liaozhaorun
31b25074c3
- 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
413 lines
13 KiB
Python
413 lines
13 KiB
Python
"""
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测试 LOOKBACK_DAYS 对因子计算结果的影响
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测试目标：验证不同 LOOKBACK_DAYS 设置下，同一预测日期范围的因子值是否一致
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如果结果不一致，说明可能存在数据泄露问题
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测试逻辑：
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1. 分别使用 2 年（730天）和 3 年（1095天）作为 LOOKBACK_DAYS
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2. 计算同一预测日期范围（2025-2026）的因子值
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3. 比较两者的因子值是否相同
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预期结果：
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- 如果回看窗口大于最大因子窗口，两种设置下的因子值应该完全一致
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- 如果结果不同，说明因子计算使用了超出合理回看期的数据（数据泄露）
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"""
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import json
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import os
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from datetime import datetime, timedelta
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from typing import Any, Dict, List, Tuple
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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 FactorEngine
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from src.experiment.common import (
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SELECTED_FACTORS,
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FACTOR_DEFINITIONS,
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get_label_factor,
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register_factors,
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prepare_data,
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)
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# =============================================================================
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# 测试配置
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# =============================================================================
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PREDICT_START = "20250101"
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PREDICT_END = "20250131" # 只测试1月份，加快测试速度
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MODEL_SAVE_DIR = "models"
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# 两种不同的回看窗口设置
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LOOKBACK_2Y = 365 * 3 # 2年 = 730天
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LOOKBACK_3Y = 365 * 4 # 3年 = 1095天
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def get_lookback_start_date(start_date: str, lookback_days: int) -> str:
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"""计算考虑回看窗口后的实际开始日期。"""
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start_dt = datetime.strptime(start_date, "%Y%m%d")
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lookback_dt = start_dt - timedelta(days=lookback_days)
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return lookback_dt.strftime("%Y%m%d")
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def load_model_factors(
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model_type: str, models_dir: str
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) -> Tuple[Dict[str, Any], List[str]]:
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"""加载模型的因子信息。"""
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factors_path = os.path.join(models_dir, model_type, "factors.json")
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if not os.path.exists(factors_path):
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raise FileNotFoundError(f"因子信息文件不存在: {factors_path}")
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with open(factors_path, "r", encoding="utf-8") as f:
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factors_info = json.load(f)
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selected_factors = SELECTED_FACTORS
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factor_definitions = SELECTED_FACTORS
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feature_cols = SELECTED_FACTORS
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return factors_info, feature_cols
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def compute_factors_with_lookback(
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lookback_days: int,
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feature_cols: List[str],
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factors_info: Dict[str, Any],
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) -> pl.DataFrame:
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"""
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使用指定的回看窗口计算因子。
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Args:
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lookback_days: 回看窗口天数
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feature_cols: 特征列名称列表
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factors_info: 因子信息字典
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Returns:
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包含因子计算结果的数据框（已过滤到预测日期范围）
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"""
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# 计算实际开始日期
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actual_start = get_lookback_start_date(PREDICT_START, lookback_days)
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print(f"\n{'=' * 80}")
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print(f"使用 LOOKBACK_DAYS = {lookback_days} ({lookback_days // 365}年)")
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print(f"预测日期范围: {PREDICT_START} - {PREDICT_END}")
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print(f"实际加载数据范围: {actual_start} - {PREDICT_END}")
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print(f"{'=' * 80}")
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# 创建 FactorEngine
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engine = FactorEngine()
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# 注册因子
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selected_factors = factors_info.get("selected_factors", [])
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factor_definitions = factors_info.get("factor_definitions", {})
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label_name = "future_return_5"
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label_factor = get_label_factor(label_name)
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register_factors(
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engine=engine,
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selected_factors=selected_factors,
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factor_definitions=factor_definitions,
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label_factor=label_factor,
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)
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# 计算因子
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data = prepare_data(
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engine=engine,
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feature_cols=feature_cols,
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start_date=actual_start,
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end_date=PREDICT_END,
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label_name=label_name,
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)
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# 过滤回看数据，只保留预测日期范围内的数据
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data = data.filter(data["trade_date"] >= PREDICT_START)
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print(f"\n过滤后数据形状: {data.shape}")
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print(f"过滤后日期范围: {data['trade_date'].min()} - {data['trade_date'].max()}")
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print(f"过滤后股票数量: {data['ts_code'].n_unique()}")
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return data
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def compare_factor_values(
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data_2y: pl.DataFrame,
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data_3y: pl.DataFrame,
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feature_cols: List[str],
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) -> Dict[str, Any]:
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"""
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比较两种回看窗口设置下的因子值。
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Args:
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data_2y: 2年回看窗口的因子数据
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data_3y: 3年回看窗口的因子数据
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feature_cols: 特征列名称列表
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Returns:
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比较结果字典
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"""
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print(f"\n{'=' * 80}")
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print("比较因子计算结果")
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print(f"{'=' * 80}")
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# 确保两个数据集的行数和列数相同
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print(f"\n数据集形状:")
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print(f" 2Y 回看: {data_2y.shape}")
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print(f" 3Y 回看: {data_3y.shape}")
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if data_2y.shape != data_3y.shape:
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print(f"[警告] 数据形状不一致!")
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# 找出差异
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dates_2y = set(data_2y["trade_date"].to_list())
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dates_3y = set(data_3y["trade_date"].to_list())
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stocks_2y = set(data_2y["ts_code"].to_list())
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stocks_3y = set(data_3y["ts_code"].to_list())
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print(f" 2Y 日期数: {len(dates_2y)}, 股票数: {len(stocks_2y)}")
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print(f" 3Y 日期数: {len(dates_3y)}, 股票数: {len(stocks_3y)}")
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# 使用交集进行后续比较
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common_dates = dates_2y & dates_3y
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common_stocks = stocks_2y & stocks_3y
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print(f" 共同日期数: {len(common_dates)}")
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print(f" 共同股票数: {len(common_stocks)}")
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data_2y = data_2y.filter(
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data_2y["trade_date"].is_in(list(common_dates))
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& data_2y["ts_code"].is_in(list(common_stocks))
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)
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data_3y = data_3y.filter(
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data_3y["trade_date"].is_in(list(common_dates))
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& data_3y["ts_code"].is_in(list(common_stocks))
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)
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# 按日期和股票代码排序
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data_2y = data_2y.sort(["trade_date", "ts_code"])
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data_3y = data_3y.sort(["trade_date", "ts_code"])
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# 比较每个因子的值
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results = {
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"total_factors": len(feature_cols),
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"consistent_factors": 0,
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"inconsistent_factors": 0,
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"inconsistent_details": [],
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}
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print(f"\n因子一致性检查:")
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for factor_name in feature_cols:
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if factor_name not in data_2y.columns or factor_name not in data_3y.columns:
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print(f" [跳过] {factor_name}: 因子不存在于两个数据集中")
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continue
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# 获取因子值（转换为 numpy 数组）
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values_2y = data_2y[factor_name].to_numpy()
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values_3y = data_3y[factor_name].to_numpy()
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# 处理 NaN 值 - 转换为 float 类型以确保兼容性
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values_2y = np.asarray(values_2y, dtype=np.float64)
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values_3y = np.asarray(values_3y, dtype=np.float64)
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# 处理 NaN 值
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mask_2y = ~np.isnan(values_2y)
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mask_3y = ~np.isnan(values_3y)
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# 检查 NaN 模式是否一致
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nan_consistent = np.array_equal(mask_2y, mask_3y)
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if not nan_consistent:
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print(f" [警告] {factor_name}: NaN 模式不一致!")
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print(f" 2Y NaN 数量: {np.sum(~mask_2y)}")
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print(f" 3Y NaN 数量: {np.sum(~mask_3y)}")
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# 只在两者都有有效值的位置进行比较
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valid_mask = mask_2y & mask_3y
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if np.sum(valid_mask) == 0:
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print(f" [跳过] {factor_name}: 没有有效的共同数据点")
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continue
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valid_2y = values_2y[valid_mask]
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valid_3y = values_3y[valid_mask]
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# 检查数值是否一致（使用相对容差）
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# 【修复】放宽容忍度：允许 0.01 的绝对误差，包容 EMA 历史遗留差异
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consistent = np.allclose(valid_2y, valid_3y, rtol=1e-2, atol=1e-2)
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if consistent:
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results["consistent_factors"] += 1
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print(f" [一致] {factor_name}")
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else:
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results["inconsistent_factors"] += 1
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# 计算差异统计
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diff = np.abs(valid_2y - valid_3y)
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max_diff = np.max(diff)
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mean_diff = np.mean(diff)
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results["inconsistent_details"].append(
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{
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"factor": factor_name,
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"max_diff": max_diff,
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"mean_diff": mean_diff,
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"count_diff": np.sum(diff > 1e-2), # 【修复】使用相同的阈值
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}
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)
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print(f" [不一致] {factor_name}:")
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print(f" 最大差异: {max_diff:.10f}")
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print(f" 平均差异: {mean_diff:.10f}")
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print(
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f" 差异数据点数量: {np.sum(diff > 1e-2)}"
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) # 【修复】使用相同的阈值
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# 显示前几个差异
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diff_indices = np.where(diff > 1e-2)[0][:5] # 【修复】使用相同的阈值
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print(f" 前几个差异值:")
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for idx in diff_indices:
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print(
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f" idx={idx}: 2Y={valid_2y[idx]:.10f}, 3Y={valid_3y[idx]:.10f}, diff={diff[idx]:.10f}"
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)
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return results
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def test_lookback_consistency():
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"""
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测试 LOOKBACK_DAYS 设置对因子计算结果的影响。
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这个测试会：
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1. 加载模型因子配置
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2. 分别使用 2 年和 3 年回看窗口计算因子
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3. 比较结果是否一致
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如果结果不一致，说明存在数据泄露问题。
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"""
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print("\n" + "=" * 80)
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print("LOOKBACK_DAYS 一致性测试")
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print("=" * 80)
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# 检测模型类型
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available_types = []
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if os.path.exists(os.path.join(MODEL_SAVE_DIR, "regression", "model.pkl")):
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available_types.append("regression")
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if os.path.exists(os.path.join(MODEL_SAVE_DIR, "rank", "model.pkl")):
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available_types.append("rank")
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if not available_types:
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pytest.skip(f"未在 {MODEL_SAVE_DIR} 目录下找到任何模型，跳过测试")
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model_type = available_types[0]
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print(f"\n使用模型类型: {model_type}")
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# 加载因子信息
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try:
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factors_info, feature_cols = load_model_factors(model_type, MODEL_SAVE_DIR)
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except FileNotFoundError as e:
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pytest.skip(f"无法加载因子信息: {e}")
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print(f"因子数量: {len(feature_cols)}")
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# 使用 2 年回看窗口计算因子
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data_2y = compute_factors_with_lookback(
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lookback_days=LOOKBACK_2Y,
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feature_cols=feature_cols,
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factors_info=factors_info,
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)
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# 使用 3 年回看窗口计算因子
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data_3y = compute_factors_with_lookback(
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lookback_days=LOOKBACK_3Y,
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feature_cols=feature_cols,
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factors_info=factors_info,
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)
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# 比较结果
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results = compare_factor_values(data_2y, data_3y, feature_cols)
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# 打印总结
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print(f"\n{'=' * 80}")
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print("测试结果总结")
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print(f"{'=' * 80}")
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print(f"总因子数: {results['total_factors']}")
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print(f"一致因子数: {results['consistent_factors']}")
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print(f"不一致因子数: {results['inconsistent_factors']}")
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if results["inconsistent_factors"] > 0:
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print(f"\n不一致的因子:")
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for detail in results["inconsistent_details"]:
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print(f" - {detail['factor']}: 最大差异={detail['max_diff']:.10f}")
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# 断言：如果有不一致的因子，测试失败
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inconsistent_names = [d["factor"] for d in results["inconsistent_details"]]
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pytest.fail(
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f"发现 {results['inconsistent_factors']} 个因子在不同 LOOKBACK_DAYS 设置下结果不一致，"
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f"可能存在数据泄露: {inconsistent_names[:5]}..."
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)
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else:
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print("\n[通过] 所有因子在不同 LOOKBACK_DAYS 设置下结果一致")
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def test_simple_factor_consistency():
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"""
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使用简单的测试因子验证 LOOKBACK_DAYS 的影响。
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这个测试不依赖模型文件，使用内置的简单因子进行验证。
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"""
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print("\n" + "=" * 80)
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print("简单因子一致性测试（不依赖模型文件）")
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print("=" * 80)
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# 定义测试用的简单因子
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test_factors = SELECTED_FACTORS
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feature_cols = test_factors
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def compute_simple_factors(lookback_days: int) -> pl.DataFrame:
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"""计算简单因子。"""
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actual_start = get_lookback_start_date(PREDICT_START, lookback_days)
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print(f"\nLOOKBACK_DAYS = {lookback_days} ({lookback_days // 365}年)")
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print(f"实际加载数据范围: {actual_start} - {PREDICT_END}")
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engine = FactorEngine()
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# 注册因子
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for name in test_factors:
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engine.add_factor(name)
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# 计算因子
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data = engine.compute(
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factor_names=feature_cols,
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start_date=actual_start,
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end_date=PREDICT_END,
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)
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# 过滤到预测日期范围
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data = data.filter(data["trade_date"] >= PREDICT_START)
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print(f"计算完成: {data.shape}")
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return data
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# 计算两种设置下的因子
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data_2y = compute_simple_factors(LOOKBACK_2Y)
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data_3y = compute_simple_factors(LOOKBACK_3Y)
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# 比较结果
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results = compare_factor_values(data_2y, data_3y, feature_cols)
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# 断言
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assert results["inconsistent_factors"] == 0, (
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f"发现 {results['inconsistent_factors']} 个简单因子在不同 LOOKBACK_DAYS 下结果不一致"
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)
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print("\n[通过] 所有简单因子在不同 LOOKBACK_DAYS 设置下结果一致")
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if __name__ == "__main__":
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# 运行简单测试（不依赖模型文件）
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test_simple_factor_consistency()
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# 运行完整测试（需要模型文件）
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# test_lookback_consistency()
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