feat(stock-pool): unify target execution, durable intent state and ETF rules
This commit is contained in:
boris
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{
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"strategyId": "fixture_hold_without_stops_backtest",
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"version": "1.0.0",
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"market": "CN_A",
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"benchmark": {
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"instrumentId": "000300.SH",
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"fallbackInstrumentId": "000300.SH",
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"note": "必须使用真实指数链路；若 000852.SH 不可用，应直接报错而不是退化到其他标的。"
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},
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"universe": {
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"exclude": [],
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"implementationNotes": [
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"ST、停牌、退市、新股、科创、一元、涨跌停、同日卖出禁买、成交量和费用由 riskPolicy / RiskLimits 统一执行",
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"上市日期与退市日期取自 instrument 结构化字段，不再使用股票名称做 ST/退市判断",
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"盘中 current_price / last_price 由策略交易时刻批量 tick 查询驱动"
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],
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"include": [
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"000001.SZ",
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"000002.SZ"
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]
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},
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"selectors": [
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{
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"type": "dynamicRange",
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"field": "market_cap",
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"lowerExpr": "0",
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"upperExpr": "1000000000000",
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"mapping": "close -> strategy_factory_source_lake.runtime_fields.close"
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},
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{
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"type": "filter",
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"expr": "(close > 0)"
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},
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{
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"type": "rank",
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"orderBy": [
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"market_cap asc"
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],
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"limitExpr": "2"
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}
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],
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"rebalance": {
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"frequencyDays": 1,
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"tradeTimes": [],
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"dailyApproximation": "日线回测按 matching_type 撮合；分钟线回测按交易时刻分钟价格撮合",
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"schedule": {
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"frequency": "daily"
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}
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},
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"risk": {
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"takeProfitExpr": "",
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"stopLossExpr": "",
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"indexThrottleExpr": "max(0.0, 1.0000000000 - 0.0000 / max(total_equity, 1.0))",
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"stopTakeReferencePriceMode": "position_average_entry_price"
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},
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"seasonality": {
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"skipWindows": []
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},
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"execution": {
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"selectionGranularity": "strategy_factory_source_lake.daily_source_rows_v1",
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"executionGranularity": "daily_or_minute_bar",
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"priceSource": "current_bar_close_or_next_bar_open_or_minute_bar",
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"matchingType": "current_bar_close",
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"rebalanceCashMode": "sell_then_buy",
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"slippageModel": "none",
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"slippageValue": 0,
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"riskPolicy": {
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"rejectStSelection": false,
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"rejectStarStSelection": false,
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"rejectPausedSelection": false,
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"rejectInactiveSelection": false,
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"rejectNewListingSelection": false,
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"rejectKcbSelection": false,
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"rejectBjseSelection": false,
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"rejectOneYuanSelection": false,
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"rejectUpperLimitSelection": false,
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"rejectLowerLimitSelection": false,
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"rejectStBuy": true,
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"rejectStarStBuy": true,
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"rejectPausedBuy": true,
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"rejectInactiveBuy": true,
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"rejectNewListingBuy": true,
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"rejectKcbBuy": true,
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"rejectBjseBuy": true,
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"rejectOneYuanBuy": true,
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"rejectUpperLimitBuy": true,
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"rejectPausedSell": true,
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"rejectInactiveSell": true,
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"rejectLowerLimitSell": true,
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"respectAllowBuySell": true,
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"forbidSameDayRebuyAfterSell": true,
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"blacklistEnabled": true,
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"blacklistedSymbols": [],
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"allowMarketOrders": true,
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"liveTradingEnabled": false,
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"volumeLimitEnabled": true,
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"liquidityLimitEnabled": true,
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"volumePercent": 0.25,
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"maxOrderQuantity": 1000000,
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"maxOrderNotional": 100000000,
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"maxSymbolPosition": 10000000,
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"commissionRate": 0.0003,
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"minimumCommission": 5,
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"stampTaxRateBeforeChange": 0.001,
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"stampTaxRateAfterChange": 0.0005,
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"stampTaxChangeDate": "2023-08-28"
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},
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"sourceLanguage": "engine-script",
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"sourceKind": "platform-strategy",
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"extractor": "omniquant-engine-script-v2",
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"sellThenBuyDelaySlippageRate": 0,
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"strictValueBudget": true
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},
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"factorRefs": [
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"close"
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],
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"runtimeExpressions": {
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"prelude": "",
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"schedule": {
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"frequency": "daily"
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},
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"selection": {
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"limitExpr": "2",
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"candidateLimitExpr": "2",
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"marketCapField": "close",
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"marketCapLowerExpr": "0",
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"marketCapUpperExpr": "1000000000000",
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"stockFilterExpr": "(close > 0)"
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},
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"risk": {
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"exposureExpr": "max(0.0, 1.0000000000 - 0.0000 / max(total_equity, 1.0))",
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"stopLossExpr": "",
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"takeProfitExpr": "",
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"stopTakeReferencePriceMode": "position_average_entry_price"
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},
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"allocation": {
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"buyScaleExpr": "1.0"
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},
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"ordering": {
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"rankBy": "market_cap",
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"rankExpr": "(symbol == \"000001.SZ\" || symbol == \"000002.SZ\") ? (symbol == \"000001.SZ\" ? (0) : (1)) : 2",
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"rankOrder": "asc"
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},
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"trading": {
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"rotationEnabled": true,
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"subscriptionGuardRequired": false,
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"stage": "on_day",
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"actions": []
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}
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},
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"engineConfig": {
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"templateId": "fixture_hold_without_stops_backtest",
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"benchmarkSymbol": "000300.SH",
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"signalSymbol": "000300.SH",
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"rankLimit": 2,
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"refreshRate": 1,
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"rsiRate": 1.0001,
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"dynamicRange": {
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"baseIndexLevel": 2000,
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"baseCapFloor": 7,
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"capSpan": 1000000000000,
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"xs": 0.008
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},
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"stopLossMultiplier": null,
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"takeProfitMultiplier": null,
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"matchingType": "current_bar_close",
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"rebalanceCashMode": "sell_then_buy",
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"slippageModel": "none",
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"slippageValue": 0,
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"riskPolicy": {
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"rejectStSelection": false,
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"rejectStarStSelection": false,
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"rejectPausedSelection": false,
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"rejectInactiveSelection": false,
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"rejectNewListingSelection": false,
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"rejectKcbSelection": false,
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"rejectBjseSelection": false,
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"rejectOneYuanSelection": false,
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"rejectUpperLimitSelection": false,
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"rejectLowerLimitSelection": false,
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"rejectStBuy": true,
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"rejectStarStBuy": true,
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"rejectPausedBuy": true,
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"rejectInactiveBuy": true,
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"rejectNewListingBuy": true,
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"rejectKcbBuy": true,
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"rejectBjseBuy": true,
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"rejectOneYuanBuy": true,
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"rejectUpperLimitBuy": true,
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"rejectPausedSell": true,
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"rejectInactiveSell": true,
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"rejectLowerLimitSell": true,
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"respectAllowBuySell": true,
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"forbidSameDayRebuyAfterSell": true,
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"blacklistEnabled": true,
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"blacklistedSymbols": [],
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"allowMarketOrders": true,
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"liveTradingEnabled": false,
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"volumeLimitEnabled": true,
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"liquidityLimitEnabled": true,
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"volumePercent": 0.25,
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"maxOrderQuantity": 1000000,
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"maxOrderNotional": 100000000,
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"maxSymbolPosition": 10000000,
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"commissionRate": 0.0003,
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"minimumCommission": 5,
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"stampTaxRateBeforeChange": 0.001,
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"stampTaxRateAfterChange": 0.0005,
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"stampTaxChangeDate": "2023-08-28"
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},
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"skipWindows": [],
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"rebalanceSchedule": {
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"frequency": "daily"
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},
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"dividendReinvestment": false,
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"sellThenBuyDelaySlippageRate": 0,
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"strictValueBudget": true
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},
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"stockPool": {
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"schema_version": 1,
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"pool_id": "fixture-pool",
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"version_id": "fixture-version",
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"members": [
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{
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"symbol": "000001.SZ",
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"requested_order": 0,
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"recommendation_reason": "",
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"target_weight_bps": null,
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"stop_loss": null,
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"take_profit": null
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},
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{
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"symbol": "000002.SZ",
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"requested_order": 1,
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"recommendation_reason": "",
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"target_weight_bps": null,
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"stop_loss": null,
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"take_profit": null
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}
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],
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"allocation_policy": {
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"target_holding_count": 2,
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"portfolio_policy": {
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"schema_version": 1,
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"membership": "retain_holdings",
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"rebalance_weights": false
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},
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"invest_ratio_bps": 10000,
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"reserve_cash": 0
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},
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"timing_policy": {
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"schema_version": 1,
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"auto_execute": true,
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"freeze_time": "00:00",
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"window_start": "09:30",
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"window_end": "15:00",
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"trigger_mode": "scheduled_bar",
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"pricing_mode": "first_tick",
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"automatic_trade_protection": {
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"buy_protection_days": 0,
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"sell_cooldown_days": 0,
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"max_holding_days": 0,
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"locks": []
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}
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},
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"stop_take_policy": {
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"stop_loss": null,
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"take_profit": null
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},
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"out_of_pool_policy": "hold"
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},
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"signalSymbol": "000300.SH",
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"sourceCode": "strategy(\"fixture_hold_without_stops_backtest\") {\n mode(\"rotation\")\n market(\"CN_A\")\n benchmark(\"000300.SH\")\n signal(\"000300.SH\")\n rebalance.every_days(1)\n universe.include([\"000001.SZ\", \"000002.SZ\"])\n selection.limit(2)\n selection.candidate_limit(2)\n selection.market_cap_band(field=\"close\", lower=0, upper=1000000000000)\n filter.stock_expr(close > 0)\n ordering.rank_expr((symbol == \"000001.SZ\" || symbol == \"000002.SZ\") ? (symbol == \"000001.SZ\" ? (0) : (1)) : 2, \"asc\")\n risk.index_exposure(max(0.0, 1.0000000000 - 0.0000 / max(total_equity, 1.0)))\n allocation.buy_scale(1.0)\n stock_pool.config({\"schema_version\":1,\"pool_id\":\"fixture-pool\",\"version_id\":\"fixture-version\",\"members\":[{\"symbol\":\"000001.SZ\",\"requested_order\":0,\"recommendation_reason\":\"\",\"target_weight_bps\":null,\"stop_loss\":null,\"take_profit\":null},{\"symbol\":\"000002.SZ\",\"requested_order\":1,\"recommendation_reason\":\"\",\"target_weight_bps\":null,\"stop_loss\":null,\"take_profit\":null}],\"allocation_policy\":{\"target_holding_count\":2,\"portfolio_policy\":{\"schema_version\":1,\"membership\":\"retain_holdings\",\"rebalance_weights\":false},\"invest_ratio_bps\":10000,\"reserve_cash\":0},\"timing_policy\":{\"schema_version\":1,\"auto_execute\":true,\"freeze_time\":\"00:00\",\"window_start\":\"09:30\",\"window_end\":\"15:00\",\"trigger_mode\":\"scheduled_bar\",\"pricing_mode\":\"first_tick\",\"automatic_trade_protection\":{\"buy_protection_days\":0,\"sell_cooldown_days\":0,\"max_holding_days\":0,\"locks\":[]}},\"stop_take_policy\":{\"stop_loss\":null,\"take_profit\":null},\"out_of_pool_policy\":\"hold\"})\n risk.reference_price_mode(\"position_average_entry_price\")\n execution.matching_type(\"current_bar_close\")\n}\n",
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"mode": "rotation"
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}
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