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修正指数择时使用信号指数

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This commit is contained in:
boris
2026-07-08 03:27:06 +08:00
parent 32a417d6d1
commit 203e17ce87
2 changed files with 85 additions and 4 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+28 -2
View File
@@ -400,6 +400,8 @@ struct DayExpressionState {
benchmark_ma10: f64,
benchmark_ma20: f64,
benchmark_ma30: f64,
signal_ma_short: f64,
signal_ma_long: f64,
signal_ma5: f64,
signal_ma10: f64,
signal_ma20: f64,
@@ -890,6 +892,8 @@ impl PlatformExprStrategy {
| "signal_ma10"
| "signal_ma20"
| "signal_ma30"
| "signal_ma_short"
| "signal_ma_long"
| "benchmark_ma5"
| "benchmark_ma10"
| "benchmark_ma20"
@@ -2672,6 +2676,14 @@ impl PlatformExprStrategy {
.data
.market_decision_close_moving_average(date, &self.config.signal_symbol, 5)
.unwrap_or(benchmark_ma5);
let signal_ma_short = ctx
.data
.market_decision_close_moving_average(
date,
&self.config.signal_symbol,
self.config.benchmark_short_ma_days,
)
.unwrap_or(signal_ma5);
let signal_ma10 = ctx
.data
.market_decision_close_moving_average(date, &self.config.signal_symbol, 10)
@@ -2684,6 +2696,14 @@ impl PlatformExprStrategy {
.data
.market_decision_close_moving_average(date, &self.config.signal_symbol, 30)
.unwrap_or(benchmark_ma30);
let signal_ma_long = ctx
.data
.market_decision_close_moving_average(
date,
&self.config.signal_symbol,
self.config.benchmark_long_ma_days,
)
.unwrap_or(signal_ma30);
let account = ctx.account();
let cash = account.cash;
let market_value = account.market_value;
@@ -2708,6 +2728,8 @@ impl PlatformExprStrategy {
benchmark_ma10,
benchmark_ma20,
benchmark_ma30,
signal_ma_short,
signal_ma_long,
signal_ma5,
signal_ma10,
signal_ma20,
@@ -3129,6 +3151,8 @@ impl PlatformExprStrategy {
scope.push("signal_ma5", day.signal_ma5);
scope.push("signal_ma10", day.signal_ma10);
scope.push("signal_ma20", day.signal_ma20);
scope.push("signal_ma_short", day.signal_ma_short);
scope.push("signal_ma_long", day.signal_ma_long);
scope.push("benchmark_ma5", day.benchmark_ma5);
scope.push("benchmark_ma10", day.benchmark_ma10);
scope.push("benchmark_ma20", day.benchmark_ma20);
@@ -3256,6 +3280,8 @@ impl PlatformExprStrategy {
day_factors.insert("signal_ma10".into(), Dynamic::from(day.signal_ma10));
day_factors.insert("signal_ma20".into(), Dynamic::from(day.signal_ma20));
day_factors.insert("signal_ma30".into(), Dynamic::from(day.signal_ma30));
day_factors.insert("signal_ma_short".into(), Dynamic::from(day.signal_ma_short));
day_factors.insert("signal_ma_long".into(), Dynamic::from(day.signal_ma_long));
day_factors.insert("benchmark_ma5".into(), Dynamic::from(day.benchmark_ma5));
day_factors.insert("benchmark_ma10".into(), Dynamic::from(day.benchmark_ma10));
day_factors.insert("benchmark_ma20".into(), Dynamic::from(day.benchmark_ma20));
@@ -9272,8 +9298,8 @@ impl Strategy for PlatformExprStrategy {
"platform_expr signal={} last={:.2} ma_short={:.2} ma_long={:.2} band={:.2}-{:.2} tr={:.2}",
self.config.signal_symbol,
day.signal_close,
day.benchmark_ma_short,
day.benchmark_ma_long,
day.signal_ma_short,
day.signal_ma_long,
band_low,
band_high,
trading_ratio
crates/fidc-core/src/platform_strategy_spec.rs
+57 -2
View File
@@ -1219,6 +1219,17 @@ fn stock_volume_ma_expr(days: usize) -> String {
}
}
fn normalize_index_throttle_exposure_expr(expr: &str) -> String {
let mut normalized = expr.to_string();
for suffix in ["short", "long", "5", "10", "20", "30"] {
normalized = normalized.replace(
&format!("benchmark_ma{suffix}"),
&format!("signal_ma{suffix}"),
);
}
normalized
}
fn infer_expression_windows(
cfg: &mut PlatformExprStrategyConfig,
benchmark_short_explicit: bool,
@@ -1230,6 +1241,7 @@ fn infer_expression_windows(
let mut benchmark_days = Vec::new();
for expr in [&cfg.exposure_expr, &cfg.buy_scale_expr] {
benchmark_days.extend(prefixed_ma_lookbacks(expr, "benchmark_ma"));
benchmark_days.extend(prefixed_ma_lookbacks(expr, "signal_ma"));
benchmark_days.extend(rolling_mean_lookbacks(expr, "benchmark_close"));
}
let benchmark_days = sorted_unique_positive(benchmark_days);
@@ -1539,7 +1551,16 @@ pub fn platform_expr_config_from_spec(
.as_ref()
.filter(|value| !value.trim().is_empty())
{
cfg.exposure_expr = expr.clone();
cfg.exposure_expr = if spec
.engine_config
.as_ref()
.and_then(|engine| engine.index_throttle.as_ref())
.is_some()
{
normalize_index_throttle_exposure_expr(expr)
} else {
expr.clone()
};
}
if let Some(expr) = risk
.stop_loss_expr
@@ -1715,7 +1736,7 @@ pub fn platform_expr_config_from_spec(
let defensive = index_throttle.defensive_exposure.unwrap_or(0.5);
let full = index_throttle.full_exposure.unwrap_or(1.0);
cfg.exposure_expr = format!(
"benchmark_ma_short < benchmark_ma_long * {} ? {} : {}",
"signal_ma_short < signal_ma_long * {} ? {} : {}",
ratio, defensive, full
);
}
@@ -2963,6 +2984,40 @@ mod tests {
assert_eq!(cfg.stock_long_ma_days, 21);
}
#[test]
fn index_throttle_uses_signal_ma_not_performance_benchmark_ma() {
let spec = serde_json::json!({
"signalSymbol": "000852.SH",
"benchmark": {
"instrumentId": "932000.CSI"
},
"engineConfig": {
"profileName": "aiquant",
"indexThrottle": {
"shortDays": 10,
"longDays": 30,
"defensiveExposure": 0.5,
"fullExposure": 1.0
}
},
"runtimeExpressions": {
"risk": {
"exposureExpr": "if benchmark_ma10 > benchmark_ma30 { 1.0 } else { 0.5 }"
}
}
});
let cfg = platform_expr_config_from_value("strategy88", "", &spec).expect("config");
assert_eq!(cfg.signal_symbol, "000852.SH");
assert_eq!(
cfg.exposure_expr,
"if signal_ma10 > signal_ma30 { 1.0 } else { 0.5 }"
);
assert_eq!(cfg.benchmark_short_ma_days, 10);
assert_eq!(cfg.benchmark_long_ma_days, 30);
}
#[test]
fn parses_daily_schedule_time_for_aiquant_execution_quotes() {
let spec = serde_json::json!({