zsb/fidc-backtest-engine
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

补齐策略生成风控提示词

Browse Source
This commit is contained in:
boris
2026-07-04 21:23:49 +08:00
parent cb02041b3b
commit aff7fa309c
1 changed files with 16 additions and 2 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crates/fidc-core/src/strategy_ai.rs
+16 -2
View File
@@ -119,6 +119,8 @@ pub struct StrategyAiOptimizeRequest {
}
const DEFAULT_THREE_YEAR_RETURN_TARGET_PROMPT: &str = "默认收益目标：用户没有明确指定更高收益阈值时，三年回测区间策略总收益 >= 150% 即视为满足收益目标；达到该阈值后可以继续优化夏普、回撤、换手和稳定性，但不得把已达标策略判为失败或为了追更高收益破坏无未来数据、持仓数量和同条件对账合同。";
const DEFAULT_RISK_POLICY_DSL_PROMPT: &str = "reject_st_selection=true、reject_st_buy=true、reject_star_st_selection=true、reject_star_st_buy=true、reject_paused_selection=true、reject_paused_buy=true、reject_paused_sell=true、reject_inactive_selection=true、reject_inactive_buy=true、reject_inactive_sell=true、reject_new_listing_selection=true、reject_new_listing_buy=true、reject_kcb_selection=true、reject_kcb_buy=true、reject_bjse_selection=true、reject_bjse_buy=true、reject_one_yuan_selection=true、reject_one_yuan_buy=true、respect_allow_buy_sell=true、reject_upper_limit_selection=true、reject_lower_limit_selection=true、reject_upper_limit_buy=true、reject_lower_limit_sell=true、forbid_same_day_rebuy_after_sell=true、blacklist_enabled=true、volume_limit_enabled=true、liquidity_limit_enabled=true、volume_percent=0.25、commission_rate=0.0003、minimum_commission=5、stamp_tax_rate_before_change=0.001、stamp_tax_rate_after_change=0.0005、stamp_tax_change_date=\"2023-08-28\"";
const DEFAULT_RISK_POLICY_DSL_CODE: &str = "reject_st_selection=true, reject_st_buy=true, reject_star_st_selection=true, reject_star_st_buy=true, reject_paused_selection=true, reject_paused_buy=true, reject_paused_sell=true, reject_inactive_selection=true, reject_inactive_buy=true, reject_inactive_sell=true, reject_new_listing_selection=true, reject_new_listing_buy=true, reject_kcb_selection=true, reject_kcb_buy=true, reject_bjse_selection=true, reject_bjse_buy=true, reject_one_yuan_selection=true, reject_one_yuan_buy=true, respect_allow_buy_sell=true, reject_upper_limit_selection=true, reject_lower_limit_selection=true, reject_upper_limit_buy=true, reject_lower_limit_sell=true, forbid_same_day_rebuy_after_sell=true, blacklist_enabled=true, volume_limit_enabled=true, liquidity_limit_enabled=true, volume_percent=0.25, commission_rate=0.0003, minimum_commission=5, stamp_tax_rate_before_change=0.001, stamp_tax_rate_after_change=0.0005, stamp_tax_change_date=\"2023-08-28\"";
pub fn built_in_strategy_manual() -> StrategyAiManual {
StrategyAiManual {
@@ -561,9 +563,11 @@ pub fn build_generation_prompt(
prompt.push('\n');
prompt.push_str("- 不要使用手册未列出的字段、函数或外部平台 API 名称。\n\n");
prompt.push_str("只允许使用这些可编译语句：market、benchmark、signal、rebalance.every_days(...).at([...])、selection.limit、selection.market_cap_band、filter.stock_ma、filter.stock_expr、ordering.rank_by、ordering.rank_expr、allocation.buy_scale、risk.stop_loss、risk.take_profit、risk.index_exposure、risk.policy、risk.blacklist、execution.matching_type、execution.slippage、universe.exclude。universe.exclude 只用于用户明确要求的业务排除项，不能表达 FIDC 基础风控。禁止输出 filter(...)、rank(...)、select.top(...)、weight.equal()、sell_rule(...)、backtest(...)、risk.max_position(...) 这类未支持伪语法。\n");
prompt.push_str("参数形态必须严格：selection.market_cap_band 必须写 field=\"market_cap\" 或 field=\"free_float_cap\", lower=..., upper=...；禁止使用 float_market_cap；禁止使用 ma60、stock_ma60、signal_ma60、benchmark_ma60，60日价格均线写 rolling_mean(\"close\", 60) 或 ma(\"close\", 60)，任意窗口均量写 rolling_mean(\"volume\", n) 或 vma(n)；不要生成 fn score() 这类零参数函数，股票字段排序直接写在 ordering.rank_expr 内或用带参数函数；布尔字段按布尔使用，不要写 is_st == 0；filter.stock_expr 只写 alpha 或业务过滤条件，不要把 !is_st、!paused、!at_upper_limit、!at_lower_limit 这类基础风控散落在表达式里；risk.index_exposure 只能传一个数值表达式，不要使用 risk.exposure；risk.policy 只写 FIDC 基础风控、成交量和交易成本命名参数，例如 reject_st_selection=true、reject_st_buy=true、reject_star_st_selection=true、reject_star_st_buy=true、reject_paused_selection=true、reject_paused_buy=true、reject_paused_sell=true、reject_inactive_selection=true、reject_new_listing_selection=true、reject_kcb_selection=true、reject_bjse_selection=true、reject_one_yuan_selection=true、forbid_same_day_rebuy_after_sell=true、reject_upper_limit_selection=true、reject_lower_limit_selection=true、reject_upper_limit_buy=true、reject_lower_limit_sell=true、blacklist_enabled=true、volume_limit_enabled=true、liquidity_limit_enabled=true、volume_percent=0.25、commission_rate=0.0003、minimum_commission=5、stamp_tax_rate_after_change=0.0005，不要用它表达策略择时或收益规则；完整三元表达式 cond ? a : b 可以使用，但不得输出残缺问号/冒号片段；日线回测 execution.matching_type 只能取 current_bar_close 或 next_bar_open，分钟线回测只能取 minute_last；不要把 vwap、twap、open_auction、minute_best_own、minute_best_counterparty 写成全局 matching_type；next_bar_open 只能使用决策日信号，不能把执行日价格当作下单前信息；next_bar_open 下 T 日只生成订单意图，涨跌停、停牌、ST、退市、一元股、黑名单、成交量和盘口流动性等执行约束必须由撮合/风控层按实际成交日判断，禁止用 T 日执行状态拦截 T+1 可交易订单；execution.slippage 必须写 execution.slippage(\"none\") 或 execution.slippage(\"price_ratio\", 0.001)。\n");
prompt.push_str(&format!("参数形态必须严格：selection.market_cap_band 必须写 field=\"market_cap\" 或 field=\"free_float_cap\", lower=..., upper=...；禁止使用 float_market_cap；禁止使用 ma60、stock_ma60、signal_ma60、benchmark_ma60，60日价格均线写 rolling_mean(\"close\", 60) 或 ma(\"close\", 60)，任意窗口均量写 rolling_mean(\"volume\", n) 或 vma(n)；不要生成 fn score() 这类零参数函数，股票字段排序直接写在 ordering.rank_expr 内或用带参数函数；布尔字段按布尔使用，不要写 is_st == 0；filter.stock_expr 只写 alpha 或业务过滤条件，不要把 !is_st、!paused、!at_upper_limit、!at_lower_limit 这类基础风控散落在表达式里；risk.index_exposure 只能传一个数值表达式，不要使用 risk.exposure；risk.policy 只写 FIDC 基础风控、成交量和交易成本命名参数，必须覆盖完整默认配置面，例如 {DEFAULT_RISK_POLICY_DSL_PROMPT}，不要用它表达策略择时或收益规则；完整三元表达式 cond ? a : b 可以使用，但不得输出残缺问号/冒号片段；日线回测 execution.matching_type 只能取 current_bar_close 或 next_bar_open，分钟线回测只能取 minute_last；不要把 vwap、twap、open_auction、minute_best_own、minute_best_counterparty 写成全局 matching_type；next_bar_open 只能使用决策日信号，不能把执行日价格当作下单前信息；next_bar_open 下 T 日只生成订单意图，涨跌停、停牌、ST、退市、一元股、黑名单、成交量和盘口流动性等执行约束必须由撮合/风控层按实际成交日判断，禁止用 T 日执行状态拦截 T+1 可交易订单；execution.slippage 必须写 execution.slippage(\"none\") 或 execution.slippage(\"price_ratio\", 0.001)。\n"));
prompt.push_str("回测成功但 tradeCount=0 或 holdingCount=0 是无效策略；第一版必须保持稳定买入覆盖率，复杂因子只能在后续优化中逐步加严。\n");
prompt.push_str("可参考但不要照抄的最小模板，回复时不要包含 ``` 代码围栏：\nstrategy(\"cn_a_smallcap_factor_rotation\") {\nmarket(\"CN_A\")\nbenchmark(\"000852.SH\")\nsignal(\"000001.SH\")\nrebalance.every_days(5).at([\"10:18\"])\nselection.limit(40)\nselection.market_cap_band(field=\"market_cap\", lower=0, upper=1000)\nfilter.stock_expr(listed_days >= 60 && close > 2)\nordering.rank_by(\"market_cap\", \"asc\")\nallocation.buy_scale(1.0)\nrisk.policy(reject_st_selection=true, reject_st_buy=true, reject_star_st_selection=true, reject_star_st_buy=true, reject_paused_selection=true, reject_paused_buy=true, reject_paused_sell=true, reject_inactive_selection=true, reject_new_listing_selection=true, reject_kcb_selection=true, reject_bjse_selection=true, reject_one_yuan_selection=true, reject_upper_limit_selection=true, reject_lower_limit_selection=true, reject_upper_limit_buy=true, reject_lower_limit_sell=true, forbid_same_day_rebuy_after_sell=true, blacklist_enabled=true, volume_limit_enabled=true, liquidity_limit_enabled=true, volume_percent=0.25, commission_rate=0.0003, minimum_commission=5)\nrisk.index_exposure(1.0)\nrisk.stop_loss(holding_return < -0.08)\nexecution.slippage(\"price_ratio\", 0.001)\n}\n\n");
prompt.push_str("可参考但不要照抄的最小模板，回复时不要包含 ``` 代码围栏：\nstrategy(\"cn_a_smallcap_factor_rotation\") {\nmarket(\"CN_A\")\nbenchmark(\"000852.SH\")\nsignal(\"000001.SH\")\nrebalance.every_days(5).at([\"10:18\"])\nselection.limit(40)\nselection.market_cap_band(field=\"market_cap\", lower=0, upper=1000)\nfilter.stock_expr(listed_days >= 60 && close > 2)\nordering.rank_by(\"market_cap\", \"asc\")\nallocation.buy_scale(1.0)\nrisk.policy(");
prompt.push_str(DEFAULT_RISK_POLICY_DSL_CODE);
prompt.push_str(")\nrisk.index_exposure(1.0)\nrisk.stop_loss(holding_return < -0.08)\nexecution.slippage(\"price_ratio\", 0.001)\n}\n\n");
prompt.push_str("用户目标：\n");
prompt.push_str(&format!("- {}\n", request.user_goal));
if !request.constraints.is_empty() {
@@ -643,6 +647,16 @@ mod tests {
assert!(prompt.contains("T 日只生成订单意图"));
assert!(prompt.contains("按实际成交日判断"));
assert!(prompt.contains("禁止用 T 日执行状态拦截 T+1 可交易订单"));
assert!(prompt.contains("必须覆盖完整默认配置面"));
assert!(prompt.contains("reject_inactive_buy=true"));
assert!(prompt.contains("reject_inactive_sell=true"));
assert!(prompt.contains("reject_new_listing_buy=true"));
assert!(prompt.contains("reject_kcb_buy=true"));
assert!(prompt.contains("reject_bjse_buy=true"));
assert!(prompt.contains("reject_one_yuan_buy=true"));
assert!(prompt.contains("respect_allow_buy_sell=true"));
assert!(prompt.contains("stamp_tax_rate_before_change=0.001"));
assert!(prompt.contains("stamp_tax_change_date=\"2023-08-28\""));
}
#[test]