修正回测出入金现金流中性口径

This commit is contained in:
boris
2026-08-22 18:54:34 +08:00
parent fe7e0f397f
commit 6fba34d2e4
7 changed files with 235 additions and 62 deletions
+7
View File
@@ -2648,6 +2648,13 @@ fn engine_applies_account_cash_flow_and_financing_intents() {
assert!((result.equity_curve[0].total_equity - 10_458.0).abs() < 1e-6);
assert!((result.equity_curve[1].cash - 12_416.0).abs() < 1e-6);
assert!((result.equity_curve[1].total_equity - 11_416.0).abs() < 1e-6);
assert!((result.equity_curve[0].external_cash_flow - 500.0).abs() < 1e-6);
assert!((result.equity_curve[1].external_cash_flow - 1_000.0).abs() < 1e-6);
assert!((result.metrics.external_cash_flow_total - 1_500.0).abs() < 1e-6);
// The 1,500 external cash contribution must not be reported as a
// strategy return. Only the explicit management fee affects NAV here.
assert!(result.metrics.total_return < 0.0);
assert!(result.metrics.total_return > -0.01);
assert!(result.account_events.iter().any(|event| {
event
.note