feat(factor): 月度批评报告判定弹药三件——factor_stats 聚合(全期合成t/正IC占比/逐年IC)+md 渲染 [nas]

sanguo_factor/monthly_review.py

@@ -68,6 +68,34 @@ def load_history_points(out_dir: str, exclude_file: str) -> dict[str, list[dict]
     return {f: [pts[m] for m in sorted(pts)] for f, pts in merged.items()}
 
 
+def factor_stats(points: list[dict]) -> dict:
+    """判定弹药聚合(2026-10-10 spec §4.2):全期合成 t/正 IC 占比/逐年.
+
+    口径:各月点 ic_mean(该批 12M 窗日均 IC 均值)的等权均值≈全史近似;
+    合成 t=mean/(std(ddof=1)/√n),n<2 或 std=0 时如实 None(小样本判读弱
+    的诚实注记在 spec,判定动作不因此自动化).
+    """
+    ics = [p["ic_mean"] for p in points if p.get("ic_mean") is not None]
+    if not ics:
+        return {"icAll": None, "tAll": None, "positiveRatio": None, "byYear": {}}
+    n = len(ics)
+    mean_ic = sum(ics) / n
+    t_all = None
+    if n >= 2:
+        var = sum((v - mean_ic) ** 2 for v in ics) / (n - 1)
+        if var > 0:
+            t_all = round(mean_ic / (var ** 0.5 / n ** 0.5), 4)
+    by_year: dict[str, list[float]] = {}
+    for p in points:
+        m, v = str(p.get("month") or ""), p.get("ic_mean")
+        if m and v is not None:
+            by_year.setdefault(m[:4], []).append(v)
+    return {"icAll": round(mean_ic, 6), "tAll": t_all,
+            "positiveRatio": round(sum(1 for v in ics if v > 0) / n, 4),
+            "byYear": {y: round(sum(v) / len(v), 6)
+                       for y, v in sorted(by_year.items())}}
+
+
 def build_report(registry: dict, current_points: dict[str, dict],
                  history_points: dict[str, list[dict]], as_of: str,
                  host: str) -> dict:
@@ -112,6 +140,8 @@ def build_report(registry: dict, current_points: dict[str, dict],
         "observations": observations,
         "collective": collective_level(promoted_ts),
         "monthly_points": monthly_points,
+        "factor_stats": {name: factor_stats(pts)
+                         for name, pts in monthly_points.items()},
         "unregistered": unregistered,
         "pre_gate": pre_gate_table(registry, monthly_points, current_points),
         "edge_cases": edge_cases,
@@ -201,6 +231,22 @@ def render_markdown(report: dict) -> str:
         for k, v in report["observations"].items():
             rs = ";".join(v["reasons"]) if v["reasons"] else "新鲜且覆盖足"
             lines.append(f"- {v['status']} {k}: {rs}")
+    stats = report.get("factor_stats") or {}
+    if stats:
+        lines.append("")
+        lines.append("## 判定弹药（全期口径）")
+        lines.append("")
+        lines.append("| 因子 | 全期IC | 合成t | 正IC占比 | 逐年IC |")
+        lines.append("|------|--------|-------|----------|--------|")
+        for name in sorted(stats):
+            s = stats[name]
+            years = ", ".join(f"{y}:{v:.4f}" for y, v in s["byYear"].items()) or "—"
+
+            def _f(v, nd=4):
+                return "—" if v is None else f"{v:.{nd}f}"
+
+            lines.append(f"| {name} | {_f(s['icAll'], 6)} | {_f(s['tAll'])} "
+                         f"| {_f(s['positiveRatio'])} | {years} |")
     c = report["collective"]
     lines.append(f"\n## 集体水位(决议 C:跌破=研判卡数据,权重冻结不动)\n"
                  f"- 已晋级 n={c['n']},t 中位数={c['median']},地板={c['floor']},"

tests/factor/test_monthly_review.py

@@ -1,6 +1,7 @@
 # tests/factor/test_monthly_review.py
 """月度批评 TDD——spec §4.2 决议 H: 双机各跑,数据截止对齐自然月末."""
 import json
+import math
 import os
 
 import pytest
@@ -9,6 +10,7 @@ from sanguo_factor import eval_store
 from sanguo_factor.monthly_review import (
     build_report,
     extract_points,
+    factor_stats,
     load_history_points,
     main,
     pick_eval_run,
@@ -253,3 +255,38 @@ def test_pre_gate_threshold_follows_promotion_bar_constant(monkeypatch):
     pg = mr.pre_gate_table(reg, {"fa_a": [{"month": "2026-09", "t": 2.2}]},
                            {"fa_a": {"t": 2.2, "ic_mean": 0.05, "count": 200}})
     assert pg["fa_a"]["flag"] == "REVIEW"       # 2.2 < 2.5(常量)→REVIEW;硬编码 2.0 会 PASS
+
+
+# —— 判定弹药三件(2026-10-10 spec §4.2): 全期合成t/正IC占比/逐年IC ——
+def _ammo_pts(*pairs):
+    return [{"month": m, "ic_mean": v, "t": None, "count": 1} for m, v in pairs]
+
+
+def test_factor_stats_basic():
+    s = factor_stats(_ammo_pts(("2025-09", 0.04), ("2025-10", 0.06), ("2026-09", 0.02)))
+    assert s["icAll"] == round((0.04 + 0.06 + 0.02) / 3, 6)
+    assert s["positiveRatio"] == 1.0
+    assert s["byYear"] == {"2025": round((0.04 + 0.06) / 2, 6), "2026": 0.02}
+    mean = 0.04
+    var = ((0.0) + (0.02 ** 2) + ((-0.02) ** 2)) / 2  # ddof=1(离差平方)
+    t_all = mean / (math.sqrt(var) / math.sqrt(3))
+    assert s["tAll"] == round(t_all, 4)
+
+
+def test_factor_stats_negative_and_short():
+    s = factor_stats(_ammo_pts(("2025-09", 0.05), ("2025-10", -0.01)))
+    assert s["positiveRatio"] == 0.5
+    assert s["tAll"] is not None
+    single = factor_stats(_ammo_pts(("2025-09", 0.05)))
+    assert single["tAll"] is None      # n<2 无合成 t
+    assert single["positiveRatio"] == 1.0
+
+
+def test_factor_stats_empty_and_dirty():
+    assert factor_stats([]) == {"icAll": None, "tAll": None,
+                                "positiveRatio": None, "byYear": {}}
+    dirty = [{"month": "2025-09", "ic_mean": None, "t": None},
+             {"month": "", "ic_mean": 0.1, "t": None}]
+    s = factor_stats(dirty)
+    assert s["icAll"] == 0.1
+    assert s["byYear"] == {}           # 空 month 不进逐年