feat(backtest): 补全第5图VolatilityChart—metrics加rolling波动率时序+risk-series端点+前端接入(凑齐聚宽5图全套)

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> {

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>
 

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", [])
     }
 
 

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)