feat: add unified weight backtest result facade
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@@ -34,8 +34,8 @@ print(result.summary())
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from __future__ import annotations
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from pathlib import Path
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from collections.abc import Mapping, Sequence
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from dataclasses import dataclass
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import numpy as np
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import pandas as pd
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@@ -46,6 +46,26 @@ from quant_engine.metrics import summary as metrics_summary
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logger = get_logger(__name__)
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@dataclass(frozen=True, slots=True, eq=False)
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class BacktestResult:
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"""一次权重回测的稳定结果快照。"""
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nav: pd.Series
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returns: pd.Series
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weights: pd.DataFrame
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benchmark_nav: pd.Series | None = None
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def stats(self, rf: float = 0.0) -> Mapping[str, float]:
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"""返回标准绩效指标。"""
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return metrics_summary(self.returns, rf)
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def benchmark_report(self, rf: float = 0.0) -> pd.DataFrame:
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"""返回策略与基准的对比报告。"""
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if self.benchmark_nav is None:
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raise ValueError("benchmark_nav is required for benchmark comparison")
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return compare_to_benchmark(self.nav, self.benchmark_nav, rf)
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# ── 调仓表 → 净值 ──────────────────────────────────────
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@@ -113,6 +133,29 @@ def compute_returns_from_nav(nav: pd.Series) -> pd.Series:
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return nav.pct_change().fillna(0.0)
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def run_weight_backtest(
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weights: pd.DataFrame,
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stock_returns: pd.DataFrame,
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initial_capital: float = 1.0,
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tc_rate: float = 0.0,
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benchmark_nav: pd.Series | None = None,
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) -> BacktestResult:
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"""执行权重回测并返回隔离于调用方输入的结果快照。"""
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weights_snapshot = weights.copy(deep=True)
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nav = compute_nav_from_weights(
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weights=weights_snapshot,
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stock_returns=stock_returns,
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initial_capital=initial_capital,
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tc_rate=tc_rate,
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)
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return BacktestResult(
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nav=nav,
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returns=compute_returns_from_nav(nav),
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weights=weights_snapshot,
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benchmark_nav=None if benchmark_nav is None else benchmark_nav.copy(deep=True),
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)
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# ── 调仓工具 ──────────────────────────────────────
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