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