claude_dev
e5ed91d755
- --fund-data-dir default=None 透传 batch_eval;默认语义已有三层fallback: 参数 → cfg.data_paths['static_dir'] → /volume1/stock/sanguo_vnpy_v2/data/static (None≠不join,CLI不传参容器内外同路径可跑财务批;量价批不含fundamental因子零开销) - docstring补财务批用法示例(--categories fundamental) - 验证: pytest tests/factor/ -x -q 145绿; --list-factors fundamental 列出32个 [nas] Co-Authored-By: Claude Code <noreply@anthropic.com>
92 lines
4.3 KiB
Python
92 lines
4.3 KiB
Python
#!/usr/bin/env python
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"""批量因子评估 CLI(冒烟/全量;NAS docker exec / 本地直跑).
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用法示例:
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冒烟(50只×2024×10因子):
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venv310/bin/python scripts/factor_research/run_eval.py \
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--start 2024-01-01 --end 2024-12-31 --limit 50 --label smoke-2024 \
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--factors alpha2,alpha6,alpha12,alpha18,kmid,klen,roc_5,ma_20,std_20,wvma_20
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全量(Alpha101+158 × 全A × 8.5年):
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venv310/bin/python scripts/factor_research/run_eval.py --label batch1-full
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财务批(32因子;静态域默认 /volume1/stock/sanguo_vnpy_v2/data/static 容器内外同路径):
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venv310/bin/python scripts/factor_research/run_eval.py \
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--start 2024-01-01 --end 2026-06-30 --categories fundamental --label fund-p0
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"""
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import argparse
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import os
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import sys
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sys.path.insert(0, os.path.abspath(os.path.join(os.path.dirname(__file__), "..", "..")))
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sys.path.insert(0, os.path.abspath(os.path.join(os.path.dirname(__file__), "..", "..", "vnpy_v4.4.0")))
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def main() -> int:
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ap = argparse.ArgumentParser(description=__doc__)
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ap.add_argument("--start", default="2018-01-01")
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ap.add_argument("--end", default="2026-06-30")
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ap.add_argument("--categories", nargs="*", default=["alpha101", "alpha158"])
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ap.add_argument("--factors", default="", help="逗号分隔,优先于 --categories")
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ap.add_argument("--symbols", default="", help="逗号分隔裸代码;空=全A")
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ap.add_argument("--limit", type=int, default=None, help="随机抽样 N 只(种子42)")
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ap.add_argument("--label", default="batch1")
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ap.add_argument("--db", default=None, help="factor_eval.db 路径;默认 default_eval_db_path()")
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ap.add_argument("--run-id", default=None, help="断点续跑:复用既有 run_id,跳过已落库因子")
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ap.add_argument("--fund-data-dir", default=None,
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help="财务静态域根目录;默认 cfg.data_paths['static_dir'] → "
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"/volume1/stock/sanguo_vnpy_v2/data/static(容器内外同路径),"
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"仅含 fundamental 因子时才读取")
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ap.add_argument("--list-factors", default="", metavar="CATEGORY", help="列出类目因子后退出")
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args = ap.parse_args()
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from sanguo_factor.alpha_datasets import mount_all
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mount_all()
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from sanguo_factor.registry import list_factors
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from sanguo_factor.batch_eval import run_batch_eval
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from sanguo_factor.eval_store import default_eval_db_path, get_rows
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if args.list_factors:
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for f in list_factors(args.list_factors):
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print(f"{f['name']:16s} [{f['category']}] {f['expression'][:80]}")
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return 0
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if args.factors:
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factor_names = [s.strip() for s in args.factors.split(",") if s.strip()]
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else:
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factor_names = [f["name"] for c in args.categories for f in list_factors(c)]
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if not factor_names:
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print("未找到因子(检查 --categories/--factors)", file=sys.stderr)
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return 1
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db_path = args.db or default_eval_db_path()
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symbols = [s.strip() for s in args.symbols.split(",") if s.strip()] or None
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print(f"[eval] {len(factor_names)} 因子 × {args.start}~{args.end} → {db_path}")
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def _cb(done: int, total: int, current: str) -> None:
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print(f"[eval] {done}/{total} {current}", flush=True)
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out = run_batch_eval(factor_names, args.start, args.end, db_path, label=args.label,
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symbols=symbols, limit=args.limit, cfg=None, progress_cb=_cb,
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run_id=args.run_id, fund_data_dir=args.fund_data_dir)
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print(f"[eval] run_id={out['run_id']} done={out['factors_done']} "
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f"errors={len(out['errors'])} elapsed={out['elapsed_sec']}s symbols={out['symbols_count']}")
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if out["errors"]:
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print(f"[eval] 失败因子: {', '.join(out['errors'][:20])}")
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rows = get_rows(db_path, out["run_id"])
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scored = []
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for r in rows:
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p1 = (r.get("metrics") or {}).get("1") or {}
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if p1.get("icir") is not None:
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scored.append((abs(p1["icir"]), r["factor"], p1))
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scored.sort(reverse=True)
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print(f"\n{'因子':<14s} {'IC':>8s} {'ICIR':>8s} {'t':>8s} {'胜率':>7s} 结论")
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for _, name, p1 in scored[:15]:
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print(f"{name:<14s} {p1['ic_mean']:>8.4f} {p1['icir']:>8.3f} "
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f"{p1['t_stat']:>8.2f} {p1['win_rate']:>7.1%} {p1['conclusion']}")
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return 0
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if __name__ == "__main__":
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raise SystemExit(main())
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