zsb/fidc-backtest-engine
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

预计算策略滚动窗口依赖

Browse Source
This commit is contained in:
boris
2026-08-29 20:33:04 +08:00
parent d547bfc5b7
commit 1b60c78141
1 changed files with 30 additions and 30 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crates/fidc-core/src/platform_expr_strategy.rs
+30 -30
View File
@@ -987,7 +987,8 @@ pub struct PlatformExprStrategy {
prelude_declared_identifiers: BTreeSet<String>,
stock_filter_quote_usage: StockFilterQuoteUsage,
selection_quote_usage: StockFilterQuoteUsage,
stock_rolling_requirements: StockRollingRequirements,
stock_close_lookbacks: [usize; 7],
stock_volume_lookbacks: [usize; 5],
stock_extra_factors_required: bool,
stock_extra_factor_identifiers: BTreeSet<String>,
stock_extra_factor_map_required: bool,
@@ -1265,6 +1266,28 @@ impl PlatformExprStrategy {
let selection_quote_usage =
Self::selection_quote_usage_for_config(&config, &normalized_stock_filter_expr);
let stock_rolling_requirements = Self::stock_rolling_requirements_for_config(&config);
let required_rolling = |field: &'static str, lookback: usize| {
stock_rolling_requirements
.requires(field, lookback)
.then_some(lookback)
.unwrap_or(0)
};
let stock_close_lookbacks = [
required_rolling("close", config.stock_short_ma_days),
required_rolling("close", config.stock_mid_ma_days),
required_rolling("close", config.stock_long_ma_days),
required_rolling("close", 5),
required_rolling("close", 10),
required_rolling("close", 20),
required_rolling("close", 30),
];
let stock_volume_lookbacks = [
required_rolling("volume", 5),
required_rolling("volume", 10),
required_rolling("volume", 20),
required_rolling("volume", 60),
required_rolling("volume", 100),
];
let stock_extra_factors_required =
Self::stock_extra_factors_required_for_config(&config, &prelude_declared_identifiers);
let stock_extra_factor_identifiers =
@@ -1310,7 +1333,8 @@ impl PlatformExprStrategy {
prelude_declared_identifiers,
stock_filter_quote_usage,
selection_quote_usage,
stock_rolling_requirements,
stock_close_lookbacks,
stock_volume_lookbacks,
stock_extra_factors_required,
stock_extra_factor_identifiers,
stock_extra_factor_map_required,
@@ -4038,33 +4062,11 @@ impl PlatformExprStrategy {
None
};
let instrument = ctx.data.instrument(symbol);
let required_rolling = |field: &'static str, lookback: usize| {
self.stock_rolling_requirements
.requires(field, lookback)
.then_some(lookback)
.unwrap_or(0)
};
let close_lookbacks = [
required_rolling("close", self.config.stock_short_ma_days),
required_rolling("close", self.config.stock_mid_ma_days),
required_rolling("close", self.config.stock_long_ma_days),
required_rolling("close", 5),
required_rolling("close", 10),
required_rolling("close", 20),
required_rolling("close", 30),
];
let volume_lookbacks = [
required_rolling("volume", 5),
required_rolling("volume", 10),
required_rolling("volume", 20),
required_rolling("volume", 60),
required_rolling("volume", 100),
];
let rolling_means = ctx.data.market_standard_rolling_means_by_symbol_id(
date,
symbol_id,
&close_lookbacks,
&volume_lookbacks,
&self.stock_close_lookbacks,
&self.stock_volume_lookbacks,
false,
);
let close_rolling = |index: usize| rolling_means.close[index].unwrap_or(f64::NAN);
@@ -14005,10 +14007,8 @@ mod tests {
let strategy = PlatformExprStrategy::new(cfg);
assert!(!strategy.stock_extra_factors_required);
assert!(!strategy.stock_rolling_requirements.requires("close", 5));
assert!(!strategy.stock_rolling_requirements.requires("close", 10));
assert!(!strategy.stock_rolling_requirements.requires("volume", 5));
assert!(!strategy.stock_rolling_requirements.requires("volume", 100));
assert_eq!(strategy.stock_close_lookbacks, [0; 7]);
assert_eq!(strategy.stock_volume_lookbacks, [0; 5]);
}
#[test]