feat(backtest): 回测流程集成基准对比—产出相对指标+时序json

sanguo_backtest/cta_engine.py

@@ -15,6 +15,8 @@ if _VNPY_SRC not in sys.path:
     sys.path.insert(0, _VNPY_SRC)
 
 from sanguo_backtest.result_store import BacktestResult, save_result
+from sanguo_data.datareader import read_index_daily
+from sanguo_backtest.metrics import compute_metrics, BENCHMARK_SYMBOL
 
 
 # Mock Exchange enum for local use (replaces vnpy.trader.constant.Exchange)
@@ -121,6 +123,66 @@ def run_cta_backtest(strategy_class, symbol: str, params: dict, start: str, end:
             for k, v in raw_stats.items()
         }
 
+        # Calculate relative metrics against benchmark (Task 3)
+        # Ensure daily_df index is datetime for compute_metrics
+        if daily_df is not None and not daily_df.empty:
+            if not isinstance(daily_df.index, pd.DatetimeIndex):
+                daily_df.index = pd.to_datetime(daily_df.index)
+
+            # Get benchmark config (default hs300)
+            benchmark_key = getattr(cfg, "benchmark", "hs300") if hasattr(cfg, "benchmark") else "hs300"
+            benchmark_code = BENCHMARK_SYMBOL.get(benchmark_key, "sh000300")
+
+            # Load benchmark data
+            start_date = start_dt if isinstance(start_dt, datetime) else datetime.strptime(start, "%Y-%m-%d")
+            end_date = end_dt if isinstance(end_dt, datetime) else datetime.strptime(end, "%Y-%m-%d")
+
+            try:
+                bench_df = read_index_daily(benchmark_code, start_date, end_date, cfg)
+                if bench_df is not None and not bench_df.empty and "close" in bench_df.columns:
+                    # Calculate benchmark daily returns
+                    bench_df["date"] = pd.to_datetime(bench_df["date"])
+                    bench_df = bench_df.sort_values("date")
+                    benchmark_returns = bench_df["close"].pct_change().dropna()
+                    benchmark_returns.index = pd.to_datetime(bench_df["date"].iloc[1:])
+
+                    # vnpy daily_df must have "return" column for compute_metrics
+                    # If not present, calculate from balance
+                    if "return" not in daily_df.columns:
+                        if "balance" in daily_df.columns:
+                            daily_df["return"] = daily_df["balance"].pct_change().fillna(0)
+                        elif "net_pnl" in daily_df.columns:
+                            daily_df["return"] = (daily_df["net_pnl"] / 1_000_000).fillna(0)
+                        else:
+                            daily_df["return"] = 0.0
+
+                    # Compute relative metrics
+                    metrics_result = compute_metrics(daily_df, benchmark_returns)
+
+                    # Merge scalars into statistics (for API response)
+                    statistics.update(metrics_result.scalars)
+
+                    # Serialize series to JSON (separate file, same as equity_curve/trades)
+                    import json
+                    series_data = {}
+                    for key, series in metrics_result.series.items():
+                        if isinstance(series, pd.Series):
+                            series_data[key] = {
+                                "dates": series.index.astype(str).tolist(),
+                                "values": series.tolist()
+                            }
+
+                    # Write metrics series to JSON file
+                    file_dir = os.path.dirname(os.path.abspath(db_path))
+                    metrics_file = os.path.join(file_dir, f"{task_id}_metrics.json")
+                    with open(metrics_file, "w") as f:
+                        json.dump({"series": series_data}, f, indent=2)
+
+            except Exception as metrics_error:
+                # Log but don't fail backtest if metrics calculation fails
+                import logging
+                logging.warning(f"Failed to compute relative metrics: {metrics_error}")
+
         # Build equity curve DataFrame (S1.2): use the daily_df returned by
         # calculate_result (index=date, has a 'balance' column). get_all_daily_results
         # returns DailyResult objects (not dicts), so prefer daily_df.

tests/backtest/test_cta_engine.py

@@ -1,7 +1,22 @@
 """Tests for sanguo_backtest.cta_engine module."""
+# Mock vnpy and tzlocal modules before importing anything that depends on them
+import sys
+from unittest.mock import MagicMock
+mock_tzlocal = MagicMock()
+mock_tzlocal.get_localzone_name = MagicMock(return_value="UTC")
+sys.modules["tzlocal"] = mock_tzlocal
+sys.modules["vnpy.trader.setting"] = MagicMock()
+sys.modules["vnpy.trader.constant"] = MagicMock()
+sys.modules["vnpy.trader.object"] = MagicMock()
+sys.modules["vnpy.trader.database"] = MagicMock()
+sys.modules["vnpy_ctastrategy.backtesting"] = MagicMock()
+sys.modules["empyrical"] = MagicMock()
+
 import pytest
+import json
 from unittest.mock import Mock, patch, MagicMock
 from datetime import datetime
+from pathlib import Path
 import pandas as pd
 from sanguo_backtest.cta_engine import run_cta_backtest
 
@@ -149,3 +164,157 @@ class TestRunCtaBacktest:
         assert result1.task_id != result2.task_id
         assert result1.task_id.startswith("cta_")
         assert result2.task_id.startswith("cta_")
+
+    def test_run_cta_backtest_computes_relative_metrics(self, temp_db_path):
+        """Test that run_cta_backtest computes relative metrics against benchmark."""
+        # Mock strategy class
+        mock_strategy_class = Mock()
+        mock_strategy_class.__name__ = "BmTestStrategy"
+
+        # Mock daily_df with 'return' column (required by compute_metrics)
+        dates = pd.date_range("2024-01-01", "2024-03-31", freq="D")
+        daily_df = pd.DataFrame({
+            "return": [0.001] * len(dates)
+        }, index=dates)
+
+        # Mock vnpy BacktestingEngine
+        mock_engine = MagicMock()
+        mock_engine.calculate_result.return_value = daily_df
+        mock_engine.calculate_statistics.return_value = {
+            "total_return": 0.15,
+            "sharpe_ratio": 1.2,
+            "max_drawdown": -0.08,
+        }
+
+        # Mock config with benchmark
+        mock_cfg = Mock()
+        mock_cfg.data_paths = {"daily_dir": "/mock/daily_dir"}
+
+        # Mock read_index_daily to return benchmark data
+        mock_bench_df = pd.DataFrame({
+            "date": dates,
+            "close": [100.0] * len(dates)
+        })
+
+        # Mock compute_metrics result
+        mock_metrics_result = Mock()
+        mock_metrics_result.scalars = {
+            "alpha": 0.05,
+            "beta": 0.95,
+            "sharpe_ratio": 1.3,
+            "total_return": 0.15,
+            "benchmark_return": 0.10
+        }
+        mock_metrics_result.series = {
+            "equity_curve": pd.Series([1.0, 1.1, 1.2]),
+            "benchmark_curve": pd.Series([1.0, 1.05, 1.1]),
+            "alpha": pd.Series([0.01, 0.02, 0.03]),
+            "beta": pd.Series([0.9, 0.95, 1.0]),
+            "drawdown": pd.Series([0.0, -0.01, -0.02])
+        }
+
+        # Create mock module with BacktestingEngine
+        mock_module = MagicMock()
+        mock_module.BacktestingEngine = Mock(return_value=mock_engine)
+
+        # Mock tzlocal and vnpy modules to avoid import errors
+        mock_tzlocal = MagicMock()
+        mock_tzlocal.get_localzone_name = Mock(return_value="UTC")
+
+        with patch.dict("sys.modules", {
+            "vnpy_ctastrategy.backtesting": mock_module,
+            "tzlocal": mock_tzlocal,
+            "vnpy.trader.setting": MagicMock()
+        }):
+            with patch("sanguo_backtest.cta_engine.read_index_daily", return_value=mock_bench_df):
+                with patch("sanguo_backtest.cta_engine.compute_metrics", return_value=mock_metrics_result):
+                    result = run_cta_backtest(
+                        strategy_class=mock_strategy_class,
+                        symbol="600000",
+                        params={"window": 20},
+                        start="2024-01-01",
+                        end="2024-03-31",
+                        cfg=mock_cfg,
+                        db_path=temp_db_path
+                    )
+
+        # Verify result contains relative metrics (scalars merged into statistics)
+        assert result.statistics.get("alpha") == 0.05
+        assert result.statistics.get("beta") == 0.95
+        assert result.statistics.get("sharpe_ratio") == 1.3  # Should be present
+        assert result.statistics.get("total_return") == 0.15  # Should be present
+
+        # Verify metrics JSON file was written
+        file_dir = Path(temp_db_path).parent
+        metrics_file = file_dir / f"{result.task_id}_metrics.json"
+        assert metrics_file.exists(), f"Metrics file not found: {metrics_file}"
+
+        # Verify metrics file can be loaded and contains expected keys
+        with open(metrics_file, "r") as f:
+            metrics_data = json.load(f)
+
+        # Check that we have 5 series keys
+        series_keys = list(metrics_data.get("series", {}).keys())
+        assert len(series_keys) == 5
+        assert "equity_curve" in series_keys
+        assert "benchmark_curve" in series_keys
+        assert "alpha" in series_keys
+        assert "beta" in series_keys
+        assert "drawdown" in series_keys
+
+    def test_run_cta_backtest_default_benchmark_hs300(self, temp_db_path):
+        """Test that default benchmark is hs300 when not specified in config."""
+        mock_strategy_class = Mock()
+        mock_strategy_class.__name__ = "DefaultBmStrategy"
+
+        # Mock daily_df
+        dates = pd.date_range("2024-01-01", "2024-03-31", freq="D")
+        daily_df = pd.DataFrame({
+            "return": [0.001] * len(dates)
+        }, index=dates)
+
+        mock_engine = MagicMock()
+        mock_engine.calculate_result.return_value = daily_df
+        mock_engine.calculate_statistics.return_value = {"total_return": 0.15}
+
+        # Mock config without benchmark (should use default hs300)
+        mock_cfg = Mock()
+        mock_cfg.data_paths = {"daily_dir": "/mock/daily_dir"}
+
+        mock_bench_df = pd.DataFrame({
+            "date": dates,
+            "close": [100.0] * len(dates)
+        })
+
+        mock_metrics_result = Mock()
+        mock_metrics_result.scalars = {"alpha": 0.05}
+        mock_metrics_result.series = {}
+
+        mock_module = MagicMock()
+        mock_module.BacktestingEngine = Mock(return_value=mock_engine)
+
+        # Mock tzlocal and vnpy modules to avoid import errors
+        mock_tzlocal = MagicMock()
+        mock_tzlocal.get_localzone_name = Mock(return_value="UTC")
+
+        with patch.dict("sys.modules", {
+            "vnpy_ctastrategy.backtesting": mock_module,
+            "tzlocal": mock_tzlocal,
+            "vnpy.trader.setting": MagicMock()
+        }):
+            with patch("sanguo_backtest.cta_engine.read_index_daily", return_value=mock_bench_df) as mock_read:
+                with patch("sanguo_backtest.cta_engine.compute_metrics", return_value=mock_metrics_result):
+                    result = run_cta_backtest(
+                        strategy_class=mock_strategy_class,
+                        symbol="600000",
+                        params={},
+                        start="2024-01-01",
+                        end="2024-03-31",
+                        cfg=mock_cfg,
+                        db_path=temp_db_path
+                    )
+
+        # Verify read_index_daily was called with hs300 code (sh000300)
+        mock_read.assert_called_once()
+        call_args = mock_read.call_args
+        assert call_args[0][0] == "sh000300", "Default benchmark should be hs300 (sh000300)"