etf/framework_v2/scripts/backtest_global_rotation.py

"""
全球资产大类轮动策略回测脚本（V2 正式版）

支持功能：
- 信号-交易分离（指数信号 → ETF收益）
- 强制分散化选股（每个 group 只选 1 个）
- 动态短债阈值（标的动量 < 短债动量 → 不持有）
- 溢价过滤（避免买入高溢价 ETF）
- 调仓控制（rebalance_days + rebalance_threshold）
- 交易成本计算（trade_cost: 0.1%）

用法:
    python framework_v2/scripts/backtest_global_rotation.py
"""

import sys
from pathlib import Path

# 添加项目根目录到 Python 路径
project_root = Path(__file__).parent.parent.parent
sys.path.insert(0, str(project_root))

from framework_v2.config import load_config
from framework_v2.strategies.rotation.rotation import GlobalRotationStrategy


def run_backtest():
    """运行回测"""
    print("=" * 70)
    print("  全球资产大类轮动策略回测（V2 正式版）")
    print("  场景：指数信号 → ETF收益，完整功能")
    print("=" * 70)
    
    # 加载配置
    config_file = project_root / "framework_v2" / "strategies" / "rotation" / "config_simple.yaml"
    print(f"\n配置文件: {config_file}")
    
    config = load_config(str(config_file))
    
    # 打印配置摘要
    print("\n" + "=" * 70)
    print("  配置摘要")
    print("=" * 70)
    print(f"策略名称: {config.metadata.strategy}")
    print(f"回测区间: {config.backtest.start_date} ~ {config.backtest.end_date or '至今'}")
    print(f"因子类型: {config.factor.type.value}")
    print(f"动量窗口: {config.factor.n_days} 天")
    print(f"选股数量: {config.rotation.select_num}")
    print(f"强制分散: {config.rotation.diversified}")
    
    # 打印策略参数
    rotation_config = config.rotation
    print(f"\n策略参数:")
    print(f"  动态阈值: {'启用' if rotation_config and rotation_config.threshold and rotation_config.threshold.mode == 'dynamic' else '禁用'}")
    print(f"  调仓控制: rebalance_days={getattr(rotation_config, 'rebalance_days', 1)}, threshold={getattr(rotation_config, 'rebalance_threshold', 0.0)}")
    print(f"  交易成本: {getattr(config.backtest, 'trade_cost', 0.001):.2%}")
    print(f"  溢价控制: {'启用' if hasattr(config, 'premium_control') and config.premium_control.enabled else '禁用'}")
    
    # 打印资产池
    print(f"\n资产池 ({config.asset_pools.count()} 个标的):")
    groups = config.asset_pools.by_group
    for group_name, assets in groups.items():
        print(f"  [{group_name}] {len(assets)} 个标的:")
        for code, asset in assets.items():
            print(f"    {code}: {asset.name}")
            print(f"      信号: {asset.signal_source}, 交易: {asset.trade_source}")
            print(f"      跨市场: {'是' if asset.is_cross_market else '否'}")
    
    # 创建策略
    print("\n" + "=" * 70)
    print("  运行回测...")
    print("=" * 70)
    
    strategy = GlobalRotationStrategy(config)
    
    # 运行回测并导出 detail
    output_dir = project_root / "framework_v2" / "results"
    output_dir.mkdir(exist_ok=True)
    
    detail_path = output_dir / "backtest_detail_v2.json"
    print(f"\n导出 detail JSON: {detail_path}")
    
    result = strategy.run(
        export_detail=True,
        detail_path=str(detail_path)
    )
    
    # 打印结果
    print("\n" + "=" * 70)
    print("  回测结果")
    print("=" * 70)
    
    metrics = result['metrics']
    print(f"总收益: {metrics['total_return']:.2%}")
    print(f"年化收益: {metrics['annual_return']:.2%}")
    print(f"最大回撤: {metrics['max_drawdown']:.2%}")
    print(f"夏普比率: {metrics['sharpe_ratio']:.2f}")
    print(f"交易天数: {metrics['n_days']}")
    print(f"调仓次数: {metrics['rebalance_count']}")
    
    # 打印净值曲线
    equity_curve = result['equity_curve']
    print(f"\n净值曲线:")
    print(f"  起始净值: {equity_curve.iloc[0]:.4f}")
    print(f"  结束净值: {equity_curve.iloc[-1]:.4f}")
    print(f"  数据点数: {len(equity_curve)}")
    
    # 保存结果
    output_dir = project_root / "framework_v2" / "results"
    output_dir.mkdir(exist_ok=True)
    
    # 保存净值曲线
    equity_curve.to_csv(output_dir / "global_rotation_equity.csv")
    print(f"\n净值曲线已保存: {output_dir / 'global_rotation_equity.csv'}")
    
    # 保存持仓记录
    positions = result['positions']
    positions.to_csv(output_dir / "global_rotation_positions.csv")
    print(f"持仓记录已保存: {output_dir / 'global_rotation_positions.csv'}")
    
    print("\n" + "=" * 70)
    print("  回测完成！")
    print("=" * 70)


if __name__ == "__main__":
    run_backtest()