liaozhaorun
c143815443
- 新增 CrossSectionSampler 支持截面数据采样（按交易日批处理） - 新增 EnsembleQuantLoss (Huber + IC) 替代 MSE 作为损失函数 - 重构 TabMModel 支持量化场景：Rank IC 作为验证指标、CosineAnnealingLR学习率调度、梯度裁剪 - 支持 date_col 参数和特征对齐 - 更新实验配置 batch_size 2048 和 weight_decay 等超参数
80 lines
2.6 KiB
Python
80 lines
2.6 KiB
Python
"""截面数据采样器单元测试"""
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import numpy as np
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import pytest
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import torch
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from torch.utils.data import TensorDataset
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from src.training.components.models.cross_section_sampler import CrossSectionSampler
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class TestCrossSectionSampler:
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"""截面采样器单元测试"""
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def test_basic_functionality(self):
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"""测试基本功能：按日期分组"""
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dates = np.array(["20240101", "20240101", "20240102", "20240102", "20240103"])
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sampler = CrossSectionSampler(dates, shuffle_days=False)
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# 应该有3个日期批次
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assert len(sampler) == 3
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# 获取所有批次
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batches = list(sampler)
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# 验证每个批次包含同一天的数据
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for batch in batches:
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batch_dates = [dates[i] for i in batch]
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assert len(set(batch_dates)) == 1, "批次内日期不一致"
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def test_shuffle_days(self):
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"""测试日期打乱功能"""
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np.random.seed(42)
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dates = np.array(["20240101"] * 5 + ["20240102"] * 5 + ["20240103"] * 5)
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# 多次采样，验证日期顺序会变化
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orders = []
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for _ in range(10):
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batches = list(CrossSectionSampler(dates, shuffle_days=True))
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date_order = [dates[batch[0]] for batch in batches]
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orders.append(tuple(date_order))
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# 应该有不同的顺序出现
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assert len(set(orders)) > 1, "日期顺序未被打乱"
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def test_internal_shuffle(self):
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"""测试截面内股票顺序打乱"""
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np.random.seed(42)
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dates = np.array(["20240101"] * 10)
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# 多次获取同一批次
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indices_list = []
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for _ in range(5):
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sampler = CrossSectionSampler(dates, shuffle_days=False)
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batch = next(iter(sampler))
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indices_list.append(list(batch))
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# 应该有不同顺序
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assert len(set(tuple(x) for x in indices_list)) > 1, "截面内顺序未被打乱"
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def test_with_dataloader(self):
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"""测试与 DataLoader 集成"""
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dates = np.array(["20240101", "20240101", "20240102", "20240102"])
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X = torch.randn(4, 5)
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y = torch.randn(4)
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dataset = TensorDataset(X, y)
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sampler = CrossSectionSampler(dates, shuffle_days=False)
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loader = torch.utils.data.DataLoader(dataset, batch_sampler=sampler)
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batches = list(loader)
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assert len(batches) == 2 # 2个日期
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for bx, by in batches:
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assert bx.shape[0] == 2 # 每个日期2个样本
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assert by.shape[0] == 2
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if __name__ == "__main__":
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pytest.main([__file__, "-v"])
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