增加组合回撤冷却风控状态机

2026-07-15 18:39:50 +08:00
parent e17c5ad3b0
commit 9f85625b83
3 changed files with 305 additions and 9 deletions
@@ -52,8 +52,8 @@ pub use metrics::{BacktestMetrics, compute_backtest_metrics};
 pub use platform_expr_strategy::{
    PlatformAccountActionKind, PlatformExplicitActionStage, PlatformExplicitCancelKind,
    PlatformExplicitOrderKind, PlatformExprStrategy, PlatformExprStrategyConfig,
-    PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformSelectionQuotePlan,
-    PlatformTradeAction, PlatformUniverseActionKind,
+    PlatformPortfolioDrawdownControlConfig, PlatformRebalanceSchedule, PlatformScheduleFrequency,
+    PlatformSelectionQuotePlan, PlatformTradeAction, PlatformUniverseActionKind,
 };
 pub use platform_runtime_schema::{
    PLATFORM_RUNTIME_SCHEMA_VERSION, PlatformRuntimeSchema, reserved_scope_names,
@@ -66,8 +66,9 @@ pub use platform_strategy_spec::{
    StrategyExpressionActionConfig, StrategyExpressionAllocationConfig,
    StrategyExpressionOrderingConfig, StrategyExpressionRiskConfig,
    StrategyExpressionScheduleConfig, StrategyExpressionSelectionConfig,
-    StrategyExpressionTradingConfig, StrategyRuntimeEnvironment, StrategyRuntimeExpressions,
-    StrategyRuntimeSpec, platform_expr_config_from_spec, platform_expr_config_from_value,
+    StrategyExpressionTradingConfig, StrategyPortfolioDrawdownControlConfig,
+    StrategyRuntimeEnvironment, StrategyRuntimeExpressions, StrategyRuntimeSpec,
+    platform_expr_config_from_spec, platform_expr_config_from_value,
 };
 pub use portfolio::{CashReceivable, HoldingSummary, PendingCashFlow, PortfolioState, Position};
 pub use risk_control::{
@@ -39,6 +39,134 @@ pub struct PlatformRebalanceSchedule {
    pub time_rule: Option<ScheduleTimeRule>,
 }

+#[derive(Debug, Clone, PartialEq)]
+pub struct PlatformPortfolioDrawdownControlConfig {
+    pub mode: String,
+    pub drawdown_trigger: f64,
+    pub floor_exposure: f64,
+    pub cooldown_trading_days: usize,
+}
+
+#[derive(Debug, Clone, PartialEq)]
+struct PlatformPortfolioDrawdownDecision {
+    decision_date: NaiveDate,
+    equity: f64,
+    peak_equity: f64,
+    realized_drawdown: f64,
+    threshold_breached: bool,
+    newly_triggered: bool,
+    risk_off: bool,
+    cooldown_before: usize,
+    cooldown_after: usize,
+    rearm_pending: bool,
+    target_exposure: f64,
+}
+
+#[derive(Debug, Clone)]
+struct PlatformPortfolioDrawdownController {
+    config: PlatformPortfolioDrawdownControlConfig,
+    peak_equity: Option<f64>,
+    cooldown_remaining: usize,
+    rearm_pending: bool,
+    trigger_count: usize,
+    last_decision: Option<PlatformPortfolioDrawdownDecision>,
+}
+
+impl PlatformPortfolioDrawdownController {
+    fn new(config: PlatformPortfolioDrawdownControlConfig) -> Self {
+        Self {
+            config,
+            peak_equity: None,
+            cooldown_remaining: 0,
+            rearm_pending: false,
+            trigger_count: 0,
+            last_decision: None,
+        }
+    }
+
+    fn update(
+        &mut self,
+        decision_date: NaiveDate,
+        equity: f64,
+        risk_on_exposure: f64,
+    ) -> Result<PlatformPortfolioDrawdownDecision, BacktestError> {
+        if let Some(cached) = self
+            .last_decision
+            .as_ref()
+            .filter(|decision| decision.decision_date == decision_date)
+        {
+            return Ok(cached.clone());
+        }
+        if !equity.is_finite() || equity <= 0.0 {
+            return Err(BacktestError::Execution(format!(
+                "portfolio drawdown control requires positive finite signal-visible equity on {decision_date}, got {equity}"
+            )));
+        }
+        if self.rearm_pending && self.cooldown_remaining == 0 {
+            self.peak_equity = Some(equity);
+            self.rearm_pending = false;
+        }
+        let peak_equity = self.peak_equity.unwrap_or(equity).max(equity);
+        self.peak_equity = Some(peak_equity);
+        let realized_drawdown = equity / peak_equity - 1.0;
+        let threshold_breached = realized_drawdown <= -self.config.drawdown_trigger;
+        let cooldown_before = self.cooldown_remaining;
+        let newly_triggered = cooldown_before == 0 && threshold_breached;
+        let risk_off = cooldown_before > 0 || newly_triggered;
+        if cooldown_before > 0 {
+            self.cooldown_remaining = cooldown_before - 1;
+            if self.cooldown_remaining == 0 {
+                self.rearm_pending = true;
+            }
+        } else if newly_triggered {
+            self.trigger_count += 1;
+            self.cooldown_remaining = self.config.cooldown_trading_days.saturating_sub(1);
+            self.rearm_pending = self.cooldown_remaining == 0;
+        }
+        let target_exposure = if risk_off {
+            self.config.floor_exposure.min(risk_on_exposure)
+        } else {
+            risk_on_exposure
+        };
+        let decision = PlatformPortfolioDrawdownDecision {
+            decision_date,
+            equity,
+            peak_equity,
+            realized_drawdown,
+            threshold_breached,
+            newly_triggered,
+            risk_off,
+            cooldown_before,
+            cooldown_after: self.cooldown_remaining,
+            rearm_pending: self.rearm_pending,
+            target_exposure,
+        };
+        self.last_decision = Some(decision.clone());
+        Ok(decision)
+    }
+
+    fn diagnostic(&self) -> Option<String> {
+        let decision = self.last_decision.as_ref()?;
+        Some(format!(
+            "portfolio_drawdown_control mode={} decision_date={} equity={:.8} peak_equity={:.8} drawdown={:.8} trigger={:.8} breached={} newly_triggered={} risk_off={} cooldown_before={} cooldown_after={} rearm_pending={} target_exposure={:.8} trigger_count={}",
+            self.config.mode,
+            decision.decision_date,
+            decision.equity,
+            decision.peak_equity,
+            decision.realized_drawdown,
+            self.config.drawdown_trigger,
+            decision.threshold_breached,
+            decision.newly_triggered,
+            decision.risk_off,
+            decision.cooldown_before,
+            decision.cooldown_after,
+            decision.rearm_pending,
+            decision.target_exposure,
+            self.trigger_count,
+        ))
+    }
+}
+
 #[derive(Debug, Clone, Copy, PartialEq, Eq)]
 enum SelectionRiskDeferral {
    None,
@@ -214,6 +342,7 @@ pub struct PlatformExprStrategyConfig {
    pub stock_filter_expr: String,
    pub buy_scale_expr: String,
    pub exposure_expr: String,
+    pub portfolio_drawdown_control: Option<PlatformPortfolioDrawdownControlConfig>,
    pub stop_loss_expr: String,
    pub take_profit_expr: String,
    pub rank_by: String,
@@ -287,6 +416,7 @@ fn band_low(index_close) {
                    .to_string(),
            buy_scale_expr: "1.0".to_string(),
            exposure_expr: "1.0".to_string(),
+            portfolio_drawdown_control: None,
            stop_loss_expr: String::new(),
            take_profit_expr: String::new(),
            rank_by: "market_cap".to_string(),
@@ -614,6 +744,7 @@ pub struct PlatformExprStrategy {
    rebalance_day_counter: usize,
    last_rebalance_date: Option<NaiveDate>,
    last_trading_ratio: Option<f64>,
+    portfolio_drawdown_controller: Option<PlatformPortfolioDrawdownController>,
    pending_highlimit_holdings: BTreeSet<String>,
    pending_full_close_symbols: BTreeSet<String>,
    position_entry_dates: BTreeMap<String, NaiveDate>,
@@ -841,12 +972,17 @@ impl PlatformExprStrategy {
            &normalized_stock_filter_expr,
            &prelude_declared_identifiers,
        );
+        let portfolio_drawdown_controller = config
+            .portfolio_drawdown_control
+            .clone()
+            .map(PlatformPortfolioDrawdownController::new);
        Self {
            config,
            engine,
            rebalance_day_counter: 0,
            last_rebalance_date: None,
            last_trading_ratio: None,
+            portfolio_drawdown_controller,
            pending_highlimit_holdings: BTreeSet::new(),
            pending_full_close_symbols: BTreeSet::new(),
            position_entry_dates: BTreeMap::new(),
@@ -5627,12 +5763,19 @@ impl PlatformExprStrategy {
    }

    fn trading_ratio(
-        &self,
+        &mut self,
        ctx: &StrategyContext<'_>,
        day: &DayExpressionState,
    ) -> Result<f64, BacktestError> {
-        self.eval_float(ctx, &self.config.exposure_expr, day, None, None)
-            .map(|value| value.clamp(0.0, 1.0))
+        let risk_on_exposure = self
+            .eval_float(ctx, &self.config.exposure_expr, day, None, None)?
+            .clamp(0.0, 1.0);
+        let Some(controller) = self.portfolio_drawdown_controller.as_mut() else {
+            return Ok(risk_on_exposure);
+        };
+        controller
+            .update(ctx.decision_date, day.total_value, risk_on_exposure)
+            .map(|decision| decision.target_exposure.clamp(0.0, 1.0))
    }

    fn market_cap_band(
@@ -9897,6 +10040,13 @@ impl Strategy for PlatformExprStrategy {
        diagnostics.extend(explicit_action_diagnostics);
        diagnostics.extend(daily_top_up_debug_notes);
        diagnostics.extend(projection_debug_notes);
+        if let Some(diagnostic) = self
+            .portfolio_drawdown_controller
+            .as_ref()
+            .and_then(PlatformPortfolioDrawdownController::diagnostic)
+        {
+            diagnostics.push(diagnostic);
+        }

        let notes = vec![
            format!("stock_list={}", stock_list.len()),
@@ -9962,6 +10112,7 @@ mod tests {
    use super::{
        PlatformAccountActionKind, PlatformExplicitActionStage, PlatformExplicitCancelKind,
        PlatformExplicitOrderKind, PlatformExprStrategy, PlatformExprStrategyConfig,
+        PlatformPortfolioDrawdownControlConfig, PlatformPortfolioDrawdownController,
        PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformTradeAction,
        PlatformUniverseActionKind, SelectionRiskDeferral, StockFilterQuoteUsage,
        precomputed_stock_rolling_mean,
@@ -30006,4 +30157,50 @@ mod tests {
            false, 10_000, 10_100
        ));
    }
+
+    #[test]
+    fn portfolio_drawdown_control_is_idempotent_and_rearms_after_cooldown() {
+        let mut controller =
+            PlatformPortfolioDrawdownController::new(PlatformPortfolioDrawdownControlConfig {
+                mode: "portfolio_dd3_floor10_cool3".to_string(),
+                drawdown_trigger: 0.03,
+                floor_exposure: 0.10,
+                cooldown_trading_days: 3,
+            });
+        let day1 = NaiveDate::from_ymd_opt(2026, 1, 5).unwrap();
+        let day2 = NaiveDate::from_ymd_opt(2026, 1, 6).unwrap();
+        let day3 = NaiveDate::from_ymd_opt(2026, 1, 7).unwrap();
+        let day4 = NaiveDate::from_ymd_opt(2026, 1, 8).unwrap();
+        let day5 = NaiveDate::from_ymd_opt(2026, 1, 9).unwrap();
+
+        assert_eq!(
+            controller.update(day1, 100.0, 1.0).unwrap().target_exposure,
+            1.0
+        );
+        assert_eq!(
+            controller.update(day1, 90.0, 1.0).unwrap().target_exposure,
+            1.0
+        );
+
+        let trigger = controller.update(day2, 96.0, 1.0).unwrap();
+        assert!(trigger.newly_triggered);
+        assert_eq!(trigger.cooldown_after, 2);
+        assert_eq!(trigger.target_exposure, 0.10);
+
+        assert_eq!(
+            controller.update(day3, 95.0, 1.0).unwrap().cooldown_after,
+            1
+        );
+        let cooldown_end = controller.update(day4, 97.0, 1.0).unwrap();
+        assert!(cooldown_end.risk_off);
+        assert_eq!(cooldown_end.cooldown_after, 0);
+        assert!(cooldown_end.rearm_pending);
+
+        let rearmed = controller.update(day5, 96.0, 1.0).unwrap();
+        assert!(!rearmed.risk_off);
+        assert_eq!(rearmed.peak_equity, 96.0);
+        assert_eq!(rearmed.realized_drawdown, 0.0);
+        assert_eq!(rearmed.target_exposure, 1.0);
+        assert_eq!(controller.trigger_count, 1);
+    }
 }
@@ -7,8 +7,9 @@ use serde_json::Value;
 use crate::{
    DynamicSlippageConfig, MatchingType, PlatformAccountActionKind, PlatformExplicitActionStage,
    PlatformExplicitCancelKind, PlatformExplicitOrderKind, PlatformExprStrategyConfig,
-    PlatformRebalanceSchedule, PlatformScheduleFrequency, PlatformTradeAction,
-    PlatformUniverseActionKind, RebalanceCashMode, ScheduleTimeRule, SlippageModel,
+    PlatformPortfolioDrawdownControlConfig, PlatformRebalanceSchedule, PlatformScheduleFrequency,
+    PlatformTradeAction, PlatformUniverseActionKind, RebalanceCashMode, ScheduleTimeRule,
+    SlippageModel,
 };

 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
@@ -661,11 +662,28 @@ pub struct StrategyExpressionRiskConfig {
    #[serde(default)]
    pub exposure_expr: Option<String>,
    #[serde(default)]
+    pub portfolio_drawdown_control: Option<StrategyPortfolioDrawdownControlConfig>,
+    #[serde(default)]
    pub stop_loss_expr: Option<String>,
    #[serde(default)]
    pub take_profit_expr: Option<String>,
 }

+#[derive(Debug, Clone, Default, Deserialize, Serialize)]
+#[serde(rename_all = "camelCase")]
+pub struct StrategyPortfolioDrawdownControlConfig {
+    #[serde(default)]
+    pub enabled: Option<bool>,
+    #[serde(default)]
+    pub mode: Option<String>,
+    #[serde(default)]
+    pub drawdown_trigger: Option<f64>,
+    #[serde(default)]
+    pub floor_exposure: Option<f64>,
+    #[serde(default)]
+    pub cooldown_trading_days: Option<usize>,
+}
+
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]
 #[serde(rename_all = "camelCase")]
 pub struct StrategyExpressionOrderingConfig {
@@ -1583,6 +1601,43 @@ pub fn platform_expr_config_from_spec(
                    expr.clone()
                };
            }
+            if let Some(control) = risk.portfolio_drawdown_control.as_ref()
+                && control.enabled.unwrap_or(true)
+            {
+                let drawdown_trigger = control
+                    .drawdown_trigger
+                    .filter(|value| value.is_finite() && *value > 0.0 && *value < 1.0)
+                    .ok_or_else(|| {
+                        "runtimeExpressions.risk.portfolioDrawdownControl.drawdownTrigger must be between 0 and 1"
+                            .to_string()
+                    })?;
+                let floor_exposure = control
+                    .floor_exposure
+                    .filter(|value| value.is_finite() && (0.0..=1.0).contains(value))
+                    .ok_or_else(|| {
+                        "runtimeExpressions.risk.portfolioDrawdownControl.floorExposure must be between 0 and 1"
+                            .to_string()
+                    })?;
+                let cooldown_trading_days = control
+                    .cooldown_trading_days
+                    .filter(|value| *value > 0)
+                    .ok_or_else(|| {
+                        "runtimeExpressions.risk.portfolioDrawdownControl.cooldownTradingDays must be positive"
+                            .to_string()
+                    })?;
+                cfg.portfolio_drawdown_control = Some(PlatformPortfolioDrawdownControlConfig {
+                    mode: control
+                        .mode
+                        .as_deref()
+                        .map(str::trim)
+                        .filter(|value| !value.is_empty())
+                        .unwrap_or("portfolio_drawdown")
+                        .to_string(),
+                    drawdown_trigger,
+                    floor_exposure,
+                    cooldown_trading_days,
+                });
+            }
            if let Some(expr) = risk
                .stop_loss_expr
                .as_ref()
@@ -3211,4 +3266,47 @@ mod tests {
        assert!(!cfg.delayed_limit_open_exit_enabled);
        assert_eq!(cfg.delayed_limit_open_exit_time, None);
    }
+
+    #[test]
+    fn parses_portfolio_drawdown_control_into_platform_config() {
+        let spec = serde_json::json!({
+            "runtimeExpressions": {
+                "risk": {
+                    "exposureExpr": "1.0",
+                    "portfolioDrawdownControl": {
+                        "enabled": true,
+                        "mode": "portfolio_dd3_floor10_cool30",
+                        "drawdownTrigger": 0.03,
+                        "floorExposure": 0.10,
+                        "cooldownTradingDays": 30
+                    }
+                }
+            }
+        });
+
+        let cfg = platform_expr_config_from_value("", "", &spec).expect("config");
+        let control = cfg.portfolio_drawdown_control.expect("drawdown control");
+        assert_eq!(control.mode, "portfolio_dd3_floor10_cool30");
+        assert_eq!(control.drawdown_trigger, 0.03);
+        assert_eq!(control.floor_exposure, 0.10);
+        assert_eq!(control.cooldown_trading_days, 30);
+    }
+
+    #[test]
+    fn rejects_invalid_portfolio_drawdown_control() {
+        let spec = serde_json::json!({
+            "runtimeExpressions": {
+                "risk": {
+                    "portfolioDrawdownControl": {
+                        "drawdownTrigger": 0.0,
+                        "floorExposure": 0.10,
+                        "cooldownTradingDays": 30
+                    }
+                }
+            }
+        });
+
+        let error = platform_expr_config_from_value("", "", &spec).expect_err("invalid trigger");
+        assert!(error.contains("drawdownTrigger"));
+    }
 }