feat etf

labs/analysis/etf/validate_config.py

@@ -0,0 +1,62 @@
+"""校验 py-client/etc/_etf.yaml：用策略自己的 config.load 解析，并核对每只标的的数据可用性。
+
+用法： py -3.14 -B labs/analysis/etf/validate_config.py
+"""
+
+import sys
+import tempfile
+from pathlib import Path
+
+HERE = Path(__file__).resolve().parent
+REPO = HERE.parents[2]
+sys.path.insert(0, str(HERE))
+sys.path.insert(0, str(REPO / "py-client"))
+try:
+    sys.stdout.reconfigure(encoding="utf-8", errors="replace")
+except Exception:
+    pass
+
+import yaml  # noqa: E402
+
+import config  # noqa: E402
+from backtest import CACHE, fetch_daily  # noqa: E402
+
+ETC = REPO / "py-client" / "etc"
+
+# 1) 用策略自身的校验逻辑加载（除了 _global/account 这两层，直接调 _etf_config）
+cfg = config._etf_config(ETC / "_etf.yaml")
+if cfg is None:
+    print("FAIL: _etf_config 返回 None（文件不存在？）")
+    raise SystemExit(1)
+
+print(f"配置解析通过：{len(cfg.symbols)} 只标的，顺序 = 资金优先级")
+print(f"{'#':>3} {'代码':11} {'每档':>6} {'上限':>7} {'T+0':>5} {'atr×':>5} {'inner':>6}  数据")
+ok = True
+for index, code in enumerate(cfg.codes, 1):
+    symbol = cfg.symbols[code]
+    try:
+        bars = fetch_daily(code)
+        first, last = bars[0]["date"], bars[-1]["date"]
+        data = f"{len(bars)} 根 {first}..{last}"
+        if len(bars) < 61:
+            data += "  ← 不足 61 根，策略会跳过"
+            ok = False
+    except Exception as exc:
+        data = f"抓取失败：{exc}"
+        ok = False
+    print(f"{index:3} {code:11} {symbol.buy_shares:6} {symbol.max_shares:7} "
+          f"{str(symbol.is_t0):>5} {symbol.atr_multiplier:5.1f} {symbol.inner_step:6.1f}  {data}")
+
+# 2) 断言：inner_grids × inner_step < min_profit_pct，否则副出口不可能触发
+grids, step = cfg.defaults.inner_grids, min(s.inner_step for s in cfg.symbols.values())
+profit = cfg.defaults.min_profit_pct
+print()
+print(f"副出口可达性：inner_grids({grids}) × inner_step({step}) = {grids * step:.2f}% "
+      f"vs min_profit_pct {profit}% → {'可达' if grids * step < profit else '不可达（会被主出口压制）'}")
+
+# 3) 估算资金需求
+need_one = sum(cfg.symbols[c].buy_shares * fetch_daily(c)[-1]["close"] for c in cfg.codes)
+print(f"资金需求：16 只各铺 1 档 ≈ {need_one:,.0f} 元；各铺满 10 档 ≈ {need_one * 10:,.0f} 元")
+print()
+print("校验结果:", "通过" if ok else "存在问题（见上）")
+raise SystemExit(0 if ok else 1)