diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 08edcec..a76dc00 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -6083,6 +6083,7 @@ impl PlatformExprStrategy { }) } + #[cfg(test)] fn stop_take_action( &self, ctx: &StrategyContext<'_>, @@ -6094,6 +6095,17 @@ impl PlatformExprStrategy { let Some(position) = ctx.portfolio.position(symbol) else { return Ok((false, false)); }; + self.stop_take_action_for_position(ctx, execution_date, day, position) + } + + fn stop_take_action_for_position( + &self, + ctx: &StrategyContext<'_>, + execution_date: NaiveDate, + day: &DayExpressionState, + position: &crate::portfolio::Position, + ) -> Result<(bool, bool), BacktestError> { + let symbol = position.symbol.as_str(); if self.config.stop_loss_expr.trim().is_empty() && self.config.take_profit_expr.trim().is_empty() { @@ -6447,26 +6459,58 @@ impl Strategy for PlatformExprStrategy { .cloned() .collect::>(); + if self.config.aiquant_transaction_cost + && self.config.rotation_enabled + && trading_ratio > 0.0 + && trading_ratio < 1.0 + && selection_limit > 0 + && !ctx.portfolio.positions().is_empty() + { + let target_value = aiquant_total_value * trading_ratio / selection_limit as f64; + if target_value.is_finite() && target_value > 0.0 { + for position in ctx.portfolio.positions().values() { + if position.quantity == 0 || delayed_sold_symbols.contains(&position.symbol) { + continue; + } + order_intents.push(OrderIntent::TargetValue { + symbol: position.symbol.clone(), + target_value, + reason: "daily_position_target_adjust".to_string(), + }); + self.project_target_value( + ctx, + &mut projected, + execution_date, + &position.symbol, + target_value, + &mut projected_execution_state, + ); + } + aiquant_available_cash = projected.cash(); + } + } + for position in ctx.portfolio.positions().values() { if delayed_sold_symbols.contains(&position.symbol) { continue; } + let projected_position = projected.position(&position.symbol).unwrap_or(position); let avg_price = if self.config.aiquant_transaction_cost - && position.average_cost.is_finite() - && position.average_cost > 0.0 + && projected_position.average_cost.is_finite() + && projected_position.average_cost > 0.0 { - position.average_cost + projected_position.average_cost } else { - position + projected_position .average_entry_price() .filter(|value| value.is_finite() && *value > 0.0) - .unwrap_or(position.average_cost) + .unwrap_or(projected_position.average_cost) }; - if position.quantity == 0 || avg_price <= 0.0 { + if projected_position.quantity == 0 || avg_price <= 0.0 { continue; } let (stop_hit, profit_hit) = - self.stop_take_action(ctx, decision_date, execution_date, &day, &position.symbol)?; + self.stop_take_action_for_position(ctx, execution_date, &day, projected_position)?; let can_sell = self.can_sell_position(ctx, execution_date, &position.symbol); if stop_hit { exit_symbols.insert(position.symbol.clone()); @@ -6547,43 +6591,6 @@ impl Strategy for PlatformExprStrategy { } } - if self.config.aiquant_transaction_cost - && self.config.rotation_enabled - && trading_ratio > 0.0 - && trading_ratio < 1.0 - && selection_limit > 0 - && !ctx.portfolio.positions().is_empty() - { - let target_value = aiquant_total_value * trading_ratio / selection_limit as f64; - if target_value.is_finite() && target_value > 0.0 { - for position in ctx.portfolio.positions().values() { - if position.quantity == 0 - || delayed_sold_symbols.contains(&position.symbol) - || exit_symbols.contains(&position.symbol) - || same_day_sold_symbols.contains(&position.symbol) - || unresolved_stop_loss_symbols.contains(&position.symbol) - || self.pending_highlimit_holdings.contains(&position.symbol) - { - continue; - } - order_intents.push(OrderIntent::TargetValue { - symbol: position.symbol.clone(), - target_value, - reason: "daily_position_target_adjust".to_string(), - }); - self.project_target_value( - ctx, - &mut projected, - execution_date, - &position.symbol, - target_value, - &mut projected_execution_state, - ); - } - aiquant_available_cash = projected.cash(); - } - } - if self.config.daily_top_up_enabled && self.config.rotation_enabled && !periodic_rebalance @@ -11690,7 +11697,7 @@ mod tests { } #[test] - fn platform_stop_loss_skips_weak_market_top_up_for_exiting_position() { + fn platform_weak_market_adjusts_before_stop_loss_and_skips_top_up_for_exiting_position() { let prev_date = d(2025, 2, 2); let date = d(2025, 2, 3); let symbols = ["000001.SZ", "000002.SZ"]; @@ -11807,23 +11814,42 @@ mod tests { cfg.stop_loss_expr = "0.92".to_string(); cfg.take_profit_expr.clear(); cfg.daily_top_up_enabled = true; + cfg.aiquant_transaction_cost = true; let mut strategy = PlatformExprStrategy::new(cfg); strategy.rebalance_day_counter = 2; let decision = strategy.on_day(&ctx).expect("platform decision"); - assert!(decision.order_intents.iter().any(|intent| matches!( - intent, - OrderIntent::TargetValue { - symbol, - target_value, - reason, - } if symbol == "000001.SZ" && *target_value == 0.0 && reason == "stop_loss_exit" - ))); + let target_adjust_index = decision + .order_intents + .iter() + .position(|intent| { + matches!( + intent, + OrderIntent::TargetValue { symbol, reason, .. } + if symbol == "000001.SZ" && reason == "daily_position_target_adjust" + ) + }) + .expect("weak-market target adjustment should run before stop-loss"); + let stop_loss_index = decision + .order_intents + .iter() + .position(|intent| { + matches!( + intent, + OrderIntent::TargetValue { + symbol, + target_value, + reason, + } if symbol == "000001.SZ" && *target_value == 0.0 && reason == "stop_loss_exit" + ) + }) + .expect("stop-loss exit"); + assert!(target_adjust_index < stop_loss_index); assert!(!decision.order_intents.iter().any(|intent| matches!( intent, - OrderIntent::TargetValue { symbol, reason, .. } - if symbol == "000001.SZ" && reason == "daily_position_target_adjust" + OrderIntent::Value { symbol, reason, .. } | OrderIntent::Shares { symbol, reason, .. } + if symbol == "000001.SZ" && reason == "daily_top_up_buy" ))); }