test: 更新测试以验证框架重构正确性
- 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:
@@ -1,291 +1,323 @@
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"""
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风控层测试
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测试RiskControl、StopLossControl、PositionLimitControl、CallbackHook
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测试RiskControl、CallbackHook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, timedelta
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from datetime import datetime
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from framework.risk import (
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RiskControl, StopLossControl, PositionLimitControl, PremiumControl,
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CallbackHook, Position, Trade,
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premium_filter_callback, crash_filter_callback, holding_time_stoploss_callback
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)
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from framework.risk import RiskControl, CallbackHook, Position
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from strategies.shared.risk.controls import StopLossControl, PositionLimitControl, PremiumControl
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class TestPosition:
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"""测试持仓信息"""
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"""测试Position数据结构"""
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def test_position_profit(self):
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"""测试盈亏计算"""
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def test_position_creation(self):
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"""测试持仓创建"""
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position = Position(
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code='code1',
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code='AAPL',
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entry_price=100.0,
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current_price=105.0,
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entry_time=datetime.now(),
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quantity=10
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)
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assert position.code == 'AAPL'
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assert position.entry_price == 100.0
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assert position.current_price == 105.0
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def test_profit_ratio(self):
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"""测试盈亏比例计算"""
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position = Position(
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code='AAPL',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=110.0,
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current_date=datetime(2020, 1, 10),
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quantity=100,
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weight=0.33
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entry_time=datetime.now()
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)
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assert position.profit_ratio == 0.10
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assert position.is_profit == True
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assert position.holding_days == 9
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def test_position_loss(self):
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"""测试亏损计算"""
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def test_profit_amount(self):
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"""测试盈亏金额计算"""
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position = Position(
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code='code1',
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code='AAPL',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=95.0,
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current_date=datetime(2020, 1, 5),
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quantity=100,
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weight=0.33
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current_price=110.0,
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entry_time=datetime.now(),
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quantity=10
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)
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assert position.profit_ratio == -0.05
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assert position.is_profit == False
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assert position.holding_days == 4
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assert position.profit_amount == 100.0
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def test_position_repr(self):
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"""测试持仓字符串表示"""
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position = Position(
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code='AAPL',
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entry_price=100.0,
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current_price=105.0,
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entry_time=datetime.now()
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)
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repr_str = repr(position)
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assert 'AAPL' in repr_str
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assert '5.00%' in repr_str
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class TestStopLossControl:
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"""测试止损控制"""
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def test_fixed_stoploss_check(self):
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"""测试固定止损检查"""
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def test_stop_loss_init(self):
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"""测试初始化"""
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control = StopLossControl(threshold=-0.05)
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assert control.threshold == -0.05
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assert control.name == "stop_loss"
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def test_stop_loss_check(self):
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"""测试止损检查"""
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control = StopLossControl(threshold=-0.05)
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# 未触发止损
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position = Position(
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code='code1',
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# 盈利持仓应该通过
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profit_position = Position(
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code='AAPL',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=96.0,
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current_date=datetime(2020, 1, 5),
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quantity=100,
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weight=0.33
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current_price=110.0,
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entry_time=datetime.now()
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)
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assert control.check(profit_position) == True
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# 亏损持仓应该触发止损
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loss_position = Position(
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code='AAPL',
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entry_price=100.0,
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current_price=90.0, # 亏损10%
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entry_time=datetime.now()
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)
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# 亏损超过阈值应该触发
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assert control.check(loss_position) == False
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def test_trailing_stop_loss(self):
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"""测试跟踪止损"""
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control = StopLossControl(threshold=-0.05, trailing=True, trailing_percent=0.03)
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position = Position(
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code='AAPL',
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entry_price=100.0,
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current_price=105.0,
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entry_time=datetime.now()
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)
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# 初始最高价=入场价100，当前价105
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# 更新后最高价=105
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control.check(position)
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# 从最高价回撤不超过阈值应该通过
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position.current_price = 103.0 # 回撤约2%
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assert control.check(position) == True
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# 触发止损
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position.current_price = 94.0
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# 回撤超过阈值应该触发
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position.current_price = 100.0 # 回撤约5%
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assert control.check(position) == False
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def test_fixed_stoploss_apply(self):
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"""测试固定止损应用"""
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control = StopLossControl(threshold=-0.05)
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position = Position(
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code='code1',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=95.0,
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current_date=datetime(2020, 1, 5),
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quantity=100,
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weight=0.33
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)
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stop_price = control.apply(position)
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assert stop_price == 95.0 # 100 * (1 - 0.05)
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def test_trailing_stoploss(self):
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"""测试跟踪止损"""
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control = StopLossControl(trailing=True, trailing_percent=0.03)
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position = Position(
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code='code1',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=105.0,
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current_date=datetime(2020, 1, 5),
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quantity=100,
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weight=0.33
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)
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# 最高价更新为105
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control.check(position)
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assert control._highest_price['code1'] == 105.0
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# 当前价回撤到101（从105回撤4%），超过3%阈值
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position.current_price = 101.0
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assert control.check(position) == False
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# 止损价格应为 105 * (1 - 0.03) = 101.85
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stop_price = control.apply(position)
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assert abs(stop_price - 101.85) < 0.01
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class TestPositionLimitControl:
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"""测试仓位限制控制"""
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def test_position_limit_init(self):
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"""测试初始化"""
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control = PositionLimitControl(max_position=0.33)
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assert control.max_position == 0.33
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assert control.name == "position_limit"
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def test_position_limit_check(self):
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"""测试仓位限制检查"""
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control = PositionLimitControl(max_position=0.33)
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# 仓位未超限
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position = Position(
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code='code1',
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# 正常仓位应该通过
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normal_position = Position(
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code='AAPL',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=105.0,
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current_date=datetime(2020, 1, 5),
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quantity=100,
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weight=0.30
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entry_time=datetime.now(),
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weight=0.20
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)
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assert control.check(position) == True
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assert control.check(normal_position) == True
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# 仓位超限
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position.weight = 0.40
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assert control.check(position) == False
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def test_position_limit_apply(self):
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"""测试仓位限制应用"""
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control = PositionLimitControl(max_position=0.33)
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position = Position(
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code='code1',
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# 超限仓位应该触发
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over_position = Position(
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code='AAPL',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=105.0,
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current_date=datetime(2020, 1, 5),
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quantity=100,
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entry_time=datetime.now(),
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weight=0.50
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)
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suggested_weight = control.apply(position)
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assert suggested_weight == 0.33
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assert control.check(over_position) == False
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class TestPremiumControl:
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"""测试溢价控制"""
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def test_premium_filter(self):
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"""测试溢价过滤"""
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def test_premium_control_init(self):
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"""测试初始化"""
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control = PremiumControl(threshold=0.10)
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assert control.threshold == 0.10
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assert control.name == "premium"
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def test_premium_filter_mode(self):
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"""测试溢价过滤模式"""
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control = PremiumControl(threshold=0.10, mode='filter')
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# 溢价未超限
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assert control.check(None, premium=0.05) == True
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# 溢价超限
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assert control.check(None, premium=0.15) == False
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def test_premium_penalize(self):
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"""测试溢价降权"""
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control = PremiumControl(threshold=0.10, mode='penalize')
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# 降权模式下允许通过
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assert control.check(None, premium=0.15) == True
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# 返回降权系数
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position = Position(
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code='code1',
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code='AAPL',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=105.0,
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current_date=datetime(2020, 1, 5),
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quantity=100,
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weight=0.33
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entry_time=datetime.now()
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)
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penalty = control.apply(position)
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assert penalty == 0.5
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# 正常溢价应该通过
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assert control.check(position, premium=0.05) == True
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# 高溢价应该被过滤
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assert control.check(position, premium=0.15) == False
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class TestCallbackHook:
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"""测试回调钩子"""
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def test_register_hook(self):
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def test_callback_hook_init(self):
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"""测试初始化"""
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hook = CallbackHook()
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assert len(hook.list_hooks()) == 6
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def test_register_callback(self):
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"""测试注册回调"""
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hook = CallbackHook()
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def dummy_callback(code, price):
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def my_callback(code, price, **kwargs):
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return True
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hook.register('before_entry', dummy_callback)
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assert len(hook._hooks['before_entry']) == 1
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hook.register('before_entry', my_callback)
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callbacks = hook.get_callbacks('before_entry')
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assert len(callbacks) == 1
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def test_trigger_before_entry(self):
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"""测试触发入场前回调"""
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hook = CallbackHook()
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# 注册溢价过滤回调
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hook.register('before_entry', premium_filter_callback(threshold=0.10))
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def always_pass(code, price, **kwargs):
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return True
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# 溢价正常，允许入场
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result = hook.trigger('before_entry', 'code1', 100.0, premium=0.05)
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assert result == True
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def always_block(code, price, **kwargs):
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return False
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# 溢价过高，拒绝入场
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result = hook.trigger('before_entry', 'code1', 100.0, premium=0.15)
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hook.register('before_entry', always_pass)
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hook.register('before_entry', always_block)
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# before_entry要求所有回调返回True才允许
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result = hook.trigger('before_entry', 'AAPL', 100.0)
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assert result == False
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def test_trigger_dynamic_stoploss(self):
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"""测试触发动态止损回调"""
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hook = CallbackHook()
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# 注册持仓时间止损回调
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hook.register('dynamic_stoploss', holding_time_stoploss_callback())
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def stoploss_5p(position):
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return -0.05
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def stoploss_3p(position):
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return -0.03
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hook.register('dynamic_stoploss', stoploss_5p)
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hook.register('dynamic_stoploss', stoploss_3p)
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# 持仓5天，止损-5%
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position = Position(
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code='code1',
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code='AAPL',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=95.0,
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current_date=datetime(2020, 1, 6),
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quantity=100,
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weight=0.33
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current_price=105.0,
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entry_time=datetime.now()
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)
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stoploss = hook.trigger('dynamic_stoploss', position)
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# holding_days=5，返回-0.05
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assert stoploss == -0.05
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# dynamic_stoploss返回最小止损值（最严格）
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result = hook.trigger('dynamic_stoploss', position)
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assert result == -0.05
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def test_trigger_custom_exit(self):
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"""测试触发自定义出场回调"""
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hook = CallbackHook()
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def reversal_exit_callback(position):
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# 反转信号触发出场
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return position.profit_ratio < -0.02
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def exit_on_loss(position):
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return position.profit_ratio < -0.05
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hook.register('custom_exit', reversal_exit_callback)
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def exit_on_profit(position):
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return position.profit_ratio > 0.20
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# 未触发出场
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position = Position(
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code='code1',
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hook.register('custom_exit', exit_on_loss)
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hook.register('custom_exit', exit_on_profit)
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# custom_exit任一回调触发即可
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profit_position = Position(
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code='AAPL',
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entry_price=100.0,
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entry_date=datetime(2020, 1, 1),
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current_price=99.0,
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current_date=datetime(2020, 1, 5),
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quantity=100,
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weight=0.33
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current_price=125.0, # 盈利25%
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entry_time=datetime.now()
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)
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result = hook.trigger('custom_exit', position)
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assert result == False
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# 触发出场
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position.current_price = 97.0
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result = hook.trigger('custom_exit', position)
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result = hook.trigger('custom_exit', profit_position)
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assert result == True
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# 未触发
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normal_position = Position(
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code='AAPL',
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entry_price=100.0,
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current_price=110.0,
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entry_time=datetime.now()
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)
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result = hook.trigger('custom_exit', normal_position)
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assert result == False
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def test_multiple_callbacks(self):
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"""测试多个回调组合"""
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def test_clear_hooks(self):
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"""测试清空回调"""
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hook = CallbackHook()
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# 注册多个入场前回调
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hook.register('before_entry', premium_filter_callback(0.10))
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hook.register('before_entry', lambda code, price, **kwargs: price > 50)
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def callback(code, price, **kwargs):
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return True
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# 溢价正常 + 价格>50，允许入场
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result = hook.trigger('before_entry', 'code1', 100.0, premium=0.05)
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hook.register('before_entry', callback)
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# 清空特定钩子
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hook.clear('before_entry')
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assert len(hook.get_callbacks('before_entry')) == 0
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# 清空所有钩子
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hook.register('before_entry', callback)
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hook.register('after_entry', callback)
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hook.clear()
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assert len(hook.get_callbacks('before_entry')) == 0
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assert len(hook.get_callbacks('after_entry')) == 0
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def test_default_behavior(self):
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"""测试默认行为"""
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hook = CallbackHook() # 无注册回调
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|
||||
# before_entry默认允许
|
||||
result = hook.trigger('before_entry', 'AAPL', 100.0)
|
||||
assert result == True
|
||||
|
||||
# 溢价过高，拒绝入场（任一回调返回False）
|
||||
result = hook.trigger('before_entry', 'code1', 100.0, premium=0.15)
|
||||
assert result == False
|
||||
# dynamic_stoploss默认值
|
||||
result = hook.trigger('dynamic_stoploss', None, default_stoploss=-0.05)
|
||||
assert result == -0.05
|
||||
|
||||
# 价格过低，拒绝入场
|
||||
result = hook.trigger('before_entry', 'code1', 40.0, premium=0.05)
|
||||
# custom_exit默认不出场
|
||||
position = Position(
|
||||
code='AAPL',
|
||||
entry_price=100.0,
|
||||
current_price=105.0,
|
||||
entry_time=datetime.now()
|
||||
)
|
||||
result = hook.trigger('custom_exit', position)
|
||||
assert result == False
|
||||
|
||||
|
||||
|
||||
Reference in New Issue
Block a user