@@ -0,0 +1,422 @@
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from __future__ import annotations
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from datetime import date, timedelta
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import polars as pl
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from app.backtest.engine import BacktestEngine, MatcherConfig
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def _panel(symbols: list[str], days: int = 4, price: float = 10.0, overrides: dict[tuple[str, int], dict] | None = None) -> pl.DataFrame:
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overrides = overrides or {}
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start = date(2024, 1, 1)
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rows = []
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for sym in symbols:
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for i in range(days):
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patch = overrides.get((sym, i), {})
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rows.append({
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"symbol": sym,
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"name": sym,
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"date": start + timedelta(days=i),
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"open": patch.get("open", price),
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"high": patch.get("high", price),
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"low": patch.get("low", price),
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"close": patch.get("close", price),
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"volume": patch.get("volume", 100_000),
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"score": patch.get("score", {"A": 4, "B": 3, "C": 2, "D": 1}.get(sym, 0)),
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"signal_limit_up": patch.get("signal_limit_up", False),
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"signal_limit_down": patch.get("signal_limit_down", False),
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})
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return pl.DataFrame(rows).sort(["symbol", "date"])
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def _mask(panel: pl.DataFrame, marks: set[tuple[str, int]]) -> pl.Series:
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values = []
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base = date(2024, 1, 1)
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for row in panel.select(["symbol", "date"]).iter_rows(named=True):
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day = (row["date"] - base).days
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values.append((row["symbol"], day) in marks)
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return pl.Series(values, dtype=pl.Boolean)
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def _engine() -> BacktestEngine:
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return BacktestEngine(repo=None) # simulate_portfolio 不访问 repo
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def test_max_exposure_sets_target_position_and_caps_count():
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panel = _panel(["A", "B", "C", "D"], days=3)
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entries = _mask(panel, {("A", 0), ("B", 0), ("C", 0), ("D", 0)})
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exits = _mask(panel, set())
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result = _engine().simulate_portfolio(
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panel,
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entries,
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exits,
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MatcherConfig(
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matching="open_t+1",
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fees_pct=0,
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slippage_bps=0,
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max_positions=3,
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max_exposure_pct=0.6,
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initial_capital=100_000,
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),
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)
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assert len(result.trades) == 3
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assert {t.symbol for t in result.trades} == {"A", "B", "C"}
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assert all(abs(t.position_pct - 0.2) < 0.001 for t in result.trades)
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assert result.stats["max_exposure"] <= 0.61
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def test_one_price_limit_up_blocks_buy():
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panel = _panel(
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["A"],
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days=3,
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overrides={
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("A", 1): {"open": 11, "high": 11, "low": 11, "close": 11, "signal_limit_up": True},
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},
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)
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entries = _mask(panel, {("A", 0)})
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exits = _mask(panel, set())
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result = _engine().simulate_portfolio(
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panel,
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entries,
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exits,
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MatcherConfig(matching="open_t+1", fees_pct=0, slippage_bps=0, max_positions=1, initial_capital=100_000),
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)
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assert result.trades == []
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assert result.stats["execution"]["buy_limit_up"] == 1
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def test_failed_open_exit_keeps_slot_and_blocks_replacement_buy():
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panel = _panel(
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["A", "B", "C", "D"],
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days=4,
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overrides={
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("A", 2): {"open": 9, "high": 9, "low": 9, "close": 9, "signal_limit_down": True},
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},
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)
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entries = _mask(panel, {
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("A", 0), ("B", 0), ("C", 0),
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("D", 1),
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})
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exits = _mask(panel, {("A", 1)})
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result = _engine().simulate_portfolio(
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panel,
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entries,
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exits,
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MatcherConfig(
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matching="open_t+1",
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fees_pct=0,
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slippage_bps=0,
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max_positions=3,
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max_exposure_pct=0.6,
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initial_capital=100_000,
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),
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)
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assert "D" not in {t.symbol for t in result.trades}
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assert result.stats["execution"]["sell_limit_down"] == 1
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assert result.stats["execution"]["pending_exit"] == 1
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assert result.stats["execution"]["buy_no_slot"] >= 1
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a_trade = next(t for t in result.trades if t.symbol == "A")
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assert a_trade.blocked_exit_days == 1
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assert a_trade.exit_reason == "signal"
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def test_trailing_stop_uses_high_water_mark():
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panel = _panel(
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["A"],
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days=5,
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overrides={
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("A", 2): {"open": 10, "high": 12, "low": 11.8, "close": 12},
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("A", 3): {"open": 12, "high": 12, "low": 11.3, "close": 11.3},
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},
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)
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entries = _mask(panel, {("A", 0)})
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exits = _mask(panel, set())
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result = _engine().simulate_portfolio(
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panel,
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entries,
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exits,
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MatcherConfig(
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matching="open_t+1",
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fees_pct=0,
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slippage_bps=0,
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max_positions=1,
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initial_capital=100_000,
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trailing_stop_pct=0.05,
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),
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)
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assert len(result.trades) == 1
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trade = result.trades[0]
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assert trade.exit_reason == "trailing_stop"
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assert trade.exit_price == 11.4
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def test_trailing_take_profit_requires_activation():
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panel = _panel(
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["A"],
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days=5,
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overrides={
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("A", 2): {"open": 10, "high": 10.8, "low": 10.4, "close": 10.8},
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("A", 3): {"open": 10.8, "high": 10.8, "low": 10.4, "close": 10.4},
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},
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)
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entries = _mask(panel, {("A", 0)})
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exits = _mask(panel, set())
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result = _engine().simulate_portfolio(
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panel,
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entries,
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exits,
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MatcherConfig(
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matching="open_t+1",
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fees_pct=0,
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slippage_bps=0,
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max_positions=1,
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initial_capital=100_000,
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trailing_take_profit_activate_pct=0.10,
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trailing_take_profit_drawdown_pct=0.03,
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),
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)
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assert result.trades[0].exit_reason == "end"
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def test_trailing_take_profit_exits_after_activation():
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panel = _panel(
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["A"],
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days=5,
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overrides={
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("A", 2): {"open": 10, "high": 12, "low": 11.8, "close": 12},
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("A", 3): {"open": 12, "high": 12, "low": 11.5, "close": 11.5},
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},
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)
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entries = _mask(panel, {("A", 0)})
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exits = _mask(panel, set())
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result = _engine().simulate_portfolio(
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panel,
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entries,
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exits,
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MatcherConfig(
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matching="open_t+1",
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fees_pct=0,
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slippage_bps=0,
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max_positions=1,
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initial_capital=100_000,
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trailing_take_profit_activate_pct=0.10,
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trailing_take_profit_drawdown_pct=0.03,
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),
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)
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assert len(result.trades) == 1
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trade = result.trades[0]
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assert trade.exit_reason == "trailing_take_profit"
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assert trade.exit_price == 11.7
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def test_score_filter_uses_signal_day_score_range():
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panel = _panel(
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["A", "B", "C"],
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days=3,
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overrides={
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("A", 0): {"score": 70},
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("B", 0): {"score": 80},
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("C", 0): {"score": 90},
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("A", 1): {"score": 100},
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("B", 1): {"score": 1},
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("C", 1): {"score": 1},
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},
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)
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entries = _mask(panel, {("A", 0), ("B", 0), ("C", 0)})
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exits = _mask(panel, set())
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result = _engine().simulate_portfolio(
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panel,
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entries,
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exits,
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MatcherConfig(
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matching="open_t+1",
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fees_pct=0,
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slippage_bps=0,
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max_positions=3,
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initial_capital=100_000,
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score_min=71,
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score_max=85,
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),
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)
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assert {t.symbol for t in result.trades} == {"B"}
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assert result.trades[0].entry_score == 80
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assert result.stats["execution"]["buy_score_filter"] == 2
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def test_independent_candidates_allow_overlapping_same_symbol_trades():
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panel = _panel(
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["A"],
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days=5,
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overrides={
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("A", 0): {"close": 10},
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("A", 1): {"close": 11},
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("A", 2): {"close": 12},
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("A", 3): {"close": 13},
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("A", 4): {"close": 14},
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},
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)
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entries = _mask(panel, {("A", 0), ("A", 1)})
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exits = _mask(panel, set())
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result = _engine().simulate_independent_candidates(
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panel,
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entries,
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exits,
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MatcherConfig(matching="close_t", fees_pct=0, slippage_bps=0, max_hold_days=2),
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)
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assert result.stats["full_kind"] == "candidate_execution"
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assert result.stats["n_candidates"] == 2
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assert len(result.trades) == 2
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assert [t.entry_date for t in result.trades] == ["2024-01-01", "2024-01-02"]
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assert [t.exit_date for t in result.trades] == ["2024-01-03", "2024-01-04"]
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assert all(t.exit_reason == "max_hold" for t in result.trades)
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def test_independent_candidates_apply_stop_loss():
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panel = _panel(
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["A"],
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days=4,
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overrides={
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("A", 0): {"close": 10, "low": 10},
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("A", 1): {"open": 10, "high": 10, "low": 8.9, "close": 9},
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},
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)
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entries = _mask(panel, {("A", 0)})
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exits = _mask(panel, set())
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result = _engine().simulate_independent_candidates(
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panel,
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entries,
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exits,
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MatcherConfig(matching="close_t", fees_pct=0, slippage_bps=0, stop_loss_pct=0.1),
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)
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assert len(result.trades) == 1
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assert result.trades[0].exit_reason == "stop_loss"
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assert result.trades[0].exit_price == 9.0
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def test_signal_exit_takes_priority_over_max_hold():
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"""同一日既有卖点信号又到期 → 应按 signal 平仓 (卖点优先于 max_hold 兜底)。"""
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panel = _panel(
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["A"],
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days=4,
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overrides={
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# day1 次日开盘买入 (open_t+1), 价 10
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("A", 1): {"open": 10, "high": 10, "low": 10, "close": 10},
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# day2 持有 (hold_days 计到 1)
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("A", 2): {"open": 11, "high": 11, "low": 11, "close": 11},
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# day3: 既到期 (hold_days=2 >= max_hold_days=2) 又有卖点信号 → signal 优先
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("A", 3): {"open": 12, "high": 12, "low": 12, "close": 12},
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},
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)
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entries = _mask(panel, {("A", 0)}) # day0 收盘确认 → day1 开盘买
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exits = _mask(panel, {("A", 2)}) # day2 收盘确认卖点 → day3 开盘卖
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result = _engine().simulate_portfolio(
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panel,
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entries,
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exits,
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MatcherConfig(
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matching="open_t+1",
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fees_pct=0,
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slippage_bps=0,
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max_positions=1,
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max_hold_days=2,
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initial_capital=100_000,
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),
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)
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assert len(result.trades) == 1
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trade = result.trades[0]
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assert trade.exit_reason == "signal"
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assert trade.exit_price == 12.0 # 卖点用 day3 开盘 (exit_fill 跟随 matching=open_t+1)
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def test_stop_loss_triggers_even_when_expired_in_open_mode():
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"""open_t+1 模式下仓位到期且当日破止损 → 应按 stop_loss 平仓 (风控优先于 max_hold)。"""
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panel = _panel(
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["A"],
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days=4,
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overrides={
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("A", 1): {"open": 10, "high": 10, "low": 10, "close": 10},
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# day3 开盘跳空跌破止损 (-10%): open=8.9 < 9.0 止损线, low=8.5
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("A", 3): {"open": 8.9, "high": 8.9, "low": 8.5, "close": 8.7},
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},
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)
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entries = _mask(panel, {("A", 0)})
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exits = _mask(panel, set())
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result = _engine().simulate_portfolio(
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panel,
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entries,
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exits,
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MatcherConfig(
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matching="open_t+1",
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fees_pct=0,
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slippage_bps=0,
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max_positions=1,
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max_hold_days=2,
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stop_loss_pct=0.1,
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initial_capital=100_000,
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),
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)
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assert len(result.trades) == 1
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trade = result.trades[0]
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assert trade.exit_reason == "stop_loss"
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# 风控盘中触发: 开盘价 8.9 <= 止损线 9.0 → 按开盘价 8.9 成交
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assert trade.exit_price == 8.9
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def test_default_fill_is_buy_open_sell_close():
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"""拆分口径: 建仓=次日开盘, 清仓=收盘。entry_price 用次日 open, exit_price 用收盘价。"""
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||||
panel = _panel(
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||||
["A"],
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||||
days=4,
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||||
overrides={
|
||||
# day1: 次日开盘买入, 开盘 10
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("A", 1): {"open": 10, "high": 10.5, "low": 9.5, "close": 10.2},
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# day2: 到期 (max_hold_days=1), 收盘卖
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||||
("A", 2): {"open": 11, "high": 11, "low": 10, "close": 10.8},
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||||
},
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||||
)
|
||||
entries = _mask(panel, {("A", 0)}) # day0 收盘确认
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||||
exits = _mask(panel, set())
|
||||
|
||||
result = _engine().simulate_portfolio(
|
||||
panel,
|
||||
entries,
|
||||
exits,
|
||||
MatcherConfig(
|
||||
entry_fill="open_t+1",
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||||
exit_fill="close_t",
|
||||
fees_pct=0,
|
||||
slippage_bps=0,
|
||||
max_positions=1,
|
||||
max_hold_days=1,
|
||||
initial_capital=100_000,
|
||||
),
|
||||
)
|
||||
|
||||
assert len(result.trades) == 1
|
||||
trade = result.trades[0]
|
||||
assert trade.entry_price == 10.0 # 次日开盘
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||||
assert trade.exit_price == 10.8 # 到期日收盘
|
||||
assert trade.exit_reason == "max_hold"
|
||||
Reference in New Issue
Block a user