542 lines
15 KiB
Python
542 lines
15 KiB
Python
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"""Phase 1-2 因子函数集成测试。
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测试所有新实现的函数，使用字符串因子表达式形式计算因子，
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并与原始 Polars 计算结果进行对比。
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测试范围：
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1. 数学函数：atan, log1p
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2. 统计函数：ts_var, ts_skew, ts_kurt, ts_pct_change, ts_ema
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3. TA-Lib 函数：ts_atr, ts_rsi, ts_obv
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"""
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import numpy as np
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import polars as pl
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import pytest
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from src.factors import FormulaParser, FunctionRegistry
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from src.factors.translator import PolarsTranslator, HAS_TALIB
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from src.factors.engine import FactorEngine
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from src.data.catalog import DatabaseCatalog
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# ============== 测试数据准备 ==============
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def create_test_data() -> pl.DataFrame:
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"""创建测试用的模拟数据。
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创建一个包含多只股票、多个交易日的 DataFrame，
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用于测试因子函数的计算。
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"""
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np.random.seed(42)
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dates = pl.date_range(
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start=pl.date(2024, 1, 1),
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end=pl.date(2024, 1, 31),
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interval="1d",
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eager=True,
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)
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stocks = ["000001.SZ", "000002.SZ", "600000.SH", "600001.SH"]
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data = []
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for stock in stocks:
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base_price = 100 + np.random.randn() * 10
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for i, date in enumerate(dates):
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price = base_price + np.random.randn() * 5 + i * 0.1
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data.append(
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{
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"ts_code": stock,
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"trade_date": date,
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"close": price,
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"open": price * (1 + np.random.randn() * 0.01),
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"high": price * (1 + abs(np.random.randn()) * 0.02),
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"low": price * (1 - abs(np.random.randn()) * 0.02),
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"vol": int(1000000 + np.random.randn() * 500000),
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}
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)
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return pl.DataFrame(data)
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# ============== 数学函数测试 ==============
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def test_atan_function():
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"""测试 atan 函数：计算反正切值。"""
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parser = FormulaParser(FunctionRegistry())
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# 创建测试数据
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df = pl.DataFrame(
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{
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"ts_code": ["A"] * 5,
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"trade_date": pl.date_range(
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pl.date(2024, 1, 1), pl.date(2024, 1, 5), eager=True
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),
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"value": [0.0, 1.0, -1.0, 0.5, -0.5],
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}
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)
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# DSL 计算
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expr = parser.parse("atan(value)")
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translator = PolarsTranslator()
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polars_expr = translator.translate(expr)
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result_dsl = df.with_columns(dsl_result=polars_expr).to_pandas()["dsl_result"]
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# 原始 Polars 计算
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result_pl = df.with_columns(pl_result=pl.col("value").arctan()).to_pandas()[
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"pl_result"
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]
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# 对比结果
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np.testing.assert_array_almost_equal(
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result_dsl.values, result_pl.values, decimal=10
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)
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def test_log1p_function():
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"""测试 log1p 函数：计算 log(1+x)。"""
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parser = FormulaParser(FunctionRegistry())
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# 创建测试数据
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df = pl.DataFrame(
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{
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"ts_code": ["A"] * 5,
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"trade_date": pl.date_range(
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pl.date(2024, 1, 1), pl.date(2024, 1, 5), eager=True
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),
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"value": [0.0, 0.1, -0.1, 1.0, -0.5],
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}
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)
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# DSL 计算
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expr = parser.parse("log1p(value)")
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translator = PolarsTranslator()
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polars_expr = translator.translate(expr)
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result_dsl = df.with_columns(dsl_result=polars_expr).to_pandas()["dsl_result"]
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# 原始 Polars 计算
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result_pl = df.with_columns(pl_result=pl.col("value").log1p()).to_pandas()[
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"pl_result"
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]
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# 对比结果
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np.testing.assert_array_almost_equal(
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result_dsl.values, result_pl.values, decimal=10
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)
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# ============== 统计函数测试 ==============
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def test_ts_var_function():
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"""测试 ts_var 函数：滚动方差。"""
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parser = FormulaParser(FunctionRegistry())
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# 创建测试数据
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df = pl.DataFrame(
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{
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"ts_code": ["A"] * 10 + ["B"] * 10,
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"trade_date": pl.date_range(
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pl.date(2024, 1, 1), pl.date(2024, 1, 10), eager=True
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).append(
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pl.date_range(pl.date(2024, 1, 1), pl.date(2024, 1, 10), eager=True)
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),
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"close": list(range(1, 11)) + list(range(10, 20)),
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}
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)
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# DSL 计算
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expr = parser.parse("ts_var(close, 5)")
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translator = PolarsTranslator()
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polars_expr = translator.translate(expr)
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result_dsl = (
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df.with_columns(dsl_result=polars_expr)
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.to_pandas()
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.groupby("ts_code")["dsl_result"]
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.apply(list)
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)
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# 原始 Polars 计算
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result_pl = (
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df.with_columns(
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pl_result=pl.col("close").rolling_var(window_size=5).over("ts_code")
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)
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.to_pandas()
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.groupby("ts_code")["pl_result"]
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.apply(list)
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)
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# 对比结果
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for stock in ["A", "B"]:
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np.testing.assert_array_almost_equal(
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result_dsl[stock], result_pl[stock], decimal=10
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)
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def test_ts_skew_function():
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"""测试 ts_skew 函数：滚动偏度。"""
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parser = FormulaParser(FunctionRegistry())
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# 创建测试数据
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np.random.seed(42)
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df = pl.DataFrame(
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{
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"ts_code": ["A"] * 20 + ["B"] * 20,
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"trade_date": list(
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pl.date_range(pl.date(2024, 1, 1), pl.date(2024, 1, 20), eager=True)
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)
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* 2,
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"close": np.random.randn(40),
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}
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)
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# DSL 计算
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expr = parser.parse("ts_skew(close, 10)")
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translator = PolarsTranslator()
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polars_expr = translator.translate(expr)
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result_dsl = df.with_columns(dsl_result=polars_expr).to_pandas()["dsl_result"]
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# 原始 Polars 计算
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result_pl = df.with_columns(
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pl_result=pl.col("close").rolling_skew(window_size=10).over("ts_code")
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).to_pandas()["pl_result"]
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# 对比结果
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np.testing.assert_array_almost_equal(
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result_dsl.values, result_pl.values, decimal=10
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)
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def test_ts_kurt_function():
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"""测试 ts_kurt 函数：滚动峰度。"""
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parser = FormulaParser(FunctionRegistry())
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# 创建测试数据
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np.random.seed(42)
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df = pl.DataFrame(
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{
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"ts_code": ["A"] * 20 + ["B"] * 20,
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"trade_date": list(
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pl.date_range(pl.date(2024, 1, 1), pl.date(2024, 1, 20), eager=True)
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)
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* 2,
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"close": np.random.randn(40),
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}
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)
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# DSL 计算
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expr = parser.parse("ts_kurt(close, 10)")
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translator = PolarsTranslator()
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polars_expr = translator.translate(expr)
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result_dsl = df.with_columns(dsl_result=polars_expr).to_pandas()["dsl_result"]
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# 原始 Polars 计算
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result_pl = df.with_columns(
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pl_result=pl.col("close")
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.rolling_map(
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lambda s: s.kurtosis() if len(s.drop_nulls()) >= 4 else float("nan"),
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window_size=10,
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)
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.over("ts_code")
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).to_pandas()["pl_result"]
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# 对比结果
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np.testing.assert_array_almost_equal(
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result_dsl.values, result_pl.values, decimal=10
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)
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def test_ts_pct_change_function():
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"""测试 ts_pct_change 函数：百分比变化。"""
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parser = FormulaParser(FunctionRegistry())
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# 创建测试数据
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df = pl.DataFrame(
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{
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"ts_code": ["A"] * 5 + ["B"] * 5,
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"trade_date": list(
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pl.date_range(pl.date(2024, 1, 1), pl.date(2024, 1, 5), eager=True)
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)
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* 2,
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"close": [100, 105, 102, 108, 110, 50, 52, 48, 55, 60],
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}
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)
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# DSL 计算
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expr = parser.parse("ts_pct_change(close, 1)")
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translator = PolarsTranslator()
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polars_expr = translator.translate(expr)
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result_dsl = df.with_columns(dsl_result=polars_expr).to_pandas()["dsl_result"]
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# 原始 Polars 计算
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result_pl = df.with_columns(
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pl_result=(pl.col("close") - pl.col("close").shift(1))
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/ pl.col("close").shift(1).over("ts_code")
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).to_pandas()["pl_result"]
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# 对比结果
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np.testing.assert_array_almost_equal(
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result_dsl.values, result_pl.values, decimal=10
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)
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def test_ts_ema_function():
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"""测试 ts_ema 函数：指数移动平均。"""
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parser = FormulaParser(FunctionRegistry())
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# 创建测试数据
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df = pl.DataFrame(
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{
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"ts_code": ["A"] * 10 + ["B"] * 10,
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"trade_date": list(
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pl.date_range(pl.date(2024, 1, 1), pl.date(2024, 1, 10), eager=True)
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)
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* 2,
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"close": list(range(1, 11)) + list(range(10, 20)),
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}
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)
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# DSL 计算
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expr = parser.parse("ts_ema(close, 5)")
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translator = PolarsTranslator()
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polars_expr = translator.translate(expr)
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result_dsl = df.with_columns(dsl_result=polars_expr).to_pandas()["dsl_result"]
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# 原始 Polars 计算
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result_pl = df.with_columns(
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pl_result=pl.col("close").ewm_mean(span=5).over("ts_code")
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).to_pandas()["pl_result"]
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# 对比结果
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np.testing.assert_array_almost_equal(
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result_dsl.values, result_pl.values, decimal=10
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)
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# ============== TA-Lib 函数测试 ==============
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@pytest.mark.skipif(not HAS_TALIB, reason="TA-Lib not installed")
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def test_ts_atr_function():
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"""测试 ts_atr 函数：平均真实波幅。"""
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import talib
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parser = FormulaParser(FunctionRegistry())
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# 创建测试数据
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np.random.seed(42)
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df = pl.DataFrame(
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{
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"ts_code": ["A"] * 20 + ["B"] * 20,
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"trade_date": list(
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pl.date_range(pl.date(2024, 1, 1), pl.date(2024, 1, 20), eager=True)
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)
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* 2,
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"high": 100 + np.random.randn(40) * 2,
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"low": 98 + np.random.randn(40) * 2,
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"close": 99 + np.random.randn(40) * 2,
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}
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)
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# DSL 计算
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expr = parser.parse("ts_atr(high, low, close, 14)")
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translator = PolarsTranslator()
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polars_expr = translator.translate(expr)
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result_dsl = df.with_columns(dsl_result=polars_expr).to_pandas()["dsl_result"]
|
|||
|
|
|
|||
|
|
# 使用 talib 手动计算（分组计算）
|
|||
|
|
result_expected = []
|
|||
|
|
for stock in ["A", "B"]:
|
|||
|
|
stock_df = df.filter(pl.col("ts_code") == stock).to_pandas()
|
|||
|
|
atr = talib.ATR(
|
|||
|
|
stock_df["high"].values,
|
|||
|
|
stock_df["low"].values,
|
|||
|
|
stock_df["close"].values,
|
|||
|
|
timeperiod=14,
|
|||
|
|
)
|
|||
|
|
result_expected.extend(atr)
|
|||
|
|
|
|||
|
|
# 对比结果（允许小误差）
|
|||
|
|
np.testing.assert_array_almost_equal(
|
|||
|
|
result_dsl.values, np.array(result_expected), decimal=5
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
|
|||
|
|
@pytest.mark.skipif(not HAS_TALIB, reason="TA-Lib not installed")
|
|||
|
|
def test_ts_rsi_function():
|
|||
|
|
"""测试 ts_rsi 函数：相对强弱指数。"""
|
|||
|
|
import talib
|
|||
|
|
|
|||
|
|
parser = FormulaParser(FunctionRegistry())
|
|||
|
|
|
|||
|
|
# 创建测试数据
|
|||
|
|
np.random.seed(42)
|
|||
|
|
df = pl.DataFrame(
|
|||
|
|
{
|
|||
|
|
"ts_code": ["A"] * 30 + ["B"] * 30,
|
|||
|
|
"trade_date": list(
|
|||
|
|
pl.date_range(pl.date(2024, 1, 1), pl.date(2024, 1, 30), eager=True)
|
|||
|
|
)
|
|||
|
|
* 2,
|
|||
|
|
"close": 100 + np.cumsum(np.random.randn(60)),
|
|||
|
|
}
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
# DSL 计算
|
|||
|
|
expr = parser.parse("ts_rsi(close, 14)")
|
|||
|
|
translator = PolarsTranslator()
|
|||
|
|
polars_expr = translator.translate(expr)
|
|||
|
|
result_dsl = df.with_columns(dsl_result=polars_expr).to_pandas()["dsl_result"]
|
|||
|
|
|
|||
|
|
# 使用 talib 手动计算（分组计算）
|
|||
|
|
result_expected = []
|
|||
|
|
for stock in ["A", "B"]:
|
|||
|
|
stock_df = df.filter(pl.col("ts_code") == stock).to_pandas()
|
|||
|
|
rsi = talib.RSI(stock_df["close"].values, timeperiod=14)
|
|||
|
|
result_expected.extend(rsi)
|
|||
|
|
|
|||
|
|
# 对比结果（允许小误差）
|
|||
|
|
np.testing.assert_array_almost_equal(
|
|||
|
|
result_dsl.values, np.array(result_expected), decimal=5
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
|
|||
|
|
@pytest.mark.skipif(not HAS_TALIB, reason="TA-Lib not installed")
|
|||
|
|
def test_ts_obv_function():
|
|||
|
|
"""测试 ts_obv 函数：能量潮指标。"""
|
|||
|
|
import talib
|
|||
|
|
|
|||
|
|
parser = FormulaParser(FunctionRegistry())
|
|||
|
|
|
|||
|
|
# 创建测试数据
|
|||
|
|
np.random.seed(42)
|
|||
|
|
df = pl.DataFrame(
|
|||
|
|
{
|
|||
|
|
"ts_code": ["A"] * 20 + ["B"] * 20,
|
|||
|
|
"trade_date": list(
|
|||
|
|
pl.date_range(pl.date(2024, 1, 1), pl.date(2024, 1, 20), eager=True)
|
|||
|
|
)
|
|||
|
|
* 2,
|
|||
|
|
"close": 100 + np.cumsum(np.random.randn(40)),
|
|||
|
|
"vol": np.random.randint(100000, 1000000, 40).astype(float),
|
|||
|
|
}
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
# DSL 计算
|
|||
|
|
expr = parser.parse("ts_obv(close, vol)")
|
|||
|
|
translator = PolarsTranslator()
|
|||
|
|
polars_expr = translator.translate(expr)
|
|||
|
|
result_dsl = df.with_columns(dsl_result=polars_expr).to_pandas()["dsl_result"]
|
|||
|
|
|
|||
|
|
# 使用 talib 手动计算（分组计算）
|
|||
|
|
result_expected = []
|
|||
|
|
for stock in ["A", "B"]:
|
|||
|
|
stock_df = df.filter(pl.col("ts_code") == stock).to_pandas()
|
|||
|
|
obv = talib.OBV(
|
|||
|
|
stock_df["close"].values,
|
|||
|
|
stock_df["vol"].values,
|
|||
|
|
)
|
|||
|
|
result_expected.extend(obv)
|
|||
|
|
|
|||
|
|
# 对比结果（允许小误差）
|
|||
|
|
np.testing.assert_array_almost_equal(
|
|||
|
|
result_dsl.values, np.array(result_expected), decimal=5
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
|
|||
|
|
# ============== 综合测试 ==============
|
|||
|
|
|
|||
|
|
|
|||
|
|
def test_complex_factor_expressions():
|
|||
|
|
"""测试复杂因子表达式的计算。"""
|
|||
|
|
parser = FormulaParser(FunctionRegistry())
|
|||
|
|
|
|||
|
|
# 创建测试数据
|
|||
|
|
np.random.seed(42)
|
|||
|
|
df = pl.DataFrame(
|
|||
|
|
{
|
|||
|
|
"ts_code": ["A"] * 30 + ["B"] * 30,
|
|||
|
|
"trade_date": list(
|
|||
|
|
pl.date_range(pl.date(2024, 1, 1), pl.date(2024, 1, 30), eager=True)
|
|||
|
|
)
|
|||
|
|
* 2,
|
|||
|
|
"close": 100 + np.cumsum(np.random.randn(60)),
|
|||
|
|
}
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
# 测试 act_factor1: atan((ts_ema(close,5)/ts_delay(ts_ema(close,5),1)-1)*100) * 57.3 / 50
|
|||
|
|
expr = parser.parse(
|
|||
|
|
"atan((ts_ema(close, 5) / ts_delay(ts_ema(close, 5), 1) - 1) * 100) * 57.3 / 50"
|
|||
|
|
)
|
|||
|
|
translator = PolarsTranslator()
|
|||
|
|
polars_expr = translator.translate(expr)
|
|||
|
|
result = df.with_columns(factor=polars_expr)
|
|||
|
|
|
|||
|
|
# 验证结果不为空
|
|||
|
|
assert len(result) == 60
|
|||
|
|
assert "factor" in result.columns
|
|||
|
|
|
|||
|
|
print("复杂因子表达式测试通过")
|
|||
|
|
|
|||
|
|
|
|||
|
|
# ============== 主函数 ==============
|
|||
|
|
|
|||
|
|
|
|||
|
|
if __name__ == "__main__":
|
|||
|
|
print("运行 Phase 1-2 因子函数测试...")
|
|||
|
|
print("=" * 80)
|
|||
|
|
|
|||
|
|
# 运行数学函数测试
|
|||
|
|
print("\n[数学函数测试]")
|
|||
|
|
test_atan_function()
|
|||
|
|
print(" ✅ atan 测试通过")
|
|||
|
|
|
|||
|
|
test_log1p_function()
|
|||
|
|
print(" ✅ log1p 测试通过")
|
|||
|
|
|
|||
|
|
# 运行统计函数测试
|
|||
|
|
print("\n[统计函数测试]")
|
|||
|
|
test_ts_var_function()
|
|||
|
|
print(" ✅ ts_var 测试通过")
|
|||
|
|
|
|||
|
|
test_ts_skew_function()
|
|||
|
|
print(" ✅ ts_skew 测试通过")
|
|||
|
|
|
|||
|
|
test_ts_kurt_function()
|
|||
|
|
print(" ✅ ts_kurt 测试通过")
|
|||
|
|
|
|||
|
|
test_ts_pct_change_function()
|
|||
|
|
print(" ✅ ts_pct_change 测试通过")
|
|||
|
|
|
|||
|
|
test_ts_ema_function()
|
|||
|
|
print(" ✅ ts_ema 测试通过")
|
|||
|
|
|
|||
|
|
# 运行 TA-Lib 函数测试
|
|||
|
|
print("\n[TA-Lib 函数测试]")
|
|||
|
|
try:
|
|||
|
|
import talib
|
|||
|
|
|
|||
|
|
HAS_TALIB = True
|
|||
|
|
except ImportError:
|
|||
|
|
HAS_TALIB = False
|
|||
|
|
print(" ⚠️ TA-Lib 未安装，跳过 TA-Lib 测试")
|
|||
|
|
|
|||
|
|
if HAS_TALIB:
|
|||
|
|
test_ts_atr_function()
|
|||
|
|
print(" ✅ ts_atr 测试通过")
|
|||
|
|
|
|||
|
|
test_ts_rsi_function()
|
|||
|
|
print(" ✅ ts_rsi 测试通过")
|
|||
|
|
|
|||
|
|
test_ts_obv_function()
|
|||
|
|
print(" ✅ ts_obv 测试通过")
|
|||
|
|
|
|||
|
|
# 运行综合测试
|
|||
|
|
print("\n[综合测试]")
|
|||
|
|
test_complex_factor_expressions()
|
|||
|
|
print(" ✅ 复杂因子表达式测试通过")
|
|||
|
|
|
|||
|
|
print("\n" + "=" * 80)
|
|||
|
|
print("所有测试通过！")
|