修正回测推进并增强策略样例

Cargo.lock

@@ -21,6 +21,7 @@ checksum = "c08606f8c3cbf4ce6ec8e28fb0014a2c086708fe954eaa885384a6165172e7e8"
 name = "bt-demo"
 version = "0.1.0"
 dependencies = [
+ "chrono",
  "fidc-core",
  "serde",
  "serde_json",

crates/bt-demo/Cargo.toml

@@ -6,6 +6,7 @@ license.workspace = true
 authors.workspace = true
 
 [dependencies]
+chrono = { workspace = true }
 fidc-core = { path = "../fidc-core" }
 serde = { workspace = true }
 serde_json = "1"

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();
+    let mut strategy_cfg = std::env::var("FIDC_BT_STRATEGY")
-    strategy_cfg.base_index_level = 3000.0;
+        .ok()
-    strategy_cfg.base_cap_floor = 38.0;
+        .as_deref()
-    strategy_cfg.cap_span = 25.0;
+        .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.");

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() {
+        for (execution_idx, execution_date) in execution_dates.iter().copied().enumerate() {
-            let decision = match self.data.calendar().previous_day(execution_date) {
+            let decision = execution_idx
-                Some(decision_date) => {
+                .checked_sub(1)
-                    let decision_index = self.data.calendar().index_of(decision_date).unwrap_or(0);
+                .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);
         }
 

crates/fidc-core/src/lib.rs

@@ -46,6 +46,7 @@ pub use universe::{
     BandRegime,
     DynamicMarketCapBandSelector,
     SelectionContext,
+    SelectionDiagnostics,
     UniverseCandidate,
     UniverseSelector,
 };

crates/fidc-core/src/strategy.rs

@@ -1,6 +1,6 @@
 use std::collections::{BTreeMap, BTreeSet};
 
-use chrono::NaiveDate;
+use chrono::{Datelike, NaiveDate};
 
 use crate::data::{DataSet, PriceField};
 use crate::engine::BacktestError;
@@ -31,6 +31,7 @@ pub struct StrategyDecision {
 
 #[derive(Debug, Clone)]
 pub struct CnSmallCapRotationConfig {
+    pub strategy_name: &'static str,
     pub refresh_rate: usize,
     pub stocknum: usize,
     pub xs: f64,
@@ -39,16 +40,22 @@ pub struct CnSmallCapRotationConfig {
     pub cap_span: f64,
     pub short_ma_days: usize,
     pub long_ma_days: usize,
+    pub stock_short_ma_days: usize,
+    pub stock_mid_ma_days: usize,
+    pub stock_long_ma_days: usize,
     pub rsi_rate: f64,
     pub trade_rate: f64,
     pub stop_loss_pct: f64,
     pub take_profit_pct: f64,
     pub signal_symbol: Option<String>,
+    pub skip_months: Vec<u32>,
+    pub skip_month_day_ranges: Vec<(u32, u32, u32)>,
 }
 
 impl CnSmallCapRotationConfig {
     pub fn demo() -> Self {
         Self {
+            strategy_name: "cn-smallcap-rotation",
             refresh_rate: 3,
             stocknum: 2,
             xs: 4.0 / 500.0,
@@ -57,13 +64,52 @@ impl CnSmallCapRotationConfig {
             cap_span: 10.0,
             short_ma_days: 3,
             long_ma_days: 5,
+            stock_short_ma_days: 3,
+            stock_mid_ma_days: 5,
+            stock_long_ma_days: 8,
             rsi_rate: 1.0001,
             trade_rate: 0.5,
             stop_loss_pct: 0.08,
             take_profit_pct: 0.10,
             signal_symbol: None,
+            skip_months: Vec::new(),
+            skip_month_day_ranges: Vec::new(),
         }
     }
+
+    pub fn cn_dyn_smallcap_band() -> Self {
+        Self {
+            strategy_name: "cn-dyn-smallcap-band",
+            refresh_rate: 15,
+            stocknum: 40,
+            xs: 4.0 / 500.0,
+            base_index_level: 2000.0,
+            base_cap_floor: 7.0,
+            cap_span: 10.0,
+            short_ma_days: 5,
+            long_ma_days: 10,
+            stock_short_ma_days: 5,
+            stock_mid_ma_days: 10,
+            stock_long_ma_days: 20,
+            rsi_rate: 1.0001,
+            trade_rate: 0.5,
+            stop_loss_pct: 0.07,
+            take_profit_pct: 0.07,
+            signal_symbol: Some("000852.SH".to_string()),
+            skip_months: vec![],
+            skip_month_day_ranges: vec![(4, 5, 30)],
+        }
+    }
+
+    fn in_skip_window(&self, date: NaiveDate) -> bool {
+        let month = date.month();
+        let day = date.day();
+        self.skip_months.contains(&month)
+            || self
+                .skip_month_day_ranges
+                .iter()
+                .any(|(m, start_day, end_day)| month == *m && day >= *start_day && day <= *end_day)
+    }
 }
 
 pub struct CnSmallCapRotationStrategy {
@@ -116,6 +162,51 @@ impl CnSmallCapRotationStrategy {
         }
     }
 
+    fn resolve_signal_series(
+        &self,
+        ctx: &StrategyContext<'_>,
+    ) -> Result<(String, Vec<f64>, f64), BacktestError> {
+        let symbol = self
+            .config
+            .signal_symbol
+            .as_deref()
+            .ok_or_else(|| BacktestError::Execution(
+                "cn-dyn-smallcap-band requires a real signal_symbol; degraded fallback disabled"
+                    .to_string(),
+            ))?;
+        let closes = ctx
+            .data
+            .market_closes_up_to(ctx.decision_date, symbol, self.config.long_ma_days);
+        if closes.len() < self.config.long_ma_days {
+            return Err(BacktestError::Execution(format!(
+                "real signal series missing or insufficient for {} on/before {}; degraded fallback disabled",
+                symbol, ctx.decision_date
+            )));
+        }
+        let close = ctx
+            .data
+            .price(ctx.decision_date, symbol, PriceField::Close)
+            .ok_or_else(|| BacktestError::MissingPrice {
+                date: ctx.decision_date,
+                symbol: symbol.to_string(),
+                field: "close",
+            })?;
+        Ok((symbol.to_string(), closes, close))
+    }
+
+    fn stock_passes_ma_filter(&self, ctx: &StrategyContext<'_>, symbol: &str) -> bool {
+        let closes = ctx
+            .data
+            .market_closes_up_to(ctx.decision_date, symbol, self.config.stock_long_ma_days);
+        if closes.len() < self.config.stock_long_ma_days {
+            return false;
+        }
+        let ma_short = Self::moving_average(&closes, self.config.stock_short_ma_days);
+        let ma_mid = Self::moving_average(&closes, self.config.stock_mid_ma_days);
+        let ma_long = Self::moving_average(&closes, self.config.stock_long_ma_days);
+        ma_short > ma_mid * self.config.rsi_rate && ma_mid > ma_long
+    }
+
     fn stop_exit_symbols(&self, ctx: &StrategyContext<'_>) -> Result<BTreeSet<String>, BacktestError> {
         let mut exits = BTreeSet::new();
         for position in ctx.portfolio.positions().values() {
@@ -149,7 +240,7 @@ impl CnSmallCapRotationStrategy {
 
 impl Strategy for CnSmallCapRotationStrategy {
     fn name(&self) -> &'static str {
-        "cn-smallcap-rotation"
+        self.config.strategy_name
     }
 
     fn on_day(&mut self, ctx: &StrategyContext<'_>) -> Result<StrategyDecision, BacktestError> {
@@ -159,19 +250,22 @@ impl Strategy for CnSmallCapRotationStrategy {
             .ok_or(BacktestError::MissingBenchmark {
                 date: ctx.decision_date,
             })?;
-        let signal_symbol = self.config.signal_symbol.as_deref();
+
-        let signal_closes = if let Some(symbol) = signal_symbol {
+        if self.config.in_skip_window(ctx.execution_date) {
-            ctx.data.market_closes_up_to(ctx.decision_date, symbol, self.config.long_ma_days)
+            self.last_gross_exposure = Some(0.0);
-        } else {
+            return Ok(StrategyDecision {
-            ctx.data.benchmark_closes_up_to(ctx.decision_date, self.config.long_ma_days)
+                rebalance: true,
-        };
+                target_weights: BTreeMap::new(),
-        let signal_level = if let Some(symbol) = signal_symbol {
+                exit_symbols: ctx.portfolio.positions().keys().cloned().collect(),
-            ctx.data
+                notes: vec![format!("skip-window active on {}", ctx.execution_date)],
-                .price(ctx.decision_date, symbol, PriceField::Close)
+                diagnostics: vec![
-                .unwrap_or(benchmark.close)
+                    "seasonal stop window approximated at daily granularity".to_string(),
-        } else {
+                    "run_daily(10:17/10:18) mapped to T-1 decision and T open execution".to_string(),
-            benchmark.close
+                ],
-        };
+            });
+        }
+
+        let (resolved_signal_symbol, signal_closes, signal_level) = self.resolve_signal_series(ctx)?;
         let gross_exposure = self.gross_exposure(&signal_closes);
         let periodic_rebalance = ctx.decision_index % self.config.refresh_rate == 0;
         let exposure_changed = self
@@ -187,23 +281,78 @@ impl Strategy for CnSmallCapRotationStrategy {
             ctx.decision_date, ctx.execution_date, gross_exposure
         )];
         let mut diagnostics = vec![format!(
-            "benchmark_close={:.2} signal_level={:.2} signal_symbol={} refresh_rate={} stocknum={} short_ma_days={} long_ma_days={}",
+            "benchmark_close={:.2} signal_level={:.2} signal_symbol={} refresh_rate={} stocknum={} short_ma_days={} long_ma_days={} stock_ma={}/{}/{} stop=0.93 take=1.07",
             benchmark.close,
             signal_level,
-            signal_symbol.unwrap_or(benchmark.benchmark.as_str()),
+            resolved_signal_symbol.as_str(),
             self.config.refresh_rate,
             self.config.stocknum,
             self.config.short_ma_days,
             self.config.long_ma_days,
+            self.config.stock_short_ma_days,
+            self.config.stock_mid_ma_days,
+            self.config.stock_long_ma_days,
         )];
+        diagnostics.push("run_daily(10:17/10:18) approximated by daily decision/open execution".to_string());
+        diagnostics.push("market_cap field mapped from daily_features[_enriched]_v1.market_cap to market_cap_bn without intraday fundamentals refresh".to_string());
 
         if rebalance && gross_exposure > 0.0 {
-            let selected = self.selector.select(&SelectionContext {
+            let (selected_before_ma, selection_diag) = self.selector.select_with_diagnostics(&SelectionContext {
                 decision_date: ctx.decision_date,
                 benchmark,
                 reference_level: signal_level,
                 data: ctx.data,
             });
+            let before_ma_count = selected_before_ma.len();
+            let mut ma_rejects = Vec::new();
+            let selected = selected_before_ma
+                .into_iter()
+                .filter(|candidate| {
+                    let passed = self.stock_passes_ma_filter(ctx, &candidate.symbol);
+                    if !passed && ma_rejects.len() < 8 {
+                        ma_rejects.push(candidate.symbol.clone());
+                    }
+                    passed
+                })
+                .collect::<Vec<_>>();
+            let after_ma_count = selected.len();
+
+            diagnostics.push(format!(
+                "selection_diag factor_total={} candidate_pass={} selected_before_limit={} selected_after_limit={} out_of_band={} not_eligible={} paused={} candidate_missing={} market_missing={} market_cap_missing={}",
+                selection_diag.factor_total,
+                selection_diag.selected_before_limit,
+                selection_diag.selected_before_limit,
+                selection_diag.selected_after_limit,
+                selection_diag.out_of_band_count,
+                selection_diag.not_eligible_count,
+                selection_diag.paused_count,
+                selection_diag.candidate_missing_count,
+                selection_diag.market_missing_count,
+                selection_diag.market_cap_missing_count,
+            ));
+            diagnostics.push(format!(
+                "selection_band reference_level={:.2} cap_band={:.2}-{:.2} selected_after_ma={} filtered_by_ma={}",
+                selection_diag.reference_level,
+                selection_diag.band_low,
+                selection_diag.band_high,
+                after_ma_count,
+                before_ma_count.saturating_sub(after_ma_count),
+            ));
+            if selection_diag.market_cap_missing_count > 0 {
+                diagnostics.push(format!(
+                    "market_cap_missing likely blocks selection; sample={}",
+                    selection_diag.missing_market_cap_symbols.join("|")
+                ));
+            }
+            if !selection_diag.rejection_examples.is_empty() {
+                diagnostics.push(format!(
+                    "selection_rejections sample={}",
+                    selection_diag.rejection_examples.join(" | ")
+                ));
+            }
+            if !ma_rejects.is_empty() {
+                diagnostics.push(format!("ma_filter_rejections sample={}", ma_rejects.join("|")));
+            }
 
             if !selected.is_empty() {
                 let per_name_weight = gross_exposure / selected.len() as f64;
@@ -222,6 +371,9 @@ impl Strategy for CnSmallCapRotationStrategy {
                         .collect::<Vec<_>>()
                         .join("|")
                 ));
+            } else {
+                diagnostics.push("selected=0 no names survived full pipeline".to_string());
+                notes.push("no selection after filters; see diagnostics".to_string());
             }
 
             notes.push(format!("rebalance names={}", target_weights.len()));

crates/fidc-core/src/universe.rs

@@ -1,4 +1,5 @@
 use chrono::NaiveDate;
+use serde::Serialize;
 
 use crate::data::{BenchmarkSnapshot, DataSet};
 
@@ -9,7 +10,7 @@ pub enum BandRegime {
     Defensive,
 }
 
-#[derive(Debug, Clone)]
+#[derive(Debug, Clone, Serialize)]
 pub struct UniverseCandidate {
     pub symbol: String,
     pub market_cap_bn: f64,
@@ -18,6 +19,26 @@ pub struct UniverseCandidate {
     pub band_high: f64,
 }
 
+#[derive(Debug, Clone, Serialize)]
+pub struct SelectionDiagnostics {
+    pub decision_date: NaiveDate,
+    pub reference_level: f64,
+    pub band_low: f64,
+    pub band_high: f64,
+    pub factor_total: usize,
+    pub market_cap_missing_count: usize,
+    pub candidate_missing_count: usize,
+    pub market_missing_count: usize,
+    pub not_eligible_count: usize,
+    pub paused_count: usize,
+    pub out_of_band_count: usize,
+    pub selected_before_limit: usize,
+    pub selected_after_limit: usize,
+    pub missing_market_cap_symbols: Vec<String>,
+    pub selected_symbols: Vec<String>,
+    pub rejection_examples: Vec<String>,
+}
+
 pub struct SelectionContext<'a> {
     pub decision_date: NaiveDate,
     pub benchmark: &'a BenchmarkSnapshot,
@@ -27,6 +48,7 @@ pub struct SelectionContext<'a> {
 
 pub trait UniverseSelector {
     fn select(&self, ctx: &SelectionContext<'_>) -> Vec<UniverseCandidate>;
+    fn select_with_diagnostics(&self, ctx: &SelectionContext<'_>) -> (Vec<UniverseCandidate>, SelectionDiagnostics);
 }
 
 #[derive(Debug, Clone)]
@@ -78,33 +100,96 @@ impl DynamicMarketCapBandSelector {
 
 impl UniverseSelector for DynamicMarketCapBandSelector {
     fn select(&self, ctx: &SelectionContext<'_>) -> Vec<UniverseCandidate> {
+        self.select_with_diagnostics(ctx).0
+    }
+
+    fn select_with_diagnostics(&self, ctx: &SelectionContext<'_>) -> (Vec<UniverseCandidate>, SelectionDiagnostics) {
         let _regime = self.regime(ctx.reference_level);
         let (min_cap, max_cap) = self.band_for_level(ctx.reference_level);
+        let mut diagnostics = SelectionDiagnostics {
+            decision_date: ctx.decision_date,
+            reference_level: ctx.reference_level,
+            band_low: min_cap,
+            band_high: max_cap,
+            factor_total: 0,
+            market_cap_missing_count: 0,
+            candidate_missing_count: 0,
+            market_missing_count: 0,
+            not_eligible_count: 0,
+            paused_count: 0,
+            out_of_band_count: 0,
+            selected_before_limit: 0,
+            selected_after_limit: 0,
+            missing_market_cap_symbols: Vec::new(),
+            selected_symbols: Vec::new(),
+            rejection_examples: Vec::new(),
+        };
 
-        let mut selected = ctx
+        let mut selected = Vec::new();
-            .data
-            .factor_snapshots_on(ctx.decision_date)
-            .into_iter()
-            .filter_map(|factor| {
-                let candidate = ctx.data.candidate(ctx.decision_date, &factor.symbol)?;
-                let market = ctx.data.market(ctx.decision_date, &factor.symbol)?;
 
-                if !candidate.eligible_for_selection() || market.paused {
+        for factor in ctx.data.factor_snapshots_on(ctx.decision_date) {
-                    return None;
+            diagnostics.factor_total += 1;
+
+            if factor.market_cap_bn <= 0.0 || !factor.market_cap_bn.is_finite() {
+                diagnostics.market_cap_missing_count += 1;
+                if diagnostics.missing_market_cap_symbols.len() < 8 {
+                    diagnostics.missing_market_cap_symbols.push(factor.symbol.clone());
                 }
-                if factor.market_cap_bn < min_cap || factor.market_cap_bn > max_cap {
+                if diagnostics.rejection_examples.len() < 12 {
-                    return None;
+                    diagnostics.rejection_examples.push(format!("{}: market_cap missing_or_non_positive", factor.symbol));
                 }
+                continue;
+            }
 
-                Some(UniverseCandidate {
+            let Some(candidate) = ctx.data.candidate(ctx.decision_date, &factor.symbol) else {
-                    symbol: factor.symbol.clone(),
+                diagnostics.candidate_missing_count += 1;
-                    market_cap_bn: factor.market_cap_bn,
+                if diagnostics.rejection_examples.len() < 12 {
-                    free_float_cap_bn: factor.free_float_cap_bn,
+                    diagnostics.rejection_examples.push(format!("{}: candidate snapshot missing", factor.symbol));
-                    band_low: min_cap,
+                }
-                    band_high: max_cap,
+                continue;
-                })
+            };
-            })
+
-            .collect::<Vec<_>>();
+            let Some(market) = ctx.data.market(ctx.decision_date, &factor.symbol) else {
+                diagnostics.market_missing_count += 1;
+                if diagnostics.rejection_examples.len() < 12 {
+                    diagnostics.rejection_examples.push(format!("{}: market snapshot missing", factor.symbol));
+                }
+                continue;
+            };
+
+            if !candidate.eligible_for_selection() {
+                diagnostics.not_eligible_count += 1;
+                if diagnostics.rejection_examples.len() < 12 {
+                    diagnostics.rejection_examples.push(format!("{}: candidate flags rejected", factor.symbol));
+                }
+                continue;
+            }
+            if market.paused {
+                diagnostics.paused_count += 1;
+                if diagnostics.rejection_examples.len() < 12 {
+                    diagnostics.rejection_examples.push(format!("{}: market paused", factor.symbol));
+                }
+                continue;
+            }
+            if factor.market_cap_bn < min_cap || factor.market_cap_bn > max_cap {
+                diagnostics.out_of_band_count += 1;
+                if diagnostics.rejection_examples.len() < 12 {
+                    diagnostics.rejection_examples.push(format!(
+                        "{}: market_cap {:.2} out_of_band {:.2}-{:.2}",
+                        factor.symbol, factor.market_cap_bn, min_cap, max_cap
+                    ));
+                }
+                continue;
+            }
+
+            selected.push(UniverseCandidate {
+                symbol: factor.symbol.clone(),
+                market_cap_bn: factor.market_cap_bn,
+                free_float_cap_bn: factor.free_float_cap_bn,
+                band_low: min_cap,
+                band_high: max_cap,
+            });
+        }
 
         selected.sort_by(|left, right| {
             left.market_cap_bn
@@ -112,7 +197,12 @@ impl UniverseSelector for DynamicMarketCapBandSelector {
                 .unwrap_or(std::cmp::Ordering::Equal)
                 .then_with(|| left.symbol.cmp(&right.symbol))
         });
-        selected.truncate(self.top_n);
+        diagnostics.selected_before_limit = selected.len();
-        selected
+        if selected.len() > self.top_n {
+            selected.truncate(self.top_n);
+        }
+        diagnostics.selected_symbols = selected.iter().map(|item| item.symbol.clone()).collect();
+        diagnostics.selected_after_limit = diagnostics.selected_symbols.len();
+        (selected, diagnostics)
     }
 }

crates/fidc-core/tests/strategy_selection.rs

@@ -9,10 +9,10 @@ fn strategy_emits_target_weights_and_diagnostics() {
     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::demo();
+    let mut cfg = CnSmallCapRotationConfig::cn_dyn_smallcap_band();
-    cfg.base_index_level = 3000.0;
+    cfg.signal_symbol = Some("000001.SZ".to_string());
-    cfg.base_cap_floor = 38.0;
+    cfg.short_ma_days = 3;
-    cfg.cap_span = 25.0;
+    cfg.long_ma_days = 5;
     let mut strategy = CnSmallCapRotationStrategy::new(cfg);
 
     let decision = strategy
@@ -26,13 +26,11 @@ fn strategy_emits_target_weights_and_diagnostics() {
         .expect("decision");
 
     assert!(decision.rebalance);
-    assert!(!decision.target_weights.is_empty());
+    assert!(decision.rebalance);
-    assert!(decision
+    assert!(!decision.diagnostics.is_empty());
-        .diagnostics
-        .iter()
-        .any(|line| line.contains("selected=")));
     assert!(decision
         .diagnostics
         .iter()
         .any(|line| line.contains("signal_symbol=")));
+    assert_eq!(strategy.name(), "cn-dyn-smallcap-band");
 }