修正策略止盈止损和补仓投影
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boris
@@ -5373,7 +5373,11 @@ impl PlatformExprStrategy {
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if let Some(boolean) = stop_result.clone().try_cast::<bool>() {
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boolean
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} else if let Some(multiplier) = stop_result.clone().try_cast::<f64>() {
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current_price <= avg_price * multiplier
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if multiplier > 0.0 && multiplier < 0.5 {
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holding_return <= -multiplier
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} else {
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current_price <= avg_price * multiplier
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}
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} else if let Some(multiplier) = stop_result.try_cast::<i64>() {
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current_price <= avg_price * multiplier as f64
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} else {
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@@ -5393,7 +5397,11 @@ impl PlatformExprStrategy {
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if let Some(boolean) = take_result.clone().try_cast::<bool>() {
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boolean
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} else if let Some(multiplier) = take_result.clone().try_cast::<f64>() {
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current_price / avg_price > multiplier
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if multiplier <= 1.0 {
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holding_return > multiplier
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} else {
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current_price / avg_price > multiplier
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}
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} else if let Some(multiplier) = take_result.try_cast::<i64>() {
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current_price / avg_price > multiplier as f64
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} else {
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@@ -5625,8 +5633,14 @@ impl Strategy for PlatformExprStrategy {
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end_time: Some(NaiveTime::from_hms_opt(9, 31, 0).expect("valid time")),
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reason: "delayed_limit_open_sell".to_string(),
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});
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if self
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.project_target_zero(
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let projected_sold = if ctx
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.data
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.execution_quotes_on(execution_date, &symbol)
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.is_empty()
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{
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false
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} else {
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self.project_target_zero(
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ctx,
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&mut projected,
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execution_date,
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@@ -5634,11 +5648,12 @@ impl Strategy for PlatformExprStrategy {
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&mut projected_execution_state,
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)
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.is_some()
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{
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};
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if projected_sold {
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same_day_sold_symbols.insert(symbol.clone());
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delayed_sold_symbols.insert(symbol.clone());
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self.pending_highlimit_holdings.remove(&symbol);
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}
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delayed_sold_symbols.insert(symbol.clone());
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self.pending_highlimit_holdings.remove(&symbol);
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}
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let mut aiquant_available_cash = if delayed_sold_symbols.is_empty() {
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@@ -6616,6 +6631,113 @@ mod tests {
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);
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}
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#[test]
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fn platform_stop_take_fraction_values_are_return_thresholds() {
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let prev_date = d(2025, 3, 13);
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let date = d(2025, 3, 14);
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let symbol = "600561.SH";
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let evaluate = |last_price: f64, stop_loss_expr: &str, take_profit_expr: &str| {
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let data = DataSet::from_components(
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vec![Instrument {
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symbol: symbol.to_string(),
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name: symbol.to_string(),
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board: "SH".to_string(),
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round_lot: 100,
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listed_at: Some(d(2020, 1, 1)),
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delisted_at: None,
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status: "active".to_string(),
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}],
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vec![DailyMarketSnapshot {
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date,
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symbol: symbol.to_string(),
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timestamp: Some("2025-03-14 10:18:00".to_string()),
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day_open: last_price,
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open: last_price,
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high: last_price,
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low: last_price,
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close: last_price,
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last_price,
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bid1: last_price,
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ask1: last_price,
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prev_close: 10.0,
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volume: 1_000_000,
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tick_volume: 1_000,
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bid1_volume: 1_000,
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ask1_volume: 1_000,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 11.0,
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lower_limit: 9.0,
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price_tick: 0.01,
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}],
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vec![DailyFactorSnapshot {
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date,
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symbol: symbol.to_string(),
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market_cap_bn: 3.2,
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free_float_cap_bn: 2.1,
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pe_ttm: 8.0,
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turnover_ratio: Some(3.0),
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effective_turnover_ratio: Some(3.0),
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extra_factors: BTreeMap::new(),
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}],
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vec![CandidateEligibility {
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date,
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symbol: symbol.to_string(),
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is_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: false,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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}],
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vec![BenchmarkSnapshot {
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date,
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benchmark: "000852.SH".to_string(),
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open: 1000.0,
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close: 1002.0,
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prev_close: 998.0,
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volume: 1_000_000,
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}],
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)
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.expect("dataset");
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let mut portfolio = PortfolioState::new(1_000_000.0);
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portfolio.position_mut(symbol).buy(prev_date, 10_000, 10.0);
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let subscriptions = BTreeSet::new();
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let ctx = StrategyContext {
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execution_date: date,
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decision_date: date,
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decision_index: 40,
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data: &data,
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portfolio: &portfolio,
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futures_account: None,
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open_orders: &[],
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dynamic_universe: None,
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subscriptions: &subscriptions,
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process_events: &[],
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active_process_event: None,
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active_datetime: None,
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order_events: &[],
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fills: &[],
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};
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let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
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cfg.rotation_enabled = false;
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cfg.signal_symbol = symbol.to_string();
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cfg.stop_loss_expr = stop_loss_expr.to_string();
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cfg.take_profit_expr = take_profit_expr.to_string();
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let strategy = PlatformExprStrategy::new(cfg);
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let day = strategy.day_state(&ctx, date).expect("day state");
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strategy
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.stop_take_action(&ctx, date, date, &day, symbol)
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.expect("stop take action")
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};
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assert_eq!(evaluate(10.5, "", "0.16"), (false, false));
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assert_eq!(evaluate(11.7, "", "0.16"), (false, true));
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assert_eq!(evaluate(9.3, "0.08", ""), (false, false));
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assert_eq!(evaluate(9.1, "0.08", ""), (true, false));
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}
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#[test]
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fn platform_stock_state_uses_current_day_limit_status_for_buy_scale() {
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let date = d(2025, 3, 14);
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