zsb/fidc-backtest-engine
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity
Files
codex/portfolio-risk-20260909
fidc-backtest-engine/docs/evidence/native-daily-factor-replays-20260907/native-pit-intraday-request-20260907.json
T

532 lines
31 KiB
JSON
Raw Permalink Blame History

{
"strategy_id": "benchmark-native-factor-overlay",
"strategy_version_id": "1.0.0",
"user_id": "2d84120b-567a-417e-b6a4-6ffedceb132f",
"runtime": {
"start_date": "2025-09-08",
"end_date": "2025-09-12",
"frequency": "1d",
"source_table": "strategy_factory_source_lake.daily_source_rows_v1",
"signal_symbol": "000300.SH",
"benchmark_symbol": "000300.SH",
"initial_cash": 10000000.0,
"backtestDataBundleId": "bt_bundle_85825809f940ce489825",
"backtestDataBundleHash": "c83203674aa4ba23eed0bbc043c2a53f13bcbc37f45c395b3fb8d560a4d14991"
},
"execution": {
"matchingType": "current_bar_close",
"rebalanceCashMode": "sell_then_buy",
"sellThenBuyDelaySlippageRate": 0,
"slippageModel": "price_ratio",
"slippageValue": 0.002,
"commissionRate": 0.0001,
"minimumCommission": 0.0,
"stampTaxRateBeforeChange": 0.001,
"stampTaxRateAfterChange": 0.0005,
"stampTaxChangeDate": "2023-08-28",
"volumeLimit": true,
"liquidityLimit": false,
"volumePercent": 0.25,
"riskPolicy": {
"allowMarketOrders": true,
"blacklistEnabled": true,
"blacklistedSymbols": [],
"commissionRate": 0.0001,
"forbidSameDayRebuyAfterSell": false,
"liquidityLimitEnabled": false,
"liveTradingEnabled": false,
"maxOrderNotional": 100000000,
"maxOrderQuantity": 1000000,
"maxSymbolPosition": 10000000,
"minimumCommission": 0,
"rejectBjseBuy": true,
"rejectBjseSelection": false,
"rejectInactiveBuy": true,
"rejectInactiveSelection": false,
"rejectInactiveSell": true,
"rejectKcbBuy": false,
"rejectKcbSelection": false,
"rejectLowerLimitSelection": false,
"rejectLowerLimitSell": true,
"rejectNewListingBuy": true,
"rejectNewListingSelection": false,
"rejectOneYuanBuy": true,
"rejectOneYuanSelection": false,
"rejectPausedBuy": true,
"rejectPausedSelection": false,
"rejectPausedSell": true,
"rejectStBuy": true,
"rejectStSelection": false,
"rejectStarStBuy": true,
"rejectStarStSelection": false,
"rejectUpperLimitBuy": true,
"rejectUpperLimitSelection": false,
"respectAllowBuySell": true,
"stampTaxChangeDate": "2023-08-28",
"stampTaxRateAfterChange": 0.0005,
"stampTaxRateBeforeChange": 0.001,
"volumeLimitEnabled": true,
"volumePercent": 0.25
}
},
"strategy_source": {
"source_type": "platform-strategy",
"language": "engine-script",
"parser": "omniquant-engine-script-v2",
"source_code": "strategy(\"许总_组合_backtest\") {\n mode(\"rotation\")\n market(\"CN_A\")\n benchmark(\"000300.SH\")\n signal(\"000300.SH\")\n rebalance.every_days(1).at([\"09:30\"])\n universe.include([\"688116.SH\", \"603200.SH\", \"300395.SZ\", \"600732.SH\", \"000063.SZ\", \"002625.SZ\", \"300811.SZ\", \"002851.SZ\", \"000988.SZ\", \"002281.SZ\", \"300205.SZ\", \"002239.SZ\", \"600079.SH\", \"600276.SH\", \"600909.SH\", \"002169.SZ\", \"603156.SH\", \"002654.SZ\", \"000999.SZ\", \"601066.SH\", \"603345.SH\", \"000333.SZ\", \"603726.SH\", \"688012.SH\"])\n selection.limit(24)\n selection.candidate_limit(24)\n selection.market_cap_band(field=\"close\", lower=0, upper=1000000000000)\n filter.stock_expr((close > 0)) && (ths_up_days_stock >= 1)\n ordering.rank_expr((((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") || ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") || symbol == \"002625.SZ\")) || (((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") || symbol == \"000988.SZ\") || ((symbol == \"002281.SZ\" || symbol == \"300205.SZ\") || symbol == \"002239.SZ\"))) || ((((symbol == \"600079.SH\" || symbol == \"600276.SH\") || symbol == \"600909.SH\") || ((symbol == \"002169.SZ\" || symbol == \"603156.SH\") || symbol == \"002654.SZ\")) || (((symbol == \"000999.SZ\" || symbol == \"601066.SH\") || symbol == \"603345.SH\") || ((symbol == \"000333.SZ\" || symbol == \"603726.SH\") || symbol == \"688012.SH\")))) ? (((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") || ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") || symbol == \"002625.SZ\")) || (((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") || symbol == \"000988.SZ\") || ((symbol == \"002281.SZ\" || symbol == \"300205.SZ\") || symbol == \"002239.SZ\"))) ? ((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") || ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") || symbol == \"002625.SZ\")) ? (((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") ? ((symbol == \"688116.SH\" || symbol == \"603200.SH\") ? (symbol == \"688116.SH\" ? (0) : (1)) : (2)) : ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") ? (symbol == \"600732.SH\" ? (3) : (4)) : (5))) : (((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") || symbol == \"000988.SZ\") ? ((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") ? (symbol == \"300811.SZ\" ? (6) : (7)) : (8)) : ((symbol == \"002281.SZ\" || symbol == \"300205.SZ\") ? (symbol == \"002281.SZ\" ? (9) : (10)) : (11)))) : ((((symbol == \"600079.SH\" || symbol == \"600276.SH\") || symbol == \"600909.SH\") || ((symbol == \"002169.SZ\" || symbol == \"603156.SH\") || symbol == \"002654.SZ\")) ? (((symbol == \"600079.SH\" || symbol == \"600276.SH\") || symbol == \"600909.SH\") ? ((symbol == \"600079.SH\" || symbol == \"600276.SH\") ? (symbol == \"600079.SH\" ? (12) : (13)) : (14)) : ((symbol == \"002169.SZ\" || symbol == \"603156.SH\") ? (symbol == \"002169.SZ\" ? (15) : (16)) : (17))) : (((symbol == \"000999.SZ\" || symbol == \"601066.SH\") || symbol == \"603345.SH\") ? ((symbol == \"000999.SZ\" || symbol == \"601066.SH\") ? (symbol == \"000999.SZ\" ? (18) : (19)) : (20)) : ((symbol == \"000333.SZ\" || symbol == \"603726.SH\") ? (symbol == \"000333.SZ\" ? (21) : (22)) : (23))))) : 24, \"asc\")\n risk.index_exposure(max(0.0, 0.9000000000 - 0.0000 / max(total_equity, 1.0)))\n allocation.buy_scale((((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") || ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") || symbol == \"002625.SZ\")) || (((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") || symbol == \"000988.SZ\") || ((symbol == \"002281.SZ\" || symbol == \"300205.SZ\") || symbol == \"002239.SZ\"))) || ((((symbol == \"600079.SH\" || symbol == \"600276.SH\") || symbol == \"600909.SH\") || ((symbol == \"002169.SZ\" || symbol == \"603156.SH\") || symbol == \"002654.SZ\")) || (((symbol == \"000999.SZ\" || symbol == \"601066.SH\") || symbol == \"603345.SH\") || ((symbol == \"000333.SZ\" || symbol == \"603726.SH\") || symbol == \"688012.SH\")))) ? (((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || (symbol == \"300395.SZ\" || symbol == \"600732.SH\")) || ((symbol == \"000063.SZ\" || symbol == \"002625.SZ\") || (symbol == \"300811.SZ\" || symbol == \"002851.SZ\"))) || (((symbol == \"000988.SZ\" || symbol == \"002281.SZ\") || (symbol == \"300205.SZ\" || symbol == \"002239.SZ\")) || ((symbol == \"600079.SH\" || symbol == \"600276.SH\") || (symbol == \"600909.SH\" || symbol == \"002169.SZ\")))) ? (1.0008000000) : (0.9984000000)) : 0.0)\n risk.stop_loss(holding_return <= -0.0800000000)\n risk.take_profit(holding_return >= 0.1600000000)\n risk.reference_price_mode(\"position_average_entry_price\")\n trading.daily_top_up(true)\n trading.daily_position_target_adjust(true)\n trading.target_portfolio_daily(true)\n trading.rebalance_existing_positions(true)\n trading.hold_until_exit(true)\n trading.retry_empty_rebalance(true)\n trading.release_slot_on_exit_signal(true)\n trading.redistribute_target_weights_after_exit(true)\n trading.reenter_exited_targets(true)\n execution.matching_type(\"current_bar_close\")\n}"
},
"strategy_spec": {
"benchmark": {
"fallbackInstrumentId": "000300.SH",
"instrumentId": "000300.SH",
"note": "必须使用真实指数链路；若 000852.SH 不可用，应直接报错而不是退化到其他标的。"
},
"engineConfig": {
"benchmarkSymbol": "000300.SH",
"commissionRate": 0.0001,
"dividendReinvestment": false,
"dynamicRange": {
"baseCapFloor": 7,
"baseIndexLevel": 2000,
"capSpan": 1000000000000,
"xs": 0.008
},
"frequency": "1d",
"indexThrottle": {
"defensiveExposure": 0.5,
"fullExposure": 1,
"longDays": 10,
"rsiRate": 1.0001,
"shortDays": 5
},
"liquidityLimit": false,
"matchingType": "current_bar_close",
"minimumCommission": 0.0,
"rankLimit": 24,
"rebalanceCashMode": "sell_then_buy",
"rebalanceSchedule": {
"frequency": "daily",
"time": "09:30"
},
"refreshRate": 1,
"riskPolicy": {
"allowMarketOrders": true,
"blacklistEnabled": true,
"blacklistedSymbols": [],
"commissionRate": 0.0001,
"forbidSameDayRebuyAfterSell": false,
"liquidityLimitEnabled": false,
"liveTradingEnabled": false,
"maxOrderNotional": 100000000,
"maxOrderQuantity": 1000000,
"maxSymbolPosition": 10000000,
"minimumCommission": 0,
"rejectBjseBuy": true,
"rejectBjseSelection": false,
"rejectInactiveBuy": true,
"rejectInactiveSelection": false,
"rejectInactiveSell": true,
"rejectKcbBuy": false,
"rejectKcbSelection": false,
"rejectLowerLimitSelection": false,
"rejectLowerLimitSell": true,
"rejectNewListingBuy": true,
"rejectNewListingSelection": false,
"rejectOneYuanBuy": true,
"rejectOneYuanSelection": false,
"rejectPausedBuy": true,
"rejectPausedSelection": false,
"rejectPausedSell": true,
"rejectStBuy": true,
"rejectStSelection": false,
"rejectStarStBuy": true,
"rejectStarStSelection": false,
"rejectUpperLimitBuy": true,
"rejectUpperLimitSelection": false,
"respectAllowBuySell": true,
"stampTaxChangeDate": "2023-08-28",
"stampTaxRateAfterChange": 0.0005,
"stampTaxRateBeforeChange": 0.001,
"volumeLimitEnabled": true,
"volumePercent": 0.25
},
"rsiRate": 1.0001,
"sellThenBuyDelaySlippageRate": 0,
"signalSymbol": "000300.SH",
"skipWindows": [],
"slippageModel": "price_ratio",
"slippageValue": 0.002,
"stampTaxChangeDate": "2023-08-28",
"stampTaxRateAfterChange": 0.0005,
"stampTaxRateBeforeChange": 0.001,
"stockMaFilter": {
"longDays": 20,
"midDays": 10,
"rsiRate": 1.0001,
"shortDays": 5,
"volumeLongDays": 60,
"volumeShortDays": 5
},
"stopLossMultiplier": 0.93,
"strictValueBudget": true,
"takeProfitMultiplier": 1.07,
"templateId": "许总_组合_backtest",
"volumeLimit": true,
"volumePercent": 0.25
},
"execution": {
"commissionRate": 0.0001,
"executionGranularity": "daily_or_minute_bar",
"extractor": "omniquant-engine-script-v2",
"frequency": "1d",
"liquidityLimit": false,
"matchingType": "current_bar_close",
"minimumCommission": 0.0,
"priceSource": "current_bar_close_or_next_bar_open_or_minute_bar",
"rebalanceCashMode": "sell_then_buy",
"riskPolicy": {
"allowMarketOrders": true,
"blacklistEnabled": true,
"blacklistedSymbols": [],
"commissionRate": 0.0001,
"forbidSameDayRebuyAfterSell": false,
"liquidityLimitEnabled": false,
"liveTradingEnabled": false,
"maxOrderNotional": 100000000,
"maxOrderQuantity": 1000000,
"maxSymbolPosition": 10000000,
"minimumCommission": 0,
"rejectBjseBuy": true,
"rejectBjseSelection": false,
"rejectInactiveBuy": true,
"rejectInactiveSelection": false,
"rejectInactiveSell": true,
"rejectKcbBuy": false,
"rejectKcbSelection": false,
"rejectLowerLimitSelection": false,
"rejectLowerLimitSell": true,
"rejectNewListingBuy": true,
"rejectNewListingSelection": false,
"rejectOneYuanBuy": true,
"rejectOneYuanSelection": false,
"rejectPausedBuy": true,
"rejectPausedSelection": false,
"rejectPausedSell": true,
"rejectStBuy": true,
"rejectStSelection": false,
"rejectStarStBuy": true,
"rejectStarStSelection": false,
"rejectUpperLimitBuy": true,
"rejectUpperLimitSelection": false,
"respectAllowBuySell": true,
"stampTaxChangeDate": "2023-08-28",
"stampTaxRateAfterChange": 0.0005,
"stampTaxRateBeforeChange": 0.001,
"volumeLimitEnabled": true,
"volumePercent": 0.25
},
"selectionGranularity": "strategy_factory_source_lake.daily_source_rows_v1",
"sellThenBuyDelaySlippageRate": 0,
"slippageModel": "price_ratio",
"slippageValue": 0.002,
"sourceKind": "platform-strategy",
"sourceLanguage": "engine-script",
"stampTaxChangeDate": "2023-08-28",
"stampTaxRateAfterChange": 0.0005,
"stampTaxRateBeforeChange": 0.001,
"strictValueBudget": true,
"volumeLimit": true,
"volumePercent": 0.25
},
"factorRefs": [
"close",
"ths_up_days_stock"
],
"factorValueBindings": [],
"market": "CN_A",
"metadata": {
"backtestDataBundle": {
"sourceTable": "strategy_factory_source_lake.daily_source_rows_v1",
"backtestDataBundleId": "bt_bundle_85825809f940ce489825",
"backtestDataBundleHash": "c83203674aa4ba23eed0bbc043c2a53f13bcbc37f45c395b3fb8d560a4d14991"
},
"backtestDataBundleHash": "c83203674aa4ba23eed0bbc043c2a53f13bcbc37f45c395b3fb8d560a4d14991",
"backtestDataBundleId": "bt_bundle_85825809f940ce489825",
"sourceTable": "strategy_factory_source_lake.daily_source_rows_v1",
"strategyExecutionContract": {
"commissionRate": "0.0001",
"dynamicSlippageImpact": "0",
"dynamicSlippageMax": "0",
"dynamicSlippageVolatility": "0",
"frequency": "1d",
"hash": "fnv1a-66a4a68e",
"liquidityLimitEnabled": false,
"matchingType": "current_bar_close",
"minimumCommission": "0",
"rebalanceCashMode": "sell_then_buy",
"riskPolicy": {
"allowMarketOrders": true,
"blacklistEnabled": true,
"blacklistedSymbols": [],
"commissionRate": 0.0001,
"forbidSameDayRebuyAfterSell": false,
"liquidityLimitEnabled": false,
"liveTradingEnabled": false,
"maxOrderNotional": 100000000,
"maxOrderQuantity": 1000000,
"maxSymbolPosition": 10000000,
"minimumCommission": 0,
"rejectBjseBuy": true,
"rejectBjseSelection": false,
"rejectInactiveBuy": true,
"rejectInactiveSelection": false,
"rejectInactiveSell": true,
"rejectKcbBuy": false,
"rejectKcbSelection": false,
"rejectLowerLimitSelection": false,
"rejectLowerLimitSell": true,
"rejectNewListingBuy": true,
"rejectNewListingSelection": false,
"rejectOneYuanBuy": true,
"rejectOneYuanSelection": false,
"rejectPausedBuy": true,
"rejectPausedSelection": false,
"rejectPausedSell": true,
"rejectStBuy": true,
"rejectStSelection": false,
"rejectStarStBuy": true,
"rejectStarStSelection": false,
"rejectUpperLimitBuy": true,
"rejectUpperLimitSelection": false,
"respectAllowBuySell": true,
"stampTaxChangeDate": "2023-08-28",
"stampTaxRateAfterChange": 0.0005,
"stampTaxRateBeforeChange": 0.001,
"volumeLimitEnabled": true,
"volumePercent": 0.25
},
"sellThenBuyDelaySlippageRate": "0",
"slippageMode": "fixed",
"slippageRate": "0.002",
"stampTaxChangeDate": "2023-08-28",
"stampTaxRateAfterChange": "0.0005",
"stampTaxRateBeforeChange": "0.001",
"version": "fidc-strategy-execution-v1",
"volumeLimitEnabled": true,
"volumePercent": "0.25"
},
"strategyExecutionContractHash": "fnv1a-66a4a68e",
"strategyExecutionContractVersion": "fidc-strategy-execution-v1",
"strategyRiskPolicyVersion": "fidc-risk-policy-v2"
},
"mode": "rotation",
"rebalance": {
"dailyApproximation": "日线回测按 matching_type 撮合；分钟线回测按交易时刻分钟价格撮合",
"frequencyDays": 1,
"schedule": {
"frequency": "daily",
"time": "09:30"
},
"tradeTimes": [
"09:30"
]
},
"risk": {
"indexThrottleExpr": "max(0.0, 0.9000000000 - 0.0000 / max(total_equity, 1.0))",
"stopLossExpr": "holding_return <= -0.0800000000",
"stopTakeReferencePriceMode": "position_average_entry_price",
"takeProfitExpr": "holding_return >= 0.1600000000"
},
"runtimeExpressions": {
"allocation": {
"buyScaleExpr": "(((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") || ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") || symbol == \"002625.SZ\")) || (((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") || symbol == \"000988.SZ\") || ((symbol == \"002281.SZ\" || symbol == \"300205.SZ\") || symbol == \"002239.SZ\"))) || ((((symbol == \"600079.SH\" || symbol == \"600276.SH\") || symbol == \"600909.SH\") || ((symbol == \"002169.SZ\" || symbol == \"603156.SH\") || symbol == \"002654.SZ\")) || (((symbol == \"000999.SZ\" || symbol == \"601066.SH\") || symbol == \"603345.SH\") || ((symbol == \"000333.SZ\" || symbol == \"603726.SH\") || symbol == \"688012.SH\")))) ? (((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || (symbol == \"300395.SZ\" || symbol == \"600732.SH\")) || ((symbol == \"000063.SZ\" || symbol == \"002625.SZ\") || (symbol == \"300811.SZ\" || symbol == \"002851.SZ\"))) || (((symbol == \"000988.SZ\" || symbol == \"002281.SZ\") || (symbol == \"300205.SZ\" || symbol == \"002239.SZ\")) || ((symbol == \"600079.SH\" || symbol == \"600276.SH\") || (symbol == \"600909.SH\" || symbol == \"002169.SZ\")))) ? (1.0008000000) : (0.9984000000)) : 0.0"
},
"ordering": {
"rankBy": "market_cap",
"rankExpr": "(((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") || ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") || symbol == \"002625.SZ\")) || (((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") || symbol == \"000988.SZ\") || ((symbol == \"002281.SZ\" || symbol == \"300205.SZ\") || symbol == \"002239.SZ\"))) || ((((symbol == \"600079.SH\" || symbol == \"600276.SH\") || symbol == \"600909.SH\") || ((symbol == \"002169.SZ\" || symbol == \"603156.SH\") || symbol == \"002654.SZ\")) || (((symbol == \"000999.SZ\" || symbol == \"601066.SH\") || symbol == \"603345.SH\") || ((symbol == \"000333.SZ\" || symbol == \"603726.SH\") || symbol == \"688012.SH\")))) ? (((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") || ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") || symbol == \"002625.SZ\")) || (((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") || symbol == \"000988.SZ\") || ((symbol == \"002281.SZ\" || symbol == \"300205.SZ\") || symbol == \"002239.SZ\"))) ? ((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") || ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") || symbol == \"002625.SZ\")) ? (((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") ? ((symbol == \"688116.SH\" || symbol == \"603200.SH\") ? (symbol == \"688116.SH\" ? (0) : (1)) : (2)) : ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") ? (symbol == \"600732.SH\" ? (3) : (4)) : (5))) : (((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") || symbol == \"000988.SZ\") ? ((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") ? (symbol == \"300811.SZ\" ? (6) : (7)) : (8)) : ((symbol == \"002281.SZ\" || symbol == \"300205.SZ\") ? (symbol == \"002281.SZ\" ? (9) : (10)) : (11)))) : ((((symbol == \"600079.SH\" || symbol == \"600276.SH\") || symbol == \"600909.SH\") || ((symbol == \"002169.SZ\" || symbol == \"603156.SH\") || symbol == \"002654.SZ\")) ? (((symbol == \"600079.SH\" || symbol == \"600276.SH\") || symbol == \"600909.SH\") ? ((symbol == \"600079.SH\" || symbol == \"600276.SH\") ? (symbol == \"600079.SH\" ? (12) : (13)) : (14)) : ((symbol == \"002169.SZ\" || symbol == \"603156.SH\") ? (symbol == \"002169.SZ\" ? (15) : (16)) : (17))) : (((symbol == \"000999.SZ\" || symbol == \"601066.SH\") || symbol == \"603345.SH\") ? ((symbol == \"000999.SZ\" || symbol == \"601066.SH\") ? (symbol == \"000999.SZ\" ? (18) : (19)) : (20)) : ((symbol == \"000333.SZ\" || symbol == \"603726.SH\") ? (symbol == \"000333.SZ\" ? (21) : (22)) : (23))))) : 24",
"rankOrder": "asc"
},
"prelude": "",
"risk": {
"exposureExpr": "max(0.0, 0.9000000000 - 0.0000 / max(total_equity, 1.0))",
"stopLossExpr": "holding_return <= -0.0800000000",
"stopTakeReferencePriceMode": "position_average_entry_price",
"takeProfitExpr": "holding_return >= 0.1600000000"
},
"schedule": {
"frequency": "daily",
"time": "09:30"
},
"selection": {
"candidateLimitExpr": "24",
"limitExpr": "24",
"marketCapField": "close",
"marketCapLowerExpr": "0",
"marketCapUpperExpr": "1000000000000",
"stockFilterExpr": "((close > 0)) && (ths_up_days_stock >= 1)"
},
"trading": {
"actions": [],
"dailyPositionTargetAdjust": true,
"dailyTopUp": true,
"holdUntilExit": true,
"rebalanceExistingPositions": true,
"redistributeTargetWeightsAfterExit": true,
"reenterExitedTargets": true,
"releaseSlotOnExitSignal": true,
"retryEmptyRebalance": true,
"rotationEnabled": true,
"stage": "on_day",
"subscriptionGuardRequired": false,
"targetPortfolioDaily": true
}
},
"seasonality": {
"skipWindows": []
},
"selectors": [
{
"field": "market_cap",
"lowerExpr": "0",
"mapping": "close -> strategy_factory_source_lake.runtime_fields.close",
"type": "dynamicRange",
"upperExpr": "1000000000000"
},
{
"expr": "((close > 0)) && (ths_up_days_stock >= 1)",
"type": "filter"
},
{
"limitExpr": "24",
"orderBy": [
"market_cap asc"
],
"type": "rank"
}
],
"signalSymbol": "000300.SH",
"sourceCode": "strategy(\"许总_组合_backtest\") {\n mode(\"rotation\")\n market(\"CN_A\")\n benchmark(\"000300.SH\")\n signal(\"000300.SH\")\n rebalance.every_days(1).at([\"09:30\"])\n universe.include([\"688116.SH\", \"603200.SH\", \"300395.SZ\", \"600732.SH\", \"000063.SZ\", \"002625.SZ\", \"300811.SZ\", \"002851.SZ\", \"000988.SZ\", \"002281.SZ\", \"300205.SZ\", \"002239.SZ\", \"600079.SH\", \"600276.SH\", \"600909.SH\", \"002169.SZ\", \"603156.SH\", \"002654.SZ\", \"000999.SZ\", \"601066.SH\", \"603345.SH\", \"000333.SZ\", \"603726.SH\", \"688012.SH\"])\n selection.limit(24)\n selection.candidate_limit(24)\n selection.market_cap_band(field=\"close\", lower=0, upper=1000000000000)\n filter.stock_expr((close > 0)) && (ths_up_days_stock >= 1)\n ordering.rank_expr((((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") || ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") || symbol == \"002625.SZ\")) || (((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") || symbol == \"000988.SZ\") || ((symbol == \"002281.SZ\" || symbol == \"300205.SZ\") || symbol == \"002239.SZ\"))) || ((((symbol == \"600079.SH\" || symbol == \"600276.SH\") || symbol == \"600909.SH\") || ((symbol == \"002169.SZ\" || symbol == \"603156.SH\") || symbol == \"002654.SZ\")) || (((symbol == \"000999.SZ\" || symbol == \"601066.SH\") || symbol == \"603345.SH\") || ((symbol == \"000333.SZ\" || symbol == \"603726.SH\") || symbol == \"688012.SH\")))) ? (((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") || ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") || symbol == \"002625.SZ\")) || (((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") || symbol == \"000988.SZ\") || ((symbol == \"002281.SZ\" || symbol == \"300205.SZ\") || symbol == \"002239.SZ\"))) ? ((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") || ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") || symbol == \"002625.SZ\")) ? (((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") ? ((symbol == \"688116.SH\" || symbol == \"603200.SH\") ? (symbol == \"688116.SH\" ? (0) : (1)) : (2)) : ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") ? (symbol == \"600732.SH\" ? (3) : (4)) : (5))) : (((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") || symbol == \"000988.SZ\") ? ((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") ? (symbol == \"300811.SZ\" ? (6) : (7)) : (8)) : ((symbol == \"002281.SZ\" || symbol == \"300205.SZ\") ? (symbol == \"002281.SZ\" ? (9) : (10)) : (11)))) : ((((symbol == \"600079.SH\" || symbol == \"600276.SH\") || symbol == \"600909.SH\") || ((symbol == \"002169.SZ\" || symbol == \"603156.SH\") || symbol == \"002654.SZ\")) ? (((symbol == \"600079.SH\" || symbol == \"600276.SH\") || symbol == \"600909.SH\") ? ((symbol == \"600079.SH\" || symbol == \"600276.SH\") ? (symbol == \"600079.SH\" ? (12) : (13)) : (14)) : ((symbol == \"002169.SZ\" || symbol == \"603156.SH\") ? (symbol == \"002169.SZ\" ? (15) : (16)) : (17))) : (((symbol == \"000999.SZ\" || symbol == \"601066.SH\") || symbol == \"603345.SH\") ? ((symbol == \"000999.SZ\" || symbol == \"601066.SH\") ? (symbol == \"000999.SZ\" ? (18) : (19)) : (20)) : ((symbol == \"000333.SZ\" || symbol == \"603726.SH\") ? (symbol == \"000333.SZ\" ? (21) : (22)) : (23))))) : 24, \"asc\")\n risk.index_exposure(max(0.0, 0.9000000000 - 0.0000 / max(total_equity, 1.0)))\n allocation.buy_scale((((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || symbol == \"300395.SZ\") || ((symbol == \"600732.SH\" || symbol == \"000063.SZ\") || symbol == \"002625.SZ\")) || (((symbol == \"300811.SZ\" || symbol == \"002851.SZ\") || symbol == \"000988.SZ\") || ((symbol == \"002281.SZ\" || symbol == \"300205.SZ\") || symbol == \"002239.SZ\"))) || ((((symbol == \"600079.SH\" || symbol == \"600276.SH\") || symbol == \"600909.SH\") || ((symbol == \"002169.SZ\" || symbol == \"603156.SH\") || symbol == \"002654.SZ\")) || (((symbol == \"000999.SZ\" || symbol == \"601066.SH\") || symbol == \"603345.SH\") || ((symbol == \"000333.SZ\" || symbol == \"603726.SH\") || symbol == \"688012.SH\")))) ? (((((symbol == \"688116.SH\" || symbol == \"603200.SH\") || (symbol == \"300395.SZ\" || symbol == \"600732.SH\")) || ((symbol == \"000063.SZ\" || symbol == \"002625.SZ\") || (symbol == \"300811.SZ\" || symbol == \"002851.SZ\"))) || (((symbol == \"000988.SZ\" || symbol == \"002281.SZ\") || (symbol == \"300205.SZ\" || symbol == \"002239.SZ\")) || ((symbol == \"600079.SH\" || symbol == \"600276.SH\") || (symbol == \"600909.SH\" || symbol == \"002169.SZ\")))) ? (1.0008000000) : (0.9984000000)) : 0.0)\n risk.stop_loss(holding_return <= -0.0800000000)\n risk.take_profit(holding_return >= 0.1600000000)\n risk.reference_price_mode(\"position_average_entry_price\")\n trading.daily_top_up(true)\n trading.daily_position_target_adjust(true)\n trading.target_portfolio_daily(true)\n trading.rebalance_existing_positions(true)\n trading.hold_until_exit(true)\n trading.retry_empty_rebalance(true)\n trading.release_slot_on_exit_signal(true)\n trading.redistribute_target_weights_after_exit(true)\n trading.reenter_exited_targets(true)\n execution.matching_type(\"current_bar_close\")\n}",
"strategyId": "许总_组合_backtest",
"universe": {
"exclude": [],
"implementationNotes": [
"ST、停牌、退市、新股、科创、一元、涨跌停、同日卖出禁买、成交量和费用由 riskPolicy / RiskLimits 统一执行",
"上市日期与退市日期取自 instrument 结构化字段，不再使用股票名称做 ST/退市判断",
"盘中 current_price / last_price 由策略交易时刻批量 tick 查询驱动"
],
"include": [
"688116.SH",
"603200.SH",
"300395.SZ",
"600732.SH",
"000063.SZ",
"002625.SZ",
"300811.SZ",
"002851.SZ",
"000988.SZ",
"002281.SZ",
"300205.SZ",
"002239.SZ",
"600079.SH",
"600276.SH",
"600909.SH",
"002169.SZ",
"603156.SH",
"002654.SZ",
"000999.SZ",
"601066.SH",
"603345.SH",
"000333.SZ",
"603726.SH",
"688012.SH"
]
},
"version": "1.0.0",
"stockPoolFactorContract": {
"schemaVersion": 1,
"entryLogic": "all",
"exitLogic": "any",
"conditions": [
{
"factorRef": "up_days_stock",
"label": "连涨天数",
"role": "selection",
"registryRole": "selection_feature",
"roleRegistrySha256": "1d0b307c168feda08d5fbe20f0e88964230553f8ceb2017b66aec48dbd5a5b57",
"roleEvidence": {
"role": "selection_feature",
"polarity": "trend_persistence_positive",
"signalShape": "state",
"holdingStates": [
"flat"
],
"requiredConfirmations": [],
"cooldownTradingDays": 0,
"windowTradingDays": 1,
"recommendedParameters": {
"inputUnit": "days",
"minimum": 0
}
},
"operator": ">=",
"threshold": 1,
"semantic": {
"ref": "up_days_stock",
"label": "连涨天数",
"status": "available",
"queryable": true,
"source": "strategy-factory-source-lake:indicator",
"schema": "strategy-factory.value-semantics/v1",
"valueType": "integer",
"semanticType": "count",
"comparisonGroup": "count",
"storageUnit": "days",
"inputUnit": "days",
"inputScale": 1.0,
"allowedOperators": [
">",
">=",
"<",
"<=",
"==",
"!=",
"between",
"in"
],
"nullable": true,
"declared": true,
"metadataStatus": "declared",
"semanticProvenance": "explicit_manifest",
"businessSemanticDeclared": true,
"minimum": 0,
"backtestBinding": {
"field": "ths_up_days_stock",
"sourceDataset": "indicators_up_days_stock"
},
"tradingRoles": [
{
"role": "selection_feature",
"polarity": "trend_persistence_positive",
"signalShape": "state",
"holdingStates": [
"flat"
],
"requiredConfirmations": [],
"cooldownTradingDays": 0,
"windowTradingDays": 1,
"recommendedParameters": {
"inputUnit": "days",
"minimum": 0
}
}
],
"tradingRoleTradable": true,
"tradingRoleEvidenceStatus": "source_lake_registered_indicator",
"tradingRoleRegistrySha256": "1d0b307c168feda08d5fbe20f0e88964230553f8ceb2017b66aec48dbd5a5b57"
}
}
]
}
}
}
Reference in New Issue View Git Blame Copy Permalink