实现市值区间padding机制
- 添加padding_ratio、min_padding、max_padding配置参数 - 在市值区间计算中应用padding扩大选股范围 - 更新OmniMicroCapConfig、CnSmallCapRotationConfig和DynamicMarketCapBandSelector - AiQuant V1.0.4默认padding: ratio=0.5, min=12.5, max=30.0 - 目标:增加候选股票数量,匹配AiQuant行为
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@@ -78,6 +78,9 @@ pub struct DynamicMarketCapBandSelector {
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pub cap_span: f64,
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pub xs: f64,
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pub top_n: usize,
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pub padding_ratio: f64,
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pub min_padding: f64,
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pub max_padding: f64,
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}
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impl DynamicMarketCapBandSelector {
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@@ -87,6 +90,9 @@ impl DynamicMarketCapBandSelector {
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cap_span: f64,
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xs: f64,
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top_n: usize,
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padding_ratio: f64,
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min_padding: f64,
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max_padding: f64,
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) -> Self {
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Self {
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base_index_level,
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@@ -94,11 +100,14 @@ impl DynamicMarketCapBandSelector {
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cap_span,
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xs,
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top_n,
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padding_ratio,
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min_padding,
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max_padding,
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}
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}
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pub fn demo(top_n: usize) -> Self {
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Self::new(2000.0, 7.0, 10.0, 4.0 / 500.0, top_n)
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Self::new(2000.0, 7.0, 10.0, 4.0 / 500.0, top_n, 0.5, 8.0, 20.0)
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}
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pub fn regime(&self, benchmark_level: f64) -> BandRegime {
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@@ -114,7 +123,18 @@ impl DynamicMarketCapBandSelector {
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pub fn band_for_level(&self, benchmark_level: f64) -> (f64, f64) {
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let start = ((benchmark_level - self.base_index_level) * self.xs) + self.base_cap_floor;
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let low = start.round();
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(low, low + self.cap_span)
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let high = low + self.cap_span;
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// Apply padding to expand the range
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let span = high - low;
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let padding = (span * self.padding_ratio)
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.max(self.min_padding)
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.min(self.max_padding);
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let lower_bound = (low - padding).max(0.0);
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let upper_bound = high + padding;
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(lower_bound, upper_bound)
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}
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}
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