修复FIDC策略滑点配置解析

crates/fidc-core/src/strategy.rs

@@ -1539,6 +1539,8 @@ pub struct OmniMicroCapConfig {
     pub stock_short_ma_days: usize,
     pub stock_mid_ma_days: usize,
     pub stock_long_ma_days: usize,
+    pub stock_volume_short_ma_days: usize,
+    pub stock_volume_long_ma_days: usize,
     pub rsi_rate: f64,
     pub trade_rate: f64,
     pub stop_loss_ratio: f64,
@@ -1565,6 +1567,8 @@ impl OmniMicroCapConfig {
             stock_short_ma_days: 5,
             stock_mid_ma_days: 10,
             stock_long_ma_days: 20,
+            stock_volume_short_ma_days: 5,
+            stock_volume_long_ma_days: 60,
             rsi_rate: 1.0001,
             trade_rate: 0.5,
             stop_loss_ratio: 0.93,
@@ -1593,6 +1597,8 @@ impl OmniMicroCapConfig {
             stock_short_ma_days: 5,
             stock_mid_ma_days: 10,
             stock_long_ma_days: 30,
+            stock_volume_short_ma_days: 5,
+            stock_volume_long_ma_days: 60,
             rsi_rate: 1.0001,
             trade_rate: 0.5,
             stop_loss_ratio: 0.92,
@@ -2271,62 +2277,33 @@ impl OmniMicroCapStrategy {
             return false;
         };
 
-        // MA filter: ma_short > ma_mid * rsi_rate && ma_mid * rsi_rate > ma_long
         let ma_pass =
             ma_short > ma_mid * self.config.rsi_rate && ma_mid * self.config.rsi_rate > ma_long;
 
-        // Debug logging for ALL stocks on first decision date
-        static DEBUG_DATE: std::sync::Mutex<Option<NaiveDate>> = std::sync::Mutex::new(None);
-        let mut debug_date = DEBUG_DATE.lock().unwrap();
-        let should_debug = if let Some(d) = *debug_date {
-            d == date
-        } else {
-            *debug_date = Some(date);
-            true
-        };
-
-        if should_debug {
-            eprintln!(
-                "[MA_FILTER] {} cap={:.2} ma5={:.4} ma10={:.4} ma30={:.4} ma10*rsi={:.4} pass={} ({}>{:.4}? {} && {:.4}>{}? {})",
-                symbol,
-                ctx.data.market_decision_close(date, symbol).unwrap_or(0.0),
-                ma_short,
-                ma_mid,
-                ma_long,
-                ma_mid * self.config.rsi_rate,
-                ma_pass,
-                ma_short,
-                ma_mid * self.config.rsi_rate,
-                ma_short > ma_mid * self.config.rsi_rate,
-                ma_mid * self.config.rsi_rate,
-                ma_long,
-                ma_mid * self.config.rsi_rate > ma_long
-            );
-        }
-
         if !ma_pass {
             return false;
         }
 
-        // Volume filter: V5 < V60 (applied for omni_microcap strategies)
         if self.config.strategy_name.contains("aiquant")
             || self.config.strategy_name.contains("AiQuant")
             || self.config.strategy_name.contains("omni")
         {
-            let Some(volume_ma5) = ctx
-                .data
-                .market_decision_volume_moving_average(date, symbol, 5)
-            else {
+            let Some(volume_ma5) = ctx.data.market_decision_volume_moving_average(
+                date,
+                symbol,
+                self.config.stock_volume_short_ma_days,
+            ) else {
                 return false;
             };
-            let Some(volume_ma60) = ctx
-                .data
-                .market_decision_volume_moving_average(date, symbol, 60)
-            else {
+            let Some(volume_ma_long) = ctx.data.market_decision_volume_moving_average(
+                date,
+                symbol,
+                self.config.stock_volume_long_ma_days,
+            ) else {
                 return false;
             };
 
-            if volume_ma5 >= volume_ma60 {
+            if volume_ma5 >= volume_ma_long {
                 return false;
             }
         }
@@ -2519,18 +2496,6 @@ fn omni_truth_stock_list_candidates() -> Vec<PathBuf> {
             }
         }
     }
-
-    let suffix = PathBuf::from("data/demo/engine_truth_stock_list.csv");
-    let manifest_root = Path::new(env!("CARGO_MANIFEST_DIR"));
-    push_unique_truth_path(
-        &mut candidates,
-        manifest_root.join("../../../").join(&suffix),
-    );
-    if let Ok(current_dir) = env::current_dir() {
-        for ancestor in current_dir.ancestors() {
-            push_unique_truth_path(&mut candidates, ancestor.join(&suffix));
-        }
-    }
     candidates
 }
 
@@ -2699,10 +2664,6 @@ impl Strategy for OmniMicroCapStrategy {
             };
         // 使用前一交易日的指数价格计算市值区间（模拟实盘场景）
         let (band_low, band_high) = self.market_cap_band(prev_index_level);
-        eprintln!(
-            "[DEBUG] date={} current_index={:.2} prev_index={:.2} band=[{:.0}, {:.0}]",
-            date, index_level, prev_index_level, band_low, band_high
-        );
         let (stock_list, selection_notes) = self.select_symbols(ctx, date, band_low, band_high)?;
         let periodic_rebalance = ctx.decision_index % self.config.refresh_rate == 0;
         let mut projected = ctx.portfolio.clone();
@@ -2726,7 +2687,8 @@ impl Strategy for OmniMicroCapStrategy {
                     + self.stop_loss_tolerance(market);
             let profit_hit = current_price / position.average_cost > self.config.take_profit_ratio;
             let can_sell = self.can_sell_position(ctx, date, &position.symbol);
-            if stop_hit || profit_hit {
+            let at_upper_limit = market.is_at_upper_limit_price(current_price);
+            if stop_hit || (profit_hit && !at_upper_limit) {
                 let sell_reason = if stop_hit {
                     "stop_loss_exit"
                 } else {