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11
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cfa5bed188 | ||
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a9465e6479 |
@@ -25,6 +25,7 @@
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- `backtest` — weight-based 多日仿真(rebalance_table / compute_nav / compare_to_benchmark)
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- `backtest` — weight-based 多日仿真(rebalance_table / compute_nav / compare_to_benchmark)
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- `portfolio_construction` — 多期因子分数 → Top-K → 等权目标权重表
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- `portfolio_construction` — 多期因子分数 → Top-K → 等权目标权重表
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- `research_pipeline` — 因子日 → 下一真实交易日 → 显式执行价 → 日末估值 → 成本后绩效(防前视编排)
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- `research_pipeline` — 因子日 → 下一真实交易日 → 显式执行价 → 日末估值 → 成本后绩效(防前视编排)
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- `artifact` — 版本化、确定性、存储中立的完整 research run 事实表与 manifest
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- `attribution` — 基于实际成交后持仓的隔夜 / 日内 / 交易成本逐日收益归因与闭合审计
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- `attribution` — 基于实际成交后持仓的隔夜 / 日内 / 交易成本逐日收益归因与闭合审计
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- `metrics` — 绝对绩效 + 严格日期对齐的 TE / IR / alpha / beta 基准相对绩效
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- `metrics` — 绝对绩效 + 严格日期对齐的 TE / IR / alpha / beta 基准相对绩效
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- `factor_library` — 通用方法(turnover / winsorize / IC / OLS / jb_test)
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- `factor_library` — 通用方法(turnover / winsorize / IC / OLS / jb_test)
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@@ -136,6 +137,39 @@ print(attribution.residual) # 应接近 0;否则说明贡献未闭合到账
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# benchmark_returns 必须与成本后 factor_backtest.returns 使用完全相同的日期索引。
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# benchmark_returns 必须与成本后 factor_backtest.returns 使用完全相同的日期索引。
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print(factor_backtest.benchmark_stats(benchmark_returns))
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print(factor_backtest.benchmark_stats(benchmark_returns))
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# 下游稳定交付:显式提供代码版本、数据快照和时区,不在核心层写数据库。
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from quant_engine.artifact import build_research_run_artifact
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from quant_engine.risk import CovarianceSnapshot
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risk_date = factor_backtest.position_weights.index[-1].date()
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risk_snapshot = CovarianceSnapshot(
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snapshot_id="<covariance-snapshot-id>",
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as_of_date=risk_date,
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covariance=daily_return_covariance,
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return_frequency="1d",
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periods_per_year=252,
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)
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artifact = build_research_run_artifact(
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factor_backtest,
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run_id="research-run-001",
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strategy_id="alpha-top20",
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strategy_name="Alpha Top 20",
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strategy_version="1.0.0",
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engine_version="1.2.0",
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code_revision="<git-sha>",
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data_snapshot_id="<data-snapshot-id>",
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calendar="CN-A",
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timezone="Asia/Shanghai",
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started_at="2026-08-21T10:00:00+08:00",
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finished_at="2026-08-21T10:01:00+08:00",
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parameters={"top_k": 20, "lag_sessions": 1},
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benchmark_id="000300.SH",
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benchmark_returns=benchmark_returns,
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risk_snapshots={risk_date: risk_snapshot},
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)
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print(artifact.manifest())
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# run_weight_backtest 是低层算子:只接受收益区间开始前已经生效的持仓权重。
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# run_weight_backtest 是低层算子:只接受收益区间开始前已经生效的持仓权重。
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# 不要把 signal-date 的 factor_scores/decision_weights 直接传给它。
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# 不要把 signal-date 的 factor_scores/decision_weights 直接传给它。
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backtest = run_weight_backtest(
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backtest = run_weight_backtest(
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@@ -16,6 +16,23 @@
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当前核心不新增依赖。逐日收益归因必须从实际换仓前后持仓、成交记录、执行价和
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当前核心不新增依赖。逐日收益归因必须从实际换仓前后持仓、成交记录、执行价和
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收盘估值推导;因子分数与目标权重只是意图,不能作为成交后归因事实源。
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收盘估值推导;因子分数与目标权重只是意图,不能作为成交后归因事实源。
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## 2026-08-21:研究运行工件
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- 借鉴 [Qlib Recorder / RecordTemplate](https://github.com/microsoft/qlib/blob/main/qlib/workflow/record_temp.py)
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将 signal、portfolio analysis 和 risk analysis 分成稳定事实,但不引入 Qlib 运行时;
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- 借鉴 [MLflow Tracking](https://mlflow.org/docs/latest/tracking/) 的 run / params /
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metrics / artifacts 分层,但 MLflow 只保留为未来可选 exporter;
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- HTML、PNG 和 tearsheet 是可再生展示物,不能替代 NAV、成交、持仓、归因和绩效事实。
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因此 `ResearchRunArtifact` 使用显式 `schema_version`、`config_hash`、代码版本和数据
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快照身份,并提供确定性 JSON / SHA-256 manifest;核心层仍不写数据库或 artifact store。
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schema `1.1.0` 将 Qlib 的独立 risk-analysis artifact 思路与 Riskfolio-Lib 的 Euler
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component-risk 语义结合,但只保留本项目需要的轻量合同:协方差快照必须声明
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`snapshot_id`、`as_of_date`、收益频率和年化期数;风险从成交后的实际日末持仓计算,
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component risk 闭合到年化组合波动,percentage contribution 闭合到 1。未来日期、资产
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标签不完整和零方差组合都直接失败,不以默认值伪造结果。
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## hikyuu 的定位
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## hikyuu 的定位
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[hikyuu](https://github.com/fasiondog/hikyuu) 的 SG / MM / CN / PG 部件化思想、
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[hikyuu](https://github.com/fasiondog/hikyuu) 的 SG / MM / CN / PG 部件化思想、
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@@ -0,0 +1,45 @@
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# Research artifact contract handoff
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## Goal
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把完整可信研究链固化成存储中立、版本化、确定性的 `ResearchRunArtifact`,供
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`research_results` 持久化和 `research_platform` 查询:
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- run identity / schema version / config hash / code revision / data snapshot;
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- signal scores / decision weights / signal-to-execution mapping;
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- NAV / returns / benchmark / costs;
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- trades / realized positions / cash;
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- asset and daily return attribution;
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- performance including Sortino / TE / IR / alpha / beta;
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- reproducible covariance snapshots and annualized Euler component-risk facts;
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- canonical JSON / SHA-256 manifest。
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## Branch stack
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- 当前:`codex/research-artifact-contract-20260821`
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- 基线:`codex/ledger-attribution-20260821`(Draft PR #4)
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- 下层:Draft PR #3 → Ready PR #2 → `main`
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不得绕过堆叠顺序直接合并到 `main`。
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## Verification
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- `pytest -q`: 526 passed,9 个既有 SciPy warning;
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- risk/artifact focused coverage 87.85%;
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- `mypy --strict src/`: 16 source files passed;
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- changed-scope Ruff: passed;
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- no runtime dependency added;
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- no database, network, broker or filesystem write side effect in artifact builder。
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## Current risk contract
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- artifact schema:`1.1.0`;
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- `CovarianceSnapshot` 对输入矩阵深拷贝并显式记录截至日、频率和年化期数;
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- `risk_snapshots` 按研究交易日映射,可只生成需要的风险观察日;
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- 使用成交后实际持仓,不包含现金风险资产;协方差资产标签必须与研究资产全集一致;
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- `covariance_as_of_date` 不得晚于 `trade_date`;无正组合方差时拒绝产物。
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## Next action
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保持 Draft PR #5,不绕过堆叠顺序合并;下游 `research_results` / `research_platform`
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已在各自 Draft 分支兼容 1.0.0 / 1.1.0,下一阶段以真实数据适配器提供可复现协方差快照。
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@@ -0,0 +1,577 @@
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"""Versioned, deterministic research-run artifacts for downstream adapters.
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This module is deliberately storage-neutral. It snapshots a completed
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``FactorBacktestResult`` into queryable fact tables but never writes a database,
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starts a service, or talks to a broker. ``research_results`` owns persistence;
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``research_platform`` owns read models and presentation.
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"""
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from __future__ import annotations
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import hashlib
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import json
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import math
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from collections.abc import Mapping
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from dataclasses import dataclass
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from datetime import date, datetime
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from typing import Any
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import numpy as np
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import pandas as pd
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from quant_engine.research_pipeline import FactorBacktestResult
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from quant_engine.risk import CovarianceSnapshot, labeled_component_risk
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RESEARCH_ARTIFACT_SCHEMA_VERSION = "1.1.0"
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RISK_COLUMNS = [
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"run_id",
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"trade_date",
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"asset_id",
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"weight",
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"marginal_risk",
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"component_risk",
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"risk_contribution",
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"covariance_snapshot_id",
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"covariance_as_of_date",
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"risk_measure",
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"return_frequency",
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"periods_per_year",
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]
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__all__ = [
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"RESEARCH_ARTIFACT_SCHEMA_VERSION",
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"ResearchRunArtifact",
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"build_research_run_artifact",
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]
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def _frame_copy(frame: pd.DataFrame) -> pd.DataFrame:
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return frame.copy(deep=True)
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@dataclass(frozen=True, slots=True, eq=False)
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class ResearchRunArtifact:
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"""Immutable-by-interface snapshot of one completed research run."""
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schema_version: str
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_run: pd.DataFrame
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_signals: pd.DataFrame
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_nav: pd.DataFrame
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_trades: pd.DataFrame
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_positions: pd.DataFrame
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_attribution: pd.DataFrame
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_attribution_daily: pd.DataFrame
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_risk: pd.DataFrame
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_performance: pd.DataFrame
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@property
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def run(self) -> pd.DataFrame:
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return _frame_copy(self._run)
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@property
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def nav(self) -> pd.DataFrame:
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return _frame_copy(self._nav)
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@property
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def signals(self) -> pd.DataFrame:
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return _frame_copy(self._signals)
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|
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@property
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def trades(self) -> pd.DataFrame:
|
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return _frame_copy(self._trades)
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|
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|
@property
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def positions(self) -> pd.DataFrame:
|
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return _frame_copy(self._positions)
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|
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|
@property
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def attribution(self) -> pd.DataFrame:
|
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return _frame_copy(self._attribution)
|
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|
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|
@property
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|
def attribution_daily(self) -> pd.DataFrame:
|
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return _frame_copy(self._attribution_daily)
|
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|
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|
@property
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|
def risk(self) -> pd.DataFrame:
|
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|
return _frame_copy(self._risk)
|
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|
|
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|
@property
|
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def performance(self) -> pd.DataFrame:
|
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|
return _frame_copy(self._performance)
|
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|
|
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|
def table_frames(self) -> Mapping[str, pd.DataFrame]:
|
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|
"""Return isolated table snapshots keyed by stable logical table name."""
|
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|
return {
|
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|
"run": self.run,
|
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|
"signals": self.signals,
|
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|
"nav": self.nav,
|
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|
"trades": self.trades,
|
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|
"positions": self.positions,
|
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|
"attribution": self.attribution,
|
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|
"attribution_daily": self.attribution_daily,
|
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|
"risk": self.risk,
|
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|
"performance": self.performance,
|
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|
}
|
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|
|
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|
def canonical_json(self) -> str:
|
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|
"""Serialize tables deterministically for checksums and artifact storage."""
|
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|
payload = {
|
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|
"schema_version": self.schema_version,
|
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|
"tables": {
|
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|
name: _frame_records(frame)
|
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|
for name, frame in self._internal_table_frames().items()
|
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|
},
|
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|
}
|
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|
return json.dumps(
|
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|
payload,
|
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|
ensure_ascii=False,
|
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|
sort_keys=True,
|
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|
separators=(",", ":"),
|
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|
allow_nan=False,
|
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|
)
|
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|
|
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|
@property
|
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|
def content_sha256(self) -> str:
|
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|
return hashlib.sha256(self.canonical_json().encode("utf-8")).hexdigest()
|
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|
|
||||||
|
def manifest(self) -> Mapping[str, object]:
|
||||||
|
"""Return a compact immutable identity and row-count manifest."""
|
||||||
|
return {
|
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|
"schema_version": self.schema_version,
|
||||||
|
"run_id": str(self._run.at[0, "run_id"]),
|
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|
"config_hash": str(self._run.at[0, "config_hash"]),
|
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|
"content_sha256": self.content_sha256,
|
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|
"tables": {
|
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|
name: len(frame) for name, frame in self._internal_table_frames().items()
|
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|
},
|
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|
}
|
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|
|
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|
def _internal_table_frames(self) -> Mapping[str, pd.DataFrame]:
|
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|
return {
|
||||||
|
"run": self._run,
|
||||||
|
"signals": self._signals,
|
||||||
|
"nav": self._nav,
|
||||||
|
"trades": self._trades,
|
||||||
|
"positions": self._positions,
|
||||||
|
"attribution": self._attribution,
|
||||||
|
"attribution_daily": self._attribution_daily,
|
||||||
|
"risk": self._risk,
|
||||||
|
"performance": self._performance,
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
def _required_text(value: str, name: str, *, max_length: int | None = None) -> str:
|
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|
normalized = value.strip()
|
||||||
|
if not normalized:
|
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|
raise ValueError(f"{name} must be non-empty")
|
||||||
|
if max_length is not None and len(normalized) > max_length:
|
||||||
|
raise ValueError(f"{name} must contain at most {max_length} characters")
|
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|
return normalized
|
||||||
|
|
||||||
|
|
||||||
|
def _aware_timestamp(value: str | pd.Timestamp, name: str) -> pd.Timestamp:
|
||||||
|
try:
|
||||||
|
timestamp = pd.Timestamp(value)
|
||||||
|
except (TypeError, ValueError) as error:
|
||||||
|
raise ValueError(f"{name} must be a valid timestamp") from error
|
||||||
|
if timestamp.tzinfo is None:
|
||||||
|
raise ValueError(f"{name} must include a timezone")
|
||||||
|
return timestamp
|
||||||
|
|
||||||
|
|
||||||
|
def _json_value(value: object) -> object:
|
||||||
|
if value is None or isinstance(value, str | bool | int):
|
||||||
|
return value
|
||||||
|
if isinstance(value, float):
|
||||||
|
return value if math.isfinite(value) else None
|
||||||
|
if isinstance(value, np.generic):
|
||||||
|
return _json_value(value.item())
|
||||||
|
if isinstance(value, pd.Timestamp):
|
||||||
|
return value.isoformat()
|
||||||
|
if isinstance(value, datetime):
|
||||||
|
return value.isoformat()
|
||||||
|
if isinstance(value, date):
|
||||||
|
return value.isoformat()
|
||||||
|
if isinstance(value, Mapping):
|
||||||
|
return {
|
||||||
|
str(key): _json_value(item)
|
||||||
|
for key, item in sorted(value.items(), key=lambda pair: str(pair[0]))
|
||||||
|
}
|
||||||
|
if isinstance(value, list | tuple):
|
||||||
|
return [_json_value(item) for item in value]
|
||||||
|
raise TypeError(f"value of type {type(value).__name__} is not JSON serializable")
|
||||||
|
|
||||||
|
|
||||||
|
def _canonical_mapping_json(values: Mapping[str, object]) -> str:
|
||||||
|
normalized = _json_value(values)
|
||||||
|
return json.dumps(
|
||||||
|
normalized,
|
||||||
|
ensure_ascii=False,
|
||||||
|
sort_keys=True,
|
||||||
|
separators=(",", ":"),
|
||||||
|
allow_nan=False,
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def _frame_records(frame: pd.DataFrame) -> list[dict[str, object]]:
|
||||||
|
return [
|
||||||
|
{str(key): _json_value(value) for key, value in row.items()}
|
||||||
|
for row in frame.to_dict(orient="records")
|
||||||
|
]
|
||||||
|
|
||||||
|
|
||||||
|
def _build_nav(
|
||||||
|
result: FactorBacktestResult,
|
||||||
|
run_id: str,
|
||||||
|
benchmark_returns: pd.Series | None,
|
||||||
|
) -> pd.DataFrame:
|
||||||
|
nav = result.execution.ledger_frame.copy(deep=True)
|
||||||
|
nav.insert(0, "run_id", run_id)
|
||||||
|
nav["trade_date"] = pd.to_datetime(nav["trade_date"]).dt.date
|
||||||
|
nav["total_cost"] = [
|
||||||
|
sum(execution.total_cost for execution in daily.executions)
|
||||||
|
for daily in result.execution.daily_executions
|
||||||
|
]
|
||||||
|
if benchmark_returns is None:
|
||||||
|
nav["benchmark_nav"] = np.nan
|
||||||
|
nav["benchmark_return"] = np.nan
|
||||||
|
nav["excess_ret"] = np.nan
|
||||||
|
else:
|
||||||
|
benchmark = benchmark_returns.astype(float, copy=True)
|
||||||
|
nav["benchmark_nav"] = (1.0 + benchmark).cumprod().to_numpy()
|
||||||
|
nav["benchmark_return"] = benchmark.to_numpy()
|
||||||
|
nav["excess_ret"] = result.returns.to_numpy() - benchmark.to_numpy()
|
||||||
|
return nav
|
||||||
|
|
||||||
|
|
||||||
|
def _build_signals(result: FactorBacktestResult, run_id: str) -> pd.DataFrame:
|
||||||
|
columns = [
|
||||||
|
"run_id",
|
||||||
|
"signal_date",
|
||||||
|
"execution_date",
|
||||||
|
"asset_id",
|
||||||
|
"factor_score",
|
||||||
|
"target_weight",
|
||||||
|
]
|
||||||
|
rows: list[dict[str, object]] = []
|
||||||
|
for signal_date, scores in result.factor_scores.iterrows():
|
||||||
|
execution_date = pd.Timestamp(result.schedule.signal_to_execution.at[signal_date]).date()
|
||||||
|
for asset, score in scores.items():
|
||||||
|
rows.append(
|
||||||
|
{
|
||||||
|
"run_id": run_id,
|
||||||
|
"signal_date": pd.Timestamp(signal_date).date(),
|
||||||
|
"execution_date": execution_date,
|
||||||
|
"asset_id": asset,
|
||||||
|
"factor_score": float(score),
|
||||||
|
"target_weight": float(
|
||||||
|
result.schedule.decision_weights.at[signal_date, asset]
|
||||||
|
),
|
||||||
|
}
|
||||||
|
)
|
||||||
|
return pd.DataFrame(rows, columns=columns)
|
||||||
|
|
||||||
|
|
||||||
|
def _build_trades(result: FactorBacktestResult, run_id: str) -> pd.DataFrame:
|
||||||
|
trades = result.execution.trades_frame.copy(deep=True)
|
||||||
|
trades.insert(0, "run_id", run_id)
|
||||||
|
trades["trade_date"] = pd.to_datetime(trades["trade_date"]).dt.date
|
||||||
|
trades.insert(
|
||||||
|
1,
|
||||||
|
"trade_id",
|
||||||
|
[f"{run_id}:{sequence:08d}" for sequence in range(1, len(trades) + 1)],
|
||||||
|
)
|
||||||
|
signal_by_execution = {
|
||||||
|
pd.Timestamp(execution_date).date(): pd.Timestamp(signal_date).date()
|
||||||
|
for signal_date, execution_date in result.schedule.signal_to_execution.items()
|
||||||
|
}
|
||||||
|
trades["signal_id"] = [
|
||||||
|
f"{run_id}:signal:{signal_by_execution[trade_date].isoformat()}"
|
||||||
|
for trade_date in trades["trade_date"]
|
||||||
|
]
|
||||||
|
trades["total_cost"] = trades["fee"] + trades["slippage"]
|
||||||
|
return trades
|
||||||
|
|
||||||
|
|
||||||
|
def _build_positions(result: FactorBacktestResult, run_id: str) -> pd.DataFrame:
|
||||||
|
columns = [
|
||||||
|
"run_id",
|
||||||
|
"trade_date",
|
||||||
|
"asset_id",
|
||||||
|
"asset_type",
|
||||||
|
"quantity",
|
||||||
|
"mark_price",
|
||||||
|
"market_value",
|
||||||
|
"weight",
|
||||||
|
]
|
||||||
|
rows: list[dict[str, object]] = []
|
||||||
|
weights = result.position_weights
|
||||||
|
cash_weights = result.cash_weights
|
||||||
|
for date_value, position in zip(
|
||||||
|
result.valuation_prices.index,
|
||||||
|
result.execution.positions,
|
||||||
|
strict=True,
|
||||||
|
):
|
||||||
|
session_date = pd.Timestamp(date_value).date()
|
||||||
|
for asset, quantity in position.holdings.items():
|
||||||
|
mark_price = float(result.valuation_prices.at[date_value, asset])
|
||||||
|
rows.append(
|
||||||
|
{
|
||||||
|
"run_id": run_id,
|
||||||
|
"trade_date": session_date,
|
||||||
|
"asset_id": asset,
|
||||||
|
"asset_type": "security",
|
||||||
|
"quantity": quantity,
|
||||||
|
"mark_price": mark_price,
|
||||||
|
"market_value": quantity * mark_price,
|
||||||
|
"weight": float(weights.at[date_value, asset]),
|
||||||
|
}
|
||||||
|
)
|
||||||
|
rows.append(
|
||||||
|
{
|
||||||
|
"run_id": run_id,
|
||||||
|
"trade_date": session_date,
|
||||||
|
"asset_id": "CASH",
|
||||||
|
"asset_type": "cash",
|
||||||
|
"quantity": position.cash,
|
||||||
|
"mark_price": 1.0,
|
||||||
|
"market_value": position.cash,
|
||||||
|
"weight": float(cash_weights.at[date_value]),
|
||||||
|
}
|
||||||
|
)
|
||||||
|
return pd.DataFrame(rows, columns=columns)
|
||||||
|
|
||||||
|
|
||||||
|
def _build_attribution(
|
||||||
|
result: FactorBacktestResult,
|
||||||
|
run_id: str,
|
||||||
|
) -> tuple[pd.DataFrame, pd.DataFrame]:
|
||||||
|
contribution = result.return_attribution()
|
||||||
|
rows: list[dict[str, object]] = []
|
||||||
|
for date_value in contribution.overnight.index:
|
||||||
|
for asset in contribution.overnight.columns:
|
||||||
|
overnight = float(contribution.overnight.at[date_value, asset])
|
||||||
|
intraday = float(contribution.intraday.at[date_value, asset])
|
||||||
|
rows.append(
|
||||||
|
{
|
||||||
|
"run_id": run_id,
|
||||||
|
"trade_date": pd.Timestamp(date_value).date(),
|
||||||
|
"asset_id": asset,
|
||||||
|
"overnight": overnight,
|
||||||
|
"intraday": intraday,
|
||||||
|
"asset_total": overnight + intraday,
|
||||||
|
}
|
||||||
|
)
|
||||||
|
daily = pd.DataFrame(
|
||||||
|
{
|
||||||
|
"run_id": run_id,
|
||||||
|
"trade_date": contribution.total_return.index.date,
|
||||||
|
"transaction_cost": contribution.transaction_cost.to_numpy(),
|
||||||
|
"explained_return": contribution.explained_return.to_numpy(),
|
||||||
|
"residual": contribution.residual.to_numpy(),
|
||||||
|
"total_return": contribution.total_return.to_numpy(),
|
||||||
|
}
|
||||||
|
)
|
||||||
|
return pd.DataFrame(rows), daily
|
||||||
|
|
||||||
|
|
||||||
|
def _risk_trade_date(value: object) -> date:
|
||||||
|
try:
|
||||||
|
timestamp = pd.Timestamp(value)
|
||||||
|
except (TypeError, ValueError) as error:
|
||||||
|
raise ValueError("risk snapshot keys must be valid trade dates") from error
|
||||||
|
if pd.isna(timestamp):
|
||||||
|
raise ValueError("risk snapshot keys must be valid trade dates")
|
||||||
|
return date(int(timestamp.year), int(timestamp.month), int(timestamp.day))
|
||||||
|
|
||||||
|
|
||||||
|
def _build_risk(
|
||||||
|
result: FactorBacktestResult,
|
||||||
|
run_id: str,
|
||||||
|
risk_snapshots: Mapping[object, CovarianceSnapshot] | None,
|
||||||
|
) -> pd.DataFrame:
|
||||||
|
if risk_snapshots is None:
|
||||||
|
return pd.DataFrame(columns=RISK_COLUMNS)
|
||||||
|
if not isinstance(risk_snapshots, Mapping):
|
||||||
|
raise TypeError("risk_snapshots must be a mapping")
|
||||||
|
|
||||||
|
session_by_date = {
|
||||||
|
pd.Timestamp(session).date(): session for session in result.position_weights.index
|
||||||
|
}
|
||||||
|
normalized: dict[date, CovarianceSnapshot] = {}
|
||||||
|
for raw_trade_date, snapshot in risk_snapshots.items():
|
||||||
|
trade_date = _risk_trade_date(raw_trade_date)
|
||||||
|
if trade_date in normalized:
|
||||||
|
raise ValueError(f"duplicate risk snapshot trade date: {trade_date}")
|
||||||
|
if trade_date not in session_by_date:
|
||||||
|
raise ValueError(f"risk snapshot trade date {trade_date} must be a result session")
|
||||||
|
if not isinstance(snapshot, CovarianceSnapshot):
|
||||||
|
raise TypeError("risk snapshot values must be CovarianceSnapshot instances")
|
||||||
|
if snapshot.as_of_date > trade_date:
|
||||||
|
raise ValueError(
|
||||||
|
f"covariance as_of_date {snapshot.as_of_date} must not be after trade date "
|
||||||
|
f"{trade_date}"
|
||||||
|
)
|
||||||
|
normalized[trade_date] = snapshot
|
||||||
|
|
||||||
|
weights_by_date = result.position_weights
|
||||||
|
rows: list[dict[str, object]] = []
|
||||||
|
for trade_date in sorted(normalized):
|
||||||
|
snapshot = normalized[trade_date]
|
||||||
|
session = session_by_date[trade_date]
|
||||||
|
weights = weights_by_date.loc[session].astype(float, copy=True)
|
||||||
|
annualized_covariance = snapshot.covariance * snapshot.periods_per_year
|
||||||
|
decomposition = labeled_component_risk(weights, annualized_covariance)
|
||||||
|
for asset_id in weights.index:
|
||||||
|
rows.append(
|
||||||
|
{
|
||||||
|
"run_id": run_id,
|
||||||
|
"trade_date": trade_date,
|
||||||
|
"asset_id": asset_id,
|
||||||
|
"weight": float(weights.loc[asset_id]),
|
||||||
|
"marginal_risk": float(decomposition.marginal.loc[asset_id]),
|
||||||
|
"component_risk": float(decomposition.component.loc[asset_id]),
|
||||||
|
"risk_contribution": float(decomposition.percentage.loc[asset_id]),
|
||||||
|
"covariance_snapshot_id": snapshot.snapshot_id,
|
||||||
|
"covariance_as_of_date": snapshot.as_of_date,
|
||||||
|
"risk_measure": "annualized_volatility",
|
||||||
|
"return_frequency": snapshot.return_frequency,
|
||||||
|
"periods_per_year": snapshot.periods_per_year,
|
||||||
|
}
|
||||||
|
)
|
||||||
|
return pd.DataFrame(rows, columns=RISK_COLUMNS)
|
||||||
|
|
||||||
|
|
||||||
|
def _build_performance(
|
||||||
|
result: FactorBacktestResult,
|
||||||
|
run_id: str,
|
||||||
|
benchmark_returns: pd.Series | None,
|
||||||
|
) -> pd.DataFrame:
|
||||||
|
stats = result.stats()
|
||||||
|
relative = (
|
||||||
|
result.benchmark_stats(benchmark_returns)
|
||||||
|
if benchmark_returns is not None
|
||||||
|
else {
|
||||||
|
"tracking_error": float("nan"),
|
||||||
|
"information_ratio": float("nan"),
|
||||||
|
"alpha": float("nan"),
|
||||||
|
"beta": float("nan"),
|
||||||
|
}
|
||||||
|
)
|
||||||
|
total_return = float(result.nav.iloc[-1] - 1.0)
|
||||||
|
return pd.DataFrame(
|
||||||
|
[
|
||||||
|
{
|
||||||
|
"run_id": run_id,
|
||||||
|
"total_ret": total_return,
|
||||||
|
"ann_ret": stats["ann_return"],
|
||||||
|
"ann_volatility": stats["ann_volatility"],
|
||||||
|
"sharpe": stats["sharpe"],
|
||||||
|
"sortino": stats["sortino"],
|
||||||
|
"max_dd": stats["max_drawdown"],
|
||||||
|
"calmar": stats["calmar"],
|
||||||
|
"win_rate": stats["win_rate"],
|
||||||
|
"tracking_error": relative["tracking_error"],
|
||||||
|
"ir": relative["information_ratio"],
|
||||||
|
"alpha": relative["alpha"],
|
||||||
|
"beta": relative["beta"],
|
||||||
|
"n_trades": len(result.execution.trades_frame),
|
||||||
|
"n_days": len(result.returns),
|
||||||
|
}
|
||||||
|
]
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def build_research_run_artifact(
|
||||||
|
result: FactorBacktestResult,
|
||||||
|
*,
|
||||||
|
run_id: str,
|
||||||
|
strategy_id: str,
|
||||||
|
strategy_name: str,
|
||||||
|
strategy_version: str,
|
||||||
|
engine_version: str,
|
||||||
|
code_revision: str,
|
||||||
|
data_snapshot_id: str,
|
||||||
|
calendar: str,
|
||||||
|
timezone: str,
|
||||||
|
started_at: str | pd.Timestamp,
|
||||||
|
finished_at: str | pd.Timestamp,
|
||||||
|
parameters: Mapping[str, object],
|
||||||
|
benchmark_id: str | None = None,
|
||||||
|
benchmark_returns: pd.Series | None = None,
|
||||||
|
risk_snapshots: Mapping[object, CovarianceSnapshot] | None = None,
|
||||||
|
) -> ResearchRunArtifact:
|
||||||
|
"""Snapshot one successful factor backtest into schema-versioned fact tables."""
|
||||||
|
if not isinstance(result, FactorBacktestResult):
|
||||||
|
raise TypeError("result must be a FactorBacktestResult")
|
||||||
|
if result.nav.empty:
|
||||||
|
raise ValueError("result must contain at least one research session")
|
||||||
|
normalized_run_id = _required_text(run_id, "run_id", max_length=64)
|
||||||
|
normalized_strategy_id = _required_text(strategy_id, "strategy_id")
|
||||||
|
normalized_strategy_name = _required_text(strategy_name, "strategy_name")
|
||||||
|
normalized_strategy_version = _required_text(strategy_version, "strategy_version")
|
||||||
|
normalized_engine_version = _required_text(engine_version, "engine_version")
|
||||||
|
normalized_code_revision = _required_text(code_revision, "code_revision")
|
||||||
|
normalized_snapshot = _required_text(data_snapshot_id, "data_snapshot_id")
|
||||||
|
normalized_calendar = _required_text(calendar, "calendar")
|
||||||
|
normalized_timezone = _required_text(timezone, "timezone")
|
||||||
|
if not isinstance(parameters, Mapping):
|
||||||
|
raise TypeError("parameters must be a mapping")
|
||||||
|
|
||||||
|
started = _aware_timestamp(started_at, "started_at")
|
||||||
|
finished = _aware_timestamp(finished_at, "finished_at")
|
||||||
|
if finished < started:
|
||||||
|
raise ValueError("finished_at must not precede started_at")
|
||||||
|
if (benchmark_id is None) != (benchmark_returns is None):
|
||||||
|
raise ValueError("benchmark_id and benchmark_returns must be provided together")
|
||||||
|
normalized_benchmark = ""
|
||||||
|
if benchmark_id is not None:
|
||||||
|
normalized_benchmark = _required_text(benchmark_id, "benchmark_id")
|
||||||
|
result.benchmark_stats(benchmark_returns)
|
||||||
|
|
||||||
|
params_json = _canonical_mapping_json(parameters)
|
||||||
|
config_hash = hashlib.sha256(params_json.encode("utf-8")).hexdigest()
|
||||||
|
run = pd.DataFrame(
|
||||||
|
[
|
||||||
|
{
|
||||||
|
"schema_version": RESEARCH_ARTIFACT_SCHEMA_VERSION,
|
||||||
|
"run_id": normalized_run_id,
|
||||||
|
"strategy_id": normalized_strategy_id,
|
||||||
|
"strategy_name": normalized_strategy_name,
|
||||||
|
"strategy_version": normalized_strategy_version,
|
||||||
|
"engine_version": normalized_engine_version,
|
||||||
|
"code_revision": normalized_code_revision,
|
||||||
|
"config_hash": config_hash,
|
||||||
|
"data_snapshot_id": normalized_snapshot,
|
||||||
|
"benchmark_id": normalized_benchmark,
|
||||||
|
"benchmark_alignment_policy": (
|
||||||
|
"exact_session_index" if benchmark_returns is not None else "none"
|
||||||
|
),
|
||||||
|
"frequency": "1d",
|
||||||
|
"calendar": normalized_calendar,
|
||||||
|
"timezone": normalized_timezone,
|
||||||
|
"initial_capital": result.execution.initial_cash,
|
||||||
|
"start_date": result.nav.index[0].date(),
|
||||||
|
"end_date": result.nav.index[-1].date(),
|
||||||
|
"status": "success",
|
||||||
|
"started_at": started,
|
||||||
|
"finished_at": finished,
|
||||||
|
"params_json": params_json,
|
||||||
|
}
|
||||||
|
]
|
||||||
|
)
|
||||||
|
attribution, attribution_daily = _build_attribution(result, normalized_run_id)
|
||||||
|
return ResearchRunArtifact(
|
||||||
|
schema_version=RESEARCH_ARTIFACT_SCHEMA_VERSION,
|
||||||
|
_run=run,
|
||||||
|
_signals=_build_signals(result, normalized_run_id),
|
||||||
|
_nav=_build_nav(result, normalized_run_id, benchmark_returns),
|
||||||
|
_trades=_build_trades(result, normalized_run_id),
|
||||||
|
_positions=_build_positions(result, normalized_run_id),
|
||||||
|
_attribution=attribution,
|
||||||
|
_attribution_daily=attribution_daily,
|
||||||
|
_risk=_build_risk(result, normalized_run_id, risk_snapshots),
|
||||||
|
_performance=_build_performance(result, normalized_run_id, benchmark_returns),
|
||||||
|
)
|
||||||
@@ -65,6 +65,20 @@ def sharpe_ratio(r: pd.Series, rf: float = 0.0) -> float:
|
|||||||
return (annualized_return(r) - rf) / vol
|
return (annualized_return(r) - rf) / vol
|
||||||
|
|
||||||
|
|
||||||
|
def sortino_ratio(r: pd.Series, rf: float = 0.0) -> float:
|
||||||
|
"""Sortino = (年化收益 - rf) / 年化下行偏差。"""
|
||||||
|
r = _clean(r)
|
||||||
|
if len(r) < 2:
|
||||||
|
return 0.0
|
||||||
|
downside = np.minimum(r.to_numpy(dtype=float), 0.0)
|
||||||
|
downside_deviation = float(
|
||||||
|
np.sqrt(np.mean(np.square(downside))) * np.sqrt(TRADING_DAYS_PER_YEAR)
|
||||||
|
)
|
||||||
|
if downside_deviation == 0:
|
||||||
|
return 0.0
|
||||||
|
return (annualized_return(r) - rf) / downside_deviation
|
||||||
|
|
||||||
|
|
||||||
def max_drawdown(r: pd.Series) -> float:
|
def max_drawdown(r: pd.Series) -> float:
|
||||||
"""最大回撤(负数)。例如 -0.2 表示最大亏 20%。"""
|
"""最大回撤(负数)。例如 -0.2 表示最大亏 20%。"""
|
||||||
r = _clean(r)
|
r = _clean(r)
|
||||||
@@ -120,6 +134,7 @@ def summary(r: pd.Series, rf: float = 0.0) -> Mapping[str, float]:
|
|||||||
"ann_return": ann_ret,
|
"ann_return": ann_ret,
|
||||||
"ann_volatility": ann_vol,
|
"ann_volatility": ann_vol,
|
||||||
"sharpe": sharpe_ratio(r, rf),
|
"sharpe": sharpe_ratio(r, rf),
|
||||||
|
"sortino": sortino_ratio(r, rf),
|
||||||
"max_drawdown": mdd,
|
"max_drawdown": mdd,
|
||||||
"calmar": calmar_ratio(r),
|
"calmar": calmar_ratio(r),
|
||||||
"win_rate": win_rate(r),
|
"win_rate": win_rate(r),
|
||||||
|
|||||||
@@ -6,6 +6,7 @@
|
|||||||
from __future__ import annotations
|
from __future__ import annotations
|
||||||
|
|
||||||
from dataclasses import dataclass
|
from dataclasses import dataclass
|
||||||
|
from datetime import date
|
||||||
from typing import Any
|
from typing import Any
|
||||||
|
|
||||||
import numpy as np
|
import numpy as np
|
||||||
@@ -14,6 +15,7 @@ from numpy.typing import NDArray
|
|||||||
|
|
||||||
__all__ = [
|
__all__ = [
|
||||||
"ComponentRiskResult",
|
"ComponentRiskResult",
|
||||||
|
"CovarianceSnapshot",
|
||||||
"component_var",
|
"component_var",
|
||||||
"labeled_component_risk",
|
"labeled_component_risk",
|
||||||
"marginal_risk_contribution",
|
"marginal_risk_contribution",
|
||||||
@@ -21,6 +23,56 @@ __all__ = [
|
|||||||
]
|
]
|
||||||
|
|
||||||
|
|
||||||
|
@dataclass(frozen=True, slots=True, init=False, eq=False)
|
||||||
|
class CovarianceSnapshot:
|
||||||
|
"""Immutable-by-interface covariance input with explicit time semantics."""
|
||||||
|
|
||||||
|
snapshot_id: str
|
||||||
|
as_of_date: date
|
||||||
|
_covariance: pd.DataFrame
|
||||||
|
return_frequency: str
|
||||||
|
periods_per_year: int
|
||||||
|
|
||||||
|
def __init__(
|
||||||
|
self,
|
||||||
|
*,
|
||||||
|
snapshot_id: str,
|
||||||
|
as_of_date: str | date | pd.Timestamp,
|
||||||
|
covariance: pd.DataFrame,
|
||||||
|
return_frequency: str,
|
||||||
|
periods_per_year: int,
|
||||||
|
) -> None:
|
||||||
|
if not isinstance(snapshot_id, str) or not snapshot_id.strip():
|
||||||
|
raise ValueError("snapshot_id must be non-empty")
|
||||||
|
if not isinstance(return_frequency, str) or not return_frequency.strip():
|
||||||
|
raise ValueError("return_frequency must be non-empty")
|
||||||
|
if isinstance(periods_per_year, bool) or not isinstance(periods_per_year, int):
|
||||||
|
raise TypeError("periods_per_year must be an integer")
|
||||||
|
if periods_per_year <= 0:
|
||||||
|
raise ValueError("periods_per_year must be positive")
|
||||||
|
if not isinstance(covariance, pd.DataFrame):
|
||||||
|
raise TypeError("covariance must be a pandas DataFrame")
|
||||||
|
if covariance.empty:
|
||||||
|
raise ValueError("covariance must contain at least one asset")
|
||||||
|
try:
|
||||||
|
normalized_as_of = pd.Timestamp(as_of_date)
|
||||||
|
except (TypeError, ValueError) as error:
|
||||||
|
raise ValueError("as_of_date must be a valid date") from error
|
||||||
|
if pd.isna(normalized_as_of):
|
||||||
|
raise ValueError("as_of_date must be a valid date")
|
||||||
|
|
||||||
|
object.__setattr__(self, "snapshot_id", snapshot_id.strip())
|
||||||
|
object.__setattr__(self, "as_of_date", normalized_as_of.date())
|
||||||
|
object.__setattr__(self, "_covariance", covariance.copy(deep=True))
|
||||||
|
object.__setattr__(self, "return_frequency", return_frequency.strip())
|
||||||
|
object.__setattr__(self, "periods_per_year", periods_per_year)
|
||||||
|
|
||||||
|
@property
|
||||||
|
def covariance(self) -> pd.DataFrame:
|
||||||
|
"""Return an isolated copy so callers cannot mutate the snapshot."""
|
||||||
|
return self._covariance.copy(deep=True)
|
||||||
|
|
||||||
|
|
||||||
@dataclass(frozen=True, slots=True, eq=False)
|
@dataclass(frozen=True, slots=True, eq=False)
|
||||||
class ComponentRiskResult:
|
class ComponentRiskResult:
|
||||||
"""Label-preserving Euler decomposition of portfolio volatility."""
|
"""Label-preserving Euler decomposition of portfolio volatility."""
|
||||||
|
|||||||
@@ -0,0 +1,281 @@
|
|||||||
|
"""Stable research-run artifact contracts for downstream persistence."""
|
||||||
|
|
||||||
|
from __future__ import annotations
|
||||||
|
|
||||||
|
import json
|
||||||
|
from datetime import date
|
||||||
|
|
||||||
|
import pandas as pd
|
||||||
|
import pytest
|
||||||
|
|
||||||
|
from quant_engine.artifact import (
|
||||||
|
RESEARCH_ARTIFACT_SCHEMA_VERSION,
|
||||||
|
ResearchRunArtifact,
|
||||||
|
build_research_run_artifact,
|
||||||
|
)
|
||||||
|
from quant_engine.execution import ExecutionConfig
|
||||||
|
from quant_engine.research_pipeline import FactorBacktestResult, run_factor_backtest_research
|
||||||
|
from quant_engine.risk import CovarianceSnapshot
|
||||||
|
|
||||||
|
|
||||||
|
def _backtest_result() -> FactorBacktestResult:
|
||||||
|
dates = pd.date_range("2026-01-05", periods=4, freq="B")
|
||||||
|
scores = pd.DataFrame(
|
||||||
|
{"A": [2.0, 0.0], "B": [1.0, 3.0]},
|
||||||
|
index=dates[:2],
|
||||||
|
)
|
||||||
|
opens = pd.DataFrame(
|
||||||
|
{"A": [10.0, 10.0, 15.0, 15.0], "B": [20.0, 20.0, 20.0, 21.0]},
|
||||||
|
index=dates,
|
||||||
|
)
|
||||||
|
closes = pd.DataFrame(
|
||||||
|
{"A": [10.0, 12.0, 15.0, 15.0], "B": [20.0, 20.0, 18.0, 21.0]},
|
||||||
|
index=dates,
|
||||||
|
)
|
||||||
|
return run_factor_backtest_research(
|
||||||
|
scores,
|
||||||
|
opens,
|
||||||
|
closes,
|
||||||
|
top_k=1,
|
||||||
|
execution_price_field="open",
|
||||||
|
valuation_price_field="close",
|
||||||
|
initial_cash=1_000.0,
|
||||||
|
config=ExecutionConfig(
|
||||||
|
commission_bps=0,
|
||||||
|
stamp_tax_bps=0,
|
||||||
|
slippage_bps=0,
|
||||||
|
min_trade_amount=0,
|
||||||
|
),
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def _build(
|
||||||
|
result: FactorBacktestResult,
|
||||||
|
*,
|
||||||
|
parameters: dict[str, object] | None = None,
|
||||||
|
risk_snapshots: dict[date, CovarianceSnapshot] | None = None,
|
||||||
|
) -> ResearchRunArtifact:
|
||||||
|
benchmark = pd.Series(
|
||||||
|
[0.0, 0.01, -0.01, 0.02],
|
||||||
|
index=result.returns.index,
|
||||||
|
name="benchmark_return",
|
||||||
|
)
|
||||||
|
return build_research_run_artifact(
|
||||||
|
result,
|
||||||
|
run_id="run-20260105-a",
|
||||||
|
strategy_id="alpha-top1",
|
||||||
|
strategy_name="Alpha Top 1",
|
||||||
|
strategy_version="1.0.0",
|
||||||
|
engine_version="1.2.0",
|
||||||
|
code_revision="3b1ad07",
|
||||||
|
data_snapshot_id="qtdb-pro-20260108-v1",
|
||||||
|
calendar="CN-A",
|
||||||
|
timezone="Asia/Shanghai",
|
||||||
|
started_at="2026-01-08T10:00:00+08:00",
|
||||||
|
finished_at="2026-01-08T10:01:00+08:00",
|
||||||
|
parameters=parameters or {"top_k": 1, "lag_sessions": 1},
|
||||||
|
benchmark_id="000300.SH",
|
||||||
|
benchmark_returns=benchmark,
|
||||||
|
risk_snapshots=risk_snapshots,
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_research_artifact_projects_versioned_queryable_fact_tables() -> None:
|
||||||
|
result = _backtest_result()
|
||||||
|
|
||||||
|
artifact = _build(result)
|
||||||
|
|
||||||
|
assert artifact.schema_version == RESEARCH_ARTIFACT_SCHEMA_VERSION
|
||||||
|
assert artifact.run.loc[0, "run_id"] == "run-20260105-a"
|
||||||
|
assert artifact.run.loc[0, "benchmark_alignment_policy"] == "exact_session_index"
|
||||||
|
assert artifact.nav["run_id"].unique().tolist() == ["run-20260105-a"]
|
||||||
|
assert artifact.nav["pnl_pct"].tolist() == pytest.approx(result.returns.tolist())
|
||||||
|
assert artifact.nav["benchmark_return"].tolist() == pytest.approx(
|
||||||
|
[0.0, 0.01, -0.01, 0.02]
|
||||||
|
)
|
||||||
|
assert artifact.signals.columns.tolist() == [
|
||||||
|
"run_id",
|
||||||
|
"signal_date",
|
||||||
|
"execution_date",
|
||||||
|
"asset_id",
|
||||||
|
"factor_score",
|
||||||
|
"target_weight",
|
||||||
|
]
|
||||||
|
first_signal = artifact.signals[
|
||||||
|
artifact.signals["signal_date"] == result.factor_scores.index[0].date()
|
||||||
|
]
|
||||||
|
assert first_signal.set_index("asset_id").loc["A", "factor_score"] == 2.0
|
||||||
|
assert first_signal.set_index("asset_id").loc["A", "target_weight"] == 1.0
|
||||||
|
assert first_signal["execution_date"].unique().tolist() == [
|
||||||
|
result.schedule.signal_to_execution.iloc[0].date()
|
||||||
|
]
|
||||||
|
assert set(artifact.trades["side"]) == {"buy", "sell"}
|
||||||
|
assert artifact.trades["trade_id"].is_unique
|
||||||
|
assert artifact.trades["trade_id"].str.startswith("run-20260105-a:").all()
|
||||||
|
assert artifact.trades["signal_id"].str.startswith("run-20260105-a:signal:").all()
|
||||||
|
assert {"security", "cash"}.issubset(set(artifact.positions["asset_type"]))
|
||||||
|
assert artifact.positions.groupby("trade_date")["weight"].sum().tolist() == pytest.approx(
|
||||||
|
[1.0, 1.0, 1.0, 1.0]
|
||||||
|
)
|
||||||
|
assert set(artifact.attribution.columns) == {
|
||||||
|
"run_id",
|
||||||
|
"trade_date",
|
||||||
|
"asset_id",
|
||||||
|
"overnight",
|
||||||
|
"intraday",
|
||||||
|
"asset_total",
|
||||||
|
}
|
||||||
|
assert artifact.attribution_daily["residual"].abs().max() < 1e-12
|
||||||
|
assert artifact.risk.empty
|
||||||
|
assert artifact.risk.columns.tolist() == [
|
||||||
|
"run_id",
|
||||||
|
"trade_date",
|
||||||
|
"asset_id",
|
||||||
|
"weight",
|
||||||
|
"marginal_risk",
|
||||||
|
"component_risk",
|
||||||
|
"risk_contribution",
|
||||||
|
"covariance_snapshot_id",
|
||||||
|
"covariance_as_of_date",
|
||||||
|
"risk_measure",
|
||||||
|
"return_frequency",
|
||||||
|
"periods_per_year",
|
||||||
|
]
|
||||||
|
assert artifact.performance.loc[0, "n_trades"] == len(artifact.trades)
|
||||||
|
assert artifact.performance.loc[0, "ir"] == pytest.approx(
|
||||||
|
result.benchmark_stats(pd.Series([0.0, 0.01, -0.01, 0.02], index=result.returns.index))[
|
||||||
|
"information_ratio"
|
||||||
|
]
|
||||||
|
)
|
||||||
|
assert "sortino" in artifact.performance.columns
|
||||||
|
|
||||||
|
|
||||||
|
def test_research_artifact_projects_annualized_risk_from_actual_positions() -> None:
|
||||||
|
result = _backtest_result()
|
||||||
|
trade_date = result.position_weights.index[-1].date()
|
||||||
|
covariance = pd.DataFrame(
|
||||||
|
[[0.0001, 0.00002], [0.00002, 0.0004]],
|
||||||
|
index=["A", "B"],
|
||||||
|
columns=["A", "B"],
|
||||||
|
)
|
||||||
|
snapshot = CovarianceSnapshot(
|
||||||
|
snapshot_id="cov-20260107-v1",
|
||||||
|
as_of_date="2026-01-07",
|
||||||
|
covariance=covariance,
|
||||||
|
return_frequency="1d",
|
||||||
|
periods_per_year=252,
|
||||||
|
)
|
||||||
|
|
||||||
|
artifact = _build(result, risk_snapshots={trade_date: snapshot})
|
||||||
|
|
||||||
|
risk = artifact.risk.set_index("asset_id")
|
||||||
|
expected_weights = result.position_weights.loc[pd.Timestamp(trade_date)]
|
||||||
|
assert artifact.schema_version == "1.1.0"
|
||||||
|
assert risk.index.tolist() == ["A", "B"]
|
||||||
|
assert risk["weight"].tolist() == pytest.approx(expected_weights.tolist())
|
||||||
|
assert risk["covariance_snapshot_id"].unique().tolist() == ["cov-20260107-v1"]
|
||||||
|
assert risk["covariance_as_of_date"].unique().tolist() == [date(2026, 1, 7)]
|
||||||
|
assert risk["risk_measure"].unique().tolist() == ["annualized_volatility"]
|
||||||
|
assert risk["return_frequency"].unique().tolist() == ["1d"]
|
||||||
|
assert risk["periods_per_year"].unique().tolist() == [252]
|
||||||
|
assert risk["component_risk"].sum() == pytest.approx((0.0004 * 252) ** 0.5)
|
||||||
|
assert risk["risk_contribution"].sum() == pytest.approx(1.0)
|
||||||
|
|
||||||
|
|
||||||
|
def test_research_artifact_rejects_future_or_misaligned_risk_snapshots() -> None:
|
||||||
|
result = _backtest_result()
|
||||||
|
trade_date = result.position_weights.index[-1].date()
|
||||||
|
covariance = pd.DataFrame(
|
||||||
|
[[0.0001, 0.0], [0.0, 0.0004]],
|
||||||
|
index=["A", "B"],
|
||||||
|
columns=["A", "B"],
|
||||||
|
)
|
||||||
|
|
||||||
|
with pytest.raises(ValueError, match="must not be after trade date"):
|
||||||
|
_build(
|
||||||
|
result,
|
||||||
|
risk_snapshots={
|
||||||
|
trade_date: CovarianceSnapshot(
|
||||||
|
snapshot_id="future-covariance",
|
||||||
|
as_of_date="2026-01-09",
|
||||||
|
covariance=covariance,
|
||||||
|
return_frequency="1d",
|
||||||
|
periods_per_year=252,
|
||||||
|
)
|
||||||
|
},
|
||||||
|
)
|
||||||
|
|
||||||
|
with pytest.raises(ValueError, match="same asset labels"):
|
||||||
|
_build(
|
||||||
|
result,
|
||||||
|
risk_snapshots={
|
||||||
|
trade_date: CovarianceSnapshot(
|
||||||
|
snapshot_id="incomplete-universe",
|
||||||
|
as_of_date="2026-01-07",
|
||||||
|
covariance=covariance.loc[["B"], ["B"]],
|
||||||
|
return_frequency="1d",
|
||||||
|
periods_per_year=252,
|
||||||
|
)
|
||||||
|
},
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_research_artifact_serialization_and_hashes_are_deterministic() -> None:
|
||||||
|
result = _backtest_result()
|
||||||
|
first = _build(result, parameters={"top_k": 1, "lag_sessions": 1})
|
||||||
|
second = _build(result, parameters={"lag_sessions": 1, "top_k": 1})
|
||||||
|
|
||||||
|
assert first.run.loc[0, "config_hash"] == second.run.loc[0, "config_hash"]
|
||||||
|
assert first.content_sha256 == second.content_sha256
|
||||||
|
assert first.manifest() == second.manifest()
|
||||||
|
decoded = json.loads(first.canonical_json())
|
||||||
|
assert decoded["schema_version"] == RESEARCH_ARTIFACT_SCHEMA_VERSION
|
||||||
|
assert decoded["tables"]["nav"][0]["trade_date"] == "2026-01-05"
|
||||||
|
|
||||||
|
leaked_copy = first.nav
|
||||||
|
leaked_copy.loc[0, "nav"] = -999.0
|
||||||
|
assert first.nav.loc[0, "nav"] != -999.0
|
||||||
|
assert first.content_sha256 == second.content_sha256
|
||||||
|
|
||||||
|
|
||||||
|
def test_research_artifact_requires_complete_reproducibility_identity() -> None:
|
||||||
|
result = _backtest_result()
|
||||||
|
|
||||||
|
with pytest.raises(ValueError, match="code_revision"):
|
||||||
|
build_research_run_artifact(
|
||||||
|
result,
|
||||||
|
run_id="run-1",
|
||||||
|
strategy_id="alpha-top1",
|
||||||
|
strategy_name="Alpha Top 1",
|
||||||
|
strategy_version="1.0.0",
|
||||||
|
engine_version="1.2.0",
|
||||||
|
code_revision="",
|
||||||
|
data_snapshot_id="snapshot-1",
|
||||||
|
calendar="CN-A",
|
||||||
|
timezone="Asia/Shanghai",
|
||||||
|
started_at="2026-01-08T10:00:00+08:00",
|
||||||
|
finished_at="2026-01-08T10:01:00+08:00",
|
||||||
|
parameters={},
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_research_artifact_requires_benchmark_identity_and_returns_together() -> None:
|
||||||
|
result = _backtest_result()
|
||||||
|
|
||||||
|
with pytest.raises(ValueError, match="benchmark_id and benchmark_returns"):
|
||||||
|
build_research_run_artifact(
|
||||||
|
result,
|
||||||
|
run_id="run-1",
|
||||||
|
strategy_id="alpha-top1",
|
||||||
|
strategy_name="Alpha Top 1",
|
||||||
|
strategy_version="1.0.0",
|
||||||
|
engine_version="1.2.0",
|
||||||
|
code_revision="3b1ad07",
|
||||||
|
data_snapshot_id="snapshot-1",
|
||||||
|
calendar="CN-A",
|
||||||
|
timezone="Asia/Shanghai",
|
||||||
|
started_at="2026-01-08T10:00:00+08:00",
|
||||||
|
finished_at="2026-01-08T10:01:00+08:00",
|
||||||
|
parameters={},
|
||||||
|
benchmark_id="000300.SH",
|
||||||
|
)
|
||||||
+23
-1
@@ -14,6 +14,7 @@ from quant_engine.metrics import (
|
|||||||
calmar_ratio,
|
calmar_ratio,
|
||||||
max_drawdown,
|
max_drawdown,
|
||||||
sharpe_ratio,
|
sharpe_ratio,
|
||||||
|
sortino_ratio,
|
||||||
summary,
|
summary,
|
||||||
win_rate,
|
win_rate,
|
||||||
)
|
)
|
||||||
@@ -48,9 +49,22 @@ def test_zero_volatility_metrics_return_zero() -> None:
|
|||||||
returns = pd.Series([0.0, 0.0, 0.0])
|
returns = pd.Series([0.0, 0.0, 0.0])
|
||||||
|
|
||||||
assert sharpe_ratio(returns) == 0.0
|
assert sharpe_ratio(returns) == 0.0
|
||||||
|
assert sortino_ratio(returns) == 0.0
|
||||||
assert calmar_ratio(returns) == 0.0
|
assert calmar_ratio(returns) == 0.0
|
||||||
|
|
||||||
|
|
||||||
|
def test_sortino_ratio_uses_all_sessions_for_downside_deviation() -> None:
|
||||||
|
returns = pd.Series([0.02, -0.01, 0.0, -0.03])
|
||||||
|
downside = np.minimum(returns.to_numpy(), 0.0)
|
||||||
|
downside_deviation = np.sqrt(np.mean(np.square(downside))) * np.sqrt(
|
||||||
|
TRADING_DAYS_PER_YEAR
|
||||||
|
)
|
||||||
|
|
||||||
|
assert sortino_ratio(returns) == pytest.approx(
|
||||||
|
annualized_return(returns) / downside_deviation
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
def test_max_drawdown_includes_loss_from_initial_capital() -> None:
|
def test_max_drawdown_includes_loss_from_initial_capital() -> None:
|
||||||
returns = pd.Series([-0.20, 0.0])
|
returns = pd.Series([-0.20, 0.0])
|
||||||
|
|
||||||
@@ -80,7 +94,15 @@ def test_summary_aliases_match_canonical_fields() -> None:
|
|||||||
|
|
||||||
@pytest.mark.parametrize(
|
@pytest.mark.parametrize(
|
||||||
"metric",
|
"metric",
|
||||||
[annualized_return, annualized_volatility, sharpe_ratio, max_drawdown, calmar_ratio, win_rate],
|
[
|
||||||
|
annualized_return,
|
||||||
|
annualized_volatility,
|
||||||
|
sharpe_ratio,
|
||||||
|
sortino_ratio,
|
||||||
|
max_drawdown,
|
||||||
|
calmar_ratio,
|
||||||
|
win_rate,
|
||||||
|
],
|
||||||
)
|
)
|
||||||
def test_metrics_reject_non_series_input(metric) -> None:
|
def test_metrics_reject_non_series_input(metric) -> None:
|
||||||
with pytest.raises(TypeError, match=r"expected pd\.Series"):
|
with pytest.raises(TypeError, match=r"expected pd\.Series"):
|
||||||
|
|||||||
@@ -8,6 +8,7 @@ import pytest
|
|||||||
|
|
||||||
from quant_engine.risk import (
|
from quant_engine.risk import (
|
||||||
ComponentRiskResult,
|
ComponentRiskResult,
|
||||||
|
CovarianceSnapshot,
|
||||||
component_var,
|
component_var,
|
||||||
labeled_component_risk,
|
labeled_component_risk,
|
||||||
marginal_risk_contribution,
|
marginal_risk_contribution,
|
||||||
@@ -15,6 +16,54 @@ from quant_engine.risk import (
|
|||||||
)
|
)
|
||||||
|
|
||||||
|
|
||||||
|
def test_covariance_snapshot_is_validated_and_immutable_by_interface() -> None:
|
||||||
|
covariance = pd.DataFrame(
|
||||||
|
[[0.04, 0.01], [0.01, 0.09]],
|
||||||
|
index=["A", "B"],
|
||||||
|
columns=["A", "B"],
|
||||||
|
)
|
||||||
|
snapshot = CovarianceSnapshot(
|
||||||
|
snapshot_id="cov-20260107-v1",
|
||||||
|
as_of_date="2026-01-07",
|
||||||
|
covariance=covariance,
|
||||||
|
return_frequency="1d",
|
||||||
|
periods_per_year=252,
|
||||||
|
)
|
||||||
|
|
||||||
|
covariance.loc["A", "A"] = 999.0
|
||||||
|
leaked_copy = snapshot.covariance
|
||||||
|
leaked_copy.loc["B", "B"] = 999.0
|
||||||
|
|
||||||
|
assert snapshot.as_of_date == pd.Timestamp("2026-01-07").date()
|
||||||
|
assert snapshot.covariance.loc["A", "A"] == pytest.approx(0.04)
|
||||||
|
assert snapshot.covariance.loc["B", "B"] == pytest.approx(0.09)
|
||||||
|
|
||||||
|
|
||||||
|
@pytest.mark.parametrize(
|
||||||
|
("kwargs", "message"),
|
||||||
|
[
|
||||||
|
({"snapshot_id": ""}, "snapshot_id"),
|
||||||
|
({"return_frequency": ""}, "return_frequency"),
|
||||||
|
({"periods_per_year": 0}, "periods_per_year"),
|
||||||
|
],
|
||||||
|
)
|
||||||
|
def test_covariance_snapshot_rejects_incomplete_identity(
|
||||||
|
kwargs: dict[str, object],
|
||||||
|
message: str,
|
||||||
|
) -> None:
|
||||||
|
values: dict[str, object] = {
|
||||||
|
"snapshot_id": "cov-20260107-v1",
|
||||||
|
"as_of_date": "2026-01-07",
|
||||||
|
"covariance": pd.DataFrame([[0.04]], index=["A"], columns=["A"]),
|
||||||
|
"return_frequency": "1d",
|
||||||
|
"periods_per_year": 252,
|
||||||
|
}
|
||||||
|
values.update(kwargs)
|
||||||
|
|
||||||
|
with pytest.raises((TypeError, ValueError), match=message):
|
||||||
|
CovarianceSnapshot(**values)
|
||||||
|
|
||||||
|
|
||||||
def test_risk_contribution_sums_to_one_for_positive_portfolio_variance() -> None:
|
def test_risk_contribution_sums_to_one_for_positive_portfolio_variance() -> None:
|
||||||
weights = np.array([0.5, 0.5])
|
weights = np.array([0.5, 0.5])
|
||||||
covariance = np.diag([1.0, 4.0])
|
covariance = np.diag([1.0, 4.0])
|
||||||
|
|||||||
Reference in New Issue
Block a user