refactor: establish standalone application boundary
This commit is contained in:
leefer
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from __future__ import annotations
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import statistics
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from collections import defaultdict
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from datetime import datetime
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from typing import Any
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from backend.data.numbers import finite_number as _number
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from backend.features.screener.factors import FactorBuilder
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from backend.features.screener.formula import FormulaEvaluator
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from database import ReviewDatabase
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class BacktestRunner:
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def __init__(
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self,
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database: ReviewDatabase,
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factor_builder: FactorBuilder,
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formula_evaluator: FormulaEvaluator,
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) -> None:
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self.database = database
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self.factor_builder = factor_builder
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self.formula_evaluator = formula_evaluator
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self._backtest_factor_cache: dict[tuple[str, int], list[dict[str, Any]]] = {}
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def build_factors(
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self, trade_date: str, history_days: int
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) -> tuple[list[dict[str, Any]], str]:
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return self.factor_builder.build_factors(
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trade_date, history_days=history_days
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)
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def apply_formula(
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self, rows: list[dict[str, Any]], formula: dict[str, Any], regime: str
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) -> list[dict[str, Any]]:
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return self.formula_evaluator.apply_formula(rows, formula, regime)
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def backtest(self, trade_date: str, formula: dict[str, Any]) -> dict[str, Any]:
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meta = formula.get("meta") or {}
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history_days = max(21, min(260, int(meta.get("history_days") or 80)))
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holding_days = max(1, min(30, int(meta.get("backtest_days") or 3)))
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take_profit = max(0.5, min(50.0, float(meta.get("take_profit") or 3)))
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stop_loss = min(-0.5, max(-50.0, float(meta.get("stop_loss") or -3)))
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dates = self.database.factor_dates(trade_date, history_days + holding_days + 20)
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eligible_dates = dates[:-holding_days] if len(dates) > holding_days else []
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frequency = str(meta.get("frequency") or "每日")
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if "月" in frequency:
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grouped = {}
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for value in eligible_dates:
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grouped[value[:6]] = value
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evaluation_dates = list(grouped.values())[-8:]
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elif "双周" in frequency:
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weekly_dates = []
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grouped = {}
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for value in eligible_dates:
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parsed = datetime.strptime(value, "%Y%m%d")
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grouped[parsed.strftime("%G-%V")] = value
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weekly_dates = list(grouped.values())
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evaluation_dates = weekly_dates[-16::2][-8:]
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elif "周" in frequency:
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grouped = {}
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for value in eligible_dates:
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parsed = datetime.strptime(value, "%Y%m%d")
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grouped[parsed.strftime("%G-%V")] = value
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evaluation_dates = list(grouped.values())[-8:]
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else:
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evaluation_dates = eligible_dates[-8:]
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wins = 0
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losses = 0
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samples = 0
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returns = []
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drawdowns = []
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all_data = self.database.load_factor_data(
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trade_date, history_days + holding_days + 20
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)
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bars_by_code: dict[str, list[dict[str, Any]]] = defaultdict(list)
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for row in all_data["bars"]:
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bars_by_code[row["ts_code"]].append(row)
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for bars in bars_by_code.values():
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bars.sort(key=lambda item: item["trade_date"])
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for current_date in evaluation_dates:
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try:
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cache_key = (current_date, history_days)
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factors = self._backtest_factor_cache.get(cache_key)
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if factors is None:
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factors, _ = self.build_factors(
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current_date, history_days=history_days
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)
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if len(self._backtest_factor_cache) >= 64:
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self._backtest_factor_cache.pop(
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next(iter(self._backtest_factor_cache))
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)
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self._backtest_factor_cache[cache_key] = factors
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except ValueError:
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continue
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selected = self.apply_formula(factors, {**formula, "limit": min(10, formula["limit"])}, "backtest")
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for candidate in selected:
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bars = bars_by_code.get(candidate["ts_code"], [])
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index = next((i for i, row in enumerate(bars) if row["trade_date"] == current_date), -1)
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future = bars[index + 1:index + 1 + holding_days] if index >= 0 else []
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if len(future) < holding_days:
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continue
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entry = candidate["price"]
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won = False
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lost = False
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for day in future:
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low_return = (_number(day["low"]) / entry - 1) * 100
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high_return = (_number(day["high"]) / entry - 1) * 100
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if low_return <= stop_loss:
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lost = True
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break
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if high_return >= take_profit:
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won = True
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break
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if won:
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wins += 1
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elif lost:
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losses += 1
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samples += 1
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returns.append((_number(future[-1]["close"]) / entry - 1) * 100)
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drawdowns.append(min((_number(day["low"]) / entry - 1) * 100 for day in future))
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return {
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"samples": samples,
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"wins": wins,
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"losses": losses,
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"win_rate": round(wins / samples * 100, 1) if samples else 0,
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"average_3d_return": round(statistics.fmean(returns), 2) if returns else 0,
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"average_holding_return": round(statistics.fmean(returns), 2) if returns else 0,
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"average_drawdown": round(statistics.fmean(drawdowns), 2) if drawdowns else 0,
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"evaluation_days": len(evaluation_dates),
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"frequency": frequency,
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"holding_days": holding_days,
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"take_profit": take_profit,
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"stop_loss": stop_loss,
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"definition": (
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f"收盘后选股，未来{holding_days}日先触及+{take_profit:g}%且未先触及"
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f"{stop_loss:g}%计为成功；同日双触发按失败处理。"
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),
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"approximate": True,
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}
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