改用真实行情验证滚动风控

crates/fidc-core/src/platform_expr_strategy.rs

@@ -16937,6 +16937,7 @@ mod tests {
             .map(|idx| {
                 let date = start + chrono::Duration::days(idx);
                 let volume = if idx >= 95 { 200_000 } else { 190_000 };
+                let close = 10.0 + idx as f64 * 0.01;
                 DailyMarketSnapshot {
                     date,
                     symbol: symbol.to_string(),
@@ -16945,11 +16946,11 @@ mod tests {
                     open: 10.0,
                     high: 10.5,
                     low: 9.8,
-                    close: 10.0,
+                    close,
-                    last_price: 10.0,
+                    last_price: close,
-                    bid1: 9.99,
+                    bid1: close - 0.01,
-                    ask1: 10.01,
+                    ask1: close + 0.01,
-                    prev_close: 9.9,
+                    prev_close: close - 0.01,
                     volume,
                     minute_volume: 1_000,
                     bid1_volume: 2_000,
@@ -16962,6 +16963,19 @@ mod tests {
                 }
             })
             .collect();
+        let factor_rows = market_rows
+            .iter()
+            .map(|row| DailyFactorSnapshot {
+                date: row.date,
+                symbol: symbol.to_string(),
+                market_cap_bn: 33.64,
+                free_float_cap_bn: 33.64,
+                pe_ttm: 8.0,
+                turnover_ratio: Some(1.0),
+                effective_turnover_ratio: Some(1.0),
+                extra_factors: BTreeMap::from([("adjustment_factor_backward1".to_string(), 1.0)]),
+            })
+            .collect();
         let benchmark_rows: Vec<BenchmarkSnapshot> = market_rows
             .iter()
             .map(|row| BenchmarkSnapshot {
@@ -16984,21 +16998,7 @@ mod tests {
                 status: "active".to_string(),
             }],
             market_rows,
-            vec![DailyFactorSnapshot {
+            factor_rows,
-                date: current,
-                symbol: symbol.to_string(),
-                market_cap_bn: 33.64,
-                free_float_cap_bn: 33.64,
-                pe_ttm: 8.0,
-                turnover_ratio: Some(1.0),
-                effective_turnover_ratio: Some(1.0),
-                extra_factors: BTreeMap::from([
-                    ("ma5".to_string(), 11.0),
-                    ("ma10".to_string(), 10.0),
-                    ("ma30".to_string(), 9.0),
-                    ("avg_volume5".to_string(), 200_000.0),
-                ]),
-            }],
             vec![CandidateEligibility {
                 date: current,
                 symbol: symbol.to_string(),
@@ -17043,9 +17043,9 @@ mod tests {
             .stock_state_with_factor_date(&ctx, current, current, symbol)
             .expect("stock state");
 
-        assert!((stock.stock_ma5 - 9.9).abs() < 1e-9);
+        assert!(stock.stock_ma5 > stock.stock_ma10);
-        assert!((stock.stock_ma10 - 9.9).abs() < 1e-9);
+        assert!(stock.stock_ma10 > stock.stock_ma30);
-        assert!((stock.stock_ma30 - 9.9).abs() < 1e-9);
+        assert!(stock.stock_volume_ma5 > stock.stock_volume_ma100);
 
         assert!(
             !strategy