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fix: correct Sharpe/MaxDD/WinRate in direct factor eval (was computing on raw factor, now on strategy returns)

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TPTBusiness
2026-05-03 12:17:27 +02:00
parent e31963713b
commit 037f7ba7d2
3 changed files with 49 additions and 54 deletions
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test/qlib/test_factor_eval_bugs.py
+6 -26
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@@ -122,39 +122,19 @@ class TestEqualValueRatioAccRateUndefined:
# =============================================================================
class TestAnnualizationFactorInDirectEval:
"""Verify direct evaluation uses correct annualization with forward_return_bars."""
def test_annualization_factor_uses_forward_bars(self):
"""The direct eval method hardcodes 96 instead of using forward_return_bars param."""
def test_uses_bars_per_year_strategy_ret(self):
import inspect
from rdagent.scenarios.qlib.developer.factor_runner import QlibFactorRunner
source = inspect.getsource(QlibFactorRunner._evaluate_factor_directly)
assert "bars_per_year" in source
assert "strategy_ret" in source
# Check that the method uses `np.sqrt(252 * 1440 / 96)` which hardcodes 96
# This should ideally be parameterized or at least consistent with the
# forward return calculation at line ~530 which also uses 96.
assert "np.sqrt(252 * 1440 / 96)" in source or "np.sqrt(252*1440/96)" in source, (
"The annualization factor in _evaluate_factor_directly should match "
"the forward_return_bars used for computing forward returns."
)
def test_ann_factor_is_consistent_with_forward_ret(self):
"""Verify both the forward return shift and annualization use 96 bars."""
def test_signal_based_on_factor_sign(self):
import inspect
from rdagent.scenarios.qlib.developer.factor_runner import QlibFactorRunner
source = inspect.getsource(QlibFactorRunner._evaluate_factor_directly)
# forward return uses `.shift(-96)` at line ~530
assert '.shift(-96)' in source, "Forward return shift should use 96 bars (1 day)"
# annualization should also use 96
assert '1440 / 96' in source, (
"Annualization factor should use the same number (96) as the forward return shift"
)
assert "np.where" in source
assert "signal" in source
# =============================================================================