修正回测推进并增强策略样例

crates/fidc-core/src/engine.rs

@@ -8,7 +8,7 @@ use crate::data::{BenchmarkSnapshot, DataSet, DataSetError, PriceField};
 use crate::events::{AccountEvent, FillEvent, OrderEvent, PositionEvent};
 use crate::portfolio::{HoldingSummary, PortfolioState};
 use crate::rules::EquityRuleHooks;
-use crate::strategy::{Strategy, StrategyContext, StrategyDecision};
+use crate::strategy::{Strategy, StrategyContext};
 
 #[derive(Debug, Error)]
 pub enum BacktestError {
@@ -30,6 +30,8 @@ pub enum BacktestError {
 pub struct BacktestConfig {
     pub initial_cash: f64,
     pub benchmark_code: String,
+    pub start_date: Option<NaiveDate>,
+    pub end_date: Option<NaiveDate>,
 }
 
 #[derive(Debug, Clone, Serialize)]
@@ -87,9 +89,25 @@ where
 {
     pub fn run(&mut self) -> Result<BacktestResult, BacktestError> {
         let mut portfolio = PortfolioState::new(self.config.initial_cash);
+        let execution_dates = self
+            .data
+            .calendar()
+            .iter()
+            .filter(|date| self.config.start_date.map(|start| *date >= start).unwrap_or(true))
+            .filter(|date| self.config.end_date.map(|end| *date <= end).unwrap_or(true))
+            .filter(|date| {
+                !self.data.factor_snapshots_on(*date).is_empty() && !self.data.candidate_snapshots_on(*date).is_empty()
+            })
+            .collect::<Vec<_>>();
         let mut result = BacktestResult {
             strategy_name: self.strategy.name().to_string(),
-            benchmark_series: self.data.benchmark_series(),
+            benchmark_series: self
+                .data
+                .benchmark_series()
+                .into_iter()
+                .filter(|row| self.config.start_date.map(|start| row.date >= start).unwrap_or(true))
+                .filter(|row| self.config.end_date.map(|end| row.date <= end).unwrap_or(true))
+                .collect(),
             order_events: Vec::new(),
             fills: Vec::new(),
             position_events: Vec::new(),
@@ -98,20 +116,21 @@ where
             holdings_summary: Vec::new(),
         };
 
-        for execution_date in self.data.calendar().iter() {
-            let decision = match self.data.calendar().previous_day(execution_date) {
-                Some(decision_date) => {
-                    let decision_index = self.data.calendar().index_of(decision_date).unwrap_or(0);
+        for (execution_idx, execution_date) in execution_dates.iter().copied().enumerate() {
+            let decision = execution_idx
+                .checked_sub(1)
+                .map(|decision_idx| {
+                    let decision_date = execution_dates[decision_idx];
                     self.strategy.on_day(&StrategyContext {
                         execution_date,
                         decision_date,
-                        decision_index,
+                        decision_index: decision_idx,
                         data: &self.data,
                         portfolio: &portfolio,
-                    })?
-                }
-                None => StrategyDecision::default(),
-            };
+                    })
+                })
+                .transpose()?
+                .unwrap_or_default();
 
             let report = self
                 .broker
@@ -140,7 +159,7 @@ where
             });
         }
 
-        if let Some(last_date) = self.data.calendar().days().last().copied() {
+        if let Some(last_date) = execution_dates.last().copied() {
             result.holdings_summary = portfolio.holdings_summary(last_date);
         }