""" A/B测试:纳指100 vs 标普500 替换对比 对比: - A组(对照组):纳指100作为美股大类代表 - B组(实验组):标普500替换纳指100作为美股大类代表 核心问题:替换后对策略绩效的影响(无类内竞争) """ import sys from pathlib import Path sys.path.insert(0, str(Path(__file__).parent.parent)) from strategies.rotation.engine import RotationStrategy import pandas as pd import yaml def create_config_replace_ndx_with_spx(base_config: dict) -> dict: """将纳指100替换为标普500""" config = base_config.copy() config['code_list'] = base_config['code_list'].copy() # 移除纳指100 if 'NDX' in config['code_list']: del config['code_list']['NDX'] # 添加标普500(替换纳指100) config['code_list']['SPX'] = { 'name': '标普500', 'etf': '513500.SH', 'market': 'US' } 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) metrics = { 'label': label, '美股标的': '纳指100' if 'NDX' in config['code_list'] else '标普500', '累计收益': total_return, 'CAGR': cagr, 'Sharpe': sharpe, 'MaxDD': max_dd, 'Calmar': calmar, '日胜率': win_rate, } print(f"\n美股代表: {metrics['美股标的']}") 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%}") 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(纳指100)':<15} {'B组(标普500)':<15} {'差异':<15}") print("-" * 60) metrics_keys = ['美股标的', '累计收益', 'CAGR', 'Sharpe', 'MaxDD', 'Calmar', '日胜率'] for key in metrics_keys: a_val = a_metrics.get(key, 0) b_val = b_metrics.get(key, 0) if key == '美股标的': print(f"{key:<15} {a_val:<15} {b_val:<15} {'替换':<15}") continue 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}%" 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"纳指100 → 标普500 替换效果:") if b_metrics['CAGR'] < a_metrics['CAGR']: print(f" - CAGR下降 {a_metrics['CAGR'] - b_metrics['CAGR']:.2%}") print(f" → 标普500动量信号可能不如纳指强") if b_metrics['MaxDD'] > a_metrics['MaxDD']: # 注意MaxDD是负数 print(f" - MaxDD改善 {b_metrics['MaxDD'] - a_metrics['MaxDD']:.2%}") print(f" → 标普500更稳定,回撤更小") if b_metrics['Sharpe'] > a_metrics['Sharpe']: print(f" - Sharpe改善 {b_metrics['Sharpe'] - a_metrics['Sharpe']:.2f}") print(f" → 标普500风险调整后收益更优") elif b_metrics['Sharpe'] < a_metrics['Sharpe']: print(f" - Sharpe下降 {b_metrics['Sharpe'] - a_metrics['Sharpe']:.2f}") print(f" → 纳指100风险调整后收益更优") print(f"\n【策略建议】") if b_metrics['累计收益'] < a_metrics['累计收益'] * 0.9: print(f" 建议:保持纳指100(成长风格更适合动量策略)") elif b_metrics['Sharpe'] > a_metrics['Sharpe']: print(f" 建议:考虑标普500(更稳定、风险调整收益更优)") else: print(f" 建议:保持纳指100(累计收益更高)") def main(): """主函数""" # 加载基础配置 config_path = Path(__file__).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:纳指100 vs 标普500 替换对比") print(f"{'='*60}") print(f"\n研究问题:") print(f" - 将美股大类代表从纳指100替换为标普500") print(f" - 无类内竞争(每大类还是1只)") print(f" - 评估标的特性变化对绩效的影响") # A组:纳指100(当前配置) a_metrics = run_backtest(base_config, "A组: 纳指100作为美股代表") # B组:标普500替换纳指100 config_replace = create_config_replace_ndx_with_spx(base_config) b_metrics = run_backtest(config_replace, "B组: 标普500替换纳指100") # 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 / 'results' / 'ab_test_ndx_vs_spx.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()