项目目录从 refer 迁移到 local

Co-Authored-By: Claude <noreply@anthropic.com>
2026-07-04 16:32:48 +08:00
parent 648a8b7f1c
commit aad34202f1
302 changed files with 0 additions and 0 deletions
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+"""全量模拟 (full mode) 尾部执行回归测试。"""
+from __future__ import annotations
+
+from datetime import date, timedelta
+
+import polars as pl
+
+from app.backtest.engine import BacktestEngine, MatcherConfig
+
+
+def _panel_with_tail(symbols: list[str], n_data_days: int) -> pl.DataFrame:
+    start = date(2024, 1, 1)
+    rows = []
+    for sym in symbols:
+        for i in range(n_data_days):
+            px = 10.0 + i
+            rows.append({
+                "symbol": sym,
+                "date": start + timedelta(days=i),
+                "open": px,
+                "high": px,
+                "low": px,
+                "close": px,
+                "volume": 100_000,
+                "signal_limit_up": False,
+                "signal_limit_down": False,
+            })
+    return pl.DataFrame(rows).sort(["symbol", "date"])
+
+
+def test_full_simulation_executes_signal_at_tail():
+    """信号集中在正式区间最后一天时, tail 数据应允许次日开盘买入并按策略退出。"""
+    n_days = 6
+    panel = _panel_with_tail(["A"], n_days + 3)
+
+    start = date(2024, 1, 1)
+    end = start + timedelta(days=n_days - 1)
+    entry_vals = []
+    for row in panel.select(["symbol", "date"]).iter_rows(named=True):
+        entry_vals.append(row["date"] == end)
+    entry_mask = pl.Series(entry_vals, dtype=pl.Boolean)
+    exit_mask = pl.Series([False] * len(panel), dtype=pl.Boolean)
+
+    result = BacktestEngine(repo=None).simulate_independent_candidates(  # type: ignore[arg-type]
+        panel,
+        entry_mask,
+        exit_mask,
+        MatcherConfig(matching="open_t+1", fees_pct=0, slippage_bps=0, max_hold_days=2),
+    )
+
+    assert not result.stats.get("error"), f"unexpected error: {result.stats.get('error')}"
+    assert result.stats.get("full_kind") == "candidate_execution"
+    assert result.stats.get("n_candidates") == 1
+    assert result.stats.get("n_trades") == 1
+    assert len(result.trades) == 1
+    trade = result.trades[0]
+    assert trade.entry_signal_date == str(end)
+    assert trade.entry_date == str(end + timedelta(days=1))
+    assert trade.exit_reason == "max_hold"