From f1fc18bc86c35359bf62f4feb10f33bf68176981 Mon Sep 17 00:00:00 2001
From: claude_dev <claude-dev@sanguo.local>
Date: Sat, 11 Jul 2026 15:03:30 +0800
Subject: [PATCH] =?UTF-8?q?feat(backtest):=20=E8=A1=A5=E5=85=A8=E7=AC=AC5?=
 =?UTF-8?q?=E5=9B=BEVolatilityChart=E2=80=94metrics=E5=8A=A0rolling?=
 =?UTF-8?q?=E6=B3=A2=E5=8A=A8=E7=8E=87=E6=97=B6=E5=BA=8F+risk-series?=
 =?UTF-8?q?=E7=AB=AF=E7=82=B9+=E5=89=8D=E7=AB=AF=E6=8E=A5=E5=85=A5(?=
 =?UTF-8?q?=E5=87=91=E9=BD=90=E8=81=9A=E5=AE=BD5=E5=9B=BE=E5=85=A8?=
 =?UTF-8?q?=E5=A5=97)?=
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---
 frontend/src/api/backtest.ts           |  2 ++
 frontend/src/views/backtest/Result.vue |  8 ++++++++
 sanguo_api/routes.py                   |  6 +++++-
 sanguo_backtest/metrics.py             | 11 +++++++++++
 4 files changed, 26 insertions(+), 1 deletion(-)

diff --git a/frontend/src/api/backtest.ts b/frontend/src/api/backtest.ts
index 892bd1b..1a7d899 100644
--- a/frontend/src/api/backtest.ts
+++ b/frontend/src/api/backtest.ts
@@ -156,6 +156,8 @@ export interface RiskSeriesData {
   alpha: number[]
   beta: number[]
   drawdown: number[]
+  strategy_vol?: number[]
+  benchmark_vol?: number[]
 }
 
 export async function getRelativeMetrics(taskId: string): Promise<RelativeMetrics> {
diff --git a/frontend/src/views/backtest/Result.vue b/frontend/src/views/backtest/Result.vue
index 2e886c2..d967163 100644
--- a/frontend/src/views/backtest/Result.vue
+++ b/frontend/src/views/backtest/Result.vue
@@ -13,6 +13,7 @@ import BenchmarkCurve from '@/components/backtest/BenchmarkCurve.vue'
 import AlphaChart from '@/components/backtest/AlphaChart.vue'
 import BetaChart from '@/components/backtest/BetaChart.vue'
 import DrawdownChart from '@/components/backtest/DrawdownChart.vue'
+import VolatilityChart from '@/components/backtest/VolatilityChart.vue'
 
 const route = useRoute()
 const taskId = String(route.params.id)
@@ -194,6 +195,13 @@ onMounted(async () => {
               :drawdown="filteredRiskSeries.drawdown"
             />
           </el-card>
+          <el-card>
+            <VolatilityChart
+              :dates="filteredRiskSeries.dates"
+              :strategy="filteredRiskSeries.strategy_vol ?? []"
+              :benchmark="filteredRiskSeries.benchmark_vol ?? []"
+            />
+          </el-card>
         </div>
       </el-tab-pane>
 
diff --git a/sanguo_api/routes.py b/sanguo_api/routes.py
index 3ac3d91..fa51c01 100644
--- a/sanguo_api/routes.py
+++ b/sanguo_api/routes.py
@@ -387,12 +387,16 @@ def risk_series(task_id: str):
     alpha = series.get("alpha", {})
     beta = series.get("beta", {})
     drawdown = series.get("drawdown", {})
+    vol_s = series.get("volatility_strategy", {})
+    vol_b = series.get("volatility_benchmark", {})
 
     return {
         "dates": alpha.get("dates", []),
         "alpha": alpha.get("values", []),
         "beta": beta.get("values", []),
-        "drawdown": drawdown.get("values", [])
+        "drawdown": drawdown.get("values", []),
+        "strategy_vol": vol_s.get("values", []),
+        "benchmark_vol": vol_b.get("values", [])
     }
 
 
diff --git a/sanguo_backtest/metrics.py b/sanguo_backtest/metrics.py
index 2afd7b9..3825fec 100644
--- a/sanguo_backtest/metrics.py
+++ b/sanguo_backtest/metrics.py
@@ -64,11 +64,22 @@ def compute_metrics(
     cummax = equity.cummax()
     drawdown = (equity - cummax) / cummax
 
+    # Rolling annualized volatility (quarterly window) for the volatility chart
+    _vol_window = min(63, len(s))
+    if _vol_window >= 2:
+        vol_strategy = s.rolling(_vol_window, min_periods=2).std() * np.sqrt(period)
+        vol_benchmark = b.rolling(_vol_window, min_periods=2).std() * np.sqrt(period)
+    else:
+        vol_strategy = pd.Series([np.nan] * len(s), index=s.index)
+        vol_benchmark = pd.Series([np.nan] * len(s), index=s.index)
+
     series = {
         "equity_curve": equity,
         "benchmark_curve": bench_curve,
         "alpha": roll_alpha,
         "beta": roll_beta,
         "drawdown": drawdown,
+        "volatility_strategy": vol_strategy,
+        "volatility_benchmark": vol_benchmark,
     }
     return MetricsResult(scalars=scalars, series=series)