468 lines
25 KiB
TypeScript
468 lines
25 KiB
TypeScript
/* 业务假数据 —— 覆盖各接口的核心展示数据（样板用，连真实后端时不触发） */
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import { genEquity, genBenchmark, genRisk, genDailyPnl, genPaperEquity, genDates } from './series'
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const N = 117
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/* ========== 策略 ========== */
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export const strategiesMock = {
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strategies: [
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{ name: '双均线', class_name: 'AShareDoubleMaStrategy' },
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{ name: '布林通道', class_name: 'AShareBollStrategy' },
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{ name: 'ATR 突破', class_name: 'AShareAtrStrategy' },
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{ name: '全天候(组合)', class_name: 'AllWeatherStrategy' },
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],
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}
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export const strategyParamsMock: Record<string, { parameters: string[]; defaults: Record<string, number> }> = {
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AShareDoubleMaStrategy: { parameters: ['fast_window', 'slow_window', 'size'], defaults: { fast_window: 10, slow_window: 30, size: 100 } },
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AShareBollStrategy: { parameters: ['boll_window', 'boll_dev', 'size'], defaults: { boll_window: 20, boll_dev: 2.0, size: 100 } },
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AShareAtrStrategy: { parameters: ['atr_window', 'atr_multiplier', 'size'], defaults: { atr_window: 14, atr_multiplier: 3.0, size: 100 } },
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AllWeatherStrategy: { parameters: ['rebalance_day', 'top_n'], defaults: { rebalance_day: 1, top_n: 5 } },
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}
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/* ========== 回测历史任务列表 ========== */
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export const taskListMock = {
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tasks: [
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{ id: 101, task_id: 'cta_7a92d1f6', type: 'cta', status: 'done', strategy: 'AShareDoubleMaStrategy', symbol: '600519.SH', start: '2024-01-02', end: '2024-06-28', instance: '茅台双均线(10,30)·15m' },
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{ id: 100, task_id: 'cta_c287f4b5', type: 'cta', status: 'done', strategy: 'AShareBollStrategy', symbol: '000858.SZ', start: '2023-06-01', end: '2024-06-01', instance: '五粮液双均线(5,20)·日线' },
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{ id: 99, task_id: 'opt_3f8a2c', type: 'optimize', status: 'done', strategy: 'AShareDoubleMaStrategy', symbol: '600519.SH', start: '2023-01-03', end: '2024-06-28', instance: '茅台双均线(10,30)·15m' },
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{ id: 98, task_id: 'pf_a1b2c3', type: 'portfolio', status: 'done', strategy: 'AllWeatherStrategy', symbol: '中证1000成份', start: '2022-01-04', end: '2024-06-28', instance: '全天候·中证1000·周调仓' },
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{ id: 97, task_id: 'cta_e5d4c3', type: 'cta', status: 'failed', strategy: 'AShareAtrStrategy', symbol: '300750.SZ', start: '2024-03-01', end: '2024-06-28', instance: '宁德布林(20,2)·15m' },
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{ id: 96, task_id: 'fc_88aabb', type: 'factor', status: 'done', strategy: '动量因子MOM20', symbol: '全市场', start: '2020-01-02', end: '2024-06-28', instance: '' },
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{ id: 95, task_id: 'cta_112233', type: 'cta', status: 'running', strategy: 'AShareDoubleMaStrategy', symbol: '510300.SH', start: '2024-01-02', end: '2024-08-12', instance: '茅台双均线(10,30)·15m' },
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],
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}
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/* ========== CTA 回测结果 ========== */
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export const ctaMetricsMock = {
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relative_metrics: {
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total_return: 0.3842,
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annual_return: 0.3125,
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alpha: 0.0821,
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beta: 0.7128,
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sharpe_ratio: 1.4203,
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sortino_ratio: 1.8841,
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information_ratio: 0.9635,
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annual_volatility: 0.1822,
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max_drawdown: -0.1278,
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benchmark_return: 0.0721,
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benchmark_volatility: 0.1513,
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},
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statistics: {
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total_return: '0.3842',
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annual_return: '0.3125',
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sharpe_ratio: '1.4203',
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sortino_ratio: '1.8841',
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max_drawdown: '-0.1278',
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total_trade_count: '48',
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win_rate: '0.5417',
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avg_return: '0.0080',
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max_dd_duration: '42',
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daily_net_pnl: '0',
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total_net_pnl: '384200',
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total_commission: '4128',
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total_slippage: '1820',
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total_turnover: '0.84',
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},
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task_id: 'cta_7a92d1f6',
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symbol: '600519.SH',
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start: '2024-01-02',
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end: '2024-06-28',
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strategy: 'AShareDoubleMaStrategy',
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params: { fast_window: 10, slow_window: 30, size: 100 },
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status: 'done',
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}
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export const equityCurveMock = { equity_curve: genEquity(N) }
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export const benchmarkCurveMock = (() => {
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const e = genEquity(N)
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const b = genBenchmark(N)
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return { dates: e.map((p) => p.date), strategy: e.map((p) => p.balance), benchmark: b.map((p) => p.balance) }
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})()
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export const riskSeriesMock = genRisk(N)
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export const dailyPnlMock = { daily_pnl: genDailyPnl(N) }
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export const tradesMock = {
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trades: [
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{ datetime: '2024-01-05 09:30:00', direction: 'LONG', offset: 'OPEN', price: 1685.2, volume: 100, vt_symbol: '600519.SH' },
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{ datetime: '2024-01-18 14:50:00', direction: 'LONG', offset: 'OPEN', price: 1702.5, volume: 100, vt_symbol: '600519.SH' },
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{ datetime: '2024-02-08 09:35:00', direction: 'SHORT', offset: 'CLOSE', price: 1748.0, volume: 200, vt_symbol: '600519.SH' },
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{ datetime: '2024-03-04 09:30:00', direction: 'LONG', offset: 'OPEN', price: 1710.6, volume: 100, vt_symbol: '600519.SH' },
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{ datetime: '2024-04-01 10:15:00', direction: 'SHORT', offset: 'CLOSE', price: 1756.3, volume: 100, vt_symbol: '600519.SH' },
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{ datetime: '2024-04-22 09:30:00', direction: 'LONG', offset: 'OPEN', price: 1632.8, volume: 100, vt_symbol: '600519.SH' },
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{ datetime: '2024-05-20 13:40:00', direction: 'SHORT', offset: 'CLOSE', price: 1718.9, volume: 100, vt_symbol: '600519.SH' },
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{ datetime: '2024-06-12 09:30:00', direction: 'LONG', offset: 'OPEN', price: 1508.2, volume: 100, vt_symbol: '600519.SH' },
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],
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}
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export const klineMock = {
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kline: genDates('2024-01-02', 60).map((date, i) => ({
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datetime: date,
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open: 1680 + Math.sin(i / 5) * 30 + i * 0.4,
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high: 1690 + Math.sin(i / 5) * 30 + i * 0.4,
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low: 1670 + Math.sin(i / 5) * 30 + i * 0.4,
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close: 1685 + Math.sin(i / 5) * 30 + i * 0.4,
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volume: 1200000 + Math.sin(i / 3) * 400000,
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})),
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}
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export const optResultsMock = {
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results: [
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{ params: { fast_window: 5, slow_window: 20 }, statistics: { sharpe_ratio: 1.12, total_return: 0.28, max_drawdown: -0.15 } },
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{ params: { fast_window: 5, slow_window: 30 }, statistics: { sharpe_ratio: 1.35, total_return: 0.33, max_drawdown: -0.14 } },
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{ params: { fast_window: 10, slow_window: 20 }, statistics: { sharpe_ratio: 1.48, total_return: 0.37, max_drawdown: -0.12 } },
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{ params: { fast_window: 10, slow_window: 30 }, statistics: { sharpe_ratio: 1.42, total_return: 0.38, max_drawdown: -0.13 } },
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{ params: { fast_window: 10, slow_window: 40 }, statistics: { sharpe_ratio: 1.51, total_return: 0.41, max_drawdown: -0.11 } },
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{ params: { fast_window: 15, slow_window: 30 }, statistics: { sharpe_ratio: 1.36, total_return: 0.35, max_drawdown: -0.14 } },
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{ params: { fast_window: 20, slow_window: 60 }, statistics: { sharpe_ratio: 1.23, total_return: 0.30, max_drawdown: -0.16 } },
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],
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}
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export const logMock = { log: '[2024-06-28 09:30:00] load_data bars=117\n[09:30:01] run_backtesting start\n[09:30:04] run_backtesting done\n[09:30:04] calculate_result shape=(117,25)\n[09:30:04] compute_metrics 27ms\n[09:30:04] write metrics.json done\n' }
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/* ========== 模拟盘 paper ========== */
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export const paperListMock = {
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accounts: [
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{ id: 1, name: '茅台双均线·回放', mode: 'replay', interval: 'd', status: 'running', symbols: '600519.SH', initial_capital: 1000000, start_date: '2024-01-02', end_date: '2024-06-28', last_run_date: '2024-06-28', next_run_at: null, checkpoint_date: '2024-06-27', error_msg: null, latest_equity: 1384200, latest_date: '2024-06-28', total_return: 0.3842 },
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{ id: 2, name: '15分钟动量·实走', mode: 'live', interval: '15m', status: 'running', symbols: '000858.SZ,002594.SZ', initial_capital: 500000, start_date: '2024-05-01', end_date: null, last_run_date: '2024-08-12', next_run_at: '2024-08-13 15:05', checkpoint_date: '2024-08-12', error_msg: null, latest_equity: 521800, latest_date: '2024-08-12', total_return: 0.0436 },
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{ id: 3, name: '全天候组合·实走', mode: 'live', interval: 'd', status: 'pending', symbols: '中证1000池', initial_capital: 1000000, start_date: '2024-03-01', end_date: null, last_run_date: '2024-08-11', next_run_at: '2024-08-13 15:05', checkpoint_date: '2024-08-11', error_msg: null, latest_equity: 1046200, latest_date: '2024-08-11', total_return: 0.0462 },
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{ id: 4, name: '布林通道测试', mode: 'replay', interval: 'd', status: 'failed', symbols: '300750.SZ', initial_capital: 300000, start_date: '2024-06-01', end_date: '2024-08-01', last_run_date: '2024-08-01', next_run_at: null, checkpoint_date: null, error_msg: 'load_data bars=0：区间无日线', latest_equity: null, latest_date: null, total_return: null },
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],
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}
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export const paperDetailMock = paperListMock.accounts[0]
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export const paperEquityMock = genPaperEquity(120)
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export const paperTradesMock = tradesMock.trades.map((t, i) => ({
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strategy_id: 'doublema_' + (i % 2),
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symbol: '600519.SH',
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direction: t.direction,
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price: t.price,
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volume: t.volume,
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commission: Math.round(t.price * t.volume * 0.0003),
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rejected: 0,
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reject_reason: '',
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bar_date: t.datetime.slice(0, 10),
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}))
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export const paperStrategiesMock = [
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{ strategy_id: 'doublema_0', total_orders: 32, filled: 28, rejected: 4, commission: 1280 },
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{ strategy_id: 'boll_1', total_orders: 16, filled: 16, rejected: 0, commission: 720 },
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]
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export const paperPositionsMock = [
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{ symbol: '600519.SH', volume: 200, frozen: 0, avg_price: 1689.3 },
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{ symbol: '000858.SZ', volume: 500, frozen: 0, avg_price: 168.2 },
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]
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export const paperPendingMock = [
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{ strategy_id: 'doublema_0', symbol: '002594.SZ', side: 'BUY', price: 0, volume: 300, is_market: true, match_session: 'next_open', listing_days: 1200 },
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]
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/* ========== 实盘 live ========== */
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export const liveListMock = {
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accounts: [
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{ id: 11, name: '茅台 miniQMT', account: '8888001100', vt_symbol: '600519.SH', strategy_class: 'AShareDoubleMaStrategy', strategy_name: '双均线', setting: '{"fast_window":10,"slow_window":30,"size":100}', status: 'running', interval: 'd', initial_capital: 1000000, connect_wait_sec: 15, init_wait_sec: 8, mini_path: 'D:\\miniQMTuserdata', error_msg: null, created_at: '2024-07-01 10:00:00', updated_at: '2024-08-12 15:05:00', latest_equity: 1384200, latest_date: '2024-08-12', total_return: 0.3842, position_count: 2 },
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{ id: 12, name: '宁德 miniQMT', account: '8888001101', vt_symbol: '300750.SZ', strategy_class: 'AShareBollStrategy', strategy_name: '布林通道', setting: '{"boll_window":20,"boll_dev":2.0,"size":100}', status: 'stopped', interval: 'd', initial_capital: 500000, connect_wait_sec: 15, init_wait_sec: 8, mini_path: 'D:\\miniQMTuserdata', error_msg: null, created_at: '2024-07-10 14:00:00', updated_at: '2024-08-10 15:05:00', latest_equity: 485200, latest_date: '2024-08-10', total_return: -0.0296, position_count: 1 },
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{ id: 13, name: '五粮液 miniQMT', account: '8888001102', vt_symbol: '000858.SZ', strategy_class: 'AShareAtrStrategy', strategy_name: 'ATR突破', setting: '{"atr_window":14,"atr_multiplier":3.0,"size":100}', status: 'error', interval: 'd', initial_capital: 300000, connect_wait_sec: 15, init_wait_sec: 8, mini_path: 'D:\\miniQMTuserdata', error_msg: 'xtquant connect timeout (mini_path 未登录)', created_at: '2024-08-01 09:00:00', updated_at: '2024-08-12 09:32:00', latest_equity: null, latest_date: null, total_return: null, position_count: 0 },
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],
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}
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export const liveDetailMock = liveListMock.accounts[0]
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export const livePositionsMock = [
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{ symbol: '600519.SH', volume: 200, frozen: 0, avg_price: 1689.3, updated_at: '2024-08-12 15:00:00' },
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{ symbol: '000858.SZ', volume: 500, frozen: 0, avg_price: 168.2, updated_at: '2024-08-12 15:00:00' },
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]
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export const liveTradesMock = tradesMock.trades.slice(0, 5).map((t, i) => ({
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account_id: 11, strategy_name: '双均线', symbol: '600519.SH', direction: t.direction, offset: t.offset, price: t.price, volume: t.volume, traded_at: t.datetime, vt_tradeid: 'xt_' + i,
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}))
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export const liveAccountMock = { account_id: 11, date: '2024-08-12', cash: 612400, market_value: 771800, total: 1384200 }
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export const liveStatusMock = { account_id: 11, status: 'running', name: '茅台 miniQMT', account: '8888001100', vt_symbol: '600519.SH', strategy_name: '双均线', updated_at: '2024-08-12 15:05:00', error_msg: null }
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/* ========== 组合回测 portfolio ========== */
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export const portfolioResultMock = {
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strategy: 'AllWeatherStrategy',
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period: { start: '2022-01-04', end: '2024-06-28', trading_days: 596 },
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stocks_selected: [
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{ code: '002594.SZ', name: '比亚迪', amount: 200, avg_cost: 245.3, price: 268.5, value: 53700 },
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{ code: '300750.SZ', name: '宁德时代', amount: 50, avg_cost: 198.4, price: 212.6, value: 10630 },
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{ code: '600519.SH', name: '贵州茅台', amount: 10, avg_cost: 1689.3, price: 1718.9, value: 17189 },
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{ code: '000858.SZ', name: '五粮液', amount: 300, avg_cost: 168.2, price: 158.4, value: 47520 },
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{ code: '601012.SH', name: '隆基绿能', amount: 800, avg_cost: 32.1, price: 28.6, value: 22880 },
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],
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trades: tradesMock.trades.slice(0, 6).map((t, i) => ({ datetime: t.datetime, code: '600519.SH', side: i % 2 === 0 ? 'BUY' : 'SELL', amount: 100, filled_amount: 100, price: t.price, filled_price: t.price, commission: 18.5, status: 'FILLED' })),
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equity_curve: genEquity(180, { from: '2022-01-04' }).map((p) => ({ date: p.date, equity: p.balance })),
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metrics: {
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total_return: 0.1523, annual_return: 0.0582, max_drawdown: -0.168, sharpe: 0.78,
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win_rate_daily: 0.521, win_rate_trade: 0.483, trading_days: 596,
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},
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}
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/* ========== 策略配置（CRUD） ========== */
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export const strategyConfigsMock = {
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strategies: [
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{ id: 1, name: '茅台双均线(10,30)', strategy_class: 'AShareDoubleMaStrategy', params: { fast_window: 10, slow_window: 30, size: 100 }, symbol_or_pool: '600519.SH', benchmark: 'hs300', interval: 'd', remark: '茅台日线双均线', created_at: '2024-07-01', updated_at: '2024-08-10' },
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{ id: 2, name: '宁德布林(20,2)', strategy_class: 'AShareBollStrategy', params: { boll_window: 20, boll_dev: 2, size: 100 }, symbol_or_pool: '300750.SZ', benchmark: 'zz500', interval: 'd', remark: '宁德时代布林通道', created_at: '2024-07-15', updated_at: '2024-08-09' },
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{ id: 3, name: '全天候组合', strategy_class: 'AllWeatherStrategy', params: { rebalance_day: 1, top_n: 5 }, symbol_or_pool: '中证1000池', benchmark: 'zz500', interval: 'd', remark: '组合主线·月度调仓', created_at: '2024-06-01', updated_at: '2024-08-12' },
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{ id: 4, name: '五粮液ATR突破', strategy_class: 'AShareAtrStrategy', params: { atr_window: 14, atr_multiplier: 3, size: 100 }, symbol_or_pool: '000858.SZ', benchmark: 'hs300', interval: 'd', remark: '', created_at: '2024-08-01', updated_at: '2024-08-11' },
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],
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}
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/* ========== 策略代码文件（在线编辑 mock） ========== */
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const DOUBLE_MA_CODE = `"""双均线策略（A股适配 · 基于 vnpy StrategyTemplate）。
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fast_window 周期均线上穿 slow_window 周期均线 → 买入；
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下穿 → 卖出。定寸 size 股下单（A股 100 股一手）。
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"""
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from typing import List
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from vnpy_ctastrategy import StrategyTemplate
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from vnpy.trader.object import BarData
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class DoubleMaStrategy(StrategyTemplate):
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"""双均线 CTA 策略。"""
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author = "sanguo"
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fast_window = 10
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slow_window = 30
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size = 100
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parameters = ["fast_window", "slow_window", "size"]
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variables = ["fast_ma", "slow_ma"]
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def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
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super().__init__(cta_engine, strategy_name, vt_symbol, setting)
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self.fast_ma = 0.0
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self.slow_ma = 0.0
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def on_init(self) -> None:
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self.write_log("策略初始化")
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self.load_bar(self.slow_window)
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def on_bar(self, bar: BarData) -> None:
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am = self.am
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am.update_bar(bar)
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if not am.inited:
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return
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self.fast_ma = am.sma(self.fast_window, array=True)[-1]
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self.slow_ma = am.sma(self.slow_window, array=True)[-1]
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cross_over = self.fast_ma > self.slow_ma
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cross_below = self.fast_ma < self.slow_ma
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if cross_over and self.pos == 0:
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self.buy(bar.close_price + 0.01, self.size)
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elif cross_below and self.pos > 0:
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self.sell(bar.close_price - 0.01, self.size)
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self.put_event()
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`
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const ALL_WEATHER_CODE = `"""聚宽"全天候轮动"策略 · BulletTrade 框架移植。
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选股 + 大小盘轮动 + 海外 ETF 兜底 + 涨停盯盘，月度调仓。
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数据/下单全部走注入的 provider 和 broker_facade（聚宽风格 API）。
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"""
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import logging
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import numpy as np
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from dataclasses import dataclass, field
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from typing import Any, Callable, List, Optional
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||
logger = logging.getLogger(__name__)
|
||
|
||
|
||
@dataclass
|
||
class AllWeatherConfig:
|
||
stock_num: int = 3 # 持仓数
|
||
trend_window: int = 10 # 趋势涨幅窗口
|
||
trend_threshold: float = 10.0 # "无敌好行情"阈值
|
||
stop_loss_pct: float = 0.92 # 止损线
|
||
benchmark: str = "000300.XSHG"
|
||
|
||
|
||
class AllWeatherStrategy:
|
||
"""全天候轮动（组合主线策略）。"""
|
||
|
||
def __init__(self, provider: Any, broker: Any = None, config: Optional[AllWeatherConfig] = None):
|
||
self.provider = provider
|
||
self.broker = broker
|
||
self.config = config or AllWeatherConfig()
|
||
self.hold_list: List[str] = []
|
||
|
||
def initialize(self, context: Any) -> None:
|
||
b = self.broker
|
||
b.set_benchmark(self.config.benchmark)
|
||
b.run_daily(self.prepare_stock_list, "9:05")
|
||
b.run_monthly(self.monthly_adjustment, 1, "9:30")
|
||
b.run_daily(self.stop_loss, "14:00")
|
||
|
||
def monthly_adjustment(self, context: Any) -> None:
|
||
"""月度调仓：大小盘轮动 + 选股 + 调仓下单（详见完整源码）。"""
|
||
cfg = self.config
|
||
b_stocks = self._stock_pool("000300.XSHG", context.previous_date)
|
||
target = self._pick_big_universe(b_stocks, context)
|
||
for code in target:
|
||
self.broker.order_target_value(code, 0) # 占位：实际按 target 等权
|
||
logger.info("monthly_adjustment target=%s", target)
|
||
|
||
def stop_loss(self, context: Any) -> None:
|
||
"""持仓跌幅超 stop_loss_pct 止损。"""
|
||
pass # 详见完整实现
|
||
`
|
||
|
||
const BOLL_CODE = `"""布林带通道策略（A股）。价格突破上轨买入，跌破下轨卖出。"""
|
||
from vnpy_ctastrategy import StrategyTemplate
|
||
|
||
|
||
class BollChannelStrategy(StrategyTemplate):
|
||
author = "sanguo"
|
||
boll_window = 20
|
||
boll_dev = 2.0
|
||
size = 100
|
||
parameters = ["boll_window", "boll_dev", "size"]
|
||
variables = ["boll_up", "boll_down"]
|
||
|
||
def on_init(self):
|
||
self.load_bar(self.boll_window)
|
||
|
||
def on_bar(self, bar):
|
||
am = self.am
|
||
am.update_bar(bar)
|
||
if not am.inited:
|
||
return
|
||
self.boll_up, self.boll_down = am.boll(self.boll_window, self.boll_dev)
|
||
if am.close > self.boll_up and self.pos == 0:
|
||
self.buy(bar.close_price, self.size)
|
||
elif am.close < self.boll_down and self.pos > 0:
|
||
self.sell(bar.close_price, self.size)
|
||
`
|
||
|
||
const ATR_CODE = `"""ATR 通道突破策略（A股）。基于 ATR 的动态通道突破。"""
|
||
from vnpy_ctastrategy import StrategyTemplate
|
||
|
||
|
||
class AtrRsiStrategy(StrategyTemplate):
|
||
author = "sanguo"
|
||
atr_window = 14
|
||
atr_multiplier = 3.0
|
||
size = 100
|
||
parameters = ["atr_window", "atr_multiplier", "size"]
|
||
variables = ["atr_value", "entry_price"]
|
||
|
||
def on_init(self):
|
||
self.load_bar(self.atr_window + 5)
|
||
|
||
def on_bar(self, bar):
|
||
am = self.am
|
||
am.update_bar(bar)
|
||
if not am.inited:
|
||
return
|
||
self.atr_value = am.atr(self.atr_window)
|
||
entry = am.close[-2] + self.atr_value * self.atr_multiplier
|
||
if am.close > entry and self.pos == 0:
|
||
self.buy(entry, self.size)
|
||
self.entry_price = entry
|
||
`
|
||
|
||
export interface StrategyFile {
|
||
name: string
|
||
dir: string
|
||
class_name: string
|
||
type: 'portfolio' | 'cta'
|
||
lines: number
|
||
modified: string
|
||
code: string
|
||
}
|
||
export const strategyFilesMock: { files: StrategyFile[] } = {
|
||
files: [
|
||
{ name: 'all_weather.py', dir: 'sanguo_portfolio/strategies/', class_name: 'AllWeatherStrategy', type: 'portfolio', lines: 575, modified: '2024-08-12 14:30', code: ALL_WEATHER_CODE },
|
||
{ name: 'momentum_timing.py', dir: 'sanguo_portfolio/strategies/', class_name: 'MomentumTimingStrategy', type: 'portfolio', lines: 412, modified: '2024-08-10 10:20', code: ALL_WEATHER_CODE },
|
||
{ name: 'double_ma.py', dir: 'sanguo_live/strategies/', class_name: 'AShareDoubleMaStrategy', type: 'cta', lines: 68, modified: '2024-07-20 09:15', code: DOUBLE_MA_CODE },
|
||
{ name: 'boll_channel.py', dir: 'sanguo_live/strategies/', class_name: 'AShareBollStrategy', type: 'cta', lines: 32, modified: '2024-07-22 10:00', code: BOLL_CODE },
|
||
{ name: 'atr_breakout.py', dir: 'sanguo_live/strategies/', class_name: 'AShareAtrStrategy', type: 'cta', lines: 30, modified: '2024-08-01 11:20', code: ATR_CODE },
|
||
],
|
||
}
|
||
|
||
/* ========== 策略实例（实例层：代码下的参数变体，每实例一键 4 运行） ========== */
|
||
export interface StrategyInstance {
|
||
id: number
|
||
code_file: string
|
||
name: string
|
||
type: 'portfolio' | 'cta'
|
||
params: Record<string, unknown>
|
||
symbol_or_pool: string
|
||
interval: string
|
||
match_session: string
|
||
status: { backtest: string; replay: string; paper_live: string; live: string }
|
||
last_return: number | null
|
||
updated_at: string
|
||
}
|
||
export const strategyInstancesMock: { instances: StrategyInstance[] } = {
|
||
instances: [
|
||
{ id: 1, code_file: 'all_weather.py', name: '全天候·HS300·月调仓', type: 'portfolio', params: { stock_num: 3, trend_window: 10 }, symbol_or_pool: 'HS300', interval: 'd', match_session: 'next_open', status: { backtest: 'done', replay: 'done', paper_live: 'running', live: '-' }, last_return: 0.1523, updated_at: '2024-08-12' },
|
||
{ id: 2, code_file: 'all_weather.py', name: '全天候·中证1000·周调仓', type: 'portfolio', params: { stock_num: 5, trend_window: 5 }, symbol_or_pool: '中证1000', interval: 'd', match_session: 'next_open', status: { backtest: 'done', replay: '-', paper_live: '-', live: '-' }, last_return: 0.082, updated_at: '2024-08-10' },
|
||
{ id: 3, code_file: 'double_ma.py', name: '茅台双均线(10,30)·15m', type: 'cta', params: { fast_window: 10, slow_window: 30, size: 100 }, symbol_or_pool: '600519.SH', interval: '15m', match_session: 'next_open', status: { backtest: 'done', replay: 'done', paper_live: 'running', live: 'running' }, last_return: 0.3842, updated_at: '2024-08-12' },
|
||
{ id: 4, code_file: 'double_ma.py', name: '五粮液双均线(5,20)·日线', type: 'cta', params: { fast_window: 5, slow_window: 20, size: 100 }, symbol_or_pool: '000858.SZ', interval: 'd', match_session: 'current_close', status: { backtest: 'done', replay: '-', paper_live: '-', live: '-' }, last_return: -0.052, updated_at: '2024-08-08' },
|
||
{ id: 5, code_file: 'boll_channel.py', name: '宁德布林(20,2)·15m', type: 'cta', params: { boll_window: 20, boll_dev: 2, size: 100 }, symbol_or_pool: '300750.SZ', interval: '15m', match_session: 'next_open', status: { backtest: 'done', replay: '-', paper_live: '-', live: 'stopped' }, last_return: -0.0296, updated_at: '2024-08-10' },
|
||
],
|
||
}
|
||
|
||
/* ========== 因子 factor ========== */
|
||
export const factorListMock = {
|
||
factors: [
|
||
{ name: '动量因子 MOM20', category: '动量' },
|
||
{ name: '换手率 TURN5', category: '量价' },
|
||
{ name: '波动率 VOL20', category: '波动' },
|
||
{ name: '市值 SIZE', category: '风格' },
|
||
{ name: 'ROE_TTM', category: '质量' },
|
||
{ name: '毛利率 GROSS', category: '质量' },
|
||
],
|
||
}
|
||
export const icSummaryMock = {
|
||
ic_summary: {
|
||
MOM20: { IC_mean: 0.042, ICIR: 0.51, t_stat: 3.21, positive_ratio: 0.58 },
|
||
TURN5: { IC_mean: -0.028, ICIR: -0.33, t_stat: -2.05, positive_ratio: 0.41 },
|
||
VOL20: { IC_mean: -0.035, ICIR: -0.42, t_stat: -2.6, positive_ratio: 0.38 },
|
||
},
|
||
}
|
||
|
||
/* ========== 任务状态（progress 轮询） ========== */
|
||
export const taskStatusDoneMock = { task_id: 'cta_7a92d1f6', status: 'done', stage: 'compute_metrics' }
|
||
export const taskStatusRunningMock = { task_id: 'cta_running01', status: 'running', stage: 'run_backtesting' }
|
||
|
||
// 双轨对账(影子 vs 实盘,§8.2 四指标样例)
|
||
export const reconcileMock = {
|
||
pairs: [{
|
||
live_account_id: 5,
|
||
shadow_account_id: 39,
|
||
strategy: 'channel_test',
|
||
report: {
|
||
date: '2026-08-17',
|
||
live_account_id: 5,
|
||
shadow_account_id: 39,
|
||
trades: {
|
||
live_count: 6,
|
||
shadow_count: 6,
|
||
count_match: true,
|
||
rows: [
|
||
{ symbol: '510300', side: 'B', live_volume: 20000, shadow_volume: 20000, live_vwap: 3.986, shadow_vwap: 3.982, price_diff_bps: 1.0 },
|
||
{ symbol: '159915', side: 'B', live_volume: 15000, shadow_volume: 15000, live_vwap: 2.114, shadow_vwap: 2.108, price_diff_bps: 2.8 },
|
||
{ symbol: '600000', side: 'S', live_volume: 8000, shadow_volume: 8000, live_vwap: 8.912, shadow_vwap: 8.903, price_diff_bps: 1.0 },
|
||
],
|
||
avg_price_diff_bps: 1.6,
|
||
pass_price: true,
|
||
},
|
||
positions: {
|
||
rows: [
|
||
{ symbol: '510300', live_volume: 20000, shadow_volume: 20000, volume_diff: 0 },
|
||
{ symbol: '159915', live_volume: 15000, shadow_volume: 15000, volume_diff: 0 },
|
||
],
|
||
match: true,
|
||
},
|
||
nav: {
|
||
live_total: 1004218.5,
|
||
shadow_total: 1003886.2,
|
||
mtd_deviation_pct: 0.03,
|
||
pass_nav: true,
|
||
live_mtd_return_pct: 0.42,
|
||
shadow_mtd_return_pct: 0.39,
|
||
},
|
||
passed: true,
|
||
},
|
||
}],
|
||
}
|