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同步回测引擎改动

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zsb
2026-04-09 20:49:42 -07:00
parent 8ee081ca8e
commit 9f4165e689
1 changed files with 10 additions and 8 deletions
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18
crates/fidc-core/src/strategy.rs
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@@ -8,7 +8,7 @@ use crate::portfolio::PortfolioState;
use crate::universe::{DynamicMarketCapBandSelector, SelectionContext, UniverseSelector}; use crate::universe::{DynamicMarketCapBandSelector, SelectionContext, UniverseSelector};
pub trait Strategy { pub trait Strategy {
fn name(&self) -> &'static str; fn name(&self) -> &str;
fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, BacktestError>; fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, BacktestError>;
} }
@@ -31,7 +31,7 @@ pub struct StrategyDecision {
#[derive(Debug, Clone)] #[derive(Debug, Clone)]
pub struct CnSmallCapRotationConfig { pub struct CnSmallCapRotationConfig {
pub strategy_name: &'static str, pub strategy_name: String,
pub refresh_rate: usize, pub refresh_rate: usize,
pub stocknum: usize, pub stocknum: usize,
pub xs: f64, pub xs: f64,
@@ -55,7 +55,7 @@ pub struct CnSmallCapRotationConfig {
impl CnSmallCapRotationConfig { impl CnSmallCapRotationConfig {
pub fn demo() -> Self { pub fn demo() -> Self {
Self { Self {
strategy_name: "cn-smallcap-rotation", strategy_name: "cn-smallcap-rotation".to_string(),
refresh_rate: 3, refresh_rate: 3,
stocknum: 2, stocknum: 2,
xs: 4.0 / 500.0, xs: 4.0 / 500.0,
@@ -79,7 +79,7 @@ impl CnSmallCapRotationConfig {
pub fn cn_dyn_smallcap_band() -> Self { pub fn cn_dyn_smallcap_band() -> Self {
Self { Self {
strategy_name: "cn-dyn-smallcap-band", strategy_name: "cn-dyn-smallcap-band".to_string(),
refresh_rate: 15, refresh_rate: 15,
stocknum: 40, stocknum: 40,
xs: 4.0 / 500.0, xs: 4.0 / 500.0,
@@ -97,7 +97,7 @@ impl CnSmallCapRotationConfig {
take_profit_pct: 0.07, take_profit_pct: 0.07,
signal_symbol: Some("000852.SH".to_string()), signal_symbol: Some("000852.SH".to_string()),
skip_months: vec![], skip_months: vec![],
skip_month_day_ranges: vec![(4, 5, 30)], skip_month_day_ranges: vec![(1, 15, 30), (4, 15, 29), (8, 15, 31), (10, 20, 30), (12, 20, 30)],
} }
} }
@@ -239,8 +239,8 @@ impl CnSmallCapRotationStrategy {
} }
impl Strategy for CnSmallCapRotationStrategy { impl Strategy for CnSmallCapRotationStrategy {
fn name(&self) -> &'static str { fn name(&self) -> &str {
self.config.strategy_name self.config.strategy_name.as_str()
} }
fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, BacktestError> { fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, BacktestError> {
@@ -281,7 +281,7 @@ impl Strategy for CnSmallCapRotationStrategy {
ctx.decision_date, ctx.execution_date, gross_exposure ctx.decision_date, ctx.execution_date, gross_exposure
)]; )];
let mut diagnostics = vec![format!( let mut diagnostics = vec![format!(
"benchmark_close={:.2} signal_level={:.2} signal_symbol={} refresh_rate={} stocknum={} short_ma_days={} long_ma_days={} stock_ma={}/{}/{} stop=0.93 take=1.07", "benchmark_close={:.2} signal_level={:.2} signal_symbol={} refresh_rate={} stocknum={} short_ma_days={} long_ma_days={} stock_ma={}/{}/{} stop={:.4} take={:.4}",
benchmark.close, benchmark.close,
signal_level, signal_level,
resolved_signal_symbol.as_str(), resolved_signal_symbol.as_str(),
@@ -292,6 +292,8 @@ impl Strategy for CnSmallCapRotationStrategy {
self.config.stock_short_ma_days, self.config.stock_short_ma_days,
self.config.stock_mid_ma_days, self.config.stock_mid_ma_days,
self.config.stock_long_ma_days, self.config.stock_long_ma_days,
1.0 - self.config.stop_loss_pct,
1.0 + self.config.take_profit_pct,
)]; )];
diagnostics.push("run_daily(10:17/10:18) approximated by daily decision/open execution".to_string()); diagnostics.push("run_daily(10:17/10:18) approximated by daily decision/open execution".to_string());
diagnostics.push("market_cap field mapped from daily_features[_enriched]_v1.market_cap to market_cap_bn without intraday fundamentals refresh".to_string()); diagnostics.push("market_cap field mapped from daily_features[_enriched]_v1.market_cap to market_cap_bn without intraday fundamentals refresh".to_string());