aszerW
63c56f0001
新增调仓事件记录功能，详细记录每次调仓的信息： 核心改进： 1. BacktestExecutor新增_apply_trade_cost_with_events方法 - 记录每次调仓的基本信息（持仓变化、调入调出标的） - 记录换手率、调仓成本、持仓天数、当日收益 2. 新增_enrich_rebalance_events方法 - 补充净值信息（调仓前净值、调仓后净值、净值变化%） 3. strategy.py保存调仓记录到CSV - 新增rebalances.csv文件 - 返回结果包含rebalance_events 调仓记录字段： - 调仓前持仓、调仓后持仓 - 调入标的、调出标的 - 换手率、调仓成本 - 持仓天数、当日收益 - 调仓前净值、调仓后净值、净值变化% 应用场景： - 分析每次调仓对收益的影响 - 评估调仓决策质量 - 统计调仓频率与效果
500 lines
18 KiB
Python
500 lines
18 KiB
Python
"""
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执行层抽象接口（通用）
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只提供抽象基类和Portfolio数据结构，具体执行器可扩展
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"""
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from abc import ABC, abstractmethod
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from typing import Dict, List, Optional
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import pandas as pd
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import numpy as np
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from datetime import datetime
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from framework.risk import Position
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class Portfolio:
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"""
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投资组合数据结构（通用）
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用于管理持仓集合
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"""
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def __init__(self, initial_capital: float = 100000):
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"""初始化投资组合"""
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self.initial_capital = initial_capital
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self.cash = initial_capital
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self.positions: Dict[str, Position] = {}
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self.trades: List[Dict] = []
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self._net_value_history: List[float] = []
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def add_position(self, code: str, price: float, quantity: float, time: datetime) -> None:
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"""添加持仓"""
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position = Position(
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code=code,
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entry_price=price,
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current_price=price,
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entry_time=time,
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quantity=quantity
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)
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self.positions[code] = position
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self.cash -= price * quantity
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self.trades.append({
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'action': 'BUY',
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'code': code,
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'price': price,
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'quantity': quantity,
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'time': time
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})
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def remove_position(self, code: str, price: float, time: datetime) -> float:
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"""移除持仓"""
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if code not in self.positions:
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return 0
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position = self.positions[code]
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profit = (price - position.entry_price) * position.quantity
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self.cash += price * position.quantity
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del self.positions[code]
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self.trades.append({
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'action': 'SELL',
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'code': code,
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'price': price,
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'quantity': position.quantity,
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'time': time,
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'profit': profit
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})
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return profit
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def update_prices(self, prices: Dict[str, float]) -> None:
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"""更新持仓价格"""
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for code, price in prices.items():
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if code in self.positions:
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self.positions[code].current_price = price
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def get_net_value(self) -> float:
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"""计算净值"""
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positions_value = sum(
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pos.current_price * pos.quantity for pos in self.positions.values()
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)
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return self.cash + positions_value
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def record_net_value(self) -> None:
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"""记录当前净值"""
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self._net_value_history.append(self.get_net_value())
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def get_net_value_series(self) -> pd.Series:
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"""获取净值序列"""
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return pd.Series(self._net_value_history)
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def get_weight(self, code: str) -> float:
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"""计算持仓权重"""
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if code not in self.positions:
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return 0
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position_value = self.positions[code].current_price * self.positions[code].quantity
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return position_value / self.get_net_value()
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def __repr__(self) -> str:
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return f"Portfolio(capital={self.cash:.2f}, positions={len(self.positions)})"
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class Executor(ABC):
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"""
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执行器抽象基类
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所有执行器必须实现execute方法
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"""
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mode: str = "base"
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def __init__(self, **params):
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"""初始化执行器参数"""
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self._params = params
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@abstractmethod
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def execute(self, signals: pd.DataFrame, data: pd.DataFrame) -> Portfolio:
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"""
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执行信号
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Args:
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signals: 信号DataFrame
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data: OHLCV数据
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Returns:
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Portfolio对象
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"""
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pass
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def __repr__(self) -> str:
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params_str = ', '.join([f"{k}={v}" for k, v in self._params.items()])
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return f"{self.__class__.__name__}({params_str})"
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class BacktestExecutor(Executor):
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"""
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完整回测执行器（通用）
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支持：
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- 日收益率计算
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- 交易成本扣除
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- 净值计算（起点归一化）
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- 基准对比
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- 持仓跟踪
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"""
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mode = "backtest"
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def __init__(
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self,
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initial_capital: float = 100000,
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trade_cost: float = 0.001,
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select_num: int = 1,
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benchmark_data: Optional[pd.DataFrame] = None
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):
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super().__init__(
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initial_capital=initial_capital,
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trade_cost=trade_cost,
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select_num=select_num,
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benchmark_data=benchmark_data
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)
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self.initial_capital = initial_capital
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self.trade_cost = trade_cost
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self.select_num = select_num
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self.benchmark_data = benchmark_data
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def execute(self, signals: pd.DataFrame, data: pd.DataFrame) -> Portfolio:
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"""
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执行完整回测
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Args:
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signals: 信号DataFrame，包含signal或信号列
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data: OHLCV数据和日收益率数据
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Returns:
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Portfolio对象（含净值序列、交易记录）
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"""
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portfolio = Portfolio(self.initial_capital)
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# 支持中英文列名
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signal_col = 'signal' if 'signal' in signals.columns else '信号'
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# 删除空信号行
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signals = signals.dropna(subset=[signal_col])
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signals = signals[signals[signal_col] != '']
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if signals.empty:
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return portfolio
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# 计算策略日收益率
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result = self._calculate_daily_returns(signals, data, signal_col)
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# 扣除交易成本（同时记录调仓事件）
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result, rebalance_events = self._apply_trade_cost_with_events(result, signals, signal_col)
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# 计算净值（起点归一化）
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result = self._calculate_net_value(result)
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# 计算基准净值
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result = self._calculate_benchmark(result)
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# 记录净值历史
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for date in result.index:
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portfolio.record_net_value()
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# 存储回测结果
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portfolio.backtest_result = result
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portfolio.rebalance_events = rebalance_events # 新增：调仓事件记录
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# 补充调仓事件的净值信息
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if not rebalance_events.empty:
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rebalance_events = self._enrich_rebalance_events(rebalance_events, result)
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portfolio.rebalance_events = rebalance_events
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return portfolio
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def _calculate_daily_returns(self, signals: pd.DataFrame, data: pd.DataFrame, signal_col: str = 'signal') -> pd.DataFrame:
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"""计算策略日收益率"""
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result = signals.copy()
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# 日收益率列名格式：日收益率_{code} 或 日收益率_{code}
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return_cols = [col for col in data.columns if col.startswith('日收益率_')]
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if self.select_num == 1:
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# 单标的策略
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def calc_return(row):
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signal = row[signal_col]
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if not signal or pd.isna(signal):
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return 0.0
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return data.loc[row.name, f'日收益率_{signal}'] if f'日收益率_{signal}' in data.columns else 0.0
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result['策略日收益率'] = result.apply(calc_return, axis=1)
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else:
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# 多标的策略（等权组合）
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# 按实际持仓数量等权分配：选出2只时每只50%，选出1只时100%
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def calc_multi_return(row):
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codes = [c for c in row[signal_col].split(',') if c]
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if not codes:
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return 0.0
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returns = []
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for c in codes:
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ret = data.loc[row.name, f'日收益率_{c}'] if f'日收益率_{c}' in data.columns else None
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if ret is not None and pd.notna(ret):
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returns.append(ret)
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return np.mean(returns) if returns else 0.0
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result['策略日收益率'] = result.apply(calc_multi_return, axis=1)
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return result
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def _apply_trade_cost(self, result: pd.DataFrame, signals: pd.DataFrame, signal_col: str = 'signal') -> pd.DataFrame:
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"""扣除交易成本"""
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if self.trade_cost <= 0:
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return result
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prev_signal = signals[signal_col].shift(1)
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if self.select_num == 1:
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# 单标的策略：调仓时扣除固定成本
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changed = (signals[signal_col] != prev_signal) & prev_signal.notna()
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result.loc[changed, '策略日收益率'] -= self.trade_cost
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else:
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# 多标的策略：按换手率比例扣除成本
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turnover_list = []
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for curr, prev in zip(signals[signal_col], prev_signal):
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if pd.isna(prev) or curr == prev:
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turnover_list.append(0.0)
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else:
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old = set(prev.split(','))
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new = set(curr.split(','))
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swapped = len(old - new)
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turnover = swapped / len(old) if old else 0.0
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turnover_list.append(turnover)
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result['换手率'] = turnover_list
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result['策略日收益率'] -= result['换手率'] * self.trade_cost
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return result
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def _apply_trade_cost_with_events(self, result: pd.DataFrame, signals: pd.DataFrame, signal_col: str = 'signal') -> tuple:
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"""
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扣除交易成本并记录调仓事件
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Returns:
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(result, rebalance_events): 回测结果DataFrame和调仓事件DataFrame
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"""
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prev_signal = signals[signal_col].shift(1)
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# 记录调仓事件
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rebalance_events = []
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last_rebalance_date = None
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# 先计算累积收益率（用于计算调仓前后的净值）
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cum_return_before_cost = result['策略日收益率'].copy()
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if self.select_num == 1:
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# 单标的策略
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for i, (date, curr, prev) in enumerate(zip(signals.index, signals[signal_col], prev_signal)):
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# 检查是否调仓
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is_rebalance = False
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turnover = 0.0
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added = []
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removed = []
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if pd.notna(prev) and curr != prev:
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is_rebalance = True
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turnover = 1.0 if prev else 0.0
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added = [curr] if curr else []
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removed = [prev] if prev else []
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# 扣除成本
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result.loc[date, '策略日收益率'] -= self.trade_cost
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# 记录调仓事件
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if is_rebalance:
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# 计算持仓天数
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holding_days = 0
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if last_rebalance_date is not None:
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holding_days = (date - last_rebalance_date).days
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event = {
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'日期': date,
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'调仓前持仓': prev if pd.notna(prev) else '',
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'调仓后持仓': curr,
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'调入标的': ','.join(added) if added else '',
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'调出标的': ','.join(removed) if removed else '',
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'换手率': turnover,
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'调仓成本': self.trade_cost * turnover,
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'持仓天数': holding_days,
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'当日收益': result.loc[date, '策略日收益率'] + self.trade_cost * turnover, # 原始收益（扣除成本前）
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}
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rebalance_events.append(event)
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last_rebalance_date = date
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else:
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# 多标的策略
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turnover_list = []
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for i, (date, curr, prev) in enumerate(zip(signals.index, signals[signal_col], prev_signal)):
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# 检查是否调仓
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is_rebalance = False
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turnover = 0.0
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added = []
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removed = []
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if pd.notna(prev) and curr != prev:
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old = set(prev.split(',')) if prev else set()
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new = set(curr.split(',')) if curr else set()
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added = list(new - old)
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removed = list(old - new)
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swapped = len(removed)
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turnover = swapped / len(old) if old else 0.0
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is_rebalance = len(added) > 0 or len(removed) > 0
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turnover_list.append(turnover)
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# 扣除成本
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result.loc[date, '策略日收益率'] -= turnover * self.trade_cost
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else:
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turnover_list.append(0.0)
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# 记录调仓事件
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if is_rebalance:
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# 计算持仓天数
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holding_days = 0
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if last_rebalance_date is not None:
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holding_days = (date - last_rebalance_date).days
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event = {
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'日期': date,
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'调仓前持仓': prev if pd.notna(prev) else '',
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'调仓后持仓': curr,
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'调入标的': ','.join(added) if added else '',
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'调出标的': ','.join(removed) if removed else '',
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'换手率': turnover,
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'调仓成本': self.trade_cost * turnover,
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'持仓天数': holding_days,
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'当日收益': result.loc[date, '策略日收益率'] + turnover * self.trade_cost, # 原始收益（扣除成本前）
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}
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rebalance_events.append(event)
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last_rebalance_date = date
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result['换手率'] = turnover_list
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# 转换为DataFrame
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rebalance_df = pd.DataFrame(rebalance_events) if rebalance_events else pd.DataFrame()
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if not rebalance_df.empty:
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rebalance_df['日期'] = pd.to_datetime(rebalance_df['日期'])
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rebalance_df = rebalance_df.set_index('日期')
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return result, rebalance_df
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def _enrich_rebalance_events(self, rebalance_df: pd.DataFrame, result: pd.DataFrame) -> pd.DataFrame:
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"""
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补充调仓事件的净值信息
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Args:
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rebalance_df: 调仓事件DataFrame
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result: 回测结果DataFrame（含净值序列）
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Returns:
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补充净值信息后的调仓事件DataFrame
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"""
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# 计算调仓前后净值变化
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nav_before_list = []
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nav_after_list = []
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nav_change_list = []
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for date in rebalance_df.index:
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# 获取调仓日的净值
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if date in result.index:
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# 调仓前净值：前一天收盘净值
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prev_date_idx = result.index.get_loc(date) - 1
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if prev_date_idx >= 0:
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nav_before = result['策略净值'].iloc[prev_date_idx]
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else:
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nav_before = 1.0
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# 调仓后净值：当天收盘净值
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nav_after = result.loc[date, '策略净值']
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# 净值变化
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nav_change = (nav_after / nav_before - 1) * 100
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else:
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nav_before = None
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nav_after = None
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nav_change = None
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nav_before_list.append(nav_before)
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nav_after_list.append(nav_after)
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nav_change_list.append(nav_change)
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# 添加净值信息列
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rebalance_df['调仓前净值'] = nav_before_list
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rebalance_df['调仓后净值'] = nav_after_list
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rebalance_df['净值变化%'] = nav_change_list
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return rebalance_df
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def _calculate_net_value(self, result: pd.DataFrame) -> pd.DataFrame:
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"""计算净值（起点归一化）"""
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result['策略净值'] = (1 + result['策略日收益率']).cumprod()
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# 归一化：确保净值起点为1.0
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result['策略净值'] = result['策略净值'] / result['策略净值'].iloc[0]
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return result
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def _calculate_benchmark(self, result: pd.DataFrame) -> pd.DataFrame:
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"""计算基准净值"""
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if self.benchmark_data is None:
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return result
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# 获取基准收益率
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if isinstance(self.benchmark_data, pd.DataFrame):
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if 'close' in self.benchmark_data.columns:
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bench_close = self.benchmark_data['close']
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else:
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bench_close = self.benchmark_data.iloc[:, 0]
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else:
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bench_close = self.benchmark_data
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bench_ret = bench_close.pct_change().dropna()
|
||
common_dates = result.index.intersection(bench_ret.index)
|
||
bench_ret = bench_ret.loc[common_dates]
|
||
|
||
result['基准日收益率'] = bench_ret.reindex(result.index, fill_value=0)
|
||
result['基准净值'] = (1 + result['基准日收益率']).cumprod()
|
||
result['基准净值'] = result['基准净值'] / result['基准净值'].iloc[0]
|
||
|
||
return result
|
||
|
||
|
||
class DryRunExecutor(Executor):
|
||
"""
|
||
Dry-run执行器（通用）
|
||
|
||
用于模拟运行，不实际执行交易
|
||
"""
|
||
|
||
mode = "dry_run"
|
||
|
||
def __init__(self, verbose: bool = True):
|
||
super().__init__(verbose=verbose)
|
||
self.verbose = verbose
|
||
|
||
def execute(self, signals: pd.DataFrame, data: pd.DataFrame) -> Portfolio:
|
||
"""模拟执行"""
|
||
portfolio = Portfolio(100000)
|
||
|
||
for date in signals.index:
|
||
signal = signals.loc[date, 'signal']
|
||
|
||
if signal and self.verbose:
|
||
print(f"[{date}] Signal: {signal}")
|
||
|
||
return portfolio
|
||
|
||
|
||
# 导出抽象接口
|
||
__all__ = ['Portfolio', 'Executor', 'BacktestExecutor', 'DryRunExecutor'] |