etf/tests/experiments/ab_test_ndx_vs_spx.py

"""
A/B测试：纳指100 vs 标普500 替换对比
对比：
- A组（对照组）：纳指100作为美股大类代表
- B组（实验组）：标普500替换纳指100作为美股大类代表

核心问题：替换后对策略绩效的影响（无类内竞争）
"""

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

from strategies.rotation.engine import RotationStrategy
import pandas as pd
import yaml


def create_config_replace_ndx_with_spx(base_config: dict) -> dict:
    """将纳指100替换为标普500"""
    config = base_config.copy()
    config['code_list'] = base_config['code_list'].copy()
    
    # 移除纳指100
    if 'NDX' in config['code_list']:
        del config['code_list']['NDX']
    
    # 添加标普500（替换纳指100）
    config['code_list']['SPX'] = {
        'name': '标普500',
        'etf': '513500.SH',
        'market': 'US'
    }
    
    return config


def run_backtest(config: dict, label: str) -> dict:
    """运行回测并返回关键指标"""
    print(f"\n{'='*60}")
    print(f"  {label}")
    print(f"{'='*60}")
    
    strategy = RotationStrategy(config)
    result = strategy.run()
    
    if result is None or len(result) == 0:
        return None
    
    # 计算指标
    strategy_nav = result['轮动策略净值']
    strategy_ret = result['轮动策略日收益率']
    
    total_return = strategy_nav.iloc[-1] - 1
    days = len(result)
    years = days / 250
    cagr = (strategy_nav.iloc[-1] ** (1/years)) - 1
    excess_ret = strategy_ret.mean() * 250
    vol = strategy_ret.std() * (250 ** 0.5)
    sharpe = excess_ret / vol if vol > 0 else 0
    rolling_max = strategy_nav.cummax()
    drawdown = (strategy_nav - rolling_max) / rolling_max
    max_dd = drawdown.min()
    calmar = cagr / abs(max_dd) if max_dd < 0 else 0
    win_rate = (strategy_ret > 0).sum() / len(strategy_ret)
    
    metrics = {
        'label': label,
        '美股标的': '纳指100' if 'NDX' in config['code_list'] else '标普500',
        '累计收益': total_return,
        'CAGR': cagr,
        'Sharpe': sharpe,
        'MaxDD': max_dd,
        'Calmar': calmar,
        '日胜率': win_rate,
    }
    
    print(f"\n美股代表: {metrics['美股标的']}")
    print(f"累计收益: {metrics['累计收益']:.2%}")
    print(f"CAGR: {metrics['CAGR']:.2%}")
    print(f"Sharpe: {metrics['Sharpe']:.2f}")
    print(f"MaxDD: {metrics['MaxDD']:.2%}")
    print(f"Calmar: {metrics['Calmar']:.2f}")
    print(f"日胜率: {metrics['日胜率']:.2%}")
    
    return metrics


def compare_results(a_metrics: dict, b_metrics: dict):
    """对比两组结果"""
    print(f"\n{'='*60}")
    print(f"  对比结果")
    print(f"{'='*60}")
    
    print(f"\n{'指标':<15} {'A组(纳指100)':<15} {'B组(标普500)':<15} {'差异':<15}")
    print("-" * 60)
    
    metrics_keys = ['美股标的', '累计收益', 'CAGR', 'Sharpe', 'MaxDD', 'Calmar', '日胜率']
    
    for key in metrics_keys:
        a_val = a_metrics.get(key, 0)
        b_val = b_metrics.get(key, 0)
        
        if key == '美股标的':
            print(f"{key:<15} {a_val:<15} {b_val:<15} {'替换':<15}")
            continue
        
        diff = b_val - a_val
        if key in ['累计收益', 'CAGR', 'MaxDD', '日胜率']:
            a_str = f"{a_val:.2%}"
            b_str = f"{b_val:.2%}"
            diff_str = f"{diff*100:+.2f}%"
        else:
            a_str = f"{a_val:.2f}"
            b_str = f"{b_val:.2f}"
            diff_str = f"{diff:+.2f}"
        
        print(f"{key:<15} {a_str:<15} {b_str:<15} {diff_str:<15}")
    
    print("-" * 60)
    
    print(f"\n【关键发现】")
    print(f"纳指100 → 标普500 替换效果：")
    
    if b_metrics['CAGR'] < a_metrics['CAGR']:
        print(f"  - CAGR下降 {a_metrics['CAGR'] - b_metrics['CAGR']:.2%}")
        print(f"  → 标普500动量信号可能不如纳指强")
    
    if b_metrics['MaxDD'] > a_metrics['MaxDD']:  # 注意MaxDD是负数
        print(f"  - MaxDD改善 {b_metrics['MaxDD'] - a_metrics['MaxDD']:.2%}")
        print(f"  → 标普500更稳定，回撤更小")
    
    if b_metrics['Sharpe'] > a_metrics['Sharpe']:
        print(f"  - Sharpe改善 {b_metrics['Sharpe'] - a_metrics['Sharpe']:.2f}")
        print(f"  → 标普500风险调整后收益更优")
    elif b_metrics['Sharpe'] < a_metrics['Sharpe']:
        print(f"  - Sharpe下降 {b_metrics['Sharpe'] - a_metrics['Sharpe']:.2f}")
        print(f"  → 纳指100风险调整后收益更优")
    
    print(f"\n【策略建议】")
    if b_metrics['累计收益'] < a_metrics['累计收益'] * 0.9:
        print(f"  建议：保持纳指100（成长风格更适合动量策略）")
    elif b_metrics['Sharpe'] > a_metrics['Sharpe']:
        print(f"  建议：考虑标普500（更稳定、风险调整收益更优）")
    else:
        print(f"  建议：保持纳指100（累计收益更高）")


def main():
    """主函数"""
    # 加载基础配置
    config_path = Path(__file__).parent.parent / 'config' / 'strategies' / 'rotation.yaml'
    with open(config_path, 'r') as f:
        base_config = yaml.safe_load(f)
    
    # 添加 end_date
    from datetime import datetime
    base_config['end_date'] = datetime.now().strftime('%Y-%m-%d')
    
    print(f"\n{'='*60}")
    print(f"  A/B测试：纳指100 vs 标普500 替换对比")
    print(f"{'='*60}")
    print(f"\n研究问题：")
    print(f"  - 将美股大类代表从纳指100替换为标普500")
    print(f"  - 无类内竞争（每大类还是1只）")
    print(f"  - 评估标的特性变化对绩效的影响")
    
    # A组：纳指100（当前配置）
    a_metrics = run_backtest(base_config, "A组: 纳指100作为美股代表")
    
    # B组：标普500替换纳指100
    config_replace = create_config_replace_ndx_with_spx(base_config)
    b_metrics = run_backtest(config_replace, "B组: 标普500替换纳指100")
    
    # 对比
    if a_metrics and b_metrics:
        compare_results(a_metrics, b_metrics)
        
        # 保存结果
        results_df = pd.DataFrame([a_metrics, b_metrics])
        results_path = Path(__file__).parent.parent / 'results' / 'ab_test_ndx_vs_spx.csv'
        results_df.to_csv(results_path, index=False)
        print(f"\n对比结果已保存: {results_path}")


if __name__ == '__main__':
    main()