aszerW
796a695eef
核心组件： - FactorBase: 因子抽象基类（compute方法 + 数据验证） - FactorRegistry: 因子注册器（注册/获取/按类别筛选） - FactorCombiner: 因子组合器（加权组合4种方法） 已实现因子： - MomentumFactor: 加权动量因子（含崩盘过滤） - TrendFactor: 趋势因子（MA交叉/MACD） - ReversalFactor: 反转因子（RSI/KDJ） - VolatilityFactor: 波动率因子（ATR/标准差） 测试覆盖：18个测试全部通过
282 lines
8.0 KiB
Python
282 lines
8.0 KiB
Python
"""
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因子层抽象设计
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核心组件：
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- FactorBase: 因子抽象基类
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- FactorRegistry: 因子注册器
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- FactorCombiner: 因子组合器
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"""
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import pandas as pd
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import numpy as np
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from abc import ABC, abstractmethod
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from typing import Dict, List, Optional, Any
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from dataclasses import dataclass
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@dataclass
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class FactorMeta:
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"""因子元信息"""
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name: str
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category: str # 'momentum', 'trend', 'reversal', 'volatility', 'fundamental'
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params: Dict[str, Any]
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description: str = ""
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class FactorBase(ABC):
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"""
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因子抽象基类
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所有因子必须继承此基类，实现compute方法。
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支持参数配置、数据验证、元信息管理。
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"""
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# 类属性（可被配置覆盖）
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name: str = "base"
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category: str = "unknown"
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def __init__(self, **params):
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"""
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初始化因子
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Args:
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**params: 因子参数（如n_days=25, period=14等）
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"""
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self._params = params
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self._meta = FactorMeta(
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name=self.name,
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category=self.category,
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params=params,
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description=self.__doc__ or ""
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)
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@abstractmethod
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def compute(self, data: pd.DataFrame) -> pd.Series:
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"""
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计算因子值
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Args:
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data: 包含OHLCV数据的DataFrame
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Returns:
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因子值序列（Series）
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"""
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pass
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@property
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def params(self) -> Dict[str, Any]:
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"""获取因子参数"""
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return self._params
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@property
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def meta(self) -> FactorMeta:
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"""获取因子元信息"""
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return self._meta
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def validate_data(self, data: pd.DataFrame) -> bool:
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"""
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验证数据是否满足计算要求
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Args:
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data: 数据DataFrame
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Returns:
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是否满足要求
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"""
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# 默认验证：数据长度 >= 最小周期
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min_periods = self._params.get('min_periods', 20)
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return len(data) >= min_periods
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def __repr__(self) -> str:
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return f"{self.__class__.__name__}(name={self.name}, params={self._params})"
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class FactorRegistry:
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"""
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因子注册器
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管理所有注册的因子，支持：
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- 注册因子类
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- 获取因子实例
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- 列出可用因子
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- 按类别筛选因子
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"""
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_factors: Dict[str, type] = {}
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@classmethod
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def register(cls, factor_class: type) -> None:
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"""
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注册因子类
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Args:
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factor_class: 因子类（必须继承FactorBase）
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"""
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if not isinstance(factor_class, type) or not issubclass(factor_class, FactorBase):
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raise TypeError(f"factor_class must be a subclass of FactorBase")
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# 创建临时实例获取名称
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temp_instance = factor_class()
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name = temp_instance.name
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cls._factors[name] = factor_class
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print(f"✓ 因子已注册: {name} ({factor_class.__name__})")
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@classmethod
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def get(cls, name: str, **params) -> FactorBase:
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"""
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获取因子实例
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Args:
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name: 因子名称
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**params: 因子参数
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Returns:
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因子实例
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"""
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if name not in cls._factors:
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raise KeyError(f"Factor '{name}' not registered. Available: {cls.list()}")
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factor_class = cls._factors[name]
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return factor_class(**params)
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@classmethod
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def list(cls, category: str = None) -> List[str]:
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"""
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列出可用因子
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Args:
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category: 按类别筛选（可选）
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Returns:
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因子名称列表
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"""
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if category:
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return [
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name for name, factor_class in cls._factors.items()
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if factor_class().category == category
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]
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return list(cls._factors.keys())
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@classmethod
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def list_by_category(cls) -> Dict[str, List[str]]:
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"""
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按类别列出因子
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Returns:
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类别→因子列表字典
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"""
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result = {}
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for name, factor_class in cls._factors.items():
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cat = factor_class().category
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if cat not in result:
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result[cat] = []
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result[cat].append(name)
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return result
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@classmethod
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def clear(cls) -> None:
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"""清空注册表（用于测试）"""
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cls._factors.clear()
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class FactorCombiner:
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"""
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因子组合器
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支持多因子加权组合，用于：
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- 多因子策略
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- 因子权重调整
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- 因子结果合并
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"""
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def __init__(
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self,
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factors: List[FactorBase],
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weights: Optional[List[float]] = None,
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method: str = 'weighted_sum'
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):
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"""
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初始化因子组合器
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Args:
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factors: 因子实例列表
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weights: 权重列表（默认等权）
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method: 组合方法 ('weighted_sum', 'average', 'max', 'min')
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"""
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self._factors = factors
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self._weights = weights or [1.0 / len(factors)] * len(factors)
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self._method = method
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# 验证权重
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if len(self._weights) != len(factors):
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raise ValueError(f"weights length ({len(self._weights)}) != factors length ({len(factors)})")
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# 归一化权重
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total_weight = sum(self._weights)
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self._weights = [w / total_weight for w in self._weights]
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def compute(self, data: pd.DataFrame) -> pd.DataFrame:
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"""
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计算所有因子并组合
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Args:
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data: 输入数据
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Returns:
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包含各因子值和组合因子值的DataFrame
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"""
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result = pd.DataFrame(index=data.index)
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# 计算各因子
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for i, factor in enumerate(self._factors):
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# 验证数据
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if not factor.validate_data(data):
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print(f"⚠ 因子 {factor.name} 数据验证失败，跳过")
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continue
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# 计算因子值
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factor_values = factor.compute(data)
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result[factor.name] = factor_values
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# 加权因子值
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result[f"{factor.name}_weighted"] = factor_values * self._weights[i]
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# 组合因子值
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weighted_cols = [f"{f.name}_weighted" for f in self._factors if f.name in result.columns]
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if self._method == 'weighted_sum':
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result['combined'] = result[weighted_cols].sum(axis=1)
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elif self._method == 'average':
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factor_cols = [f.name for f in self._factors if f.name in result.columns]
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result['combined'] = result[factor_cols].mean(axis=1)
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elif self._method == 'max':
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factor_cols = [f.name for f in self._factors if f.name in result.columns]
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result['combined'] = result[factor_cols].max(axis=1)
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elif self._method == 'min':
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factor_cols = [f.name for f in self._factors if f.name in result.columns]
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result['combined'] = result[factor_cols].min(axis=1)
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else:
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raise ValueError(f"Unknown method: {self._method}")
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return result
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@property
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def factors(self) -> List[FactorBase]:
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"""获取因子列表"""
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return self._factors
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@property
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def weights(self) -> List[float]:
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"""获取权重列表"""
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return self._weights
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def set_weights(self, weights: List[float]) -> None:
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"""设置权重"""
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if len(weights) != len(self._factors):
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raise ValueError(f"weights length must equal factors length")
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total = sum(weights)
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self._weights = [w / total for w in weights]
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def __repr__(self) -> str:
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factor_names = [f.name for f in self._factors]
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return f"FactorCombiner(factors={factor_names}, weights={self._weights})" |