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Harden attribution beta semantics fallback

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This commit is contained in:
Gahow Wang
2026-04-07 17:43:22 +08:00
parent 097131d962
commit b3d87b3d92
2 changed files with 158 additions and 14 deletions
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124
tests/test_factor_attribution.py
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@@ -881,6 +881,48 @@ class AttributionIntegrationTests(unittest.TestCase):
self.assertIn("SMB_PROXY", output)
self.assertNotIn(" beta_smb ", output)
def test_print_attribution_summary_ignores_malformed_proxy_beta_semantics(self):
summary = pd.DataFrame(
[
{
"strategy": "Strategy",
"market": "cn",
"model": "proxy",
"factor_source": "proxy_only",
"proxy_only": True,
"beta_semantics": "{not-json",
"start_date": "2025-01-02",
"end_date": "2026-03-24",
"n_obs": 319,
"alpha_daily": 0.0002,
"alpha_ann": 0.0504,
"alpha_t_stat": 1.5,
"alpha_p_value": 0.12,
"r_squared": 0.72,
"adj_r_squared": 0.70,
"residual_vol_ann": 0.14,
"beta_mkt": 0.85,
"beta_smb": -0.30,
"beta_hml": 0.25,
"beta_rmw": 0.10,
"beta_cma": -0.05,
"beta_mom": 0.20,
"beta_lowvol": np.nan,
"beta_recovery": np.nan,
}
]
)
buffer = io.StringIO()
with contextlib.redirect_stdout(buffer):
print_attribution_summary(summary)
output = buffer.getvalue()
self.assertIn("Proxy factor attribution", output)
self.assertIn("beta_smb_proxy", output)
self.assertIn("SMB_PROXY", output)
self.assertNotIn(" beta_smb ", output)
def test_print_attribution_summary_splits_standard_and_proxy_sections_for_mixed_frames(self):
summary = pd.DataFrame(
[
@@ -971,6 +1013,88 @@ class AttributionIntegrationTests(unittest.TestCase):
self.assertIn("beta_smb_proxy", output)
self.assertIn("beta_smb ", output)
def test_print_attribution_summary_ignores_mismatched_beta_semantics_in_mixed_frames(self):
summary = pd.DataFrame(
[
{
"strategy": "US Strategy",
"market": "us",
"model": "ff5",
"factor_source": "external+local",
"proxy_only": False,
"beta_semantics": json.dumps(
{
"beta_mkt": "MKT",
"beta_smb": "SMB_PROXY",
"beta_hml": "HML_PROXY",
"beta_rmw": "RMW_PROXY",
"beta_cma": "CMA_PROXY",
"beta_mom": "MOM",
"beta_lowvol": "LOWVOL",
"beta_recovery": "RECOVERY",
"extra": "BAD",
}
),
"start_date": "2025-01-02",
"end_date": "2026-03-24",
"n_obs": 319,
"alpha_daily": 0.0004,
"alpha_ann": 0.1008,
"alpha_t_stat": 2.1,
"alpha_p_value": 0.04,
"r_squared": 0.82,
"adj_r_squared": 0.81,
"residual_vol_ann": 0.12,
"beta_mkt": 1.05,
"beta_smb": -0.20,
"beta_hml": 0.30,
"beta_rmw": 0.05,
"beta_cma": np.nan,
"beta_mom": np.nan,
"beta_lowvol": np.nan,
"beta_recovery": np.nan,
},
{
"strategy": "CN Strategy",
"market": "cn",
"model": "proxy",
"factor_source": "proxy_only",
"proxy_only": True,
"beta_semantics": json.dumps({"beta_smb": "SMB", "beta_hml": "HML"}),
"start_date": "2025-01-02",
"end_date": "2026-03-24",
"n_obs": 319,
"alpha_daily": 0.0002,
"alpha_ann": 0.0504,
"alpha_t_stat": 1.5,
"alpha_p_value": 0.12,
"r_squared": 0.72,
"adj_r_squared": 0.70,
"residual_vol_ann": 0.14,
"beta_mkt": 0.85,
"beta_smb": -0.30,
"beta_hml": 0.25,
"beta_rmw": 0.10,
"beta_cma": -0.05,
"beta_mom": 0.20,
"beta_lowvol": np.nan,
"beta_recovery": np.nan,
},
]
)
buffer = io.StringIO()
with contextlib.redirect_stdout(buffer):
print_attribution_summary(summary)
output = buffer.getvalue()
self.assertIn("Standard factor attribution", output)
self.assertIn("Proxy factor attribution", output)
self.assertIn("MKT_RF 1.05", output)
self.assertIn("SMB_PROXY -0.30", output)
self.assertIn("beta_smb_proxy", output)
self.assertNotIn("HML_PROXY 0.30", output)
def _make_price_frame(self, dates: pd.DatetimeIndex, benchmark: str) -> pd.DataFrame:
steps = np.arange(len(dates), dtype=float)
data = {}