aszerW
7468130450
核心组件： - StrategyBase: 策略抽象基类（含回调钩子） - 类属性（可被配置覆盖） - init_factors(): 初始化因子组合 - init_signal_generator(): 初始化信号生成器 - run(): 运行策略 - RotationStrategy: 轮动策略示例实现 - 动量因子 + TopN选股 - before_entry回调（溢价过滤） - dynamic_stoploss回调（持仓时间动态止损） - ConfigLoader: 配置加载器（YAML支持） - StrategyConfig: 策略配置数据类 特点： - 配置覆盖类属性 - 回调自动注册 - 策略工厂模式 测试覆盖：8个测试全部通过
140 lines
3.8 KiB
Python
140 lines
3.8 KiB
Python
"""
|
||
策略与配置层测试
|
||
"""
|
||
|
||
import pytest
|
||
import pandas as pd
|
||
import numpy as np
|
||
from datetime import datetime
|
||
|
||
from framework.strategy import StrategyBase, ConfigLoader, RotationStrategy
|
||
from framework.factors import FactorRegistry
|
||
from framework.factors.momentum import MomentumFactor
|
||
from framework.risk import Position
|
||
|
||
|
||
class TestStrategyBase:
|
||
"""测试策略基类"""
|
||
|
||
def test_strategy_attributes(self):
|
||
"""测试策略属性"""
|
||
strategy = RotationStrategy()
|
||
assert strategy.name == "rotation"
|
||
assert strategy.select_num == 3
|
||
assert strategy.stoploss == -0.05
|
||
|
||
def test_config_override(self):
|
||
"""测试配置覆盖"""
|
||
config = {
|
||
'params': {
|
||
'select_num': 5,
|
||
'stoploss': -0.08
|
||
}
|
||
}
|
||
|
||
strategy = RotationStrategy(config=config)
|
||
assert strategy.select_num == 5
|
||
assert strategy.stoploss == -0.08
|
||
|
||
def test_factor_initialization(self):
|
||
"""测试因子初始化"""
|
||
strategy = RotationStrategy()
|
||
factors = strategy.init_factors()
|
||
|
||
assert factors is not None
|
||
assert len(factors.factors) == 1
|
||
|
||
def test_signal_generator_initialization(self):
|
||
"""测试信号生成器初始化"""
|
||
strategy = RotationStrategy()
|
||
signal_gen = strategy.init_signal_generator()
|
||
|
||
assert signal_gen is not None
|
||
assert signal_gen.select_num == 3
|
||
|
||
def test_strategy_run(self):
|
||
"""测试策略运行"""
|
||
strategy = RotationStrategy()
|
||
|
||
# 生成测试数据（需要'close'列）
|
||
dates = pd.date_range('2020-01-01', periods=100)
|
||
data = pd.DataFrame({
|
||
'close': np.random.randn(100).cumsum() + 100,
|
||
'code1': np.random.randn(100).cumsum() + 100,
|
||
'code2': np.random.randn(100).cumsum() + 100,
|
||
'code3': np.random.randn(100).cumsum() + 100,
|
||
}, index=dates)
|
||
|
||
result = strategy.run(data)
|
||
|
||
assert 'signal' in result.columns
|
||
assert len(result) == len(data)
|
||
|
||
|
||
class TestRotationStrategy:
|
||
"""测试轮动策略"""
|
||
|
||
def test_before_entry_callback(self):
|
||
"""测试入场前回调"""
|
||
strategy = RotationStrategy()
|
||
|
||
# 溢价正常，允许入场
|
||
result = strategy.before_entry('code1', 100.0, premium=0.05)
|
||
assert result == True
|
||
|
||
# 溢价过高，拒绝入场
|
||
result = strategy.before_entry('code1', 100.0, premium=0.15)
|
||
assert result == False
|
||
|
||
def test_dynamic_stoploss_callback(self):
|
||
"""测试动态止损回调"""
|
||
strategy = RotationStrategy()
|
||
|
||
# 持仓5天
|
||
position = Position(
|
||
code='code1',
|
||
entry_price=100.0,
|
||
entry_date=datetime(2020, 1, 1),
|
||
current_price=95.0,
|
||
current_date=datetime(2020, 1, 6), # 5天后
|
||
quantity=100,
|
||
weight=0.33
|
||
)
|
||
stoploss = strategy.dynamic_stoploss(position)
|
||
# holding_days=5，返回-0.05
|
||
assert stoploss == -0.05
|
||
|
||
|
||
class TestConfigLoader:
|
||
"""测试配置加载器"""
|
||
|
||
def test_load_from_yaml_string(self):
|
||
"""测试从YAML字符串加载"""
|
||
yaml_str = """
|
||
strategy:
|
||
name: test_strategy
|
||
version: 1
|
||
|
||
factors:
|
||
- name: momentum
|
||
weight: 1.0
|
||
params:
|
||
n_days: 25
|
||
|
||
signal:
|
||
mode: top_n
|
||
select_num: 3
|
||
|
||
params:
|
||
stoploss: -0.05
|
||
"""
|
||
|
||
config = ConfigLoader.from_yaml(yaml_str)
|
||
|
||
assert config['strategy']['name'] == 'test_strategy'
|
||
assert config['factors'][0]['name'] == 'momentum'
|
||
assert config['signal']['select_num'] == 3
|
||
|
||
|
||
if __name__ == '__main__':
|
||
pytest.main([__file__, '-v']) |