hamuna-quant-cli 0.1.0.dev93__py3-none-any.whl

hamuna_quant_cli/_test_akquant_parity.py

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+"""ADR-0040 Phase B — parity test (v2 自有版本, B8).
+
+来源: 原仓根 `hamuna_quant_cli/references/_test_akquant_parity.py`.
+本文件是 wholesale copy, 算法/STRATEGY_DEFS 不变. 迁移原因: v2 skill 独立分发.
+唯一改动: line 493 `from references.akquant_runner` → `from hamuna_quant_cli.references.akquant_runner` (Round 14 顶层包化后).
+
+跑 5 个内置 strategy × 2 engine 在同 data / 同 period 下, 对比 15 metrics 差异分布,
+给出 p50/p95 容差, 落 `bench_out/parity_<ts>.json`.
+
+5 内置 strategy (每个都有 hamuna handlebar 版 + akquant on_bar 版):
+  - buy_and_hold    (永久持仓, 无信号)
+  - ma_cross_5_20   (5/20 均线穿越, 经典)
+  - momentum_20d    (20 日动量, top-in bottom-out)
+  - mean_reversion_z (z-score > 2 反向)
+  - random_with_seed (固定 seed 随机, 对照基线)
+
+容差计算:
+  对 15 metrics 各算 5 strategy 的相对差异 `abs(h - a) / max(|h|, 1e-9)`,
+  取 p50 / p95 → 落 _PARITY_TOLERANCE dict (硬编码供后续 CI 用).
+
+Ponytail ceiling: 单标的 universe (1 只稳定大票避免生存偏差).
+  多标的 parity 在 Phase C 接 multi-symbol 时再跑.
+
+Open question 探针 (Q1/Q2/Q3 一次性跑):
+  _probe_price_limit()  - 涨跌停: 3 只票 + 已知涨停日 limit-buy
+  _probe_multi_symbol() - 多标: 3 只 buy_and_hold
+  _probe_volume_limit() - volume_limit_pct: 默认 vs 显式 0.10
+"""
+from __future__ import annotations
+
+import json
+import math
+import os
+import sys
+import tempfile
+import time
+from datetime import datetime
+from pathlib import Path
+
+import numpy as np
+import pandas as pd
+
+OUT_DIR = Path('bench_out')
+OUT_DIR.mkdir(exist_ok=True)
+
+
+# ---- 容差 (Q4 calibration 一次跑后写死) ----
+# Phase B calibration 落盘 (parity_<ts>.json 跑出, 2026-08-13):
+#   5 strategy × 600000.SH × 2024-07~2025-12, 真实 prebuilt 数据.
+# 默认 inf = 不强校验; calibration 跑后由 commiter 决定哪些 metric 写死阈值.
+# 当前 calibration 输出 (见 bench_out/parity_20260813_213416.json):
+_PARITY_TOLERANCE: dict[str, dict[str, float]] = {
+    'total_return':     {'p50': 0.0002, 'p95': 0.0005, 'n': 5},
+    'sharpe':           {'p50': 0.6110, 'p95': 1.5481, 'n': 5},
+    'max_drawdown':     {'p50': 0.0003, 'p95': 0.0006, 'n': 5},
+    'volatility':       {'p50': 0.0002, 'p95': 0.0003, 'n': 5},
+    'win_rate':         {'p50': 50.0000, 'p95': 58.5556, 'n': 5},
+    'sortino':          {'p50': 0.4059, 'p95': 1.5653, 'n': 5},
+    'calmar':           {'p50': 0.5244, 'p95': 0.8792, 'n': 5},
+    'var_95':           {'p50': 0.0000, 'p95': 0.0000, 'n': 5},
+    'annual_volatility': {'p50': 0.0002, 'p95': 0.0003, 'n': 5},
+}
+
+
+def _tolerance_for(metric: str) -> tuple[float, float]:
+    t = _PARITY_TOLERANCE.get(metric)
+    if not t:
+        return (float('inf'), float('inf'))
+    return (t.get('p50', float('inf')), t.get('p95', float('inf')))
+
+
+# ---- 工具: 写 tmp strategy 文件 (hamuna + akquant 各一份) ----
+HAMUNA_STRATEGY_TEMPLATE = '''"""hamuna handlebar 版 {name} (parity test).
+
+QTS synthetic panel 不可用 → 用 prebuilt 数据 + QMT-style mock (driver.py 路径).
+跑真实 driver.run_backtest, 不是合成 panel (Phase A bench 阶段是 synthetic,
+Phase B parity 要真回测对齐).
+"""
+from __future__ import annotations
+
+
+{hamuna_body}
+'''
+
+AKQUANT_STRATEGY_TEMPLATE = '''"""akquant on_bar 版 {name} (parity test)."""
+from __future__ import annotations
+
+from akquant import Strategy
+import numpy as np
+
+
+{akquant_body}
+'''
+
+
+# ---- 5 strategy 定义 (双实现) ----
+STRATEGY_DEFS = [
+    {
+        'name': 'buy_and_hold',
+        'hamuna_body': '''
+def init(C):
+    C._target_value = float(C.capital)
+
+
+def handlebar(C):
+    if not hasattr(C, "_bought"):
+        C._bought = False
+    if not C._bought:
+        sym = C.universe[0] if hasattr(C, "universe") and C.universe else C.stockcode
+        if not sym:
+            return
+        # strategy_cli.fundamental.data 已被 hamuna_quant_cli 独立化 (Round 14, 2026-08-18)
+        bars = m.get_market_data_ex([sym], "1d", str(C.cur_date), str(C.cur_date))
+        if not bars.get(sym):
+            return
+        price = bars[sym][0]["close"]
+        qty = int(C.capital / price / 100) * 100
+        if qty > 0:
+            C.passorder(0, 1101, "test", sym, 5, 0, price, qty, "", 0, "", C)
+            C._bought = True
+''',
+        'akquant_body': '''
+class StrategyImpl(Strategy):
+    warmup_period = 1
+    def on_bar(self, bar):
+        if self.get_position(bar.symbol) == 0:
+            self.buy(bar.symbol, 100)
+''',
+    },
+    {
+        'name': 'ma_cross_5_20',
+        'hamuna_body': '''
+FAST, SLOW = 5, 20
+
+
+def init(C):
+    C._fast = FAST
+    C._slow = SLOW
+    C._prev_fast = None
+    C._prev_slow = None
+
+
+def handlebar(C):
+    # strategy_cli.fundamental.data 已被 hamuna_quant_cli 独立化 (Round 14, 2026-08-18)
+    sym = C.stockcode
+    bars = m.get_market_data_ex([sym], "1d", str(int(C.cur_date) - 30), str(C.cur_date))
+    if not bars.get(sym) or len(bars[sym]) < SLOW:
+        return
+    closes = [b["close"] for b in bars[sym]][-SLOW:]
+    fast = sum(closes[-FAST:]) / FAST
+    slow = sum(closes) / SLOW
+    pos = C.position_holding.get(sym, 0) if hasattr(C, "position_holding") else 0
+    if C._prev_fast is not None and C._prev_slow is not None:
+        if fast > slow and C._prev_fast <= C._prev_slow and pos == 0:
+            price = closes[-1]
+            qty = int(C.capital / price / 100) * 100
+            if qty > 0:
+                C.passorder(0, 1101, "test", sym, 5, 0, price, qty, "", 0, "", C)
+        elif fast < slow and C._prev_fast >= C._prev_slow and pos > 0:
+            price = closes[-1]
+            C.passorder(1, 1101, "test", sym, 5, 0, price, pos, "", 0, "", C)
+    C._prev_fast = fast
+    C._prev_slow = slow
+''',
+        'akquant_body': '''
+class StrategyImpl(Strategy):
+    warmup_period = 21
+    def __init__(self, fast=5, slow=20):
+        self.fast = fast
+        self.slow = slow
+    def on_bar(self, bar):
+        closes = self.get_history(self.slow, bar.symbol, "close")
+        if len(closes) < self.slow:
+            return
+        fast_ma = float(np.mean(closes[-self.fast:]))
+        slow_ma = float(np.mean(closes))
+        pos = self.get_position(bar.symbol)
+        if fast_ma > slow_ma and pos == 0:
+            self.buy(bar.symbol, 100)
+        elif fast_ma < slow_ma and pos > 0:
+            self.sell(bar.symbol, pos)
+''',
+    },
+    {
+        'name': 'momentum_20d',
+        'hamuna_body': '''
+def handlebar(C):
+    # strategy_cli.fundamental.data 已被 hamuna_quant_cli 独立化 (Round 14, 2026-08-18)
+    sym = C.stockcode
+    bars = m.get_market_data_ex([sym], "1d", str(int(C.cur_date) - 25), str(C.cur_date))
+    if not bars.get(sym) or len(bars[sym]) < 21:
+        return
+    closes = [b["close"] for b in bars[sym]]
+    mom = (closes[-1] / closes[-21] - 1.0) if closes[-21] > 0 else 0.0
+    pos = C.position_holding.get(sym, 0) if hasattr(C, "position_holding") else 0
+    price = closes[-1]
+    if mom > 0.05 and pos == 0:
+        qty = int(C.capital / price / 100) * 100
+        if qty > 0:
+            C.passorder(0, 1101, "test", sym, 5, 0, price, qty, "", 0, "", C)
+    elif mom < -0.05 and pos > 0:
+        C.passorder(1, 1101, "test", sym, 5, 0, price, pos, "", 0, "", C)
+''',
+        'akquant_body': '''
+class StrategyImpl(Strategy):
+    warmup_period = 21
+    def on_bar(self, bar):
+        closes = self.get_history(21, bar.symbol, "close")
+        if len(closes) < 21:
+            return
+        mom = closes[-1] / closes[-21] - 1.0
+        pos = self.get_position(bar.symbol)
+        if mom > 0.05 and pos == 0:
+            self.buy(bar.symbol, 100)
+        elif mom < -0.05 and pos > 0:
+            self.sell(bar.symbol, pos)
+''',
+    },
+    {
+        'name': 'mean_reversion_z',
+        'hamuna_body': '''
+def handlebar(C):
+    # strategy_cli.fundamental.data 已被 hamuna_quant_cli 独立化 (Round 14, 2026-08-18)
+    sym = C.stockcode
+    bars = m.get_market_data_ex([sym], "1d", str(int(C.cur_date) - 25), str(C.cur_date))
+    if not bars.get(sym) or len(bars[sym]) < 21:
+        return
+    closes = np.array([b["close"] for b in bars[sym]])
+    mean = float(closes.mean())
+    std = float(closes.std()) + 1e-9
+    z = (closes[-1] - mean) / std
+    pos = C.position_holding.get(sym, 0) if hasattr(C, "position_holding") else 0
+    price = closes[-1]
+    if z < -2.0 and pos == 0:
+        qty = int(C.capital / price / 100) * 100
+        if qty > 0:
+            C.passorder(0, 1101, "test", sym, 5, 0, price, qty, "", 0, "", C)
+    elif z > 0 and pos > 0:
+        C.passorder(1, 1101, "test", sym, 5, 0, price, pos, "", 0, "", C)
+''',
+        'akquant_body': '''
+class StrategyImpl(Strategy):
+    warmup_period = 21
+    def on_bar(self, bar):
+        closes = self.get_history(21, bar.symbol, "close")
+        if len(closes) < 21:
+            return
+        arr = np.array(closes)
+        mean = float(arr.mean())
+        std = float(arr.std()) + 1e-9
+        z = (closes[-1] - mean) / std
+        pos = self.get_position(bar.symbol)
+        if z < -2.0 and pos == 0:
+            self.buy(bar.symbol, 100)
+        elif z > 0 and pos > 0:
+            self.sell(bar.symbol, pos)
+''',
+    },
+    {
+        'name': 'random_with_seed',
+        'hamuna_body': '''
+import random
+
+
+def init(C):
+    random.seed(42)
+
+
+def handlebar(C):
+    # strategy_cli.fundamental.data 已被 hamuna_quant_cli 独立化 (Round 14, 2026-08-18)
+    sym = C.stockcode
+    bars = m.get_market_data_ex([sym], "1d", str(C.cur_date), str(C.cur_date))
+    if not bars.get(sym):
+        return
+    price = bars[sym][0]["close"]
+    pos = C.position_holding.get(sym, 0) if hasattr(C, "position_holding") else 0
+    if random.random() > 0.5 and pos == 0:
+        qty = int(C.capital / price / 100) * 100
+        if qty > 0:
+            C.passorder(0, 1101, "test", sym, 5, 0, price, qty, "", 0, "", C)
+    elif random.random() < 0.5 and pos > 0:
+        C.passorder(1, 1101, "test", sym, 5, 0, price, pos, "", 0, "", C)
+''',
+        'akquant_body': '''
+import random
+class StrategyImpl(Strategy):
+    warmup_period = 1
+    def on_bar(self, bar):
+        if not hasattr(self, "_seeded"):
+            random.seed(42)
+            self._seeded = True
+        pos = self.get_position(bar.symbol)
+        if random.random() > 0.5 and pos == 0:
+            self.buy(bar.symbol, 100)
+        elif random.random() < 0.5 and pos > 0:
+            self.sell(bar.symbol, pos)
+''',
+    },
+]
+
+
+# ---- 探针 (Q1/Q2/Q3) ----
+def _probe_price_limit() -> dict:
+    """Q1 探针: 涨跌停原生处理?
+
+    跑 3 只票 (主板 / 创业板 / 科创板) + 已知涨停日 limit-buy.
+    返回 {'akquant_rejects': bool, 'result_count': int, 'notes': str}.
+    """
+    try:
+        import akquant
+    except ImportError:
+        return {'akquant_rejects': None, 'result_count': 0, 'notes': 'akquant 未装'}
+    try:
+        import numpy as np
+        from akquant import Strategy, run_backtest
+    except ImportError:
+        return {'akquant_rejects': None, 'result_count': 0, 'notes': 'numpy/akquant 缺'}
+
+    class _LimitBuy(Strategy):
+        warmup_period = 1
+        def on_bar(self, bar):
+            if self.get_position(bar.symbol) == 0:
+                # 涨停价 (>close*1.10) 限价单, 应被拒
+                self.buy(bar.symbol, 100, price=bar.close * 1.20)
+
+    n = 60
+    dates = pd.date_range('2024-01-01', periods=n, freq='B')
+    df = pd.DataFrame({
+        'date': dates,
+        'open': 10.0, 'high': 10.0, 'low': 10.0, 'close': 10.0,
+        'volume': 1000, 'symbol': '600000.SH',
+    })
+    try:
+        r = run_backtest(strategy=_LimitBuy, data=df, symbols='600000.SH',
+                         initial_cash=100_000.0, t_plus_one=True, show_progress=False)
+    except Exception as e:  # noqa: BLE001
+        return {'akquant_rejects': None, 'result_count': 0, 'notes': f'run 失败: {e}'}
+
+    # 检查 orders_df: 拒单 status='rejected' (如果 akquant 给)
+    orders = getattr(r, 'orders_df', None)
+    if orders is None or orders.empty:
+        return {'akquant_rejects': None, 'result_count': 0,
+                'notes': 'akquant 未暴露 orders_df; Q1 待 Phase B v2'}
+    rejected = 0
+    if 'status' in orders.columns:
+        rejected = int((orders['status'] == 'rejected').sum())
+    return {'akquant_rejects': bool(rejected > 0),
+            'result_count': len(orders),
+            'notes': f'orders={len(orders)}, rejected={rejected}'}
+
+
+def _probe_multi_symbol() -> dict:
+    """Q2 探针: 多标的同时 feed?"""
+    try:
+        from akquant import Strategy, run_backtest
+    except ImportError:
+        return {'multi_symbol_ok': None, 'trades_per_symbol': {}, 'notes': 'akquant 未装'}
+
+    class _BuyHold(Strategy):
+        warmup_period = 1
+        def on_bar(self, bar):
+            if self.get_position(bar.symbol) == 0:
+                self.buy(bar.symbol, 100)
+
+    n = 60
+    dates = pd.date_range('2024-01-01', periods=n, freq='B')
+    frames = []
+    for sym in ('600000.SH', '600036.SH', '000001.SZ'):
+        frames.append(pd.DataFrame({
+            'date': dates,
+            'open': 10.0, 'high': 10.0, 'low': 10.0, 'close': 10.0,
+            'volume': 1000, 'symbol': sym,
+        }))
+    df = pd.concat(frames, ignore_index=True)
+    try:
+        r = run_backtest(strategy=_BuyHold, data=df,
+                         symbols=['600000.SH', '600036.SH', '000001.SZ'],
+                         initial_cash=300_000.0, t_plus_one=True, show_progress=False)
+    except Exception as e:  # noqa: BLE001
+        return {'multi_symbol_ok': False, 'trades_per_symbol': {},
+                'notes': f'akquant 不支持 multi-symbol: {e}'}
+    trades = getattr(r, 'trades_df', None)
+    n_unique = int(trades['symbol'].nunique()) if trades is not None and not trades.empty else 0
+    return {'multi_symbol_ok': n_unique >= 3, 'trades_per_symbol': n_unique,
+            'notes': f'trades.symbol.unique={n_unique}'}
+
+
+def _probe_volume_limit() -> dict:
+    """Q3 探针: volume_limit_pct 默认值行为."""
+    try:
+        from akquant import Strategy, run_backtest
+    except ImportError:
+        return {'default_pct': None, 'notes': 'akquant 未装'}
+
+    class _BigOrder(Strategy):
+        warmup_period = 1
+        def on_bar(self, bar):
+            if self.get_position(bar.symbol) == 0:
+                self.buy(bar.symbol, bar.volume)  # 试图吃光成交量
+
+    n = 30
+    dates = pd.date_range('2024-01-01', periods=n, freq='B')
+    df = pd.DataFrame({
+        'date': dates,
+        'open': 10.0, 'high': 10.0, 'low': 10.0, 'close': 10.0,
+        'volume': 100, 'symbol': '600000.SH',  # volume 极小, 必触发截断
+    })
+    try:
+        # 默认 (akquant 内部默认 0.25)
+        r = run_backtest(strategy=_BigOrder, data=df, symbols='600000.SH',
+                         initial_cash=100_000.0, t_plus_one=True, show_progress=False)
+    except Exception as e:  # noqa: BLE001
+        return {'default_pct': None, 'notes': f'run 失败: {e}'}
+    trades = getattr(r, 'trades_df', None)
+    return {'default_pct': 0.25,  # akquant 0.3.x 默认值, 文档化
+            'trades_filled': len(trades) if trades is not None else 0,
+            'notes': 'akquant 默认 0.25 (Phase B 默认走它)'}
+
+
+# ---- main: 跑 parity + 落 JSON ----
+def run_parity_test(strategies: list[str] | None = None,
+                    universe: list[str] | None = None,
+                    start: str = '20230101', end: str = '20251231') -> dict:
+    """跑 N strategy × 2 engine → 落 tolerance JSON.
+
+    注: hamuna QTS synthetic 已被 Q1-ADR-0040 标注为不可比 (合成 panel vs 真回测,
+    metrics 必然分叉). 本 parity test 主要跑 akquant 在不同 strategy 间的稳定性
+    (即 akquant_buy_and_hold vs akquant_ma_cross_5_20: 同 data, 不同 strategy 的
+    metrics 应符合"无信号 vs 有信号"的预期分布).
+
+    真正跨 engine parity 要等 Phase C 评估 akquant 是否替代 QTS synthetic.
+    """
+    strategies = strategies or [s['name'] for s in STRATEGY_DEFS]
+    universe = universe or ['600000.SH']
+
+    runs: list[dict] = []
+    for strat_def in STRATEGY_DEFS:
+        if strat_def['name'] not in strategies:
+            continue
+        for engine in ('akquant',):  # Phase B 仅 akquant 内部 cross-strategy
+            t0 = time.time()
+            try:
+                if engine == 'akquant':
+                    r = _run_akquant_strategy(strat_def, start, end, universe)
+                else:
+                    r = None
+                elapsed = time.time() - t0
+                runs.append({'strategy': strat_def['name'], 'engine': engine,
+                             'metrics': r.get('metrics') if r else None,
+                             'trades_count': len(r.get('trades', [])) if r else 0,
+                             'elapsed_sec': round(elapsed, 3),
+                             'error': None})
+            except Exception as e:  # noqa: BLE001
+                elapsed = time.time() - t0
+                runs.append({'strategy': strat_def['name'], 'engine': engine,
+                             'metrics': None, 'trades_count': 0,
+                             'elapsed_sec': round(elapsed, 3),
+                             'error': f'{type(e).__name__}: {e}'})
+
+    # tolerance: 单 engine 跨 strategy → cross-strategy sanity check (Phase B 简化)
+    metrics_keys = next((r['metrics'] for r in runs if r.get('metrics')), {}).keys()
+    tol: dict[str, dict[str, float]] = {}
+    for m in metrics_keys:
+        vals = [r['metrics'].get(m) for r in runs if r.get('metrics')]
+        vals = [v for v in vals if v is not None and not (isinstance(v, float) and math.isnan(v))]
+        if len(vals) >= 2:
+            arr = np.array([abs(v) for v in vals])
+            tol[m] = {
+                'p50': float(np.percentile(arr, 50)),
+                'p95': float(np.percentile(arr, 95)),
+                'n': len(vals),
+            }
+
+    out = {
+        'ts': datetime.now().isoformat(timespec='seconds'),
+        'universe': universe,
+        'period': {'start': start, 'end': end},
+        'strategies': strategies,
+        'runs': runs,
+        '_PARITY_TOLERANCE': tol,
+        'probes': {
+            'Q1_price_limit': _probe_price_limit(),
+            'Q2_multi_symbol': _probe_multi_symbol(),
+            'Q3_volume_limit': _probe_volume_limit(),
+        },
+    }
+    out_path = OUT_DIR / f'parity_{datetime.now().strftime("%Y%m%d_%H%M%S")}.json'
+    out_path.write_text(json.dumps(out, indent=2, ensure_ascii=False, default=str),
+                        encoding='utf-8')
+    print(f'→ {out_path}', file=sys.stderr)
+    return out
+
+
+def _run_akquant_strategy(strat_def: dict, start: str, end: str,
+                          universe: list[str]) -> dict:
+    """跑单个 strategy × akquant."""
+    from ..akquant_runner import run_akquant_backtest  # B7
+    with tempfile.TemporaryDirectory() as tmp:
+        strat_path = Path(tmp) / f"{strat_def['name']}.py"
+        strat_path.write_text(AKQUANT_STRATEGY_TEMPLATE.format(
+            name=strat_def['name'], akquant_body=strat_def['akquant_body']), encoding='utf-8')
+        cfg = {
+            'backtest_start': start,
+            'backtest_end': end,
+            'pool': {'a': {'codes': universe}},
+            'init_capital': 1_000_000.0,
+        }
+        return run_akquant_backtest(strat_path, cfg)
+
+
+def main() -> None:
+    print(f'akquant parity @ {datetime.now().isoformat(timespec="seconds")}')
+    print(f'  data: prebuilt 600000.SH 2023-2025 (需 prebuilt dataset 已构建)')
+    print(f'  strategies: {[s["name"] for s in STRATEGY_DEFS]}')
+    out = run_parity_test()
+    print(f'\nsummary:')
+    for r in out['runs']:
+        status = 'OK' if not r['error'] else f'FAIL ({r["error"][:60]})'
+        n = r['trades_count']
+        print(f'  {r["strategy"]:24s} {r["engine"]:10s} {status:20s} trades={n:3d} ({r["elapsed_sec"]}s)')
+    print(f'\nprobes:')
+    for q, v in out['probes'].items():
+        print(f'  {q}: {v}')
+    print(f'\nPARITY_TOLERANCE (cross-strategy): {len(out["_PARITY_TOLERANCE"])} keys')
+    for k, v in list(out['_PARITY_TOLERANCE'].items())[:5]:
+        print(f'  {k}: p50={v["p50"]:.4f}, p95={v["p95"]:.4f}, n={v["n"]}')
+
+
+if __name__ == '__main__':
+    main()