aszerW
6a86a27108
新增脚本： - verify_etf_hfq_fix.py: 验证指数使用raw、ETF使用hfq - compare_index_vs_etf_returns.py: 对比指数收益vs ETF收益的KPI指标 验证内容： - 指数数据完整性检查 - ETF数据完整性检查 - ETF是否正确使用hfq后复权价格（抽样对比raw和hfq） - 验证510300.SH等ETF的hfq/raw比值（应>1.0）
134 lines
4.5 KiB
Python
134 lines
4.5 KiB
Python
#!/usr/bin/env python3
|
||
"""
|
||
验证 ETF 数据获取修复
|
||
|
||
测试点：
|
||
1. 指数数据使用 adj='raw'
|
||
2. ETF 数据使用 adj='hfq'
|
||
3. 数据字典中同时包含指数和 ETF
|
||
"""
|
||
|
||
import sys
|
||
from pathlib import Path
|
||
|
||
# 添加项目根目录到路径
|
||
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 main():
|
||
print("=" * 70)
|
||
print(" 验证 ETF 数据获取修复")
|
||
print("=" * 70)
|
||
|
||
# 加载配置
|
||
config_path = project_root / 'framework_v2' / 'config' / 'rotation_global.yaml'
|
||
print(f"\n加载配置: {config_path}")
|
||
config = load_config(str(config_path))
|
||
|
||
# 初始化策略
|
||
strategy = GlobalRotationStrategy(config)
|
||
|
||
# 获取数据
|
||
print("\n" + "=" * 70)
|
||
print("获取数据...")
|
||
print("=" * 70)
|
||
|
||
data = strategy.get_data()
|
||
|
||
# 分析数据结构
|
||
print("\n" + "=" * 70)
|
||
print("数据结构分析")
|
||
print("=" * 70)
|
||
|
||
# 获取映射关系
|
||
signal_to_trade = config.asset_pools.get_signal_to_trade_mapping()
|
||
signal_codes = config.asset_pools.get_signal_codes()
|
||
trade_codes = set(signal_to_trade.values())
|
||
|
||
print(f"\n信号标的（指数）: {len(signal_codes)} 只")
|
||
for code in sorted(signal_codes):
|
||
if code in data:
|
||
df = data[code]
|
||
has_hfq = 'close_hfq' in df.columns if 'close' in df.columns else False
|
||
print(f" ✓ {code}: {len(df)} 条, 有 close_hfq: {has_hfq}")
|
||
else:
|
||
print(f" ✗ {code}: 数据缺失")
|
||
|
||
print(f"\n交易标的（ETF）: {len(trade_codes)} 只")
|
||
for code in sorted(trade_codes):
|
||
if code in data:
|
||
df = data[code]
|
||
has_nav = 'nav' in df.attrs
|
||
has_premium = 'premium_series' in df.attrs
|
||
|
||
print(f" ✓ {code}: {len(df)} 条")
|
||
print(f" close (最新): {df['close'].iloc[-1]:.4f}")
|
||
print(f" 有 nav: {has_nav}")
|
||
print(f" 有 premium: {has_premium}")
|
||
else:
|
||
print(f" ✗ {code}: 数据缺失")
|
||
|
||
# 验证关键指标
|
||
print("\n" + "=" * 70)
|
||
print("验证结果")
|
||
print("=" * 70)
|
||
|
||
# 检查指数数据
|
||
index_ok = all(code in data for code in signal_codes)
|
||
print(f"\n指数数据完整性: {'✓ 全部获取' if index_ok else '✗ 部分缺失'}")
|
||
|
||
# 检查 ETF 数据
|
||
etf_ok = all(code in data for code in trade_codes)
|
||
print(f"ETF 数据完整性: {'✓ 全部获取' if etf_ok else '✗ 部分缺失'}")
|
||
|
||
# 检查 ETF 是否使用 hfq（对比 raw 和 hfq 的价格差异）
|
||
print("\n验证 ETF 是否使用 hfq（抽样检查）...")
|
||
from framework_v2.shared.data import FlaskAPIFetcher
|
||
fetcher = FlaskAPIFetcher()
|
||
|
||
etf_hfq_verified = 0
|
||
sample_codes = list(trade_codes)[:3] # 抽样前3个
|
||
|
||
# 获取日期范围
|
||
from datetime import date
|
||
start = config.backtest.start_date
|
||
end = config.backtest.end_date
|
||
if end is None:
|
||
end = date.today().strftime('%Y-%m-%d')
|
||
|
||
for code in sample_codes:
|
||
if code in data:
|
||
hfq_close = data[code]['close'].iloc[-1]
|
||
|
||
# 获取 raw 数据对比
|
||
raw_df = fetcher._source.fetch(code, start, end, adj='raw', asset_type='china_etf')
|
||
if raw_df is not None:
|
||
raw_close = raw_df['close'].iloc[-1]
|
||
ratio = hfq_close / raw_close if raw_close > 0 else 1
|
||
|
||
if ratio > 1.01: # 差异超过1%说明使用了 hfq
|
||
print(f" ✓ {code}: raw={raw_close:.4f}, hfq={hfq_close:.4f}, 倍数={ratio:.4f} (正确)")
|
||
etf_hfq_verified += 1
|
||
else:
|
||
print(f" ✗ {code}: raw={raw_close:.4f}, hfq={hfq_close:.4f}, 倍数={ratio:.4f} (错误)")
|
||
|
||
print(f"ETF 使用 hfq: {etf_hfq_verified}/{len(sample_codes)} {'✓ 正确' if etf_hfq_verified == len(sample_codes) else '✗ 错误'}")
|
||
|
||
# 总结
|
||
print("\n" + "=" * 70)
|
||
if index_ok and etf_ok and etf_hfq_verified == len(sample_codes):
|
||
print("✓ 验证通过：数据获取逻辑正确")
|
||
print(" - 指数使用 raw（原始价格）")
|
||
print(" - ETF 使用 hfq（后复权价格）")
|
||
else:
|
||
print("✗ 验证失败：数据获取存在问题")
|
||
print("=" * 70)
|
||
|
||
|
||
if __name__ == '__main__':
|
||
main()
|