quantnodes 3.0.0__py3-none-any.whl

QuantNodes/agent/config/templates/mean_reversion_zscore.yaml

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+# mean_reversion_zscore.yaml
+# 均值回复Z-Score策略
+# 逻辑: Z-Score < -2 买入，Z-Score > 2 卖出
+
+version: "1.0"
+name: "mean_reversion_zscore"
+description: "均值回复Z-Score策略 - Z-Score低于-2买入，高于2卖出"
+
+data:
+  source: clickhouse
+  conn_ini: conn.ini
+  conn_section: ClickHouse
+  table: quote.cn_stock
+  columns: [ts_code, trade_date, open, high, low, close, vol]
+
+  db_date_column: trade_date
+  db_code_column: ts_code
+  date_column: date
+  code_column: code
+
+  column_mapping:
+    ts_code: code
+    trade_date: date
+    vol: volume
+
+  query_filter: "WHERE trade_date >= toDateTime('2023-07-01')"
+
+factors:
+  - name: close_ma
+    expr: "ts_mean(close, 20)"
+    description: "20日均线"
+
+  - name: close_std
+    expr: "ts_std(close, 20)"
+    description: "20日标准差"
+
+  - name: zscore
+    expr: "(close - close_ma) / (close_std + 0.001)"
+    description: "Z-Score（价格偏离度）"
+
+  - name: returns_5d
+    expr: "close / ts_lag(close, 5) - 1"
+    description: "5日收益率"
+
+  - name: volume_ratio
+    expr: "volume / ts_mean(volume, 20)"
+    description: "成交量相对均量比"
+
+operations:
+  - type: section
+    name: zscore_rank
+    category: rank
+    inputs: [zscore]
+    description: "Z-Score截面排名"
+
+  - type: section
+    name: returns_rank
+    category: rank
+    inputs: [returns_5d]
+    description: "收益率截面排名"
+
+  - type: section
+    name: volume_rank
+    category: rank
+    inputs: [volume_ratio]
+    description: "成交量截面排名"
+
+composite:
+  - name: alpha
+    formula: "-1 * zscore_rank"
+
+backtest:
+  start_date: "2023-07-01"
+  end_date: "2024-07-19"
+  initial_cash: 1000000
+  commission: 0.001
+  slippage: 0.001
+
+  signals:
+    buy_threshold: 0.6
+    sell_threshold: 0.4
+
+  positions:
+    max_positions: 10
+    rebalance_freq: "weekly"
+
+output:
+  format: parquet
+  path: "outputs/mean_reversion_result.parquet"
+  save_signals: true

QuantNodes/agent/config/templates/momentum.yaml

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+# strategy_momentum.yaml
+# 动量因子策略配置
+
+version: "1.0"
+name: "momentum_20d"
+description: "20日动量因子策略"
+
+# 1. 数据源定义
+data:
+  source: "csv"
+  path: "data/stock_data.csv"
+  columns:
+    - date
+    - code
+    - open
+    - high
+    - low
+    - close
+    - volume
+  date_column: "date"
+  code_column: "code"
+
+# 2. 因子定义
+factors:
+  - name: returns_20d
+    expr: "close / ts_lag(close, 20) - 1"
+    description: "20日收益率"
+
+# 3. 因子运算
+operations:
+  - type: time_series
+    name: momentum_ma
+    category: ts_mean
+    inputs: [returns_20d]
+    params:
+      window: 20
+
+  - type: section
+    name: momentum_rank
+    category: rank
+    inputs: [momentum_ma]
+
+# 4. 组合因子
+composite:
+  - name: alpha
+    formula: "rank(momentum_ma)"
+
+# 5. 回测配置
+backtest:
+  start_date: "2023-01-01"
+  end_date: "2024-12-31"
+  initial_cash: 1000000
+  commission: 0.001
+  slippage: 0.001
+
+  signals:
+    buy_threshold: 0.05
+    sell_threshold: -0.03
+
+  positions:
+    max_positions: 10
+    rebalance_freq: "weekly"
+
+# 6. 验证配置
+validation:
+  run_tests: true
+  test_files:
+    - "tests/test_factor*.py"
+
+  metrics:
+    ic_threshold: 0.02
+    max_correlation: 0.7
+    min_samples: 100
+
+# 7. 输出配置
+output:
+  format: "parquet"
+  path: "outputs/momentum_result.parquet"
+  save_signals: true
+  save_positions: true
+  save_equity_curve: true

QuantNodes/agent/config/templates/momentum_breakout.yaml

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+# momentum_breakout.yaml
+# 动量突破策略
+# 逻辑: N日新高买入，N日新低卖出
+
+version: "1.0"
+name: "momentum_breakout"
+description: "动量突破策略 - N日新高买入，N日新低卖出"
+
+data:
+  source: clickhouse
+  conn_ini: conn.ini
+  conn_section: ClickHouse
+  table: quote.cn_stock
+  columns: [ts_code, trade_date, open, high, low, close, vol]
+
+  db_date_column: trade_date
+  db_code_column: ts_code
+  date_column: date
+  code_column: code
+
+  column_mapping:
+    ts_code: code
+    trade_date: date
+    vol: volume
+
+  query_filter: "WHERE trade_date >= toDateTime('2023-07-01')"
+
+factors:
+  - name: high_20
+    expr: "ts_max(high, 20)"
+    description: "20日最高价"
+
+  - name: low_20
+    expr: "ts_min(low, 20)"
+    description: "20日最低价"
+
+  - name: range_20
+    expr: "high_20 - low_20 + 0.001"
+    description: "20日价格区间"
+
+  - name: close_position
+    expr: "(close - low_20) / range_20"
+    description: "价格在20日区间中的位置（0-1）"
+
+  - name: momentum_10
+    expr: "close / ts_lag(close, 10) - 1"
+    description: "10日动量"
+
+operations:
+  - type: section
+    name: position_rank
+    category: rank
+    inputs: [close_position]
+    description: "价格位置截面排名"
+
+  - type: section
+    name: momentum_rank
+    category: rank
+    inputs: [momentum_10]
+    description: "动量截面排名"
+
+composite:
+  - name: alpha
+    formula: "0.5 * position_rank + 0.5 * momentum_rank"
+
+backtest:
+  start_date: "2023-07-01"
+  end_date: "2024-07-19"
+  initial_cash: 1000000
+  commission: 0.001
+  slippage: 0.001
+
+  signals:
+    buy_threshold: 0.6
+    sell_threshold: 0.4
+
+  positions:
+    max_positions: 10
+    rebalance_freq: "weekly"
+
+output:
+  format: parquet
+  path: "outputs/momentum_breakout_result.parquet"
+  save_signals: true

QuantNodes/agent/config/templates/rsi_strategy.yaml

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+# rsi_strategy.yaml
+# RSI 超买超卖策略
+# 逻辑: RSI < 30 超卖买入，RSI > 70 超买卖出
+
+version: "1.0"
+name: "rsi_reversal"
+description: "RSI超买超卖策略 - RSI低于30买入，高于70卖出"
+
+data:
+  source: clickhouse
+  conn_ini: conn.ini
+  conn_section: ClickHouse
+  table: quote.cn_stock
+  columns: [ts_code, trade_date, open, high, low, close, vol]
+
+  db_date_column: trade_date
+  db_code_column: ts_code
+  date_column: date
+  code_column: code
+
+  column_mapping:
+    ts_code: code
+    trade_date: date
+    vol: volume
+
+  query_filter: "WHERE trade_date >= toDateTime('2023-07-01')"
+
+factors:
+  - name: rsi_14
+    expr: "talib_rsi(close, timeperiod=14)"
+    description: "14日RSI指标"
+
+  - name: returns
+    expr: "close / ts_lag(close, 1) - 1"
+    description: "日收益率"
+
+operations:
+  - type: section
+    name: rsi_rank
+    category: rank
+    inputs: [rsi_14]
+    description: "RSI截面排名"
+
+  - type: section
+    name: returns_rank
+    category: rank
+    inputs: [returns]
+    description: "收益率截面排名"
+
+composite:
+  - name: alpha
+    formula: "-1 * rsi_rank"
+
+backtest:
+  start_date: "2023-07-01"
+  end_date: "2024-07-19"
+  initial_cash: 1000000
+  commission: 0.001
+  slippage: 0.001
+
+  signals:
+    buy_threshold: 0.6
+    sell_threshold: 0.4
+
+  positions:
+    max_positions: 10
+    rebalance_freq: "weekly"
+
+output:
+  format: parquet
+  path: "outputs/rsi_result.parquet"
+  save_signals: true

QuantNodes/agent/config/templates/volume_price.yaml

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+# volume_price.yaml
+# 量价背离策略
+# 逻辑: 价格上涨但成交量下降时卖出，价格下跌但成交量上升时买入
+
+version: "1.0"
+name: "volume_price_divergence"
+description: "量价背离策略 - 价格上涨但成交量下降时卖出，价格下跌但成交量上升时买入"
+
+data:
+  source: clickhouse
+  conn_ini: conn.ini
+  conn_section: ClickHouse
+  table: quote.cn_stock
+  columns: [ts_code, trade_date, open, high, low, close, vol]
+
+  db_date_column: trade_date
+  db_code_column: ts_code
+  date_column: date
+  code_column: code
+
+  column_mapping:
+    ts_code: code
+    trade_date: date
+    vol: volume
+
+  query_filter: "WHERE trade_date >= toDateTime('2023-07-01')"
+
+factors:
+  - name: price_change
+    expr: "close / ts_lag(close, 5) - 1"
+    description: "5日价格变化率"
+
+  - name: volume_ma
+    expr: "ts_mean(volume, 20)"
+    description: "20日均量"
+
+  - name: volume_ratio
+    expr: "volume / volume_ma"
+    description: "成交量相对均量比"
+
+  - name: turnover
+    expr: "volume / ts_mean(volume, 60)"
+    description: "换手率（相对60日均量）"
+
+operations:
+  - type: section
+    name: price_rank
+    category: rank
+    inputs: [price_change]
+    description: "价格变化截面排名"
+
+  - type: section
+    name: volume_rank
+    category: rank
+    inputs: [volume_ratio]
+    description: "成交量变化截面排名"
+
+  - type: section
+    name: turnover_rank
+    category: rank
+    inputs: [turnover]
+    description: "换手率截面排名"
+
+composite:
+  - name: alpha
+    formula: "0.5 * price_rank + 0.3 * (-1 * volume_rank) + 0.2 * turnover_rank"
+
+backtest:
+  start_date: "2023-07-01"
+  end_date: "2024-07-19"
+  initial_cash: 1000000
+  commission: 0.001
+  slippage: 0.001
+
+  signals:
+    buy_threshold: 0.6
+    sell_threshold: 0.4
+
+  positions:
+    max_positions: 10
+    rebalance_freq: "weekly"
+
+output:
+  format: parquet
+  path: "outputs/volume_price_result.parquet"
+  save_signals: true

QuantNodes/agent/config/types.py

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+# coding=utf-8
+"""
+配置类型定义
+
+定义策略配置的数据类。
+"""
+
+from __future__ import annotations
+
+from dataclasses import dataclass, field
+from typing import List, Dict, Optional, Any
+
+
+@dataclass
+class FactorConfig:
+    """因子配置"""
+    name: str
+    expr: str = ""
+    description: str = ""
+
+
+@dataclass
+class OperationConfig:
+    """运算配置"""
+    type: str  # time_series / section / math / composite
+    name: str
+    category: str  # 具体算子名称
+    inputs: List[str] = field(default_factory=list)
+    params: Dict[str, Any] = field(default_factory=dict)
+
+
+@dataclass
+class CompositeConfig:
+    """组合因子配置"""
+    name: str
+    formula: str = ""
+    weights: Optional[List[float]] = None
+    normalize: bool = False
+    winsorize: Optional[Dict[str, float]] = None
+
+
+@dataclass
+class BacktestConfig:
+    """回测配置"""
+    start_date: str
+    end_date: str
+    initial_cash: float = 1000000
+    commission: float = 0.001
+    slippage: float = 0.001
+    universe: str = "A_stock"
+    signals: Dict[str, Any] = field(default_factory=dict)
+    positions: Dict[str, Any] = field(default_factory=dict)
+
+
+@dataclass
+class ValidationConfig:
+    """验证配置"""
+    run_tests: bool = True
+    test_files: List[str] = field(default_factory=list)
+    metrics: Dict[str, Any] = field(default_factory=dict)
+    custom_operators: List[str] = field(default_factory=list)
+
+
+@dataclass
+class DataConfig:
+    """数据源配置
+
+    两层列名设计:
+    - db_*_column: 数据库原始列名，用于 SQL 查询 (ORDER BY, SELECT)
+    - *_column: 内部标准列名，用于 executor/backtest 层
+    - column_mapping: 数据库原始名 → 内部标准名 的映射关系
+    - standard_columns: 预定义的标准列名映射 (可通过 YAML 配置文件设定)
+
+    使用示例 (ClickHouse):
+        db_date_column: trade_date
+        db_code_column: ts_code
+        date_column: date
+        code_column: code
+        column_mapping: {ts_code: code, trade_date: date, vol: volume}
+    """
+    source: str = "csv"
+    path: str = ""
+    columns: List[str] = field(default_factory=list)
+    date_column: str = "date"
+    code_column: str = "code"
+    db_date_column: str = ""
+    db_code_column: str = ""
+    table: str = ""
+    conn_ini: str = "conn.ini"
+    conn_section: str = "ClickHouse"
+    column_mapping: Dict[str, str] = field(default_factory=dict)
+    query_filter: str = ""
+    standard_columns: Dict[str, str] = field(default_factory=lambda: {
+        "open": "open",
+        "high": "high",
+        "low": "low",
+        "close": "close",
+        "volume": "volume",
+    })
+
+    # 缓存配置
+    cache_enabled: bool = False
+    cache_ttl_days: int = 7
+    cache_dir: str = "~/.quantnodes/cache"
+    cache_force_refresh: bool = False
+
+
+@dataclass
+class OutputConfig:
+    """输出配置"""
+    format: str = "parquet"
+    path: str = "outputs/result.parquet"
+    save_signals: bool = True
+    save_positions: bool = True
+    save_equity_curve: bool = True
+
+
+@dataclass
+class StrategyConfig:
+    """策略配置"""
+    version: str = "1.0"
+    name: str = ""
+    description: str = ""
+    data: Optional[DataConfig] = None
+    factors: List[FactorConfig] = field(default_factory=list)
+    operations: List[OperationConfig] = field(default_factory=list)
+    composite: List[CompositeConfig] = field(default_factory=list)
+    backtest: Optional[BacktestConfig] = None
+    validation: ValidationConfig = field(default_factory=ValidationConfig)
+    output: Optional[OutputConfig] = None
+
+
+@dataclass
+class CoverageReport:
+    """配置覆盖报告"""
+    covered: List[str] = field(default_factory=list)
+    unresolved: List[str] = field(default_factory=list)
+
+    @property
+    def is_complete(self) -> bool:
+        return len(self.unresolved) == 0
+
+
+@dataclass
+class ExecutionResult:
+    """执行结果"""
+    status: str  # success / error
+    factors: Dict[str, Any] = field(default_factory=dict)
+    backtest: Optional[Dict[str, Any]] = None
+    errors: List[str] = field(default_factory=list)
+    warnings: List[str] = field(default_factory=list)
+    data: Any = None  # 计算后的 LazyFrame
+
+    @property
+    def is_success(self) -> bool:
+        return self.status == "success"