修正回测推进并增强策略样例

crates/bt-demo/src/main.rs

@@ -3,6 +3,7 @@ use std::fs;
 use std::io::Write;
 use std::path::{Path, PathBuf};
 
+use chrono::NaiveDate;
 use fidc_core::{
     BacktestConfig,
     BacktestEngine,
@@ -17,6 +18,7 @@ use fidc_core::{
     FillEvent,
     HoldingSummary,
 };
+use serde_json::json;
 
 fn main() -> Result<(), Box<dyn Error>> {
     let root = workspace_root();
@@ -38,10 +40,19 @@ fn main() -> Result<(), Box<dyn Error>> {
     } else {
         DataSet::from_csv_dir(&data_dir)?
     };
-    let mut strategy_cfg = CnSmallCapRotationConfig::demo();
-    strategy_cfg.base_index_level = 3000.0;
-    strategy_cfg.base_cap_floor = 38.0;
-    strategy_cfg.cap_span = 25.0;
+    let mut strategy_cfg = std::env::var("FIDC_BT_STRATEGY")
+        .ok()
+        .as_deref()
+        .map(|value| match value {
+            "cn-dyn-smallcap-band" => CnSmallCapRotationConfig::cn_dyn_smallcap_band(),
+            _ => CnSmallCapRotationConfig::demo(),
+        })
+        .unwrap_or_else(CnSmallCapRotationConfig::demo);
+    if strategy_cfg.strategy_name == "cn-smallcap-rotation" {
+        strategy_cfg.base_index_level = 3000.0;
+        strategy_cfg.base_cap_floor = 38.0;
+        strategy_cfg.cap_span = 25.0;
+    }
     if let Ok(signal_symbol) = std::env::var("FIDC_BT_SIGNAL_SYMBOL") {
         if !signal_symbol.trim().is_empty() {
             strategy_cfg.signal_symbol = Some(signal_symbol);
@@ -49,9 +60,21 @@ fn main() -> Result<(), Box<dyn Error>> {
     }
     let strategy = CnSmallCapRotationStrategy::new(strategy_cfg);
     let broker = BrokerSimulator::new(ChinaAShareCostModel::default(), ChinaEquityRuleHooks::default());
+    let start_date = std::env::var("FIDC_BT_START_DATE")
+        .ok()
+        .filter(|value| !value.trim().is_empty())
+        .map(|value| NaiveDate::parse_from_str(value.trim(), "%Y-%m-%d"))
+        .transpose()?;
+    let end_date = std::env::var("FIDC_BT_END_DATE")
+        .ok()
+        .filter(|value| !value.trim().is_empty())
+        .map(|value| NaiveDate::parse_from_str(value.trim(), "%Y-%m-%d"))
+        .transpose()?;
     let config = BacktestConfig {
         initial_cash: 1_000_000.0,
         benchmark_code: data.benchmark_code().to_string(),
+        start_date,
+        end_date,
     };
 
     let mut engine = BacktestEngine::new(data, strategy, broker, config);
@@ -169,6 +192,10 @@ struct RunSummary {
     benchmark_code: Option<String>,
     benchmark_last_close: Option<f64>,
     output_dir: String,
+    diagnostics: serde_json::Value,
+    warnings: Vec<String>,
+    equity_preview: Vec<serde_json::Value>,
+    trades_preview: Vec<serde_json::Value>,
 }
 
 fn build_summary(
@@ -189,6 +216,44 @@ fn build_summary(
         (final_equity / start_equity) - 1.0
     };
 
+    let diagnostics = extract_diagnostics(equity_curve);
+    let warnings = build_warnings(fills, holdings, &diagnostics);
+    let equity_preview = equity_curve
+        .iter()
+        .rev()
+        .take(5)
+        .collect::<Vec<_>>()
+        .into_iter()
+        .rev()
+        .map(|row| json!({
+            "date": row.date.to_string(),
+            "cash": row.cash,
+            "marketValue": row.market_value,
+            "totalEquity": row.total_equity,
+            "benchmarkClose": row.benchmark_close,
+            "notes": row.notes,
+            "diagnostics": row.diagnostics,
+        }))
+        .collect::<Vec<_>>();
+    let trades_preview = fills
+        .iter()
+        .rev()
+        .take(10)
+        .collect::<Vec<_>>()
+        .into_iter()
+        .rev()
+        .map(|row| json!({
+            "date": row.date.to_string(),
+            "symbol": row.symbol,
+            "side": format!("{:?}", row.side),
+            "quantity": row.quantity,
+            "price": row.price,
+            "grossAmount": row.gross_amount,
+            "netCashFlow": row.net_cash_flow,
+            "reason": row.reason,
+        }))
+        .collect::<Vec<_>>();
+
     RunSummary {
         strategy: strategy_name.to_string(),
         start_date: first.map(|row| row.date.to_string()).unwrap_or_default(),
@@ -201,9 +266,81 @@ fn build_summary(
         benchmark_code: benchmark_last.map(|row| row.benchmark.clone()),
         benchmark_last_close: benchmark_last.map(|row| row.close),
         output_dir: output_dir.display().to_string(),
+        diagnostics,
+        warnings,
+        equity_preview,
+        trades_preview,
     }
 }
 
+fn extract_diagnostics(equity_curve: &[DailyEquityPoint]) -> serde_json::Value {
+    let last = equity_curve.last();
+    let text = last.map(|row| row.diagnostics.as_str()).unwrap_or("");
+    let notes = last.map(|row| row.notes.as_str()).unwrap_or("");
+    let mut map = serde_json::Map::new();
+    map.insert("latestText".to_string(), json!(text));
+    map.insert("latestNotes".to_string(), json!(notes));
+    map.insert("equityPointCount".to_string(), json!(equity_curve.len()));
+
+    for part in text.split(" | ") {
+        let part = part.trim();
+        if let Some(rest) = part.strip_prefix("selection_diag ") {
+            for token in rest.split_whitespace() {
+                if let Some((k, v)) = token.split_once('=') {
+                    map.insert(k.to_string(), parse_diag_value(v));
+                }
+            }
+        } else if let Some(rest) = part.strip_prefix("selection_band ") {
+            for token in rest.split_whitespace() {
+                if let Some((k, v)) = token.split_once('=') {
+                    map.insert(k.to_string(), parse_diag_value(v));
+                }
+            }
+        } else if let Some(rest) = part.strip_prefix("market_cap_missing likely blocks selection; sample=") {
+            map.insert("marketCapMissingSample".to_string(), json!(rest.split('|').filter(|s| !s.is_empty()).collect::<Vec<_>>()));
+        } else if let Some(rest) = part.strip_prefix("selection_rejections sample=") {
+            map.insert("selectionRejectionsSample".to_string(), json!(rest.split(" | ").filter(|s| !s.is_empty()).collect::<Vec<_>>()));
+        } else if let Some(rest) = part.strip_prefix("ma_filter_rejections sample=") {
+            map.insert("maFilterRejectionsSample".to_string(), json!(rest.split('|').filter(|s| !s.is_empty()).collect::<Vec<_>>()));
+        } else if let Some(rest) = part.strip_prefix("selected=") {
+            map.insert("selectedLine".to_string(), json!(rest));
+        }
+    }
+
+    serde_json::Value::Object(map)
+}
+
+fn parse_diag_value(value: &str) -> serde_json::Value {
+    if let Ok(v) = value.parse::<i64>() {
+        return json!(v);
+    }
+    if let Ok(v) = value.parse::<f64>() {
+        return json!(v);
+    }
+    json!(value)
+}
+
+fn build_warnings(
+    fills: &[FillEvent],
+    holdings: &[HoldingSummary],
+    diagnostics: &serde_json::Value,
+) -> Vec<String> {
+    let mut warnings = Vec::new();
+    if fills.is_empty() {
+        warnings.push("本次回测没有产生任何成交。".to_string());
+    }
+    if holdings.is_empty() {
+        warnings.push("期末没有持仓。".to_string());
+    }
+    if diagnostics.get("selected_after_ma").and_then(|v| v.as_i64()).unwrap_or(0) == 0 {
+        warnings.push("最终没有股票通过完整选股链路，结果为空时请优先查看 diagnostics。".to_string());
+    }
+    if diagnostics.get("market_cap_missing_count").and_then(|v| v.as_i64()).unwrap_or(0) > 0 {
+        warnings.push("存在 market_cap 缺失或非正值，当前会直接阻断该股票进入候选池。".to_string());
+    }
+    warnings
+}
+
 fn print_summary(summary: &RunSummary, equity_curve: &[DailyEquityPoint], holdings: &[HoldingSummary]) {
     if equity_curve.is_empty() {
         println!("No equity curve points generated.");