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实现市值区间padding机制

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- 添加padding_ratio、min_padding、max_padding配置参数
- 在市值区间计算中应用padding扩大选股范围
- 更新OmniMicroCapConfig、CnSmallCapRotationConfig和DynamicMarketCapBandSelector
- AiQuant V1.0.4默认padding: ratio=0.5, min=12.5, max=30.0
- 目标：增加候选股票数量，匹配AiQuant行为
This commit is contained in:
boris
2026-05-11 20:38:12 +08:00
parent bbe60537ff
commit 1a402f2048
3 changed files with 64 additions and 3 deletions
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34
crates/fidc-core/src/strategy.rs
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@@ -1090,6 +1090,9 @@ pub struct CnSmallCapRotationConfig {
pub base_index_level: f64,
pub base_cap_floor: f64,
pub cap_span: f64,
pub padding_ratio: f64,
pub min_padding: f64,
pub max_padding: f64,
pub short_ma_days: usize,
pub long_ma_days: usize,
pub stock_short_ma_days: usize,
@@ -1114,6 +1117,9 @@ impl CnSmallCapRotationConfig {
base_index_level: 2000.0,
base_cap_floor: 7.0,
cap_span: 10.0,
padding_ratio: 0.5,
min_padding: 8.0,
max_padding: 20.0,
short_ma_days: 3,
long_ma_days: 5,
stock_short_ma_days: 3,
@@ -1138,6 +1144,9 @@ impl CnSmallCapRotationConfig {
base_index_level: 2000.0,
base_cap_floor: 7.0,
cap_span: 10.0,
padding_ratio: 0.5,
min_padding: 8.0,
max_padding: 20.0,
short_ma_days: 5,
long_ma_days: 10,
stock_short_ma_days: 5,
@@ -1185,6 +1194,9 @@ impl CnSmallCapRotationStrategy {
config.cap_span,
config.xs,
config.stocknum,
config.padding_ratio,
config.min_padding,
config.max_padding,
),
config,
last_gross_exposure: None,
@@ -1508,6 +1520,9 @@ pub struct OmniMicroCapConfig {
pub base_index_level: f64,
pub base_cap_floor: f64,
pub cap_span: f64,
pub padding_ratio: f64,
pub min_padding: f64,
pub max_padding: f64,
pub benchmark_signal_symbol: String,
pub benchmark_short_ma_days: usize,
pub benchmark_long_ma_days: usize,
@@ -1531,6 +1546,9 @@ impl OmniMicroCapConfig {
base_index_level: 2000.0,
base_cap_floor: 7.0,
cap_span: 10.0,
padding_ratio: 0.5,
min_padding: 8.0,
max_padding: 20.0,
benchmark_signal_symbol: "000001.SH".to_string(),
benchmark_short_ma_days: 5,
benchmark_long_ma_days: 10,
@@ -1556,6 +1574,9 @@ impl OmniMicroCapConfig {
base_index_level: 2000.0,
base_cap_floor: 7.0,
cap_span: 25.0,
padding_ratio: 0.5,
min_padding: 12.5,
max_padding: 30.0,
benchmark_signal_symbol: "000852.SH".to_string(),
benchmark_short_ma_days: 5,
benchmark_long_ma_days: 20,
@@ -2167,7 +2188,18 @@ impl OmniMicroCapStrategy {
let y = (index_level - self.config.base_index_level) * self.config.xs
+ self.config.base_cap_floor;
let start = y.round();
(start, start + self.config.cap_span)
let end = start + self.config.cap_span;
// Apply padding to expand the range
let span = end - start;
let padding = (span * self.config.padding_ratio)
.max(self.config.min_padding)
.min(self.config.max_padding);
let lower_bound = (start - padding).max(0.0);
let upper_bound = end + padding;
(lower_bound, upper_bound)
}
fn stock_passes_ma_filter(