feat(backtest): metrics模块—empyrical算10指标+5时序(聚宽同源口径)

requirements-docker.txt

@@ -69,6 +69,7 @@ scikit-learn>=1.6.1
 lightgbm>=4.6.0
 torch>=2.6.0
 pyarrow>=19.0.1
+empyrical>=0.5.5
 
 # ============================================
 # 工具和监控

sanguo_backtest/metrics.py

@@ -0,0 +1,71 @@
+"""回测相对/绝对指标计算（empyrical，聚宽同源口径）。纯函数。"""
+from dataclasses import dataclass, field
+from typing import Dict, Literal
+import numpy as np
+import pandas as pd
+import empyrical
+
+BenchmarkCode = Literal["hs300", "zz500"]
+BENCHMARK_SYMBOL: Dict[str, str] = {"hs300": "sh000300", "zz500": "sz000905"}
+
+
+@dataclass
+class MetricsResult:
+    scalars: Dict[str, float] = field(default_factory=dict)
+    series: Dict[str, pd.Series] = field(default_factory=dict)
+
+
+def compute_metrics(
+    daily_df: pd.DataFrame,
+    benchmark_returns: pd.Series,
+    period: int = 252,
+) -> MetricsResult:
+    """对 vnpy daily_df + 基准日收益计算聚宽级指标。
+
+    daily_df: vnpy calculate_result() 产出，须含 "return" 列（日收益率），index 为日期。
+    benchmark_returns: 基准日收益率 Series，index 对齐 daily_df。
+    period: 年化周期（整数，默认252交易日），empyrical 内部使用 'daily'
+    """
+    strat = daily_df["return"].astype(float)
+    # 对齐
+    aligned = pd.concat([strat.rename("s"), benchmark_returns.rename("b")], axis=1).dropna()
+    s, b = aligned["s"], aligned["b"]
+
+    scalars = {
+        "total_return": float(empyrical.cum_returns_final(s)),
+        "annual_return": float(empyrical.annual_return(s, period='daily')),
+        "alpha": float(empyrical.alpha(s, b, period='daily')),
+        "beta": float(empyrical.beta(s, b)),
+        "sharpe_ratio": float(empyrical.sharpe_ratio(s, period='daily')),
+        "sortino_ratio": float(empyrical.sortino_ratio(s, period='daily')),
+        "information_ratio": float(empyrical.excess_sharpe(s, b)),
+        "annual_volatility": float(empyrical.annual_volatility(s, period='daily')),
+        "max_drawdown": float(empyrical.max_drawdown(s)),
+        "benchmark_return": float(empyrical.cum_returns_final(b)),
+        "benchmark_volatility": float(empyrical.annual_volatility(b, period='daily')),
+    }
+
+    equity = empyrical.cum_returns(s)
+    bench_curve = empyrical.cum_returns(b)
+    # rolling alpha/beta (expanding window 用于画图，口径由 scalars 保证)
+    roll_beta = pd.Series(index=s.index, dtype=float)
+    roll_alpha = pd.Series(index=s.index, dtype=float)
+    for i in range(len(s)):
+        sub = aligned.iloc[: i + 1]
+        if len(sub) >= 2 and sub["b"].var() > 0:
+            beta = sub["s"].cov(sub["b"]) / sub["b"].var()
+            alpha = sub["s"].mean() - beta * sub["b"].mean()
+            roll_beta.iloc[i] = beta
+            roll_alpha.iloc[i] = alpha * period
+    # drawdown: 从峰值回落 (值 <= 0)
+    cummax = equity.cummax()
+    drawdown = (equity - cummax) / cummax
+
+    series = {
+        "equity_curve": equity,
+        "benchmark_curve": bench_curve,
+        "alpha": roll_alpha,
+        "beta": roll_beta,
+        "drawdown": drawdown,
+    }
+    return MetricsResult(scalars=scalars, series=series)

tests/backtest/test_metrics.py

@@ -0,0 +1,53 @@
+import sys, os
+_VNPY_SRC = os.path.abspath(os.path.join(os.path.dirname(__file__), "..", "..", "vnpy_v4.4.0"))
+sys.path.insert(0, _VNPY_SRC)
+
+import pandas as pd
+import numpy as np
+import empyrical
+from sanguo_backtest.metrics import compute_metrics, MetricsResult, BENCHMARK_SYMBOL
+
+def _make_daily(returns):
+    idx = pd.date_range("2024-01-01", periods=len(returns), freq="B")
+    return pd.DataFrame({"return": returns}, index=idx)
+
+def test_compute_metrics_scalars_match_empyrical():
+    np.random.seed(42)
+    strat = pd.Series(np.random.normal(0.001, 0.02, 100),
+                      index=pd.date_range("2024-01-01", periods=100, freq="B"))
+    bench = pd.Series(np.random.normal(0.0005, 0.015, 100), index=strat.index)
+    daily_df = pd.DataFrame({"return": strat.values}, index=strat.index)
+
+    res = compute_metrics(daily_df, bench)
+    assert isinstance(res, MetricsResult)
+    # 标量口径与 empyrical 直接计算一致
+    assert abs(res.scalars["alpha"] - empyrical.alpha(strat, bench)) < 1e-9
+    assert abs(res.scalars["beta"] - empyrical.beta(strat, bench)) < 1e-9
+    assert abs(res.scalars["sharpe_ratio"] - empyrical.sharpe_ratio(strat)) < 1e-9
+    assert abs(res.scalars["sortino_ratio"] - empyrical.sortino_ratio(strat)) < 1e-9
+    assert abs(res.scalars["max_drawdown"] - empyrical.max_drawdown(strat)) < 1e-9
+    assert abs(res.scalars["annual_volatility"] - empyrical.annual_volatility(strat)) < 1e-9
+
+def test_compute_metrics_has_all_required_scalars():
+    strat = pd.Series([0.01, -0.005, 0.02, 0.0],
+                      index=pd.date_range("2024-01-01", periods=4, freq="B"))
+    bench = pd.Series([0.005, 0.001, 0.01, -0.002], index=strat.index)
+    res = compute_metrics(pd.DataFrame({"return": strat.values}, index=strat.index), bench)
+    required = {"total_return","annual_return","alpha","beta","sharpe_ratio",
+                "sortino_ratio","information_ratio","annual_volatility","max_drawdown",
+                "benchmark_return","benchmark_volatility"}
+    assert required.issubset(res.scalars.keys())
+
+def test_compute_metrics_series_keys_and_length():
+    strat = pd.Series(np.random.normal(0, 0.01, 50),
+                      index=pd.date_range("2024-01-01", periods=50, freq="B"))
+    bench = pd.Series(np.random.normal(0, 0.01, 50), index=strat.index)
+    res = compute_metrics(pd.DataFrame({"return": strat.values}, index=strat.index), bench)
+    for key in ["equity_curve","benchmark_curve","alpha","beta","drawdown"]:
+        assert key in res.series
+        assert len(res.series[key]) == 50
+    assert res.series["drawdown"].max() <= 1e-9  # 回撤 <= 0
+
+def test_benchmark_symbol_map():
+    assert BENCHMARK_SYMBOL["hs300"] == "sh000300"
+    assert BENCHMARK_SYMBOL["zz500"] == "sz000905"