feat(stock-lab): Screener 엔진 + combine + ScreenerResult + 노드 레지스트리
Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
55
stock-lab/app/test_screener_engine.py
Normal file
55
stock-lab/app/test_screener_engine.py
Normal file
@@ -0,0 +1,55 @@
|
||||
import datetime as dt
|
||||
import pandas as pd
|
||||
import pytest
|
||||
|
||||
from app.screener.engine import ScreenContext, Screener, combine
|
||||
from app.screener.nodes.hygiene import HygieneGate
|
||||
from app.screener.nodes.foreign_buy import ForeignBuy
|
||||
from app.screener.nodes.momentum import Momentum20
|
||||
from app.screener._test_fixtures import make_master, make_prices, make_flow, make_kospi
|
||||
|
||||
|
||||
def _ctx(master, prices, flow):
|
||||
return ScreenContext(master=master, prices=prices, flow=flow,
|
||||
kospi=make_kospi(days=260),
|
||||
asof=dt.date(2026, 5, 12))
|
||||
|
||||
|
||||
def test_combine_weighted_average():
|
||||
scores = {
|
||||
"foreign_buy": pd.Series({"A": 80, "B": 20}),
|
||||
"momentum": pd.Series({"A": 60, "B": 40}),
|
||||
}
|
||||
weights = {"foreign_buy": 2.0, "momentum": 1.0}
|
||||
out = combine(scores, weights)
|
||||
# A: (80*2 + 60*1)/3 = 73.33
|
||||
assert abs(out["A"] - 73.333) < 0.1
|
||||
assert abs(out["B"] - 26.666) < 0.1
|
||||
|
||||
|
||||
def test_combine_all_zero_weight_raises():
|
||||
scores = {"foreign_buy": pd.Series({"A": 80})}
|
||||
with pytest.raises(ValueError, match="no active"):
|
||||
combine(scores, {"foreign_buy": 0})
|
||||
|
||||
|
||||
def test_screener_run_end_to_end():
|
||||
asof = dt.date(2026, 5, 12)
|
||||
master = make_master(["GOOD", "SMALL"],
|
||||
market_caps={"GOOD": 200_000_000_000, "SMALL": 1_000_000_000})
|
||||
prices = make_prices(["GOOD", "SMALL"], days=260, asof=asof, trend_pct=0.1)
|
||||
flow = make_flow(["GOOD", "SMALL"], days=260, asof=asof,
|
||||
foreign_per_day={"GOOD": 100_000_000, "SMALL": 0})
|
||||
ctx = _ctx(master, prices, flow)
|
||||
|
||||
screener = Screener(
|
||||
gate=HygieneGate(),
|
||||
score_nodes=[ForeignBuy(), Momentum20()],
|
||||
weights={"foreign_buy": 1.0, "momentum": 1.0},
|
||||
node_params={"foreign_buy": {"window_days": 5}, "momentum": {"window_days": 20}},
|
||||
gate_params={**HygieneGate.default_params, "min_listed_days": 0},
|
||||
top_n=10,
|
||||
)
|
||||
result = screener.run(ctx)
|
||||
assert result.survivors_count == 1 # SMALL은 게이트 탈락
|
||||
assert result.ranked.index[0] == "GOOD"
|
||||
Reference in New Issue
Block a user