etf/tests/verify_fix_result.py

#!/usr/bin/env python3
"""
验证修复后的回测结果是否与文档一致

文档预期结果 (Mode A - 指数信号+指数收益):
  CAGR: 11.80%, 最大回撤: -29.49%, 夏普: 0.818, Calmar: 0.400

文档预期结果 (Mode B - 指数信号+ETF收益):
  CAGR: 28.07%, 最大回撤: -13.34%, 夏普: 1.685, Calmar: 2.104
"""

import sys
from pathlib import Path
project_root = Path(__file__).parent.parent
sys.path.insert(0, str(project_root))

from dotenv import load_dotenv
load_dotenv()

import pandas as pd
import numpy as np
import yaml
from datetime import datetime
from strategies.rotation.strategy import RotationStrategy


def calculate_metrics(nav: pd.Series) -> dict:
    """计算绩效指标"""
    start_date = nav.index[0]
    end_date = nav.index[-1]
    days = (end_date - start_date).days
    years = days / 365
    
    total_return = nav.iloc[-1] - 1
    cagr = (nav.iloc[-1] / nav.iloc[0]) ** (1/years) - 1
    
    daily_ret = nav.pct_change().dropna()
    sharpe = daily_ret.mean() / daily_ret.std() * np.sqrt(252) if daily_ret.std() > 0 else 0
    
    peak = nav.cummax()
    drawdown = (nav - peak) / peak
    max_dd = drawdown.min()
    
    calmar = cagr / abs(max_dd) if max_dd != 0 else 0
    win_rate = (daily_ret > 0).sum() / len(daily_ret)
    
    return {
        'start_date': start_date.strftime('%Y-%m-%d'),
        'end_date': end_date.strftime('%Y-%m-%d'),
        'years': years,
        'days': len(nav),
        'total_return': total_return,
        'cagr': cagr,
        'max_dd': max_dd,
        'sharpe': sharpe,
        'calmar': calmar,
        'win_rate': win_rate
    }


def main():
    # 加载配置
    config_path = project_root / 'strategies/rotation/config.yaml'
    with open(config_path, 'r') as f:
        config = yaml.safe_load(f)
    
    # 设置回测区间（文档中的测试区间）
    config['start_date'] = '2020-01-02'
    config['end_date'] = '2026-05-19'
    
    print('='*70)
    print('修复后回测结果验证')
    print('='*70)
    print(f'回测区间: {config["start_date"]} ~ {config["end_date"]}')
    
    # 初始化策略
    strategy = RotationStrategy(config)
    
    # 获取数据并执行回测
    print('\n获取数据...')
    data = strategy.get_data(use_flask_api=False)
    
    print('\n执行回测...')
    result = strategy.run_backtest(data=data)
    
    if result.get('result') is None:
        print('❌ 回测未生成结果')
        return
    
    # 计算指标
    nav = result['result']['策略净值']
    metrics = calculate_metrics(nav)
    
    # 输出结果
    print('\n' + '='*70)
    print('修复后回测结果')
    print('='*70)
    print(f"回测区间: {metrics['start_date']} ~ {metrics['end_date']}")
    print(f"回测年数: {metrics['years']:.2f} 年")
    print(f"交易天数: {metrics['days']} 天")
    print('-'*70)
    print(f"CAGR:        {metrics['cagr']:.2%}")
    print(f"最大回撤:    {metrics['max_dd']:.2%}")
    print(f"夏普比率:    {metrics['sharpe']:.3f}")
    print(f"Calmar比率:  {metrics['calmar']:.3f}")
    print(f"日胜率:      {metrics['win_rate']:.2%}")
    print(f"累计收益:    {metrics['total_return']:.2%}")
    print(f"调仓次数:    {len(result.get('rebalance_events', []))} 次")
    print('='*70)
    
    # 文档预期结果对比
    print('\n' + '='*70)
    print('文档预期结果对比')
    print('='*70)
    print("\nMode A (指数信号 → 指数收益):")
    print("  预期: CAGR 11.80%, MaxDD -29.49%, Sharpe 0.818, Calmar 0.400")
    
    print("\nMode B (指数信号 → ETF收益):")
    print("  预期: CAGR 28.07%, MaxDD -13.34%, Sharpe 1.685, Calmar 2.104")
    
    # 判断当前模式
    print('\n' + '-'*70)
    cagr_diff_a = abs(metrics['cagr'] - 0.1180)
    cagr_diff_b = abs(metrics['cagr'] - 0.2807)
    
    if cagr_diff_a < 0.03:
        print(f"✓ 当前结果接近 Mode A (CAGR差异: {cagr_diff_a:.2%})")
        print("  说明: 当前回测使用指数收盘价计算收益")
    elif cagr_diff_b < 0.03:
        print(f"✓ 当前结果接近 Mode B (CAGR差异: {cagr_diff_b:.2%})")
        print("  说明: 当前回测使用ETF价格计算收益")
    else:
        print(f"⚠ 当前结果与文档预期有差异")
        print(f"  Mode A CAGR差异: {cagr_diff_a:.2%}")
        print(f"  Mode B CAGR差异: {cagr_diff_b:.2%}")
    
    print('='*70)
    
    return metrics


if __name__ == '__main__':
    main()