Merge pull request #346 from kevin9327/fix/enriched-history-past-target-window

fix(repository): 历史日期的 enriched 历史窗口只数目标日及之前的交易日

backend/app/tickflow/repository.py

@@ -1222,7 +1222,8 @@ class KlineRepository:
         # 按交易日计数裁剪: 从数据里实际存在的交易日序列取最后 lookback_days 个交易日。
         # 不能用 timedelta(days=N) (自然日), 否则周末/节假日会让窗口只有 ~N×5/7 个交易日,
         # 导致 filter_history 策略的滚动窗口/行号差(_gap)漏算, 与回测结果不一致。
-        trading_dates = cache["date"].unique().sort()
+        # 只数目标日及之前的交易日: 历史日期选股时缓存里还有更晚的交易日
+        trading_dates = cache["date"].filter(cache["date"] <= target_date).unique().sort()
         if len(trading_dates) > lookback_days:
             lookback_start = trading_dates[-(lookback_days + 1)]
         else:

backend/tests/test_enriched_history_past_target.py

@@ -0,0 +1,71 @@
+"""get_enriched_history 对历史日期也必须按「目标日及之前」的交易日计数取窗口。
+
+选股页可以选历史日期 (DatePicker), run_all / 单策略运行都会以 as_of 调
+_load_enriched_history(as_of, required_history_bars)。缓存命中路径
+(repo.get_enriched_history) 从整份缓存的交易日序列取最后 N+1 个交易日作起点,
+缓存里晚于 as_of 的交易日也被算进去: as_of 越早窗口越短, 早于 N 个交易日时
+直接是空窗口。慢路径只读 date <= as_of, 本来就是按目标日计数的。
+"""
+from __future__ import annotations
+
+import math
+from datetime import date, timedelta
+from pathlib import Path
+
+import polars as pl
+import pytest
+
+from app.services.screener import ScreenerService
+from app.tickflow.repository import DataStore, KlineRepository
+
+LOOKBACK = 20
+
+
+def _trading_days(n: int = 220) -> list[date]:
+    days: list[date] = []
+    d = date(2025, 11, 3)
+    while len(days) < n:
+        if d.weekday() < 5:
+            days.append(d)
+        d += timedelta(days=1)
+    return days
+
+
+def _cache(days: list[date]) -> pl.DataFrame:
+    rows = []
+    for symbol, phase in (("600001.SH", 0.0), ("000002.SZ", 1.0)):
+        for i, day in enumerate(days):
+            rows.append((symbol, day, round(10 + math.sin(i * 0.2 + phase), 2)))
+    return pl.DataFrame(rows, schema=["symbol", "date", "close"], orient="row").sort(["symbol", "date"])
+
+
+def _repo(tmp_path: Path, cache: pl.DataFrame) -> KlineRepository:
+    repo = KlineRepository(DataStore(tmp_path))
+    repo._enriched_history_cache = cache
+    return repo
+
+
+@pytest.mark.parametrize("back", [0, 1, 5, 15], ids=["latest", "back1", "back5", "back15"])
+def test_history_window_counts_trading_days_up_to_target(tmp_path, back):
+    days = _trading_days()
+    target = days[-1 - back]
+    out = _repo(tmp_path, _cache(days)).get_enriched_history(target, LOOKBACK)
+
+    assert out is not None
+    want = [d for d in days if d <= target][-(LOOKBACK + 1):]
+    assert out["date"].unique().sort().to_list() == want
+
+
+def test_screener_history_does_not_depend_on_later_cached_days(tmp_path):
+    """同一个 as_of, 缓存是否已包含更晚的交易日不应改变策略拿到的历史窗口。"""
+    days = _trading_days()
+    as_of = days[-6]
+    full = _cache(days)
+    upto = full.filter(pl.col("date") <= as_of)
+
+    with_later = ScreenerService(_repo(tmp_path / "a", full))._load_enriched_history(as_of, LOOKBACK)
+    without_later = ScreenerService(_repo(tmp_path / "b", upto))._load_enriched_history(as_of, LOOKBACK)
+
+    assert without_later["date"].n_unique() == LOOKBACK + 1
+    assert with_later["date"].n_unique() == without_later["date"].n_unique()
+    assert with_later.sort(["symbol", "date"]).equals(without_later.sort(["symbol", "date"]))