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

修正当前复权均线预计算命中

Browse Source
This commit is contained in:
boris
2026-07-17 23:05:36 +08:00
parent 71b5acee30
commit 59a500b879
1 changed files with 10 additions and 2 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crates/fidc-core/src/platform_expr_strategy.rs
+10 -2
View File
@@ -770,7 +770,10 @@ fn precomputed_stock_current_rolling_mean(
}; };
match field.trim().to_ascii_lowercase().as_str() { match field.trim().to_ascii_lowercase().as_str() {
"close" | "prev_close" | "stock_close" | "price" => { "close" | "prev_close" | "stock_close" | "price" => {
value_for(&format!("ma{lookback}_current_close")) // `rolling_mean_current("close", ...)` uses the framework's
// back-adjusted close series. Source Lake `maN_current_close` is
// calculated from raw close and is therefore not interchangeable.
value_for(&format!("ma{lookback}_current_back_adjusted_close"))
} }
"volume" | "stock_volume" => value_for(&format!("avg_volume{lookback}_current")), "volume" | "stock_volume" => value_for(&format!("avg_volume{lookback}_current")),
_ => None, _ => None,
@@ -787,6 +790,7 @@ fn is_precomputed_stock_current_rolling_key(key: &str) -> bool {
} }
has_numeric_window(key, "ma", "_current_close") has_numeric_window(key, "ma", "_current_close")
|| has_numeric_window(key, "ma", "_current_back_adjusted_close")
|| has_numeric_window(key, "avg_volume", "_current") || has_numeric_window(key, "avg_volume", "_current")
} }
@@ -28590,6 +28594,7 @@ mod tests {
extra_factors.insert("ma30_prev_close".to_string(), 97.0); extra_factors.insert("ma30_prev_close".to_string(), 97.0);
extra_factors.insert("avg_volume5".to_string(), 88.0); extra_factors.insert("avg_volume5".to_string(), 88.0);
extra_factors.insert("avg_volume100".to_string(), 99.0); extra_factors.insert("avg_volume100".to_string(), 99.0);
extra_factors.insert("ma5_current_close".to_string(), 999.0);
extra_factors.insert("adjustment_factor_backward1".to_string(), 1.0); extra_factors.insert("adjustment_factor_backward1".to_string(), 1.0);
let data = DataSet::from_components( let data = DataSet::from_components(
vec![Instrument { vec![Instrument {
@@ -28795,7 +28800,10 @@ mod tests {
effective_turnover_ratio: None, effective_turnover_ratio: None,
extra_factors: BTreeMap::from([ extra_factors: BTreeMap::from([
("adjustment_factor_backward1".to_string(), 1.0), ("adjustment_factor_backward1".to_string(), 1.0),
("ma5_current_close".to_string(), current_close), (
"ma5_current_back_adjusted_close".to_string(),
current_close,
),
("avg_volume5_current".to_string(), current_volume), ("avg_volume5_current".to_string(), current_volume),
]), ]),
}, },