批量计算标准滚动均线
This commit is contained in:
boris
+191
-25
@@ -641,44 +641,40 @@ impl AdjustedCloseSeries {
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}
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fn current_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
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if lookback == 0 {
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return None;
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}
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let end = match self.dates.binary_search(&date) {
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Ok(index) => index + 1,
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Err(0) => return None,
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Err(index) => index,
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};
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if end < lookback {
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return None;
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}
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let base_factor = self.backward_factors.get(end - 1).copied().flatten()?;
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let start = end - lookback;
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if self.missing_back_adjusted_close_prefix[end]
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!= self.missing_back_adjusted_close_prefix[start]
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{
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return None;
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}
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let sum = self.back_adjusted_close_prefix[end] - self.back_adjusted_close_prefix[start];
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if !sum.is_finite() {
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return None;
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}
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Some(normalize_rolling_factor(
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sum / lookback as f64 / base_factor,
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12,
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))
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self.moving_average_at_end(end, lookback)
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}
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fn decision_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
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if lookback == 0 {
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return None;
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}
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let end = match self.dates.binary_search(&date) {
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Ok(index) => index,
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Err(0) => return None,
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Err(index) => index,
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};
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if end < lookback {
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self.moving_average_at_end(end, lookback)
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}
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fn moving_averages<const N: usize>(
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&self,
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date: NaiveDate,
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lookbacks: &[usize; N],
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include_now: bool,
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) -> [Option<f64>; N] {
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let end = match self.dates.binary_search(&date) {
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Ok(index) if include_now => index + 1,
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Ok(index) => index,
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Err(0) => return [None; N],
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Err(index) => index,
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};
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std::array::from_fn(|index| self.moving_average_at_end(end, lookbacks[index]))
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}
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fn moving_average_at_end(&self, end: usize, lookback: usize) -> Option<f64> {
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if lookback == 0 || end < lookback {
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return None;
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}
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let base_factor = self.backward_factors.get(end - 1).copied().flatten()?;
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@@ -989,6 +985,27 @@ impl SymbolPriceSeries {
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})
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}
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fn volume_moving_averages<const N: usize>(
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&self,
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date: NaiveDate,
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lookbacks: &[usize; N],
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include_now: bool,
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) -> [Option<f64>; N] {
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let Some(end) = self.rolling_end_index(date, include_now) else {
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return [None; N];
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};
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std::array::from_fn(|index| {
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let lookback = lookbacks[index];
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self.valid_volume_window(end, lookback).map(|(start, end)| {
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normalize_rolling_factor(
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(self.valid_volume_sum_prefix[end] - self.valid_volume_sum_prefix[start])
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/ lookback as f64,
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12,
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)
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})
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})
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}
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fn decision_volume_values(&self, date: NaiveDate, lookback: usize) -> Option<Vec<f64>> {
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let end = self.previous_completed_end_index(date)?;
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self.valid_volume_values(end, lookback)
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@@ -1031,6 +1048,15 @@ impl SymbolPriceSeries {
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}
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}
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fn rolling_end_index(&self, date: NaiveDate, include_now: bool) -> Option<usize> {
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match self.dates.binary_search(&date) {
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Ok(index) if include_now => Some(index + 1),
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Ok(index) => Some(index),
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Err(0) => None,
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Err(index) => Some(index),
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}
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}
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fn price_values_for(&self, field: PriceField) -> &[f64] {
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match field {
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PriceField::DayOpen => &self.day_opens,
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@@ -1280,6 +1306,12 @@ pub(crate) struct SymbolSnapshotRefs<'a> {
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pub candidate: Option<&'a CandidateEligibility>,
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}
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#[derive(Debug, Clone, Copy)]
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pub(crate) struct StandardRollingMeans {
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pub close: [Option<f64>; 7],
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pub volume: [Option<f64>; 5],
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}
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impl DataSet {
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pub fn with_additional_trading_dates(
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mut self,
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@@ -1926,6 +1958,25 @@ impl DataSet {
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}
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}
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pub(crate) fn market_standard_rolling_means_by_symbol_id(
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&self,
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date: NaiveDate,
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symbol_id: u32,
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close_lookbacks: &[usize; 7],
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volume_lookbacks: &[usize; 5],
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include_now: bool,
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) -> StandardRollingMeans {
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let close = self
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.adjusted_close_series_by_symbol_id(symbol_id)
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.map(|series| series.moving_averages(date, close_lookbacks, include_now))
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.unwrap_or([None; 7]);
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let volume = self
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.market_series_by_symbol_id(symbol_id)
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.map(|series| series.volume_moving_averages(date, volume_lookbacks, include_now))
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.unwrap_or([None; 5]);
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StandardRollingMeans { close, volume }
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}
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pub fn benchmark(&self, date: NaiveDate) -> Option<&BenchmarkSnapshot> {
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self.benchmark_by_date.get(&date)
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}
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@@ -4960,6 +5011,121 @@ mod tests {
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.expect("volume contract dataset")
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}
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#[test]
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fn batched_standard_rolling_means_match_scalar_lookups() {
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let dates = [
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NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap(),
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NaiveDate::parse_from_str("2025-01-03", "%Y-%m-%d").unwrap(),
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NaiveDate::parse_from_str("2025-01-06", "%Y-%m-%d").unwrap(),
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];
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let data = DataSet::from_components(
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vec![Instrument {
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symbol: "000001.SZ".to_string(),
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name: "000001.SZ".to_string(),
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board: "SZ".to_string(),
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round_lot: 100,
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listed_at: Some(dates[0]),
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delisted_at: None,
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status: "active".to_string(),
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}],
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dates
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.iter()
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.enumerate()
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.map(|(index, date)| {
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market_row(&date.format("%Y-%m-%d").to_string(), 10.0 + index as f64, 100 + index as u64)
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})
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.collect(),
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dates
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.iter()
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.map(|date| DailyFactorSnapshot {
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date: *date,
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symbol: "000001.SZ".to_string(),
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market_cap_bn: 10.0,
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free_float_cap_bn: 8.0,
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pe_ttm: 10.0,
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turnover_ratio: None,
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effective_turnover_ratio: None,
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extra_factors: BTreeMap::from([(Cow::Borrowed(BACKWARD_ADJUSTMENT_FACTOR_FIELD), 1.0)]),
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})
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.collect(),
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Vec::new(),
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dates
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.iter()
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.map(|date| BenchmarkSnapshot {
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date: *date,
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benchmark: "000852.SH".to_string(),
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open: 100.0,
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close: 100.0,
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prev_close: 100.0,
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volume: 1_000_000,
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})
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.collect(),
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)
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.expect("standard rolling dataset");
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let date = dates[2];
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let symbol_id = data.symbol_id("000001.SZ").unwrap();
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let close_lookbacks = [1, 2, 3, 1, 2, 3, 0];
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let volume_lookbacks = [1, 2, 3, 0, 2];
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let batched = data.market_standard_rolling_means_by_symbol_id(
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date,
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symbol_id,
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&close_lookbacks,
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&volume_lookbacks,
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false,
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);
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for (index, lookback) in close_lookbacks.iter().copied().enumerate() {
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assert_eq!(
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batched.close[index],
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data.market_decision_numeric_moving_average_by_symbol_id(
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date,
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symbol_id,
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"000001.SZ",
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"close",
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lookback,
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)
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);
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}
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for (index, lookback) in volume_lookbacks.iter().copied().enumerate() {
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assert_eq!(
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batched.volume[index],
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data.market_decision_numeric_moving_average_by_symbol_id(
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date,
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symbol_id,
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"000001.SZ",
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"volume",
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lookback,
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)
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);
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}
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let current = data.market_standard_rolling_means_by_symbol_id(
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date,
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symbol_id,
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&close_lookbacks,
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&volume_lookbacks,
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true,
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);
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assert_eq!(
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current.close[1],
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data.market_current_numeric_moving_average_by_symbol_id(
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date,
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symbol_id,
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"000001.SZ",
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"close",
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2,
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)
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);
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assert_eq!(
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current.volume[1],
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data.market_current_numeric_moving_average_by_symbol_id(
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date,
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symbol_id,
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"000001.SZ",
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"volume",
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2,
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)
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);
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}
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#[test]
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fn source_volume_contract_rejects_windows_containing_missing_values() {
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let data = volume_contract_data(Some([1.0, 0.0, 1.0]));
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@@ -3937,57 +3937,49 @@ impl PlatformExprStrategy {
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None
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};
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let instrument = ctx.data.instrument(symbol);
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let rolling = |field: &'static str, lookback: usize| -> f64 {
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if !self.stock_rolling_requirements.requires(field, lookback) {
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return f64::NAN;
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}
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self.stock_decision_rolling_mean(ctx, date, symbol_id, symbol, field, lookback)
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.unwrap_or(f64::NAN)
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let required_rolling = |field: &'static str, lookback: usize| {
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self.stock_rolling_requirements
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.requires(field, lookback)
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.then_some(lookback)
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.unwrap_or(0)
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};
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let stock_ma_short = rolling("close", self.config.stock_short_ma_days);
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let stock_ma_mid = rolling("close", self.config.stock_mid_ma_days);
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let stock_ma_long = rolling("close", self.config.stock_long_ma_days);
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let stock_ma5 = if self.config.stock_short_ma_days == 5 {
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stock_ma_short
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} else if self.config.stock_mid_ma_days == 5 {
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stock_ma_mid
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} else if self.config.stock_long_ma_days == 5 {
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stock_ma_long
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} else {
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rolling("close", 5)
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};
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let stock_ma10 = if self.config.stock_short_ma_days == 10 {
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stock_ma_short
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} else if self.config.stock_mid_ma_days == 10 {
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stock_ma_mid
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} else if self.config.stock_long_ma_days == 10 {
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stock_ma_long
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} else {
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rolling("close", 10)
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};
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let stock_ma20 = if self.config.stock_short_ma_days == 20 {
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stock_ma_short
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} else if self.config.stock_mid_ma_days == 20 {
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stock_ma_mid
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} else if self.config.stock_long_ma_days == 20 {
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stock_ma_long
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} else {
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rolling("close", 20)
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};
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let stock_ma30 = if self.config.stock_short_ma_days == 30 {
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stock_ma_short
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} else if self.config.stock_mid_ma_days == 30 {
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stock_ma_mid
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} else if self.config.stock_long_ma_days == 30 {
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stock_ma_long
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} else {
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rolling("close", 30)
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};
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let stock_volume_ma5 = rolling("volume", 5);
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let stock_volume_ma10 = rolling("volume", 10);
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let stock_volume_ma20 = rolling("volume", 20);
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let stock_volume_ma60 = rolling("volume", 60);
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let stock_volume_ma100 = rolling("volume", 100);
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let close_lookbacks = [
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required_rolling("close", self.config.stock_short_ma_days),
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required_rolling("close", self.config.stock_mid_ma_days),
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required_rolling("close", self.config.stock_long_ma_days),
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required_rolling("close", 5),
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required_rolling("close", 10),
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required_rolling("close", 20),
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required_rolling("close", 30),
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];
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let volume_lookbacks = [
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required_rolling("volume", 5),
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required_rolling("volume", 10),
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required_rolling("volume", 20),
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required_rolling("volume", 60),
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required_rolling("volume", 100),
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];
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let rolling_means = ctx.data.market_standard_rolling_means_by_symbol_id(
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date,
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symbol_id,
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&close_lookbacks,
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&volume_lookbacks,
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false,
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);
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let close_rolling = |index: usize| rolling_means.close[index].unwrap_or(f64::NAN);
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let volume_rolling = |index: usize| rolling_means.volume[index].unwrap_or(f64::NAN);
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let stock_ma_short = close_rolling(0);
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let stock_ma_mid = close_rolling(1);
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let stock_ma_long = close_rolling(2);
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let stock_ma5 = close_rolling(3);
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let stock_ma10 = close_rolling(4);
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let stock_ma20 = close_rolling(5);
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let stock_ma30 = close_rolling(6);
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let stock_volume_ma5 = volume_rolling(0);
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let stock_volume_ma10 = volume_rolling(1);
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let stock_volume_ma20 = volume_rolling(2);
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let stock_volume_ma60 = volume_rolling(3);
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let stock_volume_ma100 = volume_rolling(4);
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let touched_upper_limit = if intraday_same_day_factor {
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!market.paused
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&& (market.is_at_upper_limit_price(market.close)
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