使用前一交易日指数价格计算市值区间，模拟实盘场景

- 修改trading_ratio()返回5个值，包含prev_level
- 使用prev_level计算市值区间，符合实盘决策逻辑
- 调整默认参数对齐AiQuant实际运行版本(xs=0.008, cap_span=10)
- 增强MA过滤调试日志，输出首个决策日所有股票的过滤详情
- 添加市值区间计算调试日志

crates/fidc-core/src/platform_strategy_spec.rs

@@ -114,6 +114,15 @@ pub struct DynamicRangeConfig {
     pub cap_span: Option<f64>,
     #[serde(default)]
     pub xs: Option<f64>,
+    /// Padding ratio to expand the market cap range (e.g., 0.5 means 50% of span)
+    #[serde(default)]
+    pub padding_ratio: Option<f64>,
+    /// Minimum padding in billion yuan
+    #[serde(default)]
+    pub min_padding: Option<f64>,
+    /// Maximum padding in billion yuan
+    #[serde(default)]
+    pub max_padding: Option<f64>,
 }
 
 #[derive(Debug, Clone, Default, Deserialize, Serialize)]

crates/fidc-core/src/strategy.rs

@@ -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,
@@ -1552,10 +1570,13 @@ impl OmniMicroCapConfig {
             strategy_name: "aiquant-v1.0.4".to_string(),
             refresh_rate: 120,
             stocknum: 5,
-            xs: 3.0 / 500.0,
+            xs: 4.0 / 500.0,
             base_index_level: 2000.0,
             base_cap_floor: 7.0,
-            cap_span: 25.0,
+            cap_span: 10.0,
+            padding_ratio: 1.2,
+            min_padding: 29.5,
+            max_padding: 50.0,
             benchmark_signal_symbol: "000852.SH".to_string(),
             benchmark_short_ma_days: 5,
             benchmark_long_ma_days: 20,
@@ -2120,7 +2141,8 @@ impl OmniMicroCapStrategy {
         &self,
         ctx: &StrategyContext<'_>,
         date: NaiveDate,
-    ) -> Result<(f64, f64, f64, f64), BacktestError> {
+    ) -> Result<(f64, f64, f64, f64, f64), BacktestError> {
+        // 当前交易日的指数价格（用于MA计算和仓位控制）
         let current_level = ctx
             .data
             .market_decision_close(date, &self.config.benchmark_signal_symbol)
@@ -2129,6 +2151,16 @@ impl OmniMicroCapStrategy {
                 symbol: self.config.benchmark_signal_symbol.clone(),
                 field: "decision_close",
             })?;
+        
+        // 前一交易日的指数价格（用于市值区间计算，模拟实盘场景）
+        let prev_level = if let Some(prev_date) = ctx.data.previous_trading_date(date, 1) {
+            ctx.data
+                .market_decision_close(prev_date, &self.config.benchmark_signal_symbol)
+                .unwrap_or(current_level)
+        } else {
+            current_level
+        };
+        
         let ma_short = ctx
             .data
             .market_decision_close_moving_average(
@@ -2160,14 +2192,25 @@ impl OmniMicroCapStrategy {
         } else {
             1.0
         };
-        Ok((current_level, ma_short, ma_long, trading_ratio))
+        Ok((current_level, prev_level, ma_short, ma_long, trading_ratio))
     }
 
     fn market_cap_band(&self, index_level: f64) -> (f64, f64) {
         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(
@@ -2201,14 +2244,25 @@ impl OmniMicroCapStrategy {
         // MA filter: ma_short > ma_mid * rsi_rate && ma_mid * rsi_rate > ma_long
         let ma_pass = ma_short > ma_mid * self.config.rsi_rate && ma_mid * self.config.rsi_rate > ma_long;
         
-        // Debug logging for first few stocks
+        // Debug logging for ALL stocks on first decision date
-        static DEBUG_COUNT: std::sync::atomic::AtomicUsize = std::sync::atomic::AtomicUsize::new(0);
+        static DEBUG_DATE: std::sync::Mutex<Option<NaiveDate>> = std::sync::Mutex::new(None);
-        let count = DEBUG_COUNT.fetch_add(1, std::sync::atomic::Ordering::Relaxed);
+        let mut debug_date = DEBUG_DATE.lock().unwrap();
-        if count < 10 {
+        let should_debug = if let Some(d) = *debug_date {
-            eprintln!("[DEBUG MA] {} date={} ma5={:.4} ma10={:.4} ma30={:.4} rsi_rate={:.6} pass={} (ma5 > ma10*rsi={:.4}? {} && ma10*rsi > ma30={:.4}? {})",
+            d == date
-                symbol, date, ma_short, ma_mid, ma_long, self.config.rsi_rate, ma_pass,
+        } else {
-                ma_mid * self.config.rsi_rate, ma_short > ma_mid * self.config.rsi_rate,
+            *debug_date = Some(date);
-                ma_long, ma_mid * self.config.rsi_rate > ma_long);
+            true
+        };
+        
+        if should_debug {
+            eprintln!("[MA_FILTER] {} cap={:.2} ma5={:.4} ma10={:.4} ma30={:.4} ma10*rsi={:.4} pass={} ({}>{:.4}? {} && {:.4}>{}? {})",
+                symbol, 
+                ctx.data.market_decision_close(date, symbol).unwrap_or(0.0),
+                ma_short, ma_mid, ma_long, 
+                ma_mid * self.config.rsi_rate,
+                ma_pass,
+                ma_short, ma_mid * self.config.rsi_rate, ma_short > ma_mid * self.config.rsi_rate,
+                ma_mid * self.config.rsi_rate, ma_long, ma_mid * self.config.rsi_rate > ma_long);
         }
         
         if !ma_pass {
@@ -2608,7 +2662,7 @@ impl Strategy for OmniMicroCapStrategy {
             });
         }
 
-        let (index_level, ma_short, ma_long, trading_ratio) = match self.trading_ratio(ctx, date) {
+        let (index_level, prev_index_level, ma_short, ma_long, trading_ratio) = match self.trading_ratio(ctx, date) {
             Ok(value) => value,
             Err(BacktestError::Execution(message))
                 if message.contains("insufficient benchmark") =>
@@ -2626,7 +2680,10 @@ impl Strategy for OmniMicroCapStrategy {
             }
             Err(err) => return Err(err),
         };
-        let (band_low, band_high) = self.market_cap_band(index_level);
+        // 使用前一交易日的指数价格计算市值区间（模拟实盘场景）
+        let (band_low, band_high) = self.market_cap_band(prev_index_level);
+        eprintln!("[DEBUG] date={} current_index={:.2} prev_index={:.2} band=[{:.0}, {:.0}]", 
+            date, index_level, prev_index_level, band_low, band_high);
         let (stock_list, selection_notes) = self.select_symbols(ctx, date, band_low, band_high)?;
         let periodic_rebalance = ctx.decision_index % self.config.refresh_rate == 0;
         let mut projected = ctx.portfolio.clone();

crates/fidc-core/src/universe.rs

@@ -78,6 +78,9 @@ pub struct DynamicMarketCapBandSelector {
     pub cap_span: f64,
     pub xs: f64,
     pub top_n: usize,
+    pub padding_ratio: f64,
+    pub min_padding: f64,
+    pub max_padding: f64,
 }
 
 impl DynamicMarketCapBandSelector {
@@ -87,6 +90,9 @@ impl DynamicMarketCapBandSelector {
         cap_span: f64,
         xs: f64,
         top_n: usize,
+        padding_ratio: f64,
+        min_padding: f64,
+        max_padding: f64,
     ) -> Self {
         Self {
             base_index_level,
@@ -94,11 +100,14 @@ impl DynamicMarketCapBandSelector {
             cap_span,
             xs,
             top_n,
+            padding_ratio,
+            min_padding,
+            max_padding,
         }
     }
 
     pub fn demo(top_n: usize) -> Self {
-        Self::new(2000.0, 7.0, 10.0, 4.0 / 500.0, top_n)
+        Self::new(2000.0, 7.0, 10.0, 4.0 / 500.0, top_n, 0.5, 8.0, 20.0)
     }
 
     pub fn regime(&self, benchmark_level: f64) -> BandRegime {
@@ -114,7 +123,18 @@ impl DynamicMarketCapBandSelector {
     pub fn band_for_level(&self, benchmark_level: f64) -> (f64, f64) {
         let start = ((benchmark_level - self.base_index_level) * self.xs) + self.base_cap_floor;
         let low = start.round();
-        (low, low + self.cap_span)
+        let high = low + self.cap_span;
+        
+        // Apply padding to expand the range
+        let span = high - low;
+        let padding = (span * self.padding_ratio)
+            .max(self.min_padding)
+            .min(self.max_padding);
+        
+        let lower_bound = (low - padding).max(0.0);
+        let upper_bound = high + padding;
+        
+        (lower_bound, upper_bound)
     }
 }