions=1' in repr_str
class TestBacktestExecutor:
"""测试回测执行器"""
def test_backtest_init(self):
"""测试回测初始化"""
executor = BacktestExecutor(
initial_capital=100000.0,
trade_cost=0.001
)
def test_backtest_executor_init(self):
"""测试初始化"""
executor = BacktestExecutor(initial_capital=100000, trade_cost=0.001)
assert executor.initial_capital == 100000.0
assert executor.initial_capital == 100000
assert executor.trade_cost == 0.001
assert executor.mode == "backtest"
def test_backtest_execute(self):
"""测试回测执行"""
executor = BacktestExecutor(initial_capital=100000.0)
executor = BacktestExecutor(initial_capital=100000)
# 创建测试数据
dates = pd.date_range('2020-01-01', periods=10)
dates = pd.date_range('2020-01-01', periods=50)
signals = pd.DataFrame({
'signal': ['code1,code2'] * 10
'signal': ['AAPL'] * 50
}, index=dates)
data = pd.DataFrame({
'code1': [100.0] * 10,
'code2': [50.0] * 10,
'close': np.random.randn(50).cumsum() + 100
}, index=dates)
portfolio = executor.execute(signals, data)
assert portfolio is not None
assert portfolio.cash == 100000.0
assert isinstance(portfolio, Portfolio)
def test_backtest_executor_repr(self):
"""测试字符串表示"""
executor = BacktestExecutor(initial_capital=100000, trade_cost=0.001)
repr_str = repr(executor)
assert 'BacktestExecutor' in repr_str
class TestDryRunExecutor:
"""测试模拟盘执行器"""
"""测试DryRun执行器"""
def test_dry_run_init(self):
"""测试模拟盘初始化"""
executor = DryRunExecutor(initial_capital=50000.0)
def test_dry_run_executor_init(self):
"""测试初始化"""
executor = DryRunExecutor(verbose=True)
assert executor.initial_capital == 50000.0
assert executor.verbose == True
assert executor.mode == "dry_run"
def test_simulate_order(self):
"""测试模拟下单"""
executor = DryRunExecutor(initial_capital=100000.0)
def test_dry_run_execute(self):
"""测试模拟执行"""
executor = DryRunExecutor(verbose=False)
# 初始化持仓
executor._portfolio = Portfolio(
positions={},
cash=100000.0,
nav=1.0,
trades=[]
)
dates = pd.date_range('2020-01-01', periods=50)
signals = pd.DataFrame({
'signal': ['AAPL,MSFT'] * 50
}, index=dates)
# 模拟买入
executor.simulate_order('code1', 'BUY', 100, 50.0)
data = pd.DataFrame({
'close': np.random.randn(50).cumsum() + 100
}, index=dates)
# 检查现金减少
assert executor._portfolio.cash == 100000.0 - 100 * 50.0
class TestPortfolio:
"""测试持仓组合"""
def test_portfolio_value(self):
"""测试持仓价值计算"""
portfolio = Portfolio(
positions={},
cash=50000.0,
nav=1.0,
trades=[]
)
portfolio = executor.execute(signals, data)
assert portfolio.get_total_value() == 50000.0
assert isinstance(portfolio, Portfolio)
if __name__ == '__main__':