refactor(factorminer): 禁用 npz 信号缓存并将库 I/O 对接本地 DSL
- 为 Factor 数据类新增 metadata 字段,用于标记未实现算子(unsupported) - save_library 废弃 save_signals 参数,内部强制忽略,仅持久化 JSON 元数据,不再写入 .npz - load_library 删除 .npz 恢复逻辑;加载时自动将 # TODO 公式的 unsupported 标记设为 True - import_from_paper() 直接基于已本地化的 PAPER_FACTORS 构建库,并同步标记 TODO 公式 - 新增 tests/test_factorminer_library_io.py,覆盖序列化、加载及 paper factors 导入
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tests/test_factorminer_library_io.py
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tests/test_factorminer_library_io.py
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"""Tests for library I/O and paper factor imports."""
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import json
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from pathlib import Path
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import numpy as np
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import pytest
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from src.factorminer.core.factor_library import Factor, FactorLibrary
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from src.factorminer.core.library_io import (
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import_from_paper,
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load_library,
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save_library,
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)
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class TestSaveLoadLibrary:
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"""测试 FactorLibrary 的序列化与反序列化."""
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def test_save_library_ignores_save_signals(self, tmp_path: Path) -> None:
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"""save_signals=True 也不应生成 .npz 文件."""
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library = FactorLibrary()
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factor = Factor(
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id=0,
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name="test_factor",
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formula="close / ts_delay(close, 1) - 1",
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category="Momentum",
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ic_mean=0.05,
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icir=0.5,
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ic_win_rate=0.55,
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max_correlation=0.1,
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batch_number=1,
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)
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# 即使给一个信号矩阵,也不应保存
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factor.signals = np.ones((10, 20))
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library.admit_factor(factor)
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base_path = tmp_path / "test_lib"
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save_library(library, str(base_path), save_signals=True)
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assert (base_path.with_suffix(".json")).exists()
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assert not (Path(str(base_path) + "_signals.npz")).exists()
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def test_load_library_restores_metadata_and_unsupported(
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self, tmp_path: Path
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) -> None:
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"""加载 JSON 后应恢复 metadata,并对 # TODO 公式标记 unsupported."""
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library = FactorLibrary()
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f1 = Factor(
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id=0,
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name="ok_factor",
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formula="cs_rank(close)",
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category="Test",
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ic_mean=0.0,
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icir=0.0,
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ic_win_rate=0.0,
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max_correlation=0.0,
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batch_number=0,
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metadata={"author": "ai"},
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)
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f2 = Factor(
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id=0,
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name="todo_factor",
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formula="# TODO: Neg(CsRank(Decay(close, 10)))",
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category="Test",
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ic_mean=0.0,
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icir=0.0,
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ic_win_rate=0.0,
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max_correlation=0.0,
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batch_number=0,
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)
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library.admit_factor(f1)
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library.admit_factor(f2)
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base_path = tmp_path / "meta_lib"
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save_library(library, str(base_path))
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loaded = load_library(str(base_path))
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assert loaded.size == 2
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f1_loaded = loaded.get_factor(1)
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assert f1_loaded.metadata.get("author") == "ai"
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assert not f1_loaded.metadata.get("unsupported", False)
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f2_loaded = loaded.get_factor(2)
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assert f2_loaded.metadata.get("unsupported") is True
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def test_factor_round_trip_with_metadata(self) -> None:
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"""Factor.to_dict / from_dict 应正确传递 metadata."""
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factor = Factor(
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id=1,
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name="round_trip",
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formula="ts_mean(close, 20)",
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category="Momentum",
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ic_mean=0.1,
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icir=1.0,
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ic_win_rate=0.6,
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max_correlation=0.2,
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batch_number=2,
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metadata={"unsupported": True, "tags": ["test"]},
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)
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d = factor.to_dict()
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restored = Factor.from_dict(d)
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assert restored.metadata == factor.metadata
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class TestImportFromPaper:
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"""测试从内置 paper catalog 导入因子."""
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def test_import_from_paper_includes_all_translated_factors(self) -> None:
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"""内置 PAPER_FACTORS 应全部成功导入."""
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library = import_from_paper()
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assert library.size > 0
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# 当前 catalog 中已有因子应全部被 admit
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for factor in library.list_factors():
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assert factor.id > 0
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assert factor.name
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assert factor.formula
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assert factor.category
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def test_import_from_paper_marks_todo_as_unsupported(self, tmp_path: Path) -> None:
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"""对 # TODO 公式应在 metadata 中标记 unsupported."""
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custom_path = tmp_path / "custom_factors.json"
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custom_data = [
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{
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"name": "Normal Factor",
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"formula": "cs_rank(close)",
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"category": "Test",
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},
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{
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"name": "Unsupported Factor",
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"formula": "# TODO: Neg(CsRank(Decay(close, 10)))",
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"category": "Test",
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},
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]
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custom_path.write_text(json.dumps(custom_data), encoding="utf-8")
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library = import_from_paper(str(custom_path))
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assert library.size == 2
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normal = library.list_factors()[0]
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todo = library.list_factors()[1]
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assert normal.metadata.get("unsupported") is None
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assert todo.metadata.get("unsupported") is True
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def test_import_from_paper_path_override(self, tmp_path: Path) -> None:
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"""通过 path 参数加载外部 JSON 列表."""
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custom_path = tmp_path / "override.json"
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custom_data = [
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{"name": "custom_1", "formula": "open + close", "category": "Custom"},
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]
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custom_path.write_text(json.dumps(custom_data), encoding="utf-8")
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library = import_from_paper(str(custom_path))
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assert library.size == 1
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assert library.list_factors()[0].name == "custom_1"
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