85 lines
3.6 KiB
Python
85 lines
3.6 KiB
Python
# tests/factor/test_fundamental_library.py
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"""财务因子表达式库: 32 个 P0 因子注册 + 表达式↔adapter 特征列契约锁定."""
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import re
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import sys, os
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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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import pytest
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from sanguo_factor import fundamental_library # noqa: F401 import 即注册
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from sanguo_factor.fundamental_adapter import FEATURE_COLUMNS
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from sanguo_factor.registry import list_factors, get_factor
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@pytest.fixture(autouse=True)
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def _ensure_fundamental_registered():
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"""其它测试模块清空 _REGISTRY 后只重挂 alpha/builtin(顺序依赖前科),
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这里逐测试幂等重注册财务因子,保证本模块与顺序无关."""
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fundamental_library._register_all()
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# 表达式可引用的列 = adapter 特征列 + 行情列 close(估值类 ÷ close×share_capital)
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_ALLOWED = set(FEATURE_COLUMNS) | {"close", "cs_rank"}
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def _fundamental_factors() -> list[dict]:
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return list_factors("fundamental")
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def test_p0_32_factors_registered():
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facs = _fundamental_factors()
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names = {f["name"] for f in facs}
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assert len(facs) == 32, f"P0 首批应为 32 个,实际 {len(facs)}"
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# 六族代表抽查(全部名单见 fundamental_library 注释)
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expect = {
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"fund_roe_ttm", "fund_gp_over_assets", # A
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"fund_tacc", "fund_nonrec_ratio", # B
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"fund_rev_q_yoy", "fund_np_q_yoy", "fund_asset_growth", # C
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"fund_ep_ttm", "fund_bp", "fund_cp", # D
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"fund_nsi", "fund_ibd_ratio", # E
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"fund_sue_np", "fund_forecast_type", # F
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}
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assert expect <= names
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def test_expressions_only_reference_feature_columns():
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"""契约: 表达式裸标识符 ⊆ adapter 特征列 + close/cs_rank(漏加列=拼写错)."""
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for f in _fundamental_factors():
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idents = set(re.findall(r"[A-Za-z_][A-Za-z0-9_]*", f["expression"]))
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bad = idents - _ALLOWED
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assert not bad, f"{f['name']} 引用了未产出列: {bad} in {f['expression']}"
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def test_all_factors_are_cross_sectional_rank():
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"""P0 设计: 因子 = cs_rank(基础指标) 一层(负 IC 因子取负定向,高=好)."""
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for f in _fundamental_factors():
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assert f["expression"].startswith("cs_rank("), f["name"]
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assert f["expression"].endswith(")")
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def test_negative_ic_factors_flipped():
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"""文档负 IC 因子(B01/B04/B05/B07/B08/B11/C15/E01/E02/E05/E09)表达式含负号."""
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flipped = {"fund_tacc", "fund_nonrec_ratio", "fund_impairment_ratio",
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"fund_invest_income_dep", "fund_receivables_anomaly",
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"fund_other_rece_ratio", "fund_asset_growth",
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"fund_nsi", "fund_equity_fin_intensity", "fund_ibd_ratio",
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"fund_goodwill_ratio"}
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for name in flipped:
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expr = get_factor(name)["expression"]
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assert "(-" in expr or expr.startswith("cs_rank(-"), f"{name} 应翻转: {expr}"
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def test_valuation_factors_use_close_times_share_capital():
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"""估值族市值 = close × share_capital 自算(规避 valuation 中文列名表)."""
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for name in ("fund_ep_ttm", "fund_ep_deduct_ttm", "fund_bp", "fund_cp",
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"fund_equity_fin_intensity"):
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expr = get_factor(name)["expression"]
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assert "close * share_capital" in expr, f"{name}: {expr}"
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def test_registration_idempotent():
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"""重复 import 不炸(注册表防重入,同 library.py 模式)."""
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import importlib
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importlib.reload(fundamental_library)
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assert len(_fundamental_factors()) == 32
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