""" A/B测试:添加新兴市场大类的影响 对比: - A组(对照组):当前配置(无新兴市场) - B组(实验组):添加印度/法国作为新兴/欧洲市场大类 核心问题:添加新大类是否增加跨类分散、提升绩效 """ import sys from pathlib import Path sys.path.insert(0, str(Path(__file__).parent.parent.parent)) from strategies.rotation.engine import RotationStrategy import pandas as pd import yaml def create_config_with_india(base_config: dict) -> dict: """在基础配置上添加印度市场""" config = base_config.copy() config['code_list'] = base_config['code_list'].copy() # 添加印度市场(新大类) # YFinance印度指数需要用^NSEI格式 config['code_list']['^NSEI'] = { 'name': '印度Nifty50', 'etf': '164824.SZ', # 工银瑞信印度市场LOF 'market': 'EM' # 新兴市场大类 } return config def run_backtest(config: dict, label: str) -> dict: """运行回测并返回关键指标""" print(f"\n{'='*60}") print(f" {label}") print(f"{'='*60}") strategy = RotationStrategy(config) result = strategy.run() if result is None or len(result) == 0: return None # 计算指标 strategy_nav = result['轮动策略净值'] strategy_ret = result['轮动策略日收益率'] total_return = strategy_nav.iloc[-1] - 1 days = len(result) years = days / 250 cagr = (strategy_nav.iloc[-1] ** (1/years)) - 1 excess_ret = strategy_ret.mean() * 250 vol = strategy_ret.std() * (250 ** 0.5) sharpe = excess_ret / vol if vol > 0 else 0 rolling_max = strategy_nav.cummax() drawdown = (strategy_nav - rolling_max) / rolling_max max_dd = drawdown.min() calmar = cagr / abs(max_dd) if max_dd < 0 else 0 win_rate = (strategy_ret > 0).sum() / len(strategy_ret) # 计算调仓次数 trades = result.get('调仓记录', []) rebalance_count = len(trades) if trades else 0 # 统计大类数量 markets = set() for code_info in config['code_list'].values(): markets.add(code_info.get('market', 'A')) metrics = { 'label': label, '大类数量': len(markets), '累计收益': total_return, 'CAGR': cagr, 'Sharpe': sharpe, 'MaxDD': max_dd, 'Calmar': calmar, '日胜率': win_rate, '调仓次数': rebalance_count, } print(f"\n大类数量: {metrics['大类数量']}") print(f"累计收益: {metrics['累计收益']:.2%}") print(f"CAGR: {metrics['CAGR']:.2%}") print(f"Sharpe: {metrics['Sharpe']:.2f}") print(f"MaxDD: {metrics['MaxDD']:.2%}") print(f"Calmar: {metrics['Calmar']:.2f}") print(f"日胜率: {metrics['日胜率']:.2%}") print(f"调仓次数: {metrics['调仓次数']}") return metrics def compare_results(a_metrics: dict, b_metrics: dict): """对比两组结果""" print(f"\n{'='*60}") print(f" 对比结果") print(f"{'='*60}") print(f"\n{'指标':<15} {'A组(无新兴)':<15} {'B组(有印度)':<15} {'差异':<15}") print("-" * 60) metrics_keys = ['大类数量', '累计收益', 'CAGR', 'Sharpe', 'MaxDD', 'Calmar', '日胜率', '调仓次数'] for key in metrics_keys: a_val = a_metrics.get(key, 0) b_val = b_metrics.get(key, 0) diff = b_val - a_val if key in ['累计收益', 'CAGR', 'MaxDD', '日胜率']: a_str = f"{a_val:.2%}" b_str = f"{b_val:.2%}" diff_str = f"{diff*100:+.2f}%" elif key in ['大类数量', '调仓次数']: a_str = str(a_val) b_str = str(b_val) diff_str = f"+{diff}" if diff > 0 else str(diff) else: a_str = f"{a_val:.2f}" b_str = f"{b_val:.2f}" diff_str = f"{diff:+.2f}" print(f"{key:<15} {a_str:<15} {b_str:<15} {diff_str:<15}") print("-" * 60) print(f"\n【关键发现】") print(f"添加印度新兴市场大类效果:") if b_metrics['大类数量'] > a_metrics['大类数量']: print(f" ✓ 大类数量增加 {b_metrics['大类数量'] - a_metrics['大类数量']}(跨类分散提升)") if b_metrics['累计收益'] > a_metrics['累计收益']: print(f" ✓ 累计收益提升 {b_metrics['累计收益'] - a_metrics['累计收益']:.2%}") print(f" → 新大类确实带来收益增益") elif b_metrics['累计收益'] < a_metrics['累计收益']: print(f" ✗ 累计收益下降 {a_metrics['累计收益'] - b_metrics['累计收益']:.2%}") print(f" → 印度市场可能动量信号不够强或流动性问题") if b_metrics['Sharpe'] > a_metrics['Sharpe']: print(f" ✓ Sharpe改善 {b_metrics['Sharpe'] - a_metrics['Sharpe']:.2f}") else: print(f" ✗ Sharpe下降 {a_metrics['Sharpe'] - b_metrics['Sharpe']:.2f}") if b_metrics['调仓次数'] > a_metrics['调仓次数'] * 1.1: print(f" ⚠ 调仓次数增加 {b_metrics['调仓次数'] - a_metrics['调仓次数']}(可能增加切换成本)") print(f"\n【策略建议】") if b_metrics['累计收益'] > a_metrics['累计收益'] and b_metrics['Sharpe'] >= a_metrics['Sharpe'] * 0.95: print(f" 建议:添加印度新兴市场大类(跨类分散有效)") elif b_metrics['累计收益'] < a_metrics['累计收益'] * 0.95: print(f" 建议:暂不添加印度(收益损失较大)") print(f" 原因:LOF流动性可能不足、印度动量信号可能较弱") else: print(f" 建议:进一步测试其他新兴市场标的(如东南亚科技ETF)") def main(): """主函数""" config_path = Path(__file__).parent.parent.parent / 'config' / 'strategies' / 'rotation.yaml' with open(config_path, 'r') as f: base_config = yaml.safe_load(f) # 添加 end_date from datetime import datetime base_config['end_date'] = datetime.now().strftime('%Y-%m-%d') print(f"\n{'='*60}") print(f" A/B测试:添加新兴市场大类(印度)") print(f"{'='*60}") print(f"\n研究问题:") print(f" - 添加印度作为新大类(EM = Emerging Market)") print(f" - 跨类分散是否真正提升") print(f" - 对比001实验(同大类添加),验证新大类添加效果") # A组:当前配置 a_metrics = run_backtest(base_config, "A组: 当前配置(无新兴市场)") # B组:添加印度 config_with_india = create_config_with_india(base_config) b_metrics = run_backtest(config_with_india, "B组: 添加印度新兴市场") # 对比 if a_metrics and b_metrics: compare_results(a_metrics, b_metrics) # 保存结果 results_df = pd.DataFrame([a_metrics, b_metrics]) results_path = Path(__file__).parent.parent.parent / 'results' / 'ab_test_emerging_market.csv' results_df.to_csv(results_path, index=False) print(f"\n对比结果已保存: {results_path}") if __name__ == '__main__': main()