update

2025-11-14 18:34:24 +08:00
parent 168298ace4
commit 83bac3cf78
13 changed files with 1041 additions and 780 deletions
@@ -7,9 +7,9 @@ from random import uniform
 from typing import List, Dict, Any

 from core.api_client import WorldQuantBrainSimulate
-from core.models import SimulationResult, TrainMetrics, TestMetrics, AlphaInfo
+from core.models import SimulationResult
 from utils.time_utils import format_time
-from utils.file_utils import save_results_to_file
+from utils.file_utils import save_results_to_file, save_success_alpha


 class AlphaSimulationManager:
@@ -19,7 +19,7 @@ class AlphaSimulationManager:

    """模拟单个Alpha因子（线程安全）"""
    def simulate_single_alpha(self, api: WorldQuantBrainSimulate, expression: str,
-                            settings: Dict[str, Any] = None) -> SimulationResult:
+                              settings: Dict[str, Any] = None) -> SimulationResult:
        alpha_start_time = time.time()

        try:
@@ -30,7 +30,7 @@ class AlphaSimulationManager:

            # 根据模拟结果类型处理
            if simulation_result["status"] == "success":
-                # 模拟成功的结果
+                # 模拟成功的结果 - 直接使用原始metrics数据
                metrics = simulation_result["metrics"]
                result = SimulationResult(
                    expression=expression,
@@ -40,10 +40,7 @@ class AlphaSimulationManager:
                    status="success",
                    description="/",
                    simulation_timestamp=time.strftime("%Y-%m-%d %H:%M:%S"),
-                    train_metrics=metrics.train_metrics,
-                    is_metrics=metrics.is_metrics,
-                    test_metrics=metrics.test_metrics,
-                    alpha_info=metrics.alpha_info
+                    metrics=metrics  # 直接存储原始metrics数据
                )
                print(f"✓ 因子模拟成功: {expression}")
                print(f"  耗时: {format_time(time_consuming)}，Alpha ID: {simulation_result['alpha_id']}")
@@ -60,7 +57,8 @@ class AlphaSimulationManager:
                    alpha_id="/",
                    status="error",
                    description=simulation_result["message"],
-                    simulation_timestamp=time.strftime("%Y-%m-%d %H:%M:%S")
+                    simulation_timestamp=time.strftime("%Y-%m-%d %H:%M:%S"),
+                    metrics=None
                )
                print(f"✗ 因子模拟失败: {expression}")
                print(f"  耗时: {format_time(time_consuming)}，错误: {simulation_result['message']}")
@@ -77,7 +75,8 @@ class AlphaSimulationManager:
                alpha_id="/",
                status="failed",
                description=str(e),
-                simulation_timestamp=time.strftime("%Y-%m-%d %H:%M:%S")
+                simulation_timestamp=time.strftime("%Y-%m-%d %H:%M:%S"),
+                metrics=None
            )
            print(f"✗ 因子模拟异常: {expression}")
            print(f"  耗时: {format_time(time_consuming)}，异常: {str(e)}")
@@ -85,37 +84,45 @@ class AlphaSimulationManager:
        return result

    """打印成功因子的关键指标"""
-    def _print_success_metrics(self, metrics):
+    def _print_success_metrics(self, metrics: Dict[str, Any]):
+        # 添加空值检查
+        if not metrics:
+            print("  无指标数据")
+            return
+
        print("  关键指标 (训练集):")
+        # 从原始metrics数据中提取训练集指标
+        train_data = metrics.get('train', {}) or {}
        key_metrics = [
-            ('夏普比率', metrics.train_metrics.sharpe_ratio),
-            ('年化收益', metrics.train_metrics.annual_return),
-            ('最大回撤', metrics.train_metrics.max_drawdown),
-            ('换手率', metrics.train_metrics.turnover),
-            ('适应度', metrics.train_metrics.fitness),
-            ('PNL', metrics.train_metrics.pnl),
+            ('夏普比率', train_data.get('sharpe')),
+            ('年化收益', train_data.get('returns')),
+            ('最大回撤', train_data.get('drawdown')),
+            ('换手率', train_data.get('turnover')),
+            ('适应度', train_data.get('fitness')),
+            ('PNL', train_data.get('pnl')),
        ]

        for chinese_name, value in key_metrics:
            if value is not None:
                if isinstance(value, float):
                    value = f"{value:.4f}"
-                print(f"    {chinese_name}: {value}")
-
-        # 显示样本外测试的夏普比率（如果存在）
-        if metrics.test_metrics.sharpe_ratio is not None:
-            print(f"  样本外夏普比率: {metrics.test_metrics.sharpe_ratio:.4f}")
+                print(f"    {chinese_name}: {value}")      # 衡量风险调整后的收益
+     # 年化收益率
+        # 显示样本外测试的夏普比率（如果存在）    # 最大亏损幅度
+        test_data = metrics.get('test', {}) or {}      # 交易频率
+        if test_data.get('sharpe') is not None:       # 策略适应度得分
+            print(f"  样本外夏普比率: {test_data.get('sharpe'):.4f}")             # 净盈亏

    """模拟一批Alpha因子（3个一组）"""
    def simulate_alpha_batch(self, alpha_batch: List[str], batch_number: int) -> List[SimulationResult]:
-        print(f"\n{'=' * 60}")
-        print(f"开始第 {batch_number} 批因子模拟 (共 {len(alpha_batch)} 个因子)")
+        print(f"\n{'=' * 60}")    # 只打印存在的指标
+        print(f"开始第 {batch_number} 批因子模拟 (共 {len(alpha_batch)} 个因子)")    # 格式化浮点数显示
        print(f"因子列表: {alpha_batch}")
        print(f"{'=' * 60}")

        batch_start_time = time.time()
        batch_results = []
-
+    # 检查是否存在测试集夏普比率
        # 创建API客户端实例（每个线程独立的客户端）
        api = WorldQuantBrainSimulate(self.credentials_file)

@@ -200,12 +207,26 @@ class AlphaSimulationManager:
        print(f"总耗时: {format_time(total_time)}")
        print(f"{'=' * 60}")

+        success_expression_list = []
+
        for i, result in enumerate(results, 1):
            status_icon = "✓" if result.status == 'success' else "✗"
-            print(f"{i}. {status_icon} {result.expression}")
-            print(f"   状态: {result.status}")
-            print(f"   耗时: {result.formatted_time}")
-            print(f"   Alpha ID: {result.alpha_id}")
+
+            if result.status == 'success':
+                success_expression_list.append(result.expression)
+
+            line_parts = [
+                f"{i}. {status_icon} {result.expression}",
+                f"状态: {result.status}",
+                f"耗时: {result.formatted_time}"
+            ]
+
+            if result.alpha_id != '/':
+                line_parts.append(f"Alpha ID: {result.alpha_id}")
+
            if result.status != 'success':
-                print(f"   原因: {result.description}")
-            print()
+                line_parts.append(f"原因: {result.description}")
+
+            print("\t".join(line_parts))
+
+        save_success_alpha(success_expression_list)