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修正平台策略弱市调仓顺序

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This commit is contained in:
boris
2026-06-16 07:23:51 +08:00
parent d2c65c91b7
commit 9a411f2403
1 changed files with 81 additions and 55 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+81 -55
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@@ -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::<BTreeSet<_>>();
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"
)));
}