refactor factor evaluation and add sample size tracking
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@ -1,5 +1,5 @@
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"""Factor performance evaluation utilities."""
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from datetime import date, timedelta
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from datetime import date
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from typing import Dict, List, Optional, Sequence, Tuple
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import numpy as np
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@ -7,12 +7,10 @@ from scipy import stats
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from app.features.factors import (
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DEFAULT_FACTORS,
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FactorResult,
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FactorSpec,
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compute_factor_range,
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lookup_factor_spec,
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)
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from app.utils.data_access import DataBroker
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from app.utils.db import db_session
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from app.utils.logging import get_logger
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LOGGER = get_logger(__name__)
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@ -29,6 +27,7 @@ class FactorPerformance:
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self.return_spreads: List[float] = []
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self.sharpe_ratio: Optional[float] = None
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self.turnover_rate: Optional[float] = None
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self.sample_size: int = 0
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@property
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def ic_mean(self) -> float:
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@ -58,7 +57,8 @@ class FactorPerformance:
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"ic_ir": self.ic_ir,
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"rank_ic_mean": self.rank_ic_mean,
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"sharpe_ratio": self.sharpe_ratio or 0.0,
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"turnover_rate": self.turnover_rate or 0.0
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"turnover_rate": self.turnover_rate or 0.0,
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"sample_size": float(self.sample_size),
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}
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@ -80,132 +80,105 @@ def evaluate_factor(
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因子表现评估结果
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"""
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performance = FactorPerformance(factor_name)
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spec = lookup_factor_spec(factor_name)
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factor_column = factor_name
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# 导入进度状态模块
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from app.ui.progress_state import factor_progress
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if spec is None:
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LOGGER.warning("未找到因子定义，仍尝试从数据库读取 factor=%s", factor_name, extra=LOG_EXTRA)
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# 开始因子计算进度（在异步线程中不直接访问factor_progress）
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# factor_progress.start_calculation(
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# total_securities=len(universe) if universe else 0,
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# message=f"开始评估因子 {factor_name}"
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# )
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normalized_universe = _normalize_universe(universe)
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start_str = start_date.strftime("%Y%m%d")
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end_str = end_date.strftime("%Y%m%d")
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try:
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spec = lookup_factor_spec(factor_name) or FactorSpec(factor_name, 0)
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with db_session(read_only=True) as conn:
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if not _has_factor_column(conn, factor_column):
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LOGGER.warning("factors 表缺少列 %s，跳过评估", factor_column, extra=LOG_EXTRA)
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return performance
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trade_dates = _list_factor_dates(conn, start_str, end_str, normalized_universe)
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factor_results = compute_factor_range(
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start_date,
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end_date,
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factors=[spec],
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ts_codes=universe,
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skip_existing=True,
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)
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if not trade_dates:
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LOGGER.info("指定区间内未找到可用因子数据 factor=%s", factor_name, extra=LOG_EXTRA)
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return performance
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# 因子计算完成（在异步线程中不直接访问factor_progress）
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# factor_progress.complete_calculation(
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# message=f"因子 {factor_name} 评估完成"
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# )
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usable_trade_dates: List[str] = []
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except Exception as e:
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# 因子计算失败（在异步线程中不直接访问factor_progress）
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# factor_progress.complete_calculation(
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# message=f"因子 {factor_name} 评估失败: {str(e)}",
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# success=False
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# )
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raise
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# 按日期分组
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date_groups: Dict[date, List[FactorResult]] = {}
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for result in factor_results:
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if result.trade_date not in date_groups:
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date_groups[result.trade_date] = []
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date_groups[result.trade_date].append(result)
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# 计算每日IC值和RankIC值
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broker = DataBroker()
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for curr_date, results in sorted(date_groups.items()):
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next_date = curr_date + timedelta(days=1)
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# 获取因子值和次日收益率
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factor_values = []
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next_returns = []
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for result in results:
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factor_val = result.values.get(factor_name)
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if factor_val is None:
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for trade_date_str in trade_dates:
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with db_session(read_only=True) as conn:
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factor_map = _fetch_factor_cross_section(conn, factor_column, trade_date_str, normalized_universe)
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if not factor_map:
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continue
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next_trade = _next_trade_date(conn, trade_date_str)
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if not next_trade:
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continue
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curr_close = _fetch_close_map(conn, trade_date_str, factor_map.keys())
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next_close = _fetch_close_map(conn, next_trade, factor_map.keys())
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# 获取次日收益率
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next_close = broker.fetch_latest(
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result.ts_code,
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next_date.strftime("%Y%m%d"),
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["daily.close"]
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).get("daily.close")
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factor_values: List[float] = []
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returns: List[float] = []
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for ts_code, value in factor_map.items():
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curr = curr_close.get(ts_code)
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nxt = next_close.get(ts_code)
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if curr is None or nxt is None or curr <= 0:
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continue
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factor_values.append(value)
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returns.append((nxt - curr) / curr)
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curr_close = broker.fetch_latest(
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result.ts_code,
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curr_date.strftime("%Y%m%d"),
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["daily.close"]
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).get("daily.close")
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if len(factor_values) < 20:
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continue
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if next_close and curr_close and curr_close > 0:
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ret = (next_close - curr_close) / curr_close
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factor_values.append(factor_val)
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next_returns.append(ret)
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values_array = np.array(factor_values, dtype=float)
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returns_array = np.array(returns, dtype=float)
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if np.ptp(values_array) <= 1e-9 or np.ptp(returns_array) <= 1e-9:
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LOGGER.debug(
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"因子/收益序列波动不足，跳过 date=%s span_factor=%.6f span_return=%.6f",
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trade_date_str,
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float(np.ptp(values_array)),
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float(np.ptp(returns_array)),
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extra=LOG_EXTRA,
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)
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continue
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if len(factor_values) >= 20: # 需要足够多的样本
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# 计算IC
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ic, _ = stats.pearsonr(factor_values, next_returns)
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performance.ic_series.append(ic)
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try:
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ic, _ = stats.pearsonr(values_array, returns_array)
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rank_ic, _ = stats.spearmanr(values_array, returns_array)
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except Exception as exc: # noqa: BLE001
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LOGGER.debug("IC 计算失败 date=%s err=%s", trade_date_str, exc, extra=LOG_EXTRA)
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continue
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# 计算RankIC
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rank_ic, _ = stats.spearmanr(factor_values, next_returns)
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performance.rank_ic_series.append(rank_ic)
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if not (np.isfinite(ic) and np.isfinite(rank_ic)):
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LOGGER.debug(
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"相关系数结果无效 date=%s ic=%s rank_ic=%s",
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trade_date_str,
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ic,
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rank_ic,
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extra=LOG_EXTRA,
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)
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continue
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# 计算多空组合收益
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sorted_pairs = sorted(zip(factor_values, next_returns),
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key=lambda x: x[0])
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n = len(sorted_pairs) // 5 # 五分位
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if n > 0:
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top_returns = [r for _, r in sorted_pairs[-n:]]
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bottom_returns = [r for _, r in sorted_pairs[:n]]
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spread = np.mean(top_returns) - np.mean(bottom_returns)
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performance.return_spreads.append(spread)
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performance.ic_series.append(ic)
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performance.rank_ic_series.append(rank_ic)
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usable_trade_dates.append(trade_date_str)
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sorted_pairs = sorted(zip(values_array.tolist(), returns_array.tolist()), key=lambda item: item[0])
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quantile = len(sorted_pairs) // 5
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if quantile > 0:
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top_returns = [ret for _, ret in sorted_pairs[-quantile:]]
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bottom_returns = [ret for _, ret in sorted_pairs[:quantile]]
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spread = float(np.mean(top_returns) - np.mean(bottom_returns))
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performance.return_spreads.append(spread)
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# 计算Sharpe比率
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if performance.return_spreads:
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annual_factor = np.sqrt(252) # 交易日数
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returns_mean = np.mean(performance.return_spreads)
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returns_std = np.std(performance.return_spreads)
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returns_mean = float(np.mean(performance.return_spreads))
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returns_std = float(np.std(performance.return_spreads))
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if returns_std > 0:
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performance.sharpe_ratio = returns_mean / returns_std * annual_factor
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# 估算换手率
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if factor_results:
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dates = sorted(date_groups.keys())
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turnovers = []
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for i in range(1, len(dates)):
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prev_results = date_groups[dates[i-1]]
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curr_results = date_groups[dates[i]]
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# 计算组合变化
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prev_top = {r.ts_code for r in prev_results
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if r.values.get(factor_name, float('-inf')) > np.percentile(
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[res.values.get(factor_name, float('-inf'))
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for res in prev_results], 80)}
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curr_top = {r.ts_code for r in curr_results
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if r.values.get(factor_name, float('-inf')) > np.percentile(
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[res.values.get(factor_name, float('-inf'))
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for res in curr_results], 80)}
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# 计算换手率
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if prev_top and curr_top:
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turnover = len(prev_top ^ curr_top) / len(prev_top | curr_top)
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turnovers.append(turnover)
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if turnovers:
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performance.turnover_rate = np.mean(turnovers)
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performance.sharpe_ratio = returns_mean / returns_std * np.sqrt(252.0)
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performance.sample_size = len(usable_trade_dates)
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performance.turnover_rate = _estimate_turnover_rate(
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factor_column,
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usable_trade_dates,
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normalized_universe,
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)
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return performance
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@ -233,3 +206,136 @@ def combine_factors(
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)
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return FactorSpec(name, window)
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def _normalize_universe(universe: Optional[Sequence[str]]) -> Optional[Tuple[str, ...]]:
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if not universe:
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return None
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unique: Dict[str, None] = {}
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for code in universe:
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value = (code or "").strip().upper()
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if value:
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unique.setdefault(value, None)
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return tuple(unique.keys()) if unique else None
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def _has_factor_column(conn, column: str) -> bool:
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rows = conn.execute("PRAGMA table_info(factors)").fetchall()
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available = {row["name"] for row in rows}
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return column in available
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def _list_factor_dates(conn, start: str, end: str, universe: Optional[Tuple[str, ...]]) -> List[str]:
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params: List[str] = [start, end]
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query = (
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"SELECT DISTINCT trade_date FROM factors "
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"WHERE trade_date BETWEEN ? AND ?"
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)
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if universe:
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placeholders = ",".join("?" for _ in universe)
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query += f" AND ts_code IN ({placeholders})"
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params.extend(universe)
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query += " ORDER BY trade_date"
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rows = conn.execute(query, params).fetchall()
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return [row["trade_date"] for row in rows if row and row["trade_date"]]
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def _fetch_factor_cross_section(
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conn,
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column: str,
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trade_date: str,
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universe: Optional[Tuple[str, ...]],
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) -> Dict[str, float]:
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params: List[str] = [trade_date]
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query = f"SELECT ts_code, {column} AS value FROM factors WHERE trade_date = ? AND {column} IS NOT NULL"
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if universe:
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placeholders = ",".join("?" for _ in universe)
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query += f" AND ts_code IN ({placeholders})"
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params.extend(universe)
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rows = conn.execute(query, params).fetchall()
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result: Dict[str, float] = {}
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for row in rows:
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ts_code = row["ts_code"]
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value = row["value"]
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if ts_code is None or value is None:
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continue
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try:
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numeric = float(value)
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except (TypeError, ValueError):
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continue
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if not np.isfinite(numeric):
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continue
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result[ts_code] = numeric
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return result
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def _next_trade_date(conn, trade_date: str) -> Optional[str]:
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row = conn.execute(
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"SELECT MIN(trade_date) AS next_date FROM daily WHERE trade_date > ?",
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(trade_date,),
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).fetchone()
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next_date = row["next_date"] if row else None
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return next_date
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def _fetch_close_map(conn, trade_date: str, codes: Sequence[str]) -> Dict[str, float]:
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if not codes:
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return {}
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placeholders = ",".join("?" for _ in codes)
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params = [trade_date, *codes]
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rows = conn.execute(
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f"""
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SELECT ts_code, close
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FROM daily
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WHERE trade_date = ?
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AND ts_code IN ({placeholders})
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AND close IS NOT NULL
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""",
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params,
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).fetchall()
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result: Dict[str, float] = {}
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for row in rows:
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ts_code = row["ts_code"]
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value = row["close"]
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if ts_code is None or value is None:
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continue
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try:
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result[ts_code] = float(value)
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except (TypeError, ValueError):
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continue
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return result
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def _estimate_turnover_rate(
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factor_name: str,
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trade_dates: Sequence[str],
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universe: Optional[Tuple[str, ...]],
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) -> Optional[float]:
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if not trade_dates:
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return None
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turnovers: List[float] = []
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for idx in range(1, len(trade_dates)):
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prev_date = trade_dates[idx - 1]
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curr_date = trade_dates[idx]
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with db_session(read_only=True) as conn:
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prev_map = _fetch_factor_cross_section(conn, factor_name, prev_date, universe)
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curr_map = _fetch_factor_cross_section(conn, factor_name, curr_date, universe)
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if not prev_map or not curr_map:
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continue
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prev_threshold = np.percentile(list(prev_map.values()), 80)
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curr_threshold = np.percentile(list(curr_map.values()), 80)
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prev_top = {code for code, value in prev_map.items() if value >= prev_threshold}
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curr_top = {code for code, value in curr_map.items() if value >= curr_threshold}
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if not prev_top and not curr_top:
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continue
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union = prev_top | curr_top
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if not union:
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continue
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turnover = len(prev_top ^ curr_top) / len(union)
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turnovers.append(turnover)
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if turnovers:
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return float(np.mean(turnovers))
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return None
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@ -706,7 +706,9 @@ def _compute_security_factors(
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"daily_basic.pe",
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"daily_basic.pb",
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"daily_basic.ps",
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"daily_basic.turnover_rate",
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"daily_basic.volume_ratio",
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"daily.close",
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"daily.amount",
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"daily.vol",
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"daily_basic.dv_ratio", # 股息率用于扩展因子
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@ -37,12 +37,14 @@ class FactorProgressState:
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total_batches: 总批次数
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"""
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now = time.time()
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normalized_total = max(total_securities, 0)
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normalized_batches = max(total_batches, 1) if total_batches else 1
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st.session_state.factor_progress.update({
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'current': 0,
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'total': max(total_securities, 0),
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'total': normalized_total,
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'percentage': 0.0,
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'current_batch': 0,
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'total_batches': max(total_batches, 0),
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'total_batches': normalized_batches,
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'status': 'running',
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'message': '开始因子计算...',
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'start_time': now,
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@ -74,8 +76,9 @@ class FactorProgressState:
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elapsed = 0.0
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# 更新状态
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clamped_current = max(0, min(current_securities, total)) if total > 0 else max(0, current_securities)
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progress.update({
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'current': current_securities,
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'current': clamped_current,
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'current_batch': current_batch,
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'percentage': percentage,
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'message': message or f'处理批次 {current_batch}/{progress["total_batches"] or 1}',
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@ -95,9 +98,10 @@ class FactorProgressState:
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elapsed = max(0.0, time.time() - start_time)
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else:
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elapsed = progress.get('elapsed_time', 0.0) or 0.0
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total = progress.get('total', 0)
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progress.update({
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'current': progress.get('total', 0),
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'percentage': 100.0 if progress.get('total', 0) else progress.get('percentage', 0.0),
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'current': total,
|
||||
'percentage': 100.0 if total else progress.get('percentage', 0.0),
|
||||
'status': 'completed',
|
||||
'message': message,
|
||||
'elapsed_time': elapsed,
|
||||
|
||||
@ -230,6 +230,25 @@ def render_factor_calculation() -> None:
|
||||
help="如果勾选，将跳过数据库中已存在的因子计算结果"
|
||||
)
|
||||
|
||||
st.markdown("##### 数据维护")
|
||||
maintenance_col1, maintenance_col2 = st.columns([1, 2])
|
||||
with maintenance_col1:
|
||||
clear_confirm = st.checkbox("确认清空因子表", key="factor_clear_confirm")
|
||||
with maintenance_col2:
|
||||
if st.button("清空因子表数据", disabled=not clear_confirm):
|
||||
try:
|
||||
with db_session() as conn:
|
||||
conn.execute("DELETE FROM factors")
|
||||
st.session_state.pop('factor_calculation_results', None)
|
||||
st.session_state.pop('factor_calculation_error', None)
|
||||
factor_progress.reset()
|
||||
st.success("因子表数据已清空。")
|
||||
except Exception as exc: # noqa: BLE001
|
||||
LOGGER.exception("清空因子表失败", extra={**LOG_EXTRA, "error": str(exc)})
|
||||
st.error(f"清空因子表失败：{exc}")
|
||||
finally:
|
||||
st.session_state['factor_clear_confirm'] = False
|
||||
|
||||
# 5. 开始计算按钮
|
||||
if st.button("开始计算因子", disabled=not selected_factors):
|
||||
# 重置状态
|
||||
|
||||
@ -203,6 +203,7 @@ def render_stock_evaluation() -> None:
|
||||
"IC信息比率": performance.ic_ir,
|
||||
"夏普比率": performance.sharpe_ratio,
|
||||
"换手率": performance.turnover_rate,
|
||||
"有效样本数": performance.sample_size,
|
||||
})
|
||||
|
||||
st.session_state.evaluation_results = results
|
||||
@ -251,6 +252,8 @@ def render_stock_evaluation() -> None:
|
||||
display_df["换手率"] = display_df["换手率"].map(
|
||||
lambda v: "N/A" if v is None else f"{v * 100:.1f}%"
|
||||
)
|
||||
if "有效样本数" in display_df:
|
||||
display_df["有效样本数"] = display_df["有效样本数"].astype(int)
|
||||
st.dataframe(
|
||||
display_df,
|
||||
hide_index=True,
|
||||
@ -260,31 +263,64 @@ def render_stock_evaluation() -> None:
|
||||
st.info("未产生任何因子评估结果。")
|
||||
|
||||
# 绘制IC均值分布
|
||||
ic_means = result_df["IC均值"].astype(float).tolist() if not result_df.empty else []
|
||||
factor_names = result_df["因子"].tolist() if not result_df.empty else []
|
||||
ic_series = result_df["IC均值"].astype(float) if not result_df.empty else pd.Series(dtype=float)
|
||||
if "有效样本数" in result_df:
|
||||
sample_series = result_df["有效样本数"].astype(int)
|
||||
ic_series = ic_series.where(sample_series > 0)
|
||||
ic_means = ic_series.tolist()
|
||||
chart_df = pd.DataFrame({
|
||||
"因子": [r["因子"] for r in results],
|
||||
"因子": factor_names,
|
||||
"IC均值": ic_means
|
||||
})
|
||||
st.bar_chart(chart_df.set_index("因子"))
|
||||
|
||||
if not ic_means:
|
||||
if not factor_names:
|
||||
st.info("暂无足够的 IC 数据，无法生成股票评分。")
|
||||
return
|
||||
|
||||
ic_array = np.array(ic_means, dtype=float)
|
||||
usable_indices = [idx for idx, value in enumerate(ic_array) if np.isfinite(value)]
|
||||
if not usable_indices:
|
||||
st.info("所有因子 IC 均值均不可用，请先补充因子数据再评估。")
|
||||
return
|
||||
|
||||
usable_factors = [factor_names[idx] for idx in usable_indices]
|
||||
usable_ic = ic_array[usable_indices]
|
||||
|
||||
dropped_factors = [factor_names[idx] for idx, value in enumerate(ic_array) if not np.isfinite(value)]
|
||||
if dropped_factors:
|
||||
st.caption(f"已忽略缺少有效 IC 数据的因子：{', '.join(dropped_factors)}")
|
||||
|
||||
with st.spinner("正在生成股票评分..."):
|
||||
if all(mean == 0 for mean in ic_means):
|
||||
factor_weights = [1.0 / len(ic_means)] * len(ic_means)
|
||||
LOGGER.info("所有因子IC均值均为零，使用均匀权重", extra=LOG_EXTRA)
|
||||
if np.all(np.abs(usable_ic) <= 1e-9):
|
||||
factor_weights = np.full(usable_ic.shape, 1.0 / usable_ic.size, dtype=float)
|
||||
LOGGER.info("有效因子IC均值均为零，使用均匀权重", extra=LOG_EXTRA)
|
||||
else:
|
||||
abs_sum = sum(abs(m) for m in ic_means) or 1.0
|
||||
factor_weights = [m / abs_sum for m in ic_means]
|
||||
LOGGER.info("使用IC均值作为权重: %s", factor_weights, extra=LOG_EXTRA)
|
||||
abs_sum = float(np.sum(np.abs(usable_ic)))
|
||||
if abs_sum <= 1e-9:
|
||||
factor_weights = np.full(usable_ic.shape, 1.0 / usable_ic.size, dtype=float)
|
||||
LOGGER.info("有效因子IC均值绝对和过小，使用均匀权重", extra=LOG_EXTRA)
|
||||
else:
|
||||
factor_weights = usable_ic / abs_sum
|
||||
LOGGER.info("使用IC均值作为权重: %s", factor_weights.tolist(), extra=LOG_EXTRA)
|
||||
|
||||
weight_mask = np.abs(factor_weights) > 1e-6
|
||||
filtered_factors = [name for name, flag in zip(usable_factors, weight_mask) if flag]
|
||||
filtered_weights = [float(weight) for weight, flag in zip(factor_weights, weight_mask) if flag]
|
||||
|
||||
if not filtered_factors:
|
||||
st.info("因子权重有效值均为零，无法生成股票评分。")
|
||||
return
|
||||
if len(filtered_factors) < len(usable_factors):
|
||||
dropped_names = [name for name, flag in zip(usable_factors, weight_mask) if not flag]
|
||||
LOGGER.info("已忽略权重为零的因子：%s", dropped_names, extra=LOG_EXTRA)
|
||||
|
||||
scores = _calculate_stock_scores(
|
||||
universe,
|
||||
selected_factors,
|
||||
filtered_factors,
|
||||
end_date,
|
||||
factor_weights
|
||||
filtered_weights,
|
||||
)
|
||||
|
||||
if scores:
|
||||
@ -319,6 +355,18 @@ def _calculate_stock_scores(
|
||||
LOGGER = get_logger(__name__)
|
||||
LOG_EXTRA = {"stage": "stock_evaluation"}
|
||||
|
||||
if not factors:
|
||||
LOGGER.warning("因子列表为空，无法计算股票评分", extra=LOG_EXTRA)
|
||||
return []
|
||||
if len(factors) != len(factor_weights):
|
||||
LOGGER.error(
|
||||
"因子数量与权重数量不一致 factors=%s weights=%s",
|
||||
len(factors),
|
||||
len(factor_weights),
|
||||
extra=LOG_EXTRA,
|
||||
)
|
||||
return []
|
||||
|
||||
broker = DataBroker()
|
||||
trade_date_str = eval_date.strftime("%Y%m%d")
|
||||
|
||||
|
||||
@ -1413,20 +1413,21 @@ class DataBroker:
|
||||
|
||||
try:
|
||||
# 获取股票基本信息
|
||||
info = self.fetch_latest(
|
||||
raw_info = self.fetch_latest(
|
||||
ts_code=ts_code,
|
||||
trade_date=trade_date,
|
||||
fields=["stock_basic.name", "stock_basic.industry"]
|
||||
)
|
||||
|
||||
if not info:
|
||||
if not raw_info:
|
||||
return None
|
||||
|
||||
# 添加股票代码
|
||||
result = {"ts_code": ts_code}
|
||||
result.update(info)
|
||||
|
||||
return result
|
||||
info: Dict[str, Any] = {"ts_code": ts_code}
|
||||
for key, value in raw_info.items():
|
||||
if key == "ts_code":
|
||||
continue
|
||||
alias = key.split(".", 1)[-1] if isinstance(key, str) and "." in key else key
|
||||
info[alias] = value
|
||||
return info
|
||||
except Exception as exc:
|
||||
LOGGER.debug(
|
||||
"获取股票信息失败 ts_code=%s err=%s",
|
||||
|
||||
Loading…
Reference in New Issue
Block a user