update
This commit is contained in:
sam
parent
bd1004c384
commit
a492d6a9f7
@ -1260,7 +1260,8 @@ def render_log_viewer() -> None:
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def render_backtest_review() -> None:
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"""渲染回测执行、调参与结果复盘页面。"""
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st.header("回测与复盘")
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cfg = get_config()
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st.caption("1. 基于历史数据复盘当前策略；2. 借助强化学习/调参探索更优参数组合。")
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app_cfg = get_config()
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default_start, default_end = _default_backtest_range(window_days=60)
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LOGGER.debug(
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"回测默认参数：start=%s end=%s universe=%s target=%s stop=%s hold_days=%s",
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@ -1273,13 +1274,15 @@ def render_backtest_review() -> None:
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extra=LOG_EXTRA,
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)
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st.markdown("### 回测参数")
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col1, col2 = st.columns(2)
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start_date = col1.date_input("开始日期", value=default_start)
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end_date = col2.date_input("结束日期", value=default_end)
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universe_text = st.text_input("股票列表（逗号分隔）", value="000001.SZ")
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target = st.number_input("目标收益（例：0.035 表示 3.5%）", value=0.035, step=0.005, format="%.3f")
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stop = st.number_input("止损收益（例：-0.015 表示 -1.5%）", value=-0.015, step=0.005, format="%.3f")
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hold_days = st.number_input("持有期（交易日）", value=10, step=1)
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start_date = col1.date_input("开始日期", value=default_start, key="bt_start_date")
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end_date = col2.date_input("结束日期", value=default_end, key="bt_end_date")
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universe_text = st.text_input("股票列表（逗号分隔）", value="000001.SZ", key="bt_universe")
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col_target, col_stop, col_hold = st.columns(3)
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target = col_target.number_input("目标收益（例：0.035 表示 3.5%）", value=0.035, step=0.005, format="%.3f", key="bt_target")
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stop = col_stop.number_input("止损收益（例：-0.015 表示 -1.5%）", value=-0.015, step=0.005, format="%.3f", key="bt_stop")
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hold_days = col_hold.number_input("持有期（交易日）", value=10, step=1, key="bt_hold_days")
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LOGGER.debug(
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"当前回测表单输入：start=%s end=%s universe_text=%s target=%.3f stop=%.3f hold_days=%s",
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start_date,
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@ -1291,7 +1294,11 @@ def render_backtest_review() -> None:
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extra=LOG_EXTRA,
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)
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if st.button("运行回测"):
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tab_backtest, tab_rl = st.tabs(["回测验证", "强化学习调参"])
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with tab_backtest:
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st.markdown("#### 回测执行")
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if st.button("运行回测", key="bt_run_button"):
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LOGGER.info("用户点击运行回测按钮", extra=LOG_EXTRA)
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decision_log_container = st.container()
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status_box = st.status("准备执行回测...", expanded=True)
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@ -1346,7 +1353,7 @@ def render_backtest_review() -> None:
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hold_days,
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extra=LOG_EXTRA,
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)
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cfg = BtConfig(
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backtest_cfg = BtConfig(
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id="streamlit_demo",
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name="Streamlit Demo Strategy",
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start_date=start_date,
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@ -1358,7 +1365,7 @@ def render_backtest_review() -> None:
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"hold_days": int(hold_days),
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},
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)
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result = run_backtest(cfg, decision_callback=_decision_callback)
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result = run_backtest(backtest_cfg, decision_callback=_decision_callback)
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LOGGER.info(
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"回测完成：nav_records=%s trades=%s",
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len(result.nav_series),
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@ -1378,12 +1385,136 @@ def render_backtest_review() -> None:
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}
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)
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_update_dashboard_sidebar(metrics)
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st.json({"nav_records": result.nav_series, "trades": result.trades})
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st.session_state["backtest_last_result"] = {"nav_records": result.nav_series, "trades": result.trades}
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st.json(st.session_state["backtest_last_result"])
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except Exception as exc: # noqa: BLE001
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LOGGER.exception("回测执行失败", extra=LOG_EXTRA)
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status_box.update(label="回测执行失败", state="error")
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st.error(f"回测执行失败：{exc}")
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last_result = st.session_state.get("backtest_last_result")
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if last_result:
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st.markdown("#### 最近回测输出")
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st.json(last_result)
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st.divider()
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# ADD: Comparison view for multiple backtest configurations
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with st.expander("历史回测结果对比", expanded=False):
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st.caption("从历史回测配置中选择多个进行净值曲线与指标对比。")
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normalize_to_one = st.checkbox("归一化到 1 起点", value=True, key="bt_cmp_normalize")
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use_log_y = st.checkbox("对数坐标", value=False, key="bt_cmp_log_y")
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metric_options = ["总收益", "最大回撤", "交易数", "平均换手", "风险事件"]
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selected_metrics = st.multiselect("显示指标列", metric_options, default=metric_options, key="bt_cmp_metrics")
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try:
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with db_session(read_only=True) as conn:
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cfg_rows = conn.execute(
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"SELECT id, name FROM bt_config ORDER BY rowid DESC LIMIT 50"
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).fetchall()
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except Exception: # noqa: BLE001
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LOGGER.exception("读取 bt_config 失败", extra=LOG_EXTRA)
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cfg_rows = []
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cfg_options = [f"{row['id']} | {row['name']}" for row in cfg_rows]
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selected_labels = st.multiselect("选择配置", cfg_options, default=cfg_options[:2], key="bt_cmp_configs")
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selected_ids = [label.split(" | ")[0].strip() for label in selected_labels]
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nav_df = pd.DataFrame()
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rpt_df = pd.DataFrame()
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if selected_ids:
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try:
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with db_session(read_only=True) as conn:
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nav_df = pd.read_sql_query(
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"SELECT cfg_id, trade_date, nav FROM bt_nav WHERE cfg_id IN (%s)" % (",".join(["?"]*len(selected_ids))),
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conn,
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params=tuple(selected_ids),
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)
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rpt_df = pd.read_sql_query(
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"SELECT cfg_id, summary FROM bt_report WHERE cfg_id IN (%s)" % (",".join(["?"]*len(selected_ids))),
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conn,
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params=tuple(selected_ids),
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)
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except Exception: # noqa: BLE001
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LOGGER.exception("读取回测结果失败", extra=LOG_EXTRA)
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st.error("读取回测结果失败")
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nav_df = pd.DataFrame()
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rpt_df = pd.DataFrame()
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if not nav_df.empty:
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try:
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nav_df["trade_date"] = pd.to_datetime(nav_df["trade_date"], errors="coerce")
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# ADD: date window filter
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overall_min = pd.to_datetime(nav_df["trade_date"].min()).date()
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overall_max = pd.to_datetime(nav_df["trade_date"].max()).date()
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col_d1, col_d2 = st.columns(2)
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start_filter = col_d1.date_input("起始日期", value=overall_min, key="bt_cmp_start")
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end_filter = col_d2.date_input("结束日期", value=overall_max, key="bt_cmp_end")
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if start_filter > end_filter:
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start_filter, end_filter = end_filter, start_filter
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mask = (nav_df["trade_date"].dt.date >= start_filter) & (nav_df["trade_date"].dt.date <= end_filter)
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nav_df = nav_df.loc[mask]
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pivot = nav_df.pivot_table(index="trade_date", columns="cfg_id", values="nav")
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if normalize_to_one:
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pivot = pivot.apply(lambda s: s / s.dropna().iloc[0] if s.dropna().size else s)
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import plotly.graph_objects as go
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fig = go.Figure()
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for col in pivot.columns:
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fig.add_trace(go.Scatter(x=pivot.index, y=pivot[col], mode="lines", name=str(col)))
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fig.update_layout(height=300, margin=dict(l=10, r=10, t=30, b=10))
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if use_log_y:
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fig.update_yaxes(type="log")
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st.plotly_chart(fig, width='stretch')
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# ADD: export pivot
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try:
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csv_buf = pivot.reset_index()
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csv_buf.columns = ["trade_date"] + [str(c) for c in pivot.columns]
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st.download_button(
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"下载曲线(CSV)",
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data=csv_buf.to_csv(index=False),
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file_name="bt_nav_compare.csv",
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mime="text/csv",
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key="dl_nav_compare",
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)
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except Exception:
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pass
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except Exception: # noqa: BLE001
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LOGGER.debug("绘制对比曲线失败", extra=LOG_EXTRA)
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if not rpt_df.empty:
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try:
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metrics_rows: List[Dict[str, object]] = []
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for _, row in rpt_df.iterrows():
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cfg_id = row["cfg_id"]
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try:
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summary = json.loads(row["summary"]) if isinstance(row["summary"], str) else (row["summary"] or {})
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except json.JSONDecodeError:
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summary = {}
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record = {
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"cfg_id": cfg_id,
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"总收益": summary.get("total_return"),
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"最大回撤": summary.get("max_drawdown"),
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"交易数": summary.get("trade_count"),
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"平均换手": summary.get("avg_turnover"),
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"风险事件": summary.get("risk_events"),
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}
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metrics_rows.append({k: v for k, v in record.items() if (k == "cfg_id" or k in selected_metrics)})
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if metrics_rows:
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dfm = pd.DataFrame(metrics_rows)
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st.dataframe(dfm, hide_index=True, width='stretch')
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try:
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st.download_button(
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"下载指标(CSV)",
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data=dfm.to_csv(index=False),
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file_name="bt_metrics_compare.csv",
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mime="text/csv",
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key="dl_metrics_compare",
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)
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except Exception:
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pass
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except Exception: # noqa: BLE001
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LOGGER.debug("渲染指标表失败", extra=LOG_EXTRA)
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else:
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st.info("请选择至少一个配置进行对比。")
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with tab_rl:
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st.caption("使用 DecisionEnv 对代理权重进行强化学习调参，支持单次与批量实验。")
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with st.expander("离线调参实验 (DecisionEnv)", expanded=False):
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st.caption(
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"使用 DecisionEnv 对代理权重做离线调参。请选择需要优化的代理并设定权重范围，"
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@ -1881,119 +2012,6 @@ def render_backtest_review() -> None:
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st.session_state.pop("decision_env_batch_select", None)
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st.success("已清除批量调参结果缓存。")
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# ADD: Comparison view for multiple backtest configurations
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with st.expander("回测结果对比", expanded=False):
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st.caption("从历史回测配置中选择多个进行净值曲线与指标对比。")
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normalize_to_one = st.checkbox("归一化到 1 起点", value=True)
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use_log_y = st.checkbox("对数坐标", value=False)
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metric_options = ["总收益", "最大回撤", "交易数", "平均换手", "风险事件"]
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selected_metrics = st.multiselect("显示指标列", metric_options, default=metric_options)
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try:
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with db_session(read_only=True) as conn:
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cfg_rows = conn.execute(
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"SELECT id, name FROM bt_config ORDER BY rowid DESC LIMIT 50"
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).fetchall()
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except Exception: # noqa: BLE001
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LOGGER.exception("读取 bt_config 失败", extra=LOG_EXTRA)
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cfg_rows = []
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cfg_options = [f"{row['id']} | {row['name']}" for row in cfg_rows]
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selected_labels = st.multiselect("选择配置", cfg_options, default=cfg_options[:2])
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selected_ids = [label.split(" | ")[0].strip() for label in selected_labels]
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nav_df = pd.DataFrame()
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rpt_df = pd.DataFrame()
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if selected_ids:
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try:
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with db_session(read_only=True) as conn:
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nav_df = pd.read_sql_query(
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"SELECT cfg_id, trade_date, nav FROM bt_nav WHERE cfg_id IN (%s)" % (",".join(["?"]*len(selected_ids))),
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conn,
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params=tuple(selected_ids),
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)
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rpt_df = pd.read_sql_query(
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"SELECT cfg_id, summary FROM bt_report WHERE cfg_id IN (%s)" % (",".join(["?"]*len(selected_ids))),
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conn,
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params=tuple(selected_ids),
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)
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except Exception: # noqa: BLE001
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LOGGER.exception("读取回测结果失败", extra=LOG_EXTRA)
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st.error("读取回测结果失败")
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nav_df = pd.DataFrame()
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rpt_df = pd.DataFrame()
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if not nav_df.empty:
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try:
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nav_df["trade_date"] = pd.to_datetime(nav_df["trade_date"], errors="coerce")
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# ADD: date window filter
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overall_min = pd.to_datetime(nav_df["trade_date"].min()).date()
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overall_max = pd.to_datetime(nav_df["trade_date"].max()).date()
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col_d1, col_d2 = st.columns(2)
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start_filter = col_d1.date_input("起始日期", value=overall_min)
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end_filter = col_d2.date_input("结束日期", value=overall_max)
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if start_filter > end_filter:
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start_filter, end_filter = end_filter, start_filter
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mask = (nav_df["trade_date"].dt.date >= start_filter) & (nav_df["trade_date"].dt.date <= end_filter)
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nav_df = nav_df.loc[mask]
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pivot = nav_df.pivot_table(index="trade_date", columns="cfg_id", values="nav")
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if normalize_to_one:
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pivot = pivot.apply(lambda s: s / s.dropna().iloc[0] if s.dropna().size else s)
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import plotly.graph_objects as go
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fig = go.Figure()
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for col in pivot.columns:
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fig.add_trace(go.Scatter(x=pivot.index, y=pivot[col], mode="lines", name=str(col)))
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fig.update_layout(height=300, margin=dict(l=10, r=10, t=30, b=10))
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if use_log_y:
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fig.update_yaxes(type="log")
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st.plotly_chart(fig, width='stretch')
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# ADD: export pivot
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try:
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csv_buf = pivot.reset_index()
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csv_buf.columns = ["trade_date"] + [str(c) for c in pivot.columns]
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st.download_button(
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"下载曲线(CSV)",
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data=csv_buf.to_csv(index=False),
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file_name="bt_nav_compare.csv",
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mime="text/csv",
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key="dl_nav_compare",
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)
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except Exception:
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pass
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except Exception: # noqa: BLE001
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LOGGER.debug("绘制对比曲线失败", extra=LOG_EXTRA)
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if not rpt_df.empty:
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try:
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metrics_rows: List[Dict[str, object]] = []
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for _, row in rpt_df.iterrows():
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cfg_id = row["cfg_id"]
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try:
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summary = json.loads(row["summary"]) if isinstance(row["summary"], str) else (row["summary"] or {})
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except json.JSONDecodeError:
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summary = {}
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record = {
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"cfg_id": cfg_id,
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"总收益": summary.get("total_return"),
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"最大回撤": summary.get("max_drawdown"),
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"交易数": summary.get("trade_count"),
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"平均换手": summary.get("avg_turnover"),
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"风险事件": summary.get("risk_events"),
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}
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metrics_rows.append({k: v for k, v in record.items() if (k == "cfg_id" or k in selected_metrics)})
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if metrics_rows:
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dfm = pd.DataFrame(metrics_rows)
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st.dataframe(dfm, hide_index=True, width='stretch')
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try:
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st.download_button(
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"下载指标(CSV)",
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data=dfm.to_csv(index=False),
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file_name="bt_metrics_compare.csv",
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mime="text/csv",
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key="dl_metrics_compare",
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)
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except Exception:
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pass
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except Exception: # noqa: BLE001
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LOGGER.debug("渲染指标表失败", extra=LOG_EXTRA)
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else:
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st.info("请选择至少一个配置进行对比。")
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def render_config_overview() -> None:
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"""Render a concise overview of persisted configuration values."""
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