test(debug): 添加因子回测一致性问题的调试测试套件

- 分析GTJA_alpha032等因子在不同LOOKBACK_DAYS下的差异来源
- 验证cs_rank嵌套和截面股票数量对结果的影响
- 测试ts_rank NaN处理和除法除零修复
This commit is contained in:
2026-03-22 02:43:23 +08:00
parent ccd42082c2
commit 31b25074c3
10 changed files with 1532 additions and 87 deletions

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@@ -25,7 +25,6 @@ from src.training.config import TrainingConfig
from src.experiment.common import (
SELECTED_FACTORS,
FACTOR_DEFINITIONS,
EXCLUDED_FACTORS,
get_label_factor,
register_factors,
prepare_data,
@@ -97,6 +96,31 @@ print("=" * 80)
print("\n[1] 创建 FactorEngine")
engine = FactorEngine()
EXCLUDED_FACTORS = [
'GTJA_alpha010',
'GTJA_alpha005',
'GTJA_alpha036',
'GTJA_alpha027',
'GTJA_alpha053',
'GTJA_alpha073',
'GTJA_alpha104',
'GTJA_alpha103',
'GTJA_alpha087',
'GTJA_alpha092',
'GTJA_alpha085',
'GTJA_alpha044',
'GTJA_alpha062',
'GTJA_alpha124',
'GTJA_alpha133',
'GTJA_alpha131',
'GTJA_alpha117',
'GTJA_alpha157',
'GTJA_alpha162',
'GTJA_alpha177',
'GTJA_alpha180',
'GTJA_alpha191',
]
# 2. 使用 metadata 定义因子
print("\n[2] 定义因子(从 metadata 注册)")
feature_cols = register_factors(