修复目标组合零权重估值
This commit is contained in:
boris
@@ -1661,10 +1661,17 @@ where
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) -> Result<(BTreeMap<String, u32>, Vec<String>), BacktestError> {
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let equity =
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self.rebalance_total_equity_at_with_overrides(date, portfolio, data, valuation_prices)?;
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let target_weight_sum = target_weights.values().copied().sum::<f64>();
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let target_weight_sum = target_weights
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.values()
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.copied()
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.filter(|weight| weight.abs() > f64::EPSILON)
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.sum::<f64>();
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let mut desired_targets = BTreeMap::new();
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let mut diagnostics = Vec::new();
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for (symbol, weight) in target_weights {
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if weight.abs() <= f64::EPSILON {
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continue;
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}
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let price = self.rebalance_valuation_price_with_overrides(
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date,
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symbol,
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@@ -5544,6 +5551,59 @@ mod tests {
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);
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}
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#[test]
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fn target_portfolio_smart_ignores_zero_weight_symbols_without_market_snapshot() {
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let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks,
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PriceField::Open,
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)
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.with_volume_limit(false)
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.with_liquidity_limit(false);
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let data = DataSet::from_components_with_actions_and_quotes(
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vec![limit_test_instrument()],
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vec![limit_test_snapshot()],
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Vec::new(),
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vec![limit_test_candidate(true, true)],
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vec![limit_test_benchmark()],
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Vec::new(),
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Vec::new(),
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)
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.expect("valid dataset");
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let mut portfolio = PortfolioState::new(1_000_000.0);
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let mut target_weights = BTreeMap::new();
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target_weights.insert("000001.SZ".to_string(), 0.50);
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target_weights.insert("001239.SZ".to_string(), 0.0);
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let mut report = BrokerExecutionReport::default();
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broker
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.process_target_portfolio_smart(
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date,
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&mut portfolio,
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&data,
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&target_weights,
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None,
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None,
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"date_conditioned_target_weights",
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&mut BTreeMap::new(),
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&mut BTreeMap::new(),
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&mut None,
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&mut BTreeMap::new(),
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&mut report,
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)
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.expect("zero weight missing snapshot symbol ignored");
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assert!(portfolio.position("000001.SZ").is_some());
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assert!(portfolio.position("001239.SZ").is_none());
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assert!(
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report
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.fill_events
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.iter()
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.all(|event| event.symbol != "001239.SZ")
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);
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}
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#[test]
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fn timed_target_value_zero_sells_full_position_at_requested_time_quote() {
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let date = chrono::NaiveDate::from_ymd_opt(2025, 1, 2).expect("valid date");
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@@ -20192,6 +20192,103 @@ mod tests {
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}
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}
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#[test]
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fn target_portfolio_smart_respects_current_date_weight_conditions() {
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let date = d(2023, 1, 3);
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let data = DataSet::from_components(
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vec![],
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vec![DailyMarketSnapshot {
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date,
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symbol: "000001.SH".to_string(),
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timestamp: Some("2023-01-03 10:18:00".to_string()),
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day_open: 1000.0,
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open: 1000.0,
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high: 1002.0,
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low: 998.0,
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close: 1001.0,
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last_price: 1001.0,
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bid1: 1000.5,
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ask1: 1001.5,
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prev_close: 999.0,
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volume: 100_000,
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minute_volume: 5_000,
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bid1_volume: 2_500,
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ask1_volume: 2_500,
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trading_phase: Some("continuous".to_string()),
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paused: false,
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upper_limit: 1098.9,
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lower_limit: 899.1,
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price_tick: 0.01,
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}],
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vec![],
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vec![],
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vec![BenchmarkSnapshot {
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date,
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benchmark: "000852.SH".to_string(),
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open: 1000.0,
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close: 1001.0,
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prev_close: 999.0,
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volume: 100_000,
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}],
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)
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.expect("dataset");
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let portfolio = PortfolioState::new(1_000_000.0);
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let subscriptions = BTreeSet::new();
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let ctx = StrategyContext {
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execution_date: date,
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decision_date: date,
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decision_index: 0,
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data: &data,
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portfolio: &portfolio,
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futures_account: None,
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open_orders: &[],
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dynamic_universe: None,
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subscriptions: &subscriptions,
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process_events: &[],
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active_process_event: None,
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active_datetime: None,
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order_events: &[],
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fills: &[],
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};
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let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
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cfg.signal_symbol = "000001.SH".to_string();
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cfg.rotation_enabled = false;
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cfg.benchmark_short_ma_days = 1;
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cfg.benchmark_long_ma_days = 1;
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cfg.explicit_actions = vec![PlatformTradeAction::TargetPortfolioSmart {
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target_weights_expr: concat!(
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"{",
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"\"000521.SZ\": if current_date == \"2023-01-03\" { 0.025 } else { 0.0 },",
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"\"001239.SZ\": if current_date == \"2024-08-13\" { 0.025 } else { 0.0 }",
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"}"
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)
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.to_string(),
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order_prices_expr: None,
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valuation_prices_expr: None,
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when_expr: None,
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reason: "date_conditioned_target_weights".to_string(),
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}];
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let mut strategy = PlatformExprStrategy::new(cfg);
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let decision = strategy.on_day(&ctx).expect("platform decision");
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assert_eq!(decision.order_intents.len(), 1);
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match &decision.order_intents[0] {
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crate::strategy::OrderIntent::TargetPortfolioSmart { target_weights, .. } => {
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assert_eq!(target_weights.get("000521.SZ").copied(), Some(0.025));
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assert_eq!(target_weights.get("001239.SZ").copied(), Some(0.0));
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assert_eq!(
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target_weights
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.iter()
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.filter(|(_, weight)| weight.abs() > f64::EPSILON)
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.count(),
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1
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);
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}
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other => panic!("unexpected explicit target portfolio intent: {other:?}"),
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}
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}
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#[test]
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fn platform_strategy_emits_target_portfolio_smart_algo_order_style() {
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let date = d(2025, 2, 3);
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