boris
669 lines
15 KiB
Rust
669 lines
15 KiB
Rust
use chrono::NaiveDate;
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use fidc_core::{
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BenchmarkSnapshot, CandidateEligibility, CnSmallCapRotationConfig, CnSmallCapRotationStrategy,
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DailyFactorSnapshot, DailyMarketSnapshot, DataSet, Instrument, OmniMicroCapConfig,
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OmniMicroCapStrategy, PortfolioState, Strategy, StrategyContext,
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};
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use std::collections::BTreeSet;
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fn d(value: &str) -> NaiveDate {
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NaiveDate::parse_from_str(value, "%Y-%m-%d").unwrap()
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}
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fn instrument(symbol: &str, name: &str) -> Instrument {
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Instrument {
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symbol: symbol.to_string(),
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name: name.to_string(),
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board: "Main".to_string(),
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round_lot: 100,
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listed_at: None,
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delisted_at: None,
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status: "active".to_string(),
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}
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}
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fn market(
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date: &str,
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symbol: &str,
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open: f64,
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high: f64,
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low: f64,
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close: f64,
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prev_close: f64,
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volume: u64,
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paused: bool,
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) -> DailyMarketSnapshot {
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DailyMarketSnapshot {
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date: d(date),
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symbol: symbol.to_string(),
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timestamp: None,
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day_open: open,
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open,
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high,
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low,
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close,
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last_price: close,
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bid1: close,
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ask1: close,
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prev_close,
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volume,
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minute_volume: 0,
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bid1_volume: 0,
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ask1_volume: 0,
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trading_phase: None,
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paused,
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upper_limit: (prev_close * 1.10 * 100.0).round() / 100.0,
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lower_limit: (prev_close * 0.90 * 100.0).round() / 100.0,
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price_tick: 0.01,
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}
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}
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fn factor(
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date: &str,
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symbol: &str,
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market_cap_bn: f64,
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free_float_cap_bn: f64,
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) -> DailyFactorSnapshot {
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DailyFactorSnapshot {
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date: d(date),
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symbol: symbol.to_string(),
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market_cap_bn,
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free_float_cap_bn,
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pe_ttm: 18.0,
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turnover_ratio: None,
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effective_turnover_ratio: None,
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extra_factors: Default::default(),
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}
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}
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fn candidate(
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date: &str,
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symbol: &str,
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is_new_listing: bool,
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is_paused: bool,
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allow_buy: bool,
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allow_sell: bool,
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) -> CandidateEligibility {
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CandidateEligibility {
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date: d(date),
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symbol: symbol.to_string(),
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is_st: false,
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is_star_st: false,
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is_new_listing,
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is_paused,
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allow_buy,
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allow_sell,
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is_kcb: false,
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is_one_yuan: false,
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risk_level_code: None,
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}
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}
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fn benchmark(date: &str, open: f64, close: f64, prev_close: f64, volume: u64) -> BenchmarkSnapshot {
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BenchmarkSnapshot {
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date: d(date),
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benchmark: "CSI300.DEMO".to_string(),
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open,
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close,
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prev_close,
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volume,
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}
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}
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fn strategy_test_dataset() -> DataSet {
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let dates = [
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"2024-01-02",
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"2024-01-03",
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"2024-01-04",
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"2024-01-05",
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"2024-01-08",
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"2024-01-09",
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"2024-01-10",
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"2024-01-11",
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"2024-01-12",
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];
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let instruments = vec![
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instrument("000001.SZ", "Alpha Components"),
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instrument("000002.SZ", "Beta Precision"),
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instrument("000003.SZ", "Charlie Materials"),
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instrument("600001.SH", "Delta Industrials"),
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];
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let market = vec![
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market(
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"2024-01-02",
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"000001.SZ",
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10.0,
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10.2,
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9.9,
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10.1,
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9.8,
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1_200_000,
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false,
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),
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market(
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"2024-01-02",
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"000002.SZ",
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11.0,
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11.3,
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10.9,
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11.2,
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10.8,
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1_100_000,
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false,
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),
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market(
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"2024-01-02",
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"000003.SZ",
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8.0,
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8.1,
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7.8,
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7.9,
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8.0,
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900_000,
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false,
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),
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market(
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"2024-01-02",
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"600001.SH",
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15.0,
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15.2,
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14.9,
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15.1,
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15.0,
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800_000,
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false,
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),
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market(
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"2024-01-03",
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"000001.SZ",
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10.2,
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10.5,
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10.1,
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10.4,
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10.1,
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1_250_000,
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false,
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),
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market(
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"2024-01-03",
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"000002.SZ",
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11.2,
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11.6,
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11.1,
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11.5,
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11.2,
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1_120_000,
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false,
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),
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market(
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"2024-01-03",
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"000003.SZ",
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7.8,
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7.9,
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7.3,
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7.4,
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7.9,
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930_000,
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false,
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),
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market(
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"2024-01-03",
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"600001.SH",
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15.1,
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15.3,
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15.0,
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15.2,
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15.1,
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820_000,
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false,
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),
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market(
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"2024-01-04",
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"000001.SZ",
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10.5,
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10.8,
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10.4,
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10.7,
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10.4,
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1_280_000,
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false,
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),
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market(
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"2024-01-04",
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"000002.SZ",
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11.4,
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11.9,
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11.3,
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11.8,
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11.5,
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1_150_000,
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false,
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),
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market(
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"2024-01-04",
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"000003.SZ",
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7.3,
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7.4,
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7.0,
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7.1,
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7.4,
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940_000,
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false,
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),
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market(
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"2024-01-04",
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"600001.SH",
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15.2,
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15.5,
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15.1,
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15.4,
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15.2,
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830_000,
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false,
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),
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market(
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"2024-01-05",
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"000001.SZ",
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10.8,
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11.1,
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10.7,
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11.0,
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10.7,
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1_300_000,
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false,
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),
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market(
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"2024-01-05",
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"000002.SZ",
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11.9,
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12.1,
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11.8,
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12.0,
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11.8,
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1_180_000,
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false,
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),
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market(
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"2024-01-05",
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"000003.SZ",
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7.0,
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7.1,
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6.8,
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6.9,
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7.1,
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950_000,
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false,
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),
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market(
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"2024-01-05",
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"600001.SH",
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15.4,
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15.6,
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15.3,
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15.5,
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15.4,
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840_000,
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false,
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),
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market(
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"2024-01-08",
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"000001.SZ",
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11.1,
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11.6,
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11.0,
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11.5,
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11.0,
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1_400_000,
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false,
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),
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market(
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"2024-01-08",
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"000002.SZ",
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12.1,
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12.5,
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12.0,
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12.4,
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12.0,
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1_200_000,
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false,
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),
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market(
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"2024-01-08",
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"000003.SZ",
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7.0,
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7.3,
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6.9,
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7.2,
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6.9,
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980_000,
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false,
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),
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market(
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"2024-01-08",
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"600001.SH",
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15.5,
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15.7,
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15.4,
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15.6,
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15.5,
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850_000,
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false,
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),
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market(
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"2024-01-09",
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"000001.SZ",
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11.6,
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12.4,
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11.5,
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12.3,
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11.5,
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1_500_000,
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false,
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),
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market(
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"2024-01-09",
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"000002.SZ",
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12.5,
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12.9,
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12.4,
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12.8,
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12.4,
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1_250_000,
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false,
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),
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market(
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"2024-01-09",
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"000003.SZ",
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7.2,
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7.5,
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7.1,
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7.4,
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7.2,
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990_000,
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false,
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),
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market(
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"2024-01-09",
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"600001.SH",
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15.6,
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15.7,
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15.4,
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15.5,
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15.6,
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860_000,
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false,
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),
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market(
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"2024-01-10",
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"000001.SZ",
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12.2,
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12.3,
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11.9,
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12.0,
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12.3,
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1_450_000,
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false,
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),
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market(
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"2024-01-10",
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"000002.SZ",
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12.7,
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12.8,
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12.5,
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12.6,
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12.8,
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1_220_000,
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false,
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),
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market(
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"2024-01-10",
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"000003.SZ",
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7.5,
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7.6,
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7.4,
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7.5,
|
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7.4,
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1_000_000,
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false,
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),
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market(
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"2024-01-10",
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"600001.SH",
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15.4,
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15.5,
|
|
15.1,
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15.2,
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15.5,
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870_000,
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false,
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),
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market(
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"2024-01-11",
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"000001.SZ",
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12.0,
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12.1,
|
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11.5,
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11.6,
|
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12.0,
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1_420_000,
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false,
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),
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market(
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"2024-01-11",
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"000002.SZ",
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12.5,
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12.6,
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12.1,
|
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12.2,
|
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12.6,
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1_210_000,
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false,
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),
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market(
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"2024-01-11",
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"000003.SZ",
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7.4,
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7.5,
|
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7.2,
|
|
7.3,
|
|
7.5,
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|
980_000,
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false,
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),
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market(
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"2024-01-11",
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"600001.SH",
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15.2,
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15.2,
|
|
15.2,
|
|
15.2,
|
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15.2,
|
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0,
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true,
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),
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market(
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"2024-01-12",
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"000001.SZ",
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11.5,
|
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11.6,
|
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11.1,
|
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11.2,
|
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11.6,
|
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1_380_000,
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false,
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),
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market(
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"2024-01-12",
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"000002.SZ",
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12.1,
|
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12.2,
|
|
11.8,
|
|
11.9,
|
|
12.2,
|
|
1_190_000,
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false,
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),
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market(
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"2024-01-12",
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"000003.SZ",
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7.2,
|
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7.2,
|
|
6.9,
|
|
7.0,
|
|
7.3,
|
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960_000,
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false,
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),
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market(
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"2024-01-12",
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"600001.SH",
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14.8,
|
|
15.0,
|
|
14.7,
|
|
14.9,
|
|
15.2,
|
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850_000,
|
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false,
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),
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];
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let factors = dates
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.iter()
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.enumerate()
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.flat_map(|(idx, date)| {
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let i = idx as f64;
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[
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factor(date, "000001.SZ", 38.0 + i, 24.0 + i * 0.5),
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factor(date, "000002.SZ", 45.0 + i, 30.0 + i * 0.5),
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factor(date, "000003.SZ", 65.0 - i, 40.0 - i * 0.5),
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factor(date, "600001.SH", 85.0 + i, 55.0 + i * 0.5),
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]
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})
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.collect::<Vec<_>>();
|
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let candidates = dates
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.iter()
|
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.flat_map(|date| {
|
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let first_two = *date == "2024-01-02" || *date == "2024-01-03";
|
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let paused_600001 = *date == "2024-01-11";
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[
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candidate(date, "000001.SZ", first_two, false, !first_two, true),
|
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candidate(date, "000002.SZ", false, false, true, true),
|
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candidate(date, "000003.SZ", false, false, true, true),
|
|
candidate(
|
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date,
|
|
"600001.SH",
|
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false,
|
|
paused_600001,
|
|
!paused_600001,
|
|
!paused_600001,
|
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),
|
|
]
|
|
})
|
|
.collect::<Vec<_>>();
|
|
let benchmarks = vec![
|
|
benchmark("2024-01-02", 2990.0, 3000.0, 2980.0, 100_000_000),
|
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benchmark("2024-01-03", 3005.0, 3020.0, 3000.0, 102_000_000),
|
|
benchmark("2024-01-04", 3025.0, 3050.0, 3020.0, 105_000_000),
|
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benchmark("2024-01-05", 3055.0, 3080.0, 3050.0, 108_000_000),
|
|
benchmark("2024-01-08", 3085.0, 3110.0, 3080.0, 109_000_000),
|
|
benchmark("2024-01-09", 3100.0, 3090.0, 3110.0, 107_000_000),
|
|
benchmark("2024-01-10", 3080.0, 3040.0, 3090.0, 111_000_000),
|
|
benchmark("2024-01-11", 3030.0, 2990.0, 3040.0, 115_000_000),
|
|
benchmark("2024-01-12", 2980.0, 2950.0, 2990.0, 118_000_000),
|
|
];
|
|
DataSet::from_components(instruments, market, factors, candidates, benchmarks)
|
|
.expect("strategy test dataset")
|
|
}
|
|
|
|
#[test]
|
|
fn strategy_emits_target_weights_and_diagnostics() {
|
|
let data = strategy_test_dataset();
|
|
let decision_date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
|
|
let execution_date = NaiveDate::from_ymd_opt(2024, 1, 11).unwrap();
|
|
let portfolio = PortfolioState::new(1_000_000.0);
|
|
let mut cfg = CnSmallCapRotationConfig::cn_dyn_smallcap_band();
|
|
cfg.signal_symbol = Some("000001.SZ".to_string());
|
|
cfg.short_ma_days = 3;
|
|
cfg.long_ma_days = 5;
|
|
let mut strategy = CnSmallCapRotationStrategy::new(cfg);
|
|
let subscriptions = BTreeSet::new();
|
|
|
|
let decision = strategy
|
|
.on_day(&StrategyContext {
|
|
execution_date,
|
|
decision_date,
|
|
decision_index: 0,
|
|
data: &data,
|
|
portfolio: &portfolio,
|
|
futures_account: None,
|
|
open_orders: &[],
|
|
dynamic_universe: None,
|
|
subscriptions: &subscriptions,
|
|
process_events: &[],
|
|
active_process_event: None,
|
|
active_datetime: None,
|
|
order_events: &[],
|
|
fills: &[],
|
|
})
|
|
.expect("decision");
|
|
|
|
assert!(decision.rebalance);
|
|
assert!(decision.rebalance);
|
|
assert!(!decision.diagnostics.is_empty());
|
|
assert!(
|
|
decision
|
|
.diagnostics
|
|
.iter()
|
|
.any(|line| line.contains("signal_symbol="))
|
|
);
|
|
assert_eq!(strategy.name(), "cn-dyn-smallcap-band");
|
|
}
|
|
|
|
#[test]
|
|
fn omni_strategy_emits_same_day_decision() {
|
|
let data = strategy_test_dataset();
|
|
let execution_date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
|
|
let portfolio = PortfolioState::new(1_000_000.0);
|
|
let mut cfg = OmniMicroCapConfig::omni_microcap();
|
|
cfg.benchmark_signal_symbol = "000001.SZ".to_string();
|
|
cfg.benchmark_short_ma_days = 3;
|
|
cfg.benchmark_long_ma_days = 5;
|
|
cfg.stock_short_ma_days = 3;
|
|
cfg.stock_mid_ma_days = 4;
|
|
cfg.stock_long_ma_days = 5;
|
|
let mut strategy = OmniMicroCapStrategy::new(cfg);
|
|
let subscriptions = BTreeSet::new();
|
|
|
|
let decision = strategy
|
|
.on_day(&StrategyContext {
|
|
execution_date,
|
|
decision_date: execution_date,
|
|
decision_index: 0,
|
|
data: &data,
|
|
portfolio: &portfolio,
|
|
futures_account: None,
|
|
open_orders: &[],
|
|
dynamic_universe: None,
|
|
subscriptions: &subscriptions,
|
|
process_events: &[],
|
|
active_process_event: None,
|
|
active_datetime: None,
|
|
order_events: &[],
|
|
fills: &[],
|
|
})
|
|
.expect("omni decision");
|
|
|
|
assert!(!decision.rebalance);
|
|
assert!(
|
|
decision
|
|
.diagnostics
|
|
.iter()
|
|
.any(|line| line.contains("omni_microcap signal="))
|
|
);
|
|
assert!(
|
|
decision
|
|
.diagnostics
|
|
.iter()
|
|
.any(|line| line.contains("selected="))
|
|
);
|
|
}
|