增强回测demo输出与分区加载
This commit is contained in:
18
README.md
18
README.md
@@ -134,6 +134,7 @@ cargo run --bin bt-demo
|
||||
```bash
|
||||
FIDC_BT_DATA_LAYOUT=partitioned \
|
||||
FIDC_BT_DATA_DIR=/path/to/snapshots \
|
||||
FIDC_BT_SIGNAL_SYMBOL=000001.SH \
|
||||
cargo run --bin bt-demo
|
||||
```
|
||||
|
||||
@@ -143,18 +144,25 @@ cargo run --bin bt-demo
|
||||
snapshots/
|
||||
├── instruments.csv
|
||||
├── benchmark/
|
||||
│ ├── 2024-01-02.csv
|
||||
│ └── ...
|
||||
│ └── YYYY/MM/*.csv
|
||||
├── market/
|
||||
│ └── YYYY/MM/*.csv
|
||||
├── factors/
|
||||
│ └── YYYY/MM/*.csv
|
||||
└── candidates/
|
||||
└── YYYY/MM/*.csv
|
||||
```
|
||||
|
||||
其中:
|
||||
- `market/`:日级行情快照
|
||||
- `factors/`:估值/因子快照
|
||||
- `market/`:日级行情快照,可显式携带 `upper_limit/lower_limit`
|
||||
- `factors/`:估值/因子快照,可扩展 `turnover_ratio/effective_turnover_ratio`
|
||||
- `candidates/`:候选资格/过滤标记快照
|
||||
- `benchmark/`:指数快照
|
||||
- `benchmark/`:业绩基准指数快照
|
||||
|
||||
补充说明:
|
||||
- 策略的“调仓信号指数”可以通过 `FIDC_BT_SIGNAL_SYMBOL` 单独指定,例如 `000001.SH`
|
||||
- `benchmark/` 仍用于业绩基准和默认风险参考,两者现在不必强制相同
|
||||
- 分区目录支持递归读取,因此可直接消费 `YYYY/MM/*.csv` 这类真实导出布局
|
||||
|
||||
这层接口是为后续对接 `FiDataCenter / FiDataScraper` 的预计算 snapshot 数据准备的。
|
||||
|
||||
|
||||
Reference in New Issue
Block a user