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修正弱市止盈前减仓顺序

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This commit is contained in:
boris
2026-07-08 07:02:17 +08:00
parent 5e480cd69b
commit 2fcacb4313
1 changed files with 223 additions and 14 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+223 -14
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@@ -8553,7 +8553,7 @@ impl Strategy for PlatformExprStrategy {
}
}
let mut actionable_stop_take_exit_symbols = BTreeSet::<String>::new();
let mut stop_take_exit_signal_symbols = BTreeSet::<String>::new();
if self.config.aiquant_transaction_cost
&& self.config.rotation_enabled
&& trading_ratio > 0.0
@@ -8581,15 +8581,20 @@ impl Strategy for PlatformExprStrategy {
if !stop_hit && !profit_hit {
continue;
}
if defer_execution_risk
|| self.can_sell_position_at_time(
ctx,
execution_date,
&position.symbol,
Some(self.intraday_execution_start_time()),
)
{
actionable_stop_take_exit_symbols.insert(position.symbol.clone());
let lower_limit_blocked = match self.stock_state_at_time(
ctx,
projection_date,
&position.symbol,
Some(self.intraday_execution_start_time()),
) {
Ok(stock) => stock.lower_limit > 0.0 && stock.last <= stock.lower_limit,
Err(BacktestError::Data(crate::data::DataSetError::MissingSnapshot {
..
})) => false,
Err(error) => return Err(error),
};
if !lower_limit_blocked {
stop_take_exit_signal_symbols.insert(position.symbol.clone());
}
}
}
@@ -8620,9 +8625,6 @@ impl Strategy for PlatformExprStrategy {
if pending_full_close_symbols.contains(&position.symbol) {
continue;
}
if actionable_stop_take_exit_symbols.contains(&position.symbol) {
continue;
}
let current_value = self.projected_position_value_at_execution_price(
ctx,
&projected,
@@ -8657,6 +8659,11 @@ impl Strategy for PlatformExprStrategy {
.map(|projected_position| projected_position.quantity)
.unwrap_or(0);
let quantity_delta = after_qty as i32 - before_qty as i32;
if stop_take_exit_signal_symbols.contains(&position.symbol)
&& quantity_delta >= 0
{
continue;
}
if self
.config
.weak_market_shrink_overweight_threshold
@@ -16756,6 +16763,190 @@ mod tests {
)));
}
#[test]
fn platform_aiquant_sells_down_before_actionable_take_profit_exit() {
let prev_date = d(2025, 4, 28);
let date = d(2025, 4, 29);
let symbols = ["000001.SZ", "000002.SZ"];
let data = DataSet::from_components_with_actions_and_quotes(
symbols
.iter()
.map(|symbol| Instrument {
symbol: (*symbol).to_string(),
name: (*symbol).to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: Some(d(2020, 1, 1)),
delisted_at: None,
status: "active".to_string(),
})
.collect(),
symbols
.iter()
.map(|symbol| DailyMarketSnapshot {
date,
symbol: (*symbol).to_string(),
timestamp: Some("2025-04-29 10:15:00".to_string()),
day_open: 10.0,
open: 10.0,
high: 10.4,
low: 9.8,
close: 10.0,
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
prev_close: 9.8,
volume: 1_000_000,
minute_volume: 10_000,
bid1_volume: 2_000,
ask1_volume: 2_000,
trading_phase: Some("continuous".to_string()),
paused: false,
upper_limit: 10.78,
lower_limit: 8.82,
price_tick: 0.01,
})
.collect(),
symbols
.iter()
.enumerate()
.map(|(index, symbol)| DailyFactorSnapshot {
date,
symbol: (*symbol).to_string(),
market_cap_bn: 10.0 + index as f64,
free_float_cap_bn: 10.0 + index as f64,
pe_ttm: 8.0,
turnover_ratio: Some(1.0),
effective_turnover_ratio: Some(1.0),
extra_factors: BTreeMap::new(),
})
.collect(),
symbols
.iter()
.map(|symbol| CandidateEligibility {
date,
symbol: (*symbol).to_string(),
is_st: false,
is_star_st: false,
is_new_listing: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
})
.collect(),
vec![BenchmarkSnapshot {
date,
benchmark: "000852.SH".to_string(),
open: 1000.0,
close: 1000.0,
prev_close: 1000.0,
volume: 1_000_000,
}],
Vec::new(),
symbols
.iter()
.map(|symbol| IntradayExecutionQuote {
date,
symbol: (*symbol).to_string(),
timestamp: date.and_hms_opt(10, 15, 0).expect("timestamp"),
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
bid1_volume: 2_000,
ask1_volume: 2_000,
volume_delta: 10_000,
amount_delta: 100_000.0,
trading_phase: Some("continuous".to_string()),
})
.collect(),
)
.expect("dataset");
let mut portfolio = PortfolioState::new(10_000.0);
portfolio
.position_mut("000001.SZ")
.buy(prev_date, 1_000, 8.0);
let subscriptions = BTreeSet::new();
let ctx = StrategyContext {
execution_date: date,
decision_date: date,
decision_index: 2,
data: &data,
portfolio: &portfolio,
futures_account: None,
open_orders: &[],
dynamic_universe: None,
subscriptions: &subscriptions,
process_events: &[],
active_process_event: None,
active_datetime: None,
order_events: &[],
fills: &[],
};
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.signal_symbol = "000001.SZ".to_string();
cfg.refresh_rate = 99;
cfg.max_positions = 2;
cfg.benchmark_short_ma_days = 1;
cfg.benchmark_long_ma_days = 1;
cfg.market_cap_lower_expr = "0".to_string();
cfg.market_cap_upper_expr = "1000".to_string();
cfg.selection_limit_expr = "2".to_string();
cfg.stock_filter_expr = "close > 0".to_string();
cfg.exposure_expr = "0.5".to_string();
cfg.stop_loss_expr.clear();
cfg.take_profit_expr = "1.1".to_string();
cfg.daily_top_up_enabled = true;
cfg.aiquant_transaction_cost = true;
cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 15, 0).unwrap());
let mut strategy = PlatformExprStrategy::new(cfg);
strategy.rebalance_day_counter = 2;
let decision = strategy.on_day(&ctx).expect("platform decision");
let target_adjust_index = decision
.order_intents
.iter()
.position(|intent| {
matches!(
intent,
OrderIntent::Shares {
symbol,
quantity,
reason,
} if symbol == "000001.SZ"
&& reason == "daily_position_target_adjust"
&& *quantity < 0
)
})
.expect("target sell-down before take-profit");
let take_profit_index = decision
.order_intents
.iter()
.position(|intent| {
matches!(
intent,
OrderIntent::TargetValue {
symbol,
target_value,
reason,
} if symbol == "000001.SZ"
&& *target_value == 0.0
&& reason == "take_profit_exit"
)
})
.expect("take-profit exit");
assert!(
target_adjust_index < take_profit_index,
"{:?}",
decision.order_intents
);
}
#[test]
fn platform_aiquant_allows_target_adjust_when_stop_loss_sell_is_lower_limit_blocked() {
let prev_date = d(2025, 1, 10);
@@ -20487,7 +20678,7 @@ mod tests {
let prev_date = d(2025, 2, 2);
let date = d(2025, 2, 3);
let symbols = ["000001.SZ", "000002.SZ"];
let data = DataSet::from_components(
let data = DataSet::from_components_with_actions_and_quotes(
symbols
.iter()
.map(|symbol| Instrument {
@@ -20564,6 +20755,23 @@ mod tests {
prev_close: 1000.0,
volume: 1_000_000,
}],
Vec::new(),
symbols
.iter()
.map(|symbol| IntradayExecutionQuote {
date,
symbol: (*symbol).to_string(),
timestamp: date.and_hms_opt(10, 40, 0).expect("timestamp"),
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
bid1_volume: 2_000,
ask1_volume: 2_000,
volume_delta: 10_000,
amount_delta: 100_000.0,
trading_phase: Some("continuous".to_string()),
})
.collect(),
)
.expect("dataset");
@@ -20603,6 +20811,7 @@ mod tests {
cfg.take_profit_expr.clear();
cfg.daily_top_up_enabled = true;
cfg.aiquant_transaction_cost = true;
cfg.intraday_execution_time = Some(NaiveTime::from_hms_opt(10, 40, 0).unwrap());
let mut strategy = PlatformExprStrategy::new(cfg);
strategy.rebalance_day_counter = 2;