86 lines
2.8 KiB
Python
86 lines
2.8 KiB
Python
# -*- coding: utf-8 -*-
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"""量化模型单测：因子计算 / 打分 / 权重微调 / 推荐原因"""
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import sys, os, warnings
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sys.path.insert(0, os.path.join(os.path.dirname(__file__), '..'))
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warnings.filterwarnings('ignore')
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import numpy as np
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import pandas as pd
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import pytest
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from tests.helpers import gen_kline, gen_trending_up, gen_trending_down
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from src.quant.model import (compute_factors, cross_section_score,
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factor_ic_series, WeightStore, state_bucket,
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FACTOR_NAMES)
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from src.quant.reason import build_reason
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class TestFactors:
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def test_momentum_positive_in_uptrend(self):
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k = gen_trending_up(60)
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f = compute_factors(k)
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assert f.get('mom_20', 0) > 0
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def test_momentum_negative_in_downtrend(self):
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k = gen_trending_down(60)
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f = compute_factors(k)
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assert f.get('mom_20', 0) < 0
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def test_all_factors_present(self):
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k = gen_kline(60)
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f = compute_factors(k)
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expected = {'mom_20', 'trend_ma20', 'ma_align', 'vol_ratio', 'rsi_inv', 'macd_hist', 'vola_inv'}
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assert expected.issubset(set(f.keys()))
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def test_insufficient_data_returns_empty(self):
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k = gen_kline(10)
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assert compute_factors(k) == {}
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class TestCrossSectionScore:
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def test_ranking_order(self):
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rows = {
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'A': {'mom_20': 0.10, 'trend_ma20': 0.05},
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'B': {'mom_20': -0.05, 'trend_ma20': -0.02},
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'C': {'mom_20': 0.02, 'trend_ma20': 0.01},
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}
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weights = {'mom_20': 1.0, 'trend_ma20': 1.0}
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scored = cross_section_score(rows, weights)
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assert scored[0][0] == 'A'
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assert scored[-1][0] == 'B'
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def test_single_factor_still_scored(self):
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"""优化后：只要有 ≥1 个有效因子即可参与打分"""
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rows = {
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'A': {'mom_20': 0.10},
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'B': {'mom_20': -0.05},
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}
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scored = cross_section_score(rows, {'mom_20': 1.0})
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assert len(scored) == 2
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assert scored[0][0] == 'A'
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class TestWeightStore:
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def test_load_defaults(self, tmp_path):
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ws = WeightStore(str(tmp_path / 'test.db'))
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w = ws.load()
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assert all(w.get(f, 0) > 0 for f in FACTOR_NAMES)
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def test_save_and_reload(self, tmp_path):
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db = str(tmp_path / 'test.db')
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ws = WeightStore(db)
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ws.save({'mom_20': 1.5, 'trend_ma20': 0.5}, note='test')
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w = WeightStore(db).load()
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assert abs(w['mom_20'] - 1.5) < 0.01
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class TestReasonGeneration:
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def test_reason_contains_numbers(self):
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k = gen_kline(60)
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reason, _ = build_reason('test', k)
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assert any(c.isdigit() for c in reason)
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def test_reason_not_empty(self):
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k = gen_kline(60)
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reason, _ = build_reason('test', k)
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assert len(reason) > 10
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