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@@ -10,7 +10,7 @@
| 仓库 | 角色 |
|---|---|
| `quant_engine` | **纯回测核心**(alpha + execution + indicators + data_adapter + backtest + metrics) |
| `quant_engine` | **纯研究核心**(alpha + execution + ledger + attribution + risk + metrics) |
| `research_results` | 业务集成(47 个 proj 调度 + 注册 + 平台对接) |
| `tushare2db_pro_aoge` | 数据层(行情 ELT) |
| `research_platform` | 展示层(FastAPI + Next.js) |
@@ -25,10 +25,11 @@
- `backtest` — weight-based 多日仿真(rebalance_table / compute_nav / compare_to_benchmark)
- `portfolio_construction` — 多期因子分数 → Top-K → 等权目标权重表
- `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)
- `metrics` — 绩效(年化收益 / 波动率 / Sharpe / 最大回撤 / Calmar)
- `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
- `metrics` — 绝对绩效 + 严格日期对齐的 TE / IR / alpha / beta 基准相对绩效
- `factor_library` — 通用方法(turnover / winsorize / IC / OLS / jb_test)
- `portfolio_decomp` — 组合分解(risk_parity / mean_variance / 因子归因)
- `risk` — 风险指标(边际 / 风险贡献)
- `risk` — ndarray 低层风险公式 + 标签安全、可分组的 Euler 成分风险分解
- `perf_stats` — 详细绩效(与 metrics 并存)
- `logging` — 统一 logger(标准库 + 可选 loguru)
@@ -123,6 +124,17 @@ print(factor_backtest.returns)
print(factor_backtest.stats())
print(factor_backtest.execution.ledger_frame)
print(factor_backtest.execution.trades_frame)
print(factor_backtest.position_weights) # 实际日末资产权重
print(factor_backtest.cash_weights)
# 所有分析都以实际成交后的 Ledger 为事实源,不直接使用目标权重伪造结果。
attribution = factor_backtest.return_attribution()
print(attribution.asset_contributions)
print(attribution.transaction_cost)
print(attribution.residual) # 应接近 0;否则说明贡献未闭合到账本收益
# benchmark_returns 必须与成本后 factor_backtest.returns 使用完全相同的日期索引。
print(factor_backtest.benchmark_stats(benchmark_returns))
# 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。
# 不要把 signal-date 的 factor_scores/decision_weights 直接传给它。
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@@ -0,0 +1,24 @@
# Open-source design references
本项目采用“借鉴稳定语义、保留轻量实现”的策略。引入新量化能力前先检查成熟
开源案例;除非维护成本和许可证收益明确优于本地小型实现,否则不增加框架级依赖。
## 2026-08-21:成交后归因与相对绩效
| 项目 | 借鉴内容 | 当前决策 |
|---|---|---|
| [Qlib](https://github.com/microsoft/qlib) | 信号时间与交易时间分离、成本前后超额收益分开报告 | 借鉴语义;不引入完整框架 |
| [Zipline](https://github.com/quantopian/zipline) | Ledger / transaction / portfolio value 状态模型 | 以现有 `ExecutionSimulationResult` 承担事实源 |
| [empyrical](https://github.com/quantopian/empyrical) | beta 协方差口径、alpha 几何年化、年化因子 | 移植小型公式;不增加老旧运行时依赖 |
| [Riskfolio-Lib](https://github.com/dcajasn/Riskfolio-Lib) | Euler component risk 与分组/因子风险贡献 | 只实现当前需要的 pandas/numpy 标签安全封装 |
| [PyPortfolioOpt](https://github.com/PyPortfolio/PyPortfolioOpt) | 协方差估计与优化器解耦 | 留作未来风险模型适配器参考 |
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
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。
## hikyuu 的定位
[hikyuu](https://github.com/fasiondog/hikyuu) 的 SG / MM / CN / PG 部件化思想、
A 股交易约束和系统组合方式仍有借鉴价值;但其完整 C++/Python 运行时、对象模型和
数据体系不适合作为本项目核心依赖。当前原则是按真实研究链路吸收边界设计,不复制
其框架层级,也不为了“架构完整”预先建设尚无端到端需求的抽象。
@@ -0,0 +1,42 @@
# Ledger-backed attribution handoff
## Goal
在 `ExecutionSimulationResult` 日频 Ledger 之上增加轻量、可审计的成交后分析层:
- 逐日隔夜 / 日内资产收益贡献;
- 佣金、印花税、滑点成本独立贡献;
- 贡献闭合到成本后日收益并显式暴露 residual;
- 严格日期对齐的 TE / IR / alpha / beta;
- 标签安全且可分组的 Euler component risk。
- 从 Ledger 股数和收盘估值投影的实际资产 / 现金权重。
## Branch stack
- 当前:`codex/ledger-attribution-20260821`
- 基线:`codex/post-execution-ledger-20260821`
- 再下层:`codex/core-contracts-20260821`(PR #2,尚待用户确认合并)
本分支不得直接合并到 `main`。应按上述顺序逐层审阅;未经用户明确确认,不得合并
L2 PR。
## Open-source decision
调研结论记录在 `docs/OPEN_SOURCE_REFERENCES.md`。Qlib、Zipline、empyrical、
Riskfolio-Lib 和 PyPortfolioOpt 只作为时间语义、Ledger、相对指标与 Euler 风险贡献
的设计参考;本阶段没有新增运行时依赖。
## Verification
- `pytest -q --cov=src --cov-report=term-missing`: 514 passed,9 个既有 SciPy warning,91% coverage;
- `mypy --strict src/`: 15 source files passed;
- 变更范围 `ruff check`: passed;
- 全仓 Ruff:仅 13 个既有 `tests/governance/*` PT009;
- workspace verify/status:passed,预期提示 quant_engine 非 main;
- global Gitea workflow check:passed,23 个无关仓库 warning。
## Next action
先按堆叠顺序审阅 PR。基础 Ledger 分支完成后,再将本分支 rebase 到其最终提交,
运行唯一一次 `ship --ready`;随后将稳定输出适配到 `research_results` 与
`research_platform`,不要在核心层直接写数据库。
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@@ -0,0 +1,141 @@
"""Post-execution daily return attribution derived from the portfolio ledger.
The ledger is the source of truth: previous-close holdings explain overnight
PnL, current-close holdings explain intraday PnL, and actual execution costs
remain a separate contribution. Target weights and factor scores are not
accepted here because they are intentions rather than realized positions.
"""
from __future__ import annotations
import math
from dataclasses import dataclass
import pandas as pd
from quant_engine.execution import ExecutionSimulationResult
__all__ = ["DailyReturnAttribution", "compute_daily_return_attribution"]
@dataclass(frozen=True, slots=True, eq=False)
class DailyReturnAttribution:
"""Auditable decomposition of each net portfolio return."""
overnight: pd.DataFrame
intraday: pd.DataFrame
transaction_cost: pd.Series
residual: pd.Series
total_return: pd.Series
@property
def asset_contributions(self) -> pd.DataFrame:
"""Return the combined overnight and intraday contribution by asset."""
return self.overnight + self.intraday
@property
def explained_return(self) -> pd.Series:
"""Return asset contributions plus execution costs, before residual."""
explained = self.asset_contributions.sum(axis=1) + self.transaction_cost
return explained.rename("explained_return")
def _validate_prices(
execution: ExecutionSimulationResult,
execution_prices: pd.DataFrame,
valuation_prices: pd.DataFrame,
) -> pd.DatetimeIndex:
if not isinstance(execution_prices, pd.DataFrame):
raise TypeError("execution_prices must be a pandas DataFrame")
if not isinstance(valuation_prices, pd.DataFrame):
raise TypeError("valuation_prices must be a pandas DataFrame")
if not isinstance(execution_prices.index, pd.DatetimeIndex):
raise TypeError("execution_prices must use a DatetimeIndex")
if not execution_prices.index.equals(valuation_prices.index):
raise ValueError("execution and valuation prices must use matching trading calendars")
if not execution_prices.columns.equals(valuation_prices.columns):
raise ValueError("execution and valuation prices must use matching asset labels")
ledger_index = pd.DatetimeIndex(pd.Timestamp(position.date) for position in execution.positions)
if not ledger_index.equals(execution_prices.index):
raise ValueError("ledger and price histories must use matching trading calendars")
if len(execution.positions) != len(execution.daily_executions):
raise ValueError("ledger positions and executions must have matching lengths")
return execution_prices.index.copy()
def _price_for_held_asset(
prices: pd.DataFrame,
date: pd.Timestamp,
asset: str,
stage: str,
) -> float:
if asset not in prices.columns:
raise ValueError(f"missing {stage} price for held asset {asset} on {date}")
price = float(prices.at[date, asset])
if not math.isfinite(price) or price <= 0:
raise ValueError(f"invalid {stage} price for held asset {asset} on {date}")
return price
def compute_daily_return_attribution(
execution: ExecutionSimulationResult,
execution_prices: pd.DataFrame,
valuation_prices: pd.DataFrame,
) -> DailyReturnAttribution:
"""Decompose net daily returns using realized pre/post-execution holdings.
For each session, previous-close shares earn the move from the previous
close to the current execution price; current-close shares earn the move
from execution price to current close. Actual commissions, stamp tax and
slippage are divided by the same previous NAV denominator. ``residual``
exposes any failure of those components to close to the ledger return.
"""
index = _validate_prices(execution, execution_prices, valuation_prices)
columns = execution_prices.columns.copy()
overnight = pd.DataFrame(0.0, index=index.copy(), columns=columns)
intraday = pd.DataFrame(0.0, index=index.copy(), columns=columns)
cost = pd.Series(0.0, index=index.copy(), name="transaction_cost")
previous_holdings: dict[str, float] = {}
previous_nav = execution.initial_cash
for row_number, (date, position, daily) in enumerate(
zip(index, execution.positions, execution.daily_executions, strict=True)
):
if previous_nav <= 0 or not math.isfinite(previous_nav):
raise ValueError(f"previous portfolio value must be positive and finite on {date}")
for asset, shares in previous_holdings.items():
execution_price = _price_for_held_asset(
execution_prices, date, asset, "execution"
)
previous_close = _price_for_held_asset(
valuation_prices, index[row_number - 1], asset, "previous valuation"
)
overnight.at[date, asset] = shares * (execution_price - previous_close) / previous_nav
for asset, shares in position.holdings.items():
execution_price = _price_for_held_asset(
execution_prices, date, asset, "execution"
)
close_price = _price_for_held_asset(valuation_prices, date, asset, "valuation")
intraday.at[date, asset] = shares * (close_price - execution_price) / previous_nav
cost.at[date] = -sum(item.total_cost for item in daily.executions) / previous_nav
previous_holdings = position.holdings
previous_nav = position.portfolio_value
total_return = pd.Series(
execution.daily_returns.to_numpy(copy=True),
index=index.copy(),
name="total_return",
)
explained = (overnight + intraday).sum(axis=1) + cost
residual = (total_return - explained).rename("residual")
return DailyReturnAttribution(
overnight=overnight,
intraday=intraday,
transaction_cost=cost,
residual=residual,
total_return=total_return,
)
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@@ -130,6 +130,62 @@ def summary(r: pd.Series, rf: float = 0.0) -> Mapping[str, float]:
}
def benchmark_summary(
portfolio_returns: pd.Series,
benchmark_returns: pd.Series,
*,
risk_free_daily: float = 0.0,
annualization: int = TRADING_DAYS_PER_YEAR,
) -> Mapping[str, float]:
"""计算成本后组合相对基准的严格对齐绩效。
与通用 ``summary`` 不同,本函数拒绝静默清洗或日期 inner join。alpha
使用日频回归截距的几何年化;基准方差不足时 alpha/beta 为 NaN,明确
表示回归不可估计。
"""
portfolio, benchmark = _validate_benchmark_inputs(
portfolio_returns,
benchmark_returns,
)
if isinstance(annualization, bool) or not isinstance(annualization, int):
raise TypeError("annualization must be an integer")
if annualization <= 0:
raise ValueError("annualization must be positive")
if not np.isfinite(risk_free_daily):
raise ValueError("risk_free_daily must be finite")
active = portfolio - benchmark
active_std = float(active.std())
tracking_error = active_std * float(np.sqrt(annualization))
information_ratio = (
float(active.mean()) / active_std * float(np.sqrt(annualization))
if active_std >= 1e-30
else float("nan")
)
adjusted_portfolio = portfolio - risk_free_daily
adjusted_benchmark = benchmark - risk_free_daily
benchmark_variance = float(adjusted_benchmark.var())
if benchmark_variance < 1e-30:
beta = float("nan")
alpha = float("nan")
else:
beta = float(adjusted_portfolio.cov(adjusted_benchmark) / benchmark_variance)
alpha_daily = float((adjusted_portfolio - beta * adjusted_benchmark).mean())
alpha = (
float((1.0 + alpha_daily) ** annualization - 1.0)
if alpha_daily > -1.0
else float("nan")
)
return {
"n_observations": len(portfolio),
"tracking_error": tracking_error,
"information_ratio": information_ratio,
"alpha": alpha,
"beta": beta,
}
# ── 内部 ──────────────────────────────────────
@@ -138,3 +194,29 @@ def _clean(r: pd.Series) -> pd.Series:
if not isinstance(r, pd.Series):
raise TypeError(f"expected pd.Series, got {type(r).__name__}")
return r.replace([np.inf, -np.inf], np.nan).dropna()
def _validate_benchmark_inputs(
portfolio_returns: pd.Series,
benchmark_returns: pd.Series,
) -> tuple[pd.Series, pd.Series]:
if not isinstance(portfolio_returns, pd.Series):
raise TypeError("portfolio_returns must be a pandas Series")
if not isinstance(benchmark_returns, pd.Series):
raise TypeError("benchmark_returns must be a pandas Series")
if not portfolio_returns.index.equals(benchmark_returns.index):
raise ValueError("portfolio and benchmark returns must use matching indexes")
if not portfolio_returns.index.is_unique:
raise ValueError("portfolio and benchmark indexes must be unique")
if len(portfolio_returns) < 2:
raise ValueError("benchmark metrics require at least two observations")
portfolio = portfolio_returns.astype(float, copy=True)
benchmark = benchmark_returns.astype(float, copy=True)
if not np.isfinite(portfolio.to_numpy()).all() or not np.isfinite(
benchmark.to_numpy()
).all():
raise ValueError("portfolio and benchmark returns must be finite")
if (portfolio < -1.0).any() or (benchmark < -1.0).any():
raise ValueError("simple returns cannot be less than -1")
return portfolio, benchmark
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@@ -16,13 +16,14 @@ import numpy as np
import pandas as pd
from pandas.api.types import is_numeric_dtype
from quant_engine.attribution import DailyReturnAttribution, compute_daily_return_attribution
from quant_engine.execution import (
ExecutionConfig,
ExecutionSimulationResult,
simulate_daily_ledger_with_audit,
simulate_multi_day_with_audit,
)
from quant_engine.metrics import summary as metrics_summary
from quant_engine.metrics import benchmark_summary, summary as metrics_summary
from quant_engine.portfolio_construction import scores_to_weight_table
__all__ = [
@@ -86,10 +87,63 @@ class FactorBacktestResult:
name="returns",
)
@property
def position_weights(self) -> pd.DataFrame:
"""按日末实际股数、收盘估值和账本 NAV 投影资产权重。"""
weights = pd.DataFrame(
0.0,
index=self.valuation_prices.index.copy(),
columns=self.valuation_prices.columns.copy(),
)
for date, position in zip(
self.valuation_prices.index,
self.execution.positions,
strict=True,
):
if position.portfolio_value <= 0:
raise ValueError(f"portfolio value must be positive on {date}")
for asset, shares in position.holdings.items():
weights.at[date, asset] = (
shares * float(self.valuation_prices.at[date, asset])
/ position.portfolio_value
)
return weights
@property
def cash_weights(self) -> pd.Series:
"""返回与实际资产权重使用同一日末 NAV 分母的现金权重。"""
values = []
for date, position in zip(
self.valuation_prices.index,
self.execution.positions,
strict=True,
):
if position.portfolio_value <= 0:
raise ValueError(f"portfolio value must be positive on {date}")
values.append(position.cash / position.portfolio_value)
return pd.Series(
values,
index=self.valuation_prices.index.copy(),
dtype=float,
name="cash_weight",
)
def stats(self, rf: float = 0.0) -> Mapping[str, float]:
"""复用标准绩效口径计算指标。"""
return metrics_summary(self.returns, rf)
def return_attribution(self) -> DailyReturnAttribution:
"""从实际成交后持仓与账本生成逐日净收益归因。"""
return compute_daily_return_attribution(
self.execution,
self.execution_prices,
self.valuation_prices,
)
def benchmark_stats(self, benchmark_returns: pd.Series) -> Mapping[str, float]:
"""计算成本后日收益相对同日基准的 TE、IR、alpha 与 beta。"""
return benchmark_summary(self.returns, benchmark_returns)
def _validate_datetime_index(index: pd.Index, name: str) -> pd.DatetimeIndex:
if not isinstance(index, pd.DatetimeIndex):
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@@ -5,11 +5,48 @@
from __future__ import annotations
from dataclasses import dataclass
from typing import Any
import numpy as np
import pandas as pd
from numpy.typing import NDArray
__all__ = [
"ComponentRiskResult",
"component_var",
"labeled_component_risk",
"marginal_risk_contribution",
"risk_contribution",
]
@dataclass(frozen=True, slots=True, eq=False)
class ComponentRiskResult:
"""Label-preserving Euler decomposition of portfolio volatility."""
portfolio_volatility: float
marginal: pd.Series
component: pd.Series
percentage: pd.Series
def grouped_component(self, groups: pd.Series) -> pd.Series:
"""Aggregate asset component risk by an explicitly aligned label series."""
if not isinstance(groups, pd.Series):
raise TypeError("groups must be a pandas Series")
if not groups.index.is_unique:
raise ValueError("groups must contain unique asset labels")
if not self.component.index.difference(groups.index).empty or not groups.index.difference(
self.component.index
).empty:
raise ValueError("groups and component risk must use the same asset labels")
aligned = groups.reindex(self.component.index)
if aligned.isna().any():
raise ValueError("groups must contain a non-missing label for every asset")
grouped = self.component.groupby(aligned, sort=True).sum()
grouped.name = "component_risk"
return grouped
def _validate_inputs(weights: NDArray[Any], cov: NDArray[Any]) -> tuple[NDArray[Any], NDArray[Any]]:
"""Normalize a portfolio vector and its covariance matrix."""
@@ -59,3 +96,70 @@ def component_var(weights: NDArray[Any], cov: NDArray[Any]) -> NDArray[Any]:
"""成分方差: w_i · (Σw)_i; 与 RC 的关系 RC_i = CV_i / w'Σw。"""
w, cov = _validate_inputs(weights, cov)
return w * (cov @ w) # type: ignore[no-any-return]
def labeled_component_risk(
weights: pd.Series,
covariance: pd.DataFrame,
) -> ComponentRiskResult:
"""Return a label-safe Euler decomposition that sums to portfolio volatility.
The covariance matrix may use a different asset order, but its row and
column label sets must exactly match ``weights``. Invalid or indefinite
covariance input is rejected instead of silently producing misleading risk
percentages.
"""
if not isinstance(weights, pd.Series):
raise TypeError("weights must be a pandas Series")
if not isinstance(covariance, pd.DataFrame):
raise TypeError("covariance must be a pandas DataFrame")
if weights.empty:
raise ValueError("weights must contain at least one asset")
if not weights.index.is_unique:
raise ValueError("weights must contain unique asset labels")
if not covariance.index.is_unique or not covariance.columns.is_unique:
raise ValueError("covariance must contain unique asset labels")
if not weights.index.difference(covariance.index).empty or not covariance.index.difference(
weights.index
).empty:
raise ValueError("weights and covariance must use the same asset labels")
if not weights.index.difference(covariance.columns).empty or not covariance.columns.difference(
weights.index
).empty:
raise ValueError("weights and covariance must use the same asset labels")
aligned_weights = weights.astype(float, copy=True)
aligned_covariance = covariance.reindex(
index=weights.index,
columns=weights.index,
).astype(float, copy=True)
weight_values = aligned_weights.to_numpy()
covariance_values = aligned_covariance.to_numpy()
if not np.isfinite(weight_values).all():
raise ValueError("weights must be finite")
if not np.isfinite(covariance_values).all():
raise ValueError("covariance must be finite")
if not np.allclose(covariance_values, covariance_values.T, rtol=1e-10, atol=1e-12):
raise ValueError("covariance must be symmetric")
eigenvalues = np.linalg.eigvalsh(covariance_values)
scale = max(1.0, float(np.max(np.abs(eigenvalues))))
if float(eigenvalues.min()) < -1e-10 * scale:
raise ValueError("covariance must be positive semidefinite")
portfolio_variance = float(weight_values @ covariance_values @ weight_values)
if portfolio_variance <= 0 or not np.isfinite(portfolio_variance):
raise ValueError("weights and covariance must produce positive portfolio variance")
portfolio_volatility = float(np.sqrt(portfolio_variance))
marginal_values = covariance_values @ weight_values / portfolio_volatility
component_values = weight_values * marginal_values
percentage_values = component_values / portfolio_volatility
return ComponentRiskResult(
portfolio_volatility=portfolio_volatility,
marginal=pd.Series(marginal_values, index=weights.index.copy(), name="marginal_risk"),
component=pd.Series(component_values, index=weights.index.copy(), name="component_risk"),
percentage=pd.Series(
percentage_values,
index=weights.index.copy(),
name="risk_contribution",
),
)
+118
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@@ -0,0 +1,118 @@
"""Post-execution return attribution contracts."""
from __future__ import annotations
import pandas as pd
import pytest
from quant_engine.attribution import DailyReturnAttribution
from quant_engine.execution import ExecutionConfig
from quant_engine.research_pipeline import run_factor_backtest_research
def _zero_cost_config() -> ExecutionConfig:
return ExecutionConfig(
commission_bps=0,
stamp_tax_bps=0,
slippage_bps=0,
min_trade_amount=0,
)
def test_daily_attribution_closes_across_rebalance_and_holding_days() -> None:
"""开盘换仓时,隔夜和日内贡献必须来自实际换仓前后持仓。"""
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,
)
result = run_factor_backtest_research(
scores,
opens,
closes,
top_k=1,
execution_price_field="open",
valuation_price_field="close",
initial_cash=1_000.0,
config=_zero_cost_config(),
)
attribution = result.return_attribution()
assert isinstance(attribution, DailyReturnAttribution)
assert attribution.overnight.loc[dates[2], "A"] == pytest.approx(0.25)
assert attribution.intraday.loc[dates[2], "B"] == pytest.approx(-0.125)
assert attribution.asset_contributions.loc[dates[3], "B"] == pytest.approx(1 / 6)
pd.testing.assert_series_equal(
attribution.total_return,
result.returns.rename("total_return"),
)
pd.testing.assert_series_equal(
attribution.explained_return + attribution.residual,
attribution.total_return,
check_names=False,
)
assert attribution.residual.abs().max() < 1e-12
def test_daily_attribution_reports_execution_cost_separately() -> None:
dates = pd.date_range("2026-01-05", periods=3, freq="B")
scores = pd.DataFrame({"A": [1.0]}, index=dates[:1])
prices = pd.DataFrame({"A": [10.0, 10.0, 10.0]}, index=dates)
config = ExecutionConfig(
commission_bps=10,
stamp_tax_bps=0,
slippage_bps=10,
min_trade_amount=0,
)
result = run_factor_backtest_research(
scores,
prices,
prices,
top_k=1,
gross_exposure=0.5,
execution_price_field="open",
valuation_price_field="close",
initial_cash=1_000.0,
config=config,
)
attribution = result.return_attribution()
execution = result.execution.daily_executions[1].executions[0]
assert attribution.asset_contributions.loc[dates[1], "A"] == 0.0
assert attribution.transaction_cost.loc[dates[1]] == pytest.approx(
-execution.total_cost / 1_000.0
)
assert attribution.total_return.loc[dates[1]] == pytest.approx(
attribution.transaction_cost.loc[dates[1]]
)
assert attribution.residual.loc[dates[1]] == pytest.approx(0.0, abs=1e-12)
def test_return_attribution_is_empty_for_empty_research_result() -> None:
dates = pd.date_range("2026-01-05", periods=3, freq="B")
scores = pd.DataFrame(columns=["A"], index=pd.DatetimeIndex([]), dtype=float)
prices = pd.DataFrame({"A": [10.0, 10.0, 10.0]}, index=dates)
result = run_factor_backtest_research(
scores,
prices,
prices,
top_k=1,
execution_price_field="open",
valuation_price_field="close",
)
attribution = result.return_attribution()
assert attribution.overnight.empty
assert attribution.intraday.empty
assert attribution.total_return.empty
+48
View File
@@ -10,6 +10,7 @@ from quant_engine.metrics import (
TRADING_DAYS_PER_YEAR,
annualized_return,
annualized_volatility,
benchmark_summary,
calmar_ratio,
max_drawdown,
sharpe_ratio,
@@ -91,3 +92,50 @@ def test_short_and_empty_series_return_zero() -> None:
assert annualized_volatility(pd.Series([0.01])) == 0.0
assert max_drawdown(pd.Series([0.01])) == 0.0
assert win_rate(pd.Series(dtype=float)) == 0.0
def test_benchmark_summary_uses_aligned_active_returns_and_regression() -> None:
dates = pd.date_range("2026-01-05", periods=4, freq="B")
benchmark = pd.Series([-0.01, 0.0, 0.01, 0.02], index=dates)
portfolio = 0.001 + 1.5 * benchmark
active = portfolio - benchmark
result = benchmark_summary(portfolio, benchmark)
assert result["n_observations"] == 4
assert result["tracking_error"] == pytest.approx(
active.std() * np.sqrt(TRADING_DAYS_PER_YEAR)
)
assert result["information_ratio"] == pytest.approx(
active.mean() / active.std() * np.sqrt(TRADING_DAYS_PER_YEAR)
)
assert result["beta"] == pytest.approx(1.5)
assert result["alpha"] == pytest.approx(1.001**TRADING_DAYS_PER_YEAR - 1.0)
def test_benchmark_summary_rejects_silent_calendar_alignment() -> None:
portfolio = pd.Series([0.01, 0.02], index=pd.date_range("2026-01-05", periods=2))
benchmark = pd.Series([0.01, 0.02], index=pd.date_range("2026-01-06", periods=2))
with pytest.raises(ValueError, match="matching indexes"):
benchmark_summary(portfolio, benchmark)
def test_benchmark_summary_rejects_missing_observations() -> None:
dates = pd.date_range("2026-01-05", periods=2)
portfolio = pd.Series([0.01, np.nan], index=dates)
benchmark = pd.Series([0.0, 0.01], index=dates)
with pytest.raises(ValueError, match="finite"):
benchmark_summary(portfolio, benchmark)
def test_benchmark_summary_marks_constant_benchmark_regression_unestimable() -> None:
dates = pd.date_range("2026-01-05", periods=3)
portfolio = pd.Series([0.01, -0.01, 0.02], index=dates)
benchmark = pd.Series([0.0, 0.0, 0.0], index=dates)
result = benchmark_summary(portfolio, benchmark)
assert np.isnan(result["alpha"])
assert np.isnan(result["beta"])
+69
View File
@@ -265,3 +265,72 @@ def test_factor_backtest_starts_at_first_signal_instead_of_price_warmup() -> Non
pd.Series([1.0, 1.1, 1.2], index=dates[2:], name="nav"),
)
assert result.stats()["n_days"] == 3
def test_factor_backtest_exposes_net_benchmark_metrics() -> None:
dates = _calendar()
scores = pd.DataFrame({"A": [1.0]}, index=dates[:1])
prices = pd.DataFrame({"A": [10.0, 10.0, 11.0, 11.0]}, index=dates)
result = run_factor_backtest_research(
scores,
prices,
prices,
top_k=1,
execution_price_field="open",
valuation_price_field="close",
config=ExecutionConfig(
commission_bps=0,
stamp_tax_bps=0,
slippage_bps=0,
min_trade_amount=0,
),
)
benchmark = pd.Series([0.0, 0.01, -0.01, 0.0], index=dates)
relative = result.benchmark_stats(benchmark)
assert relative["n_observations"] == len(result.returns)
assert relative["tracking_error"] > 0
def test_factor_backtest_projects_actual_close_weights_from_ledger() -> None:
dates = _calendar()
scores = pd.DataFrame({"A": [1.0], "B": [0.0]}, index=dates[:1])
opens = pd.DataFrame(
{"A": [10.0, 10.0, 10.0, 10.0], "B": [20.0, 20.0, 20.0, 20.0]},
index=dates,
)
closes = pd.DataFrame(
{"A": [10.0, 11.0, 12.0, 12.0], "B": [20.0, 20.0, 20.0, 20.0]},
index=dates,
)
result = run_factor_backtest_research(
scores,
opens,
closes,
top_k=1,
gross_exposure=0.5,
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,
),
)
weights = result.position_weights
cash = result.cash_weights
assert weights.index.equals(result.nav.index)
assert weights.columns.tolist() == ["A", "B"]
assert weights.loc[dates[0]].sum() == 0.0
assert cash.loc[dates[0]] == 1.0
assert weights.loc[dates[1], "A"] == pytest.approx(550.0 / 1_050.0)
pd.testing.assert_series_equal(
weights.sum(axis=1) + cash,
pd.Series(1.0, index=dates),
check_names=False,
)
+66 -1
View File
@@ -3,9 +3,16 @@
from __future__ import annotations
import numpy as np
import pandas as pd
import pytest
from quant_engine.risk import component_var, marginal_risk_contribution, risk_contribution
from quant_engine.risk import (
ComponentRiskResult,
component_var,
labeled_component_risk,
marginal_risk_contribution,
risk_contribution,
)
def test_risk_contribution_sums_to_one_for_positive_portfolio_variance() -> None:
@@ -52,3 +59,61 @@ def test_risk_functions_reject_covariance_shape_mismatch(function) -> None:
def test_risk_functions_reject_empty_portfolio(function) -> None:
with pytest.raises(ValueError, match="at least one asset"):
function(np.array([]), np.empty((0, 0)))
def test_labeled_component_risk_aligns_covariance_and_closes_to_volatility() -> None:
weights = pd.Series({"A": 0.25, "B": 0.75}, name="weight")
covariance = pd.DataFrame(
[[0.09, 0.01], [0.01, 0.04]],
index=["B", "A"],
columns=["B", "A"],
)
result = labeled_component_risk(weights, covariance)
aligned = covariance.reindex(index=weights.index, columns=weights.index)
expected_volatility = float(np.sqrt(weights @ aligned @ weights))
assert isinstance(result, ComponentRiskResult)
assert result.component.index.tolist() == ["A", "B"]
assert result.portfolio_volatility == pytest.approx(expected_volatility)
assert result.component.sum() == pytest.approx(expected_volatility)
assert result.percentage.sum() == pytest.approx(1.0)
def test_component_risk_groups_actual_asset_contributions_by_label() -> None:
weights = pd.Series({"A": 0.2, "B": 0.3, "C": 0.5})
covariance = pd.DataFrame(np.diag([0.04, 0.09, 0.16]), index=weights.index, columns=weights.index)
groups = pd.Series({"C": "growth", "A": "value", "B": "value"})
result = labeled_component_risk(weights, covariance)
grouped = result.grouped_component(groups)
assert grouped.index.tolist() == ["growth", "value"]
assert grouped.loc["value"] == pytest.approx(
result.component.loc["A"] + result.component.loc["B"]
)
assert grouped.sum() == pytest.approx(result.portfolio_volatility)
def test_labeled_component_risk_rejects_asset_label_mismatch() -> None:
weights = pd.Series({"A": 0.5, "B": 0.5})
covariance = pd.DataFrame(np.eye(2), index=["A", "C"], columns=["A", "C"])
with pytest.raises(ValueError, match="same asset labels"):
labeled_component_risk(weights, covariance)
def test_labeled_component_risk_rejects_invalid_covariance() -> None:
weights = pd.Series({"A": 0.5, "B": 0.5})
asymmetric = pd.DataFrame([[1.0, 0.2], [0.1, 1.0]], index=weights.index, columns=weights.index)
with pytest.raises(ValueError, match="symmetric"):
labeled_component_risk(weights, asymmetric)
def test_labeled_component_risk_rejects_zero_variance_portfolio() -> None:
weights = pd.Series({"A": 0.5, "B": 0.5})
covariance = pd.DataFrame(np.zeros((2, 2)), index=weights.index, columns=weights.index)
with pytest.raises(ValueError, match="positive portfolio variance"):
labeled_component_risk(weights, covariance)