504 lines
17 KiB
Rust
504 lines
17 KiB
Rust
use std::error::Error;
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use std::fs;
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use std::io::Write;
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use std::path::{Path, PathBuf};
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use chrono::{NaiveDate, NaiveTime};
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use fidc_core::{
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BacktestConfig, BacktestEngine, BenchmarkSnapshot, BrokerSimulator, ChinaAShareCostModel,
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ChinaEquityRuleHooks, CnSmallCapRotationConfig, CnSmallCapRotationStrategy, DailyEquityPoint,
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DataSet, FillEvent, HoldingSummary, JqMicroCapConfig, JqMicroCapStrategy, PortfolioState,
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PriceField, Strategy, StrategyContext,
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};
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use serde_json::json;
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fn main() -> Result<(), Box<dyn Error>> {
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let root = workspace_root();
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let data_dir = std::env::var("FIDC_BT_DATA_DIR")
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.map(PathBuf::from)
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.unwrap_or_else(|_| root.join("data/demo"));
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let data_layout = std::env::var("FIDC_BT_DATA_LAYOUT").unwrap_or_else(|_| "flat".to_string());
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let output_dir = std::env::var("FIDC_BT_OUTPUT_DIR")
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.map(PathBuf::from)
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.unwrap_or_else(|_| root.join("output/demo"));
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let json_output = std::env::var("FIDC_BT_JSON")
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.map(|value| value == "1" || value.eq_ignore_ascii_case("true"))
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.unwrap_or(false);
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fs::create_dir_all(&output_dir)?;
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let data = if data_layout == "partitioned" {
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DataSet::from_partitioned_dir(&data_dir)?
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} else {
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DataSet::from_csv_dir(&data_dir)?
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};
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let strategy_name =
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std::env::var("FIDC_BT_STRATEGY").unwrap_or_else(|_| "cn-smallcap-rotation".to_string());
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let debug_date = std::env::var("FIDC_BT_DEBUG_DATE")
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.ok()
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.filter(|value| !value.trim().is_empty())
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.map(|value| NaiveDate::parse_from_str(value.trim(), "%Y-%m-%d"))
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.transpose()?;
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let decision_lag = std::env::var("FIDC_BT_DECISION_LAG")
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.ok()
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.and_then(|value| value.parse::<usize>().ok());
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let execution_price =
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std::env::var("FIDC_BT_EXECUTION_PRICE")
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.ok()
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.map(|value| match value.as_str() {
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"close" => PriceField::Close,
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"last" => PriceField::Last,
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_ => PriceField::Open,
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});
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let initial_cash = std::env::var("FIDC_BT_INITIAL_CASH")
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.ok()
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.and_then(|value| value.parse::<f64>().ok());
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let start_date = std::env::var("FIDC_BT_START_DATE")
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.ok()
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.filter(|value| !value.trim().is_empty())
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.map(|value| NaiveDate::parse_from_str(value.trim(), "%Y-%m-%d"))
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.transpose()?;
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let end_date = std::env::var("FIDC_BT_END_DATE")
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.ok()
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.filter(|value| !value.trim().is_empty())
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.map(|value| NaiveDate::parse_from_str(value.trim(), "%Y-%m-%d"))
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.transpose()?;
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let mut config = BacktestConfig {
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initial_cash: initial_cash.unwrap_or(1_000_000.0),
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benchmark_code: data.benchmark_code().to_string(),
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start_date,
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end_date,
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decision_lag_trading_days: 1,
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execution_price_field: PriceField::Open,
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};
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let result = match strategy_name.as_str() {
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"cn-smallcap-rotation" | "cn-dyn-smallcap-band" => {
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let mut strategy_cfg = if strategy_name == "cn-dyn-smallcap-band" {
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CnSmallCapRotationConfig::cn_dyn_smallcap_band()
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} else {
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CnSmallCapRotationConfig::demo()
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};
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if strategy_cfg.strategy_name == "cn-smallcap-rotation" {
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strategy_cfg.base_index_level = 3000.0;
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strategy_cfg.base_cap_floor = 38.0;
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strategy_cfg.cap_span = 25.0;
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}
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if let Ok(signal_symbol) = std::env::var("FIDC_BT_SIGNAL_SYMBOL") {
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if !signal_symbol.trim().is_empty() {
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strategy_cfg.signal_symbol = Some(signal_symbol);
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}
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}
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config.decision_lag_trading_days = decision_lag.unwrap_or(1);
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config.execution_price_field = execution_price.unwrap_or(PriceField::Open);
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let strategy = CnSmallCapRotationStrategy::new(strategy_cfg);
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks::default(),
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config.execution_price_field,
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);
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let mut engine = BacktestEngine::new(data, strategy, broker, config);
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engine.run()?
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}
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_ => {
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let mut strategy_cfg = JqMicroCapConfig::jq_microcap();
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if let Ok(signal_symbol) = std::env::var("FIDC_BT_SIGNAL_SYMBOL") {
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if !signal_symbol.trim().is_empty() {
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strategy_cfg.benchmark_signal_symbol = signal_symbol;
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}
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}
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if let Some(date) = debug_date {
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let eligible = data.eligible_universe_on(date);
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eprintln!(
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"DEBUG eligible_universe_on {} count={}",
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date,
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eligible.len()
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);
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for row in eligible.iter().take(20) {
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eprintln!(" {} {:.6}", row.symbol, row.market_cap_bn);
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}
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let mut debug_strategy = JqMicroCapStrategy::new(strategy_cfg.clone());
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let decision = debug_strategy.on_day(&StrategyContext {
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execution_date: date,
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decision_date: date,
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decision_index: 1,
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data: &data,
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portfolio: &PortfolioState::new(10_000_000.0),
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})?;
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eprintln!("DEBUG notes={:?}", decision.notes);
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eprintln!("DEBUG diagnostics={:?}", decision.diagnostics);
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return Ok(());
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}
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config.decision_lag_trading_days = decision_lag.unwrap_or(0);
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config.execution_price_field = execution_price.unwrap_or(PriceField::Last);
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config.initial_cash = initial_cash.unwrap_or(10_000_000.0);
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let strategy = JqMicroCapStrategy::new(strategy_cfg);
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let broker = BrokerSimulator::new_with_execution_price(
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ChinaAShareCostModel::default(),
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ChinaEquityRuleHooks::default(),
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config.execution_price_field,
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)
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.with_intraday_execution_start_time(
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NaiveTime::parse_from_str("10:18:00", "%H:%M:%S").expect("valid 10:18:00"),
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)
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.with_volume_limit(false)
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.with_inactive_limit(false)
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.with_liquidity_limit(false);
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let mut engine = BacktestEngine::new(data, strategy, broker, config);
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engine.run()?
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}
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};
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write_equity_curve_csv(&output_dir.join("equity_curve.csv"), &result.equity_curve)?;
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write_trades_csv(&output_dir.join("trades.csv"), &result.fills)?;
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write_holdings_csv(
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&output_dir.join("holdings_summary.csv"),
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&result.holdings_summary,
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)?;
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let summary = build_summary(
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&result.strategy_name,
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&result.equity_curve,
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&result.fills,
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&result.holdings_summary,
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result.benchmark_series.last(),
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&output_dir,
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);
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print_summary(&summary, &result.equity_curve, &result.holdings_summary);
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println!("Artifacts written under {}", output_dir.display());
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if json_output {
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println!("{}", serde_json::to_string(&summary)?);
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}
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Ok(())
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}
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fn workspace_root() -> PathBuf {
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Path::new(env!("CARGO_MANIFEST_DIR"))
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.join("../..")
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.canonicalize()
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.expect("workspace root")
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}
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fn write_equity_curve_csv(path: &Path, rows: &[DailyEquityPoint]) -> Result<(), Box<dyn Error>> {
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let mut file = fs::File::create(path)?;
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writeln!(
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file,
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"date,cash,market_value,total_equity,benchmark_close,notes,diagnostics"
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)?;
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for row in rows {
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writeln!(
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file,
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"{},{:.2},{:.2},{:.2},{:.2},{},{}",
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row.date,
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row.cash,
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row.market_value,
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row.total_equity,
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row.benchmark_close,
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sanitize_csv_field(&row.notes),
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sanitize_csv_field(&row.diagnostics),
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)?;
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}
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Ok(())
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}
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fn write_trades_csv(path: &Path, rows: &[FillEvent]) -> Result<(), Box<dyn Error>> {
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let mut file = fs::File::create(path)?;
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writeln!(
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file,
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"date,symbol,side,quantity,price,gross_amount,commission,stamp_tax,net_cash_flow,reason"
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)?;
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for row in rows {
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writeln!(
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file,
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"{},{},{:?},{},{:.2},{:.2},{:.2},{:.2},{:.2},{}",
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row.date,
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row.symbol,
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row.side,
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row.quantity,
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row.price,
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row.gross_amount,
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row.commission,
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row.stamp_tax,
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row.net_cash_flow,
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sanitize_csv_field(&row.reason),
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)?;
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}
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Ok(())
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}
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fn write_holdings_csv(path: &Path, rows: &[HoldingSummary]) -> Result<(), Box<dyn Error>> {
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let mut file = fs::File::create(path)?;
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writeln!(
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file,
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"date,symbol,quantity,average_cost,last_price,market_value,unrealized_pnl,realized_pnl"
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)?;
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for row in rows {
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writeln!(
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file,
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"{},{},{},{:.2},{:.2},{:.2},{:.2},{:.2}",
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row.date,
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row.symbol,
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row.quantity,
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row.average_cost,
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row.last_price,
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row.market_value,
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row.unrealized_pnl,
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row.realized_pnl,
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)?;
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}
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Ok(())
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}
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fn sanitize_csv_field(text: &str) -> String {
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text.replace(',', ";")
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}
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#[derive(Debug, serde::Serialize)]
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struct RunSummary {
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strategy: String,
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start_date: String,
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end_date: String,
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start_equity: f64,
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final_equity: f64,
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total_return: f64,
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trade_count: usize,
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holding_count: usize,
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benchmark_code: Option<String>,
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benchmark_last_close: Option<f64>,
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output_dir: String,
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diagnostics: serde_json::Value,
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warnings: Vec<String>,
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equity_preview: Vec<serde_json::Value>,
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trades_preview: Vec<serde_json::Value>,
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}
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fn build_summary(
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strategy_name: &str,
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equity_curve: &[DailyEquityPoint],
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fills: &[FillEvent],
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holdings: &[HoldingSummary],
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benchmark_last: Option<&BenchmarkSnapshot>,
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output_dir: &Path,
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) -> RunSummary {
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let first = equity_curve.first();
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let last = equity_curve.last();
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let start_equity = first.map(|row| row.total_equity).unwrap_or_default();
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let final_equity = last.map(|row| row.total_equity).unwrap_or_default();
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let total_return = if start_equity.abs() < f64::EPSILON {
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0.0
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} else {
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(final_equity / start_equity) - 1.0
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};
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let diagnostics = extract_diagnostics(equity_curve);
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let warnings = build_warnings(fills, holdings, &diagnostics);
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let equity_preview = equity_curve
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.iter()
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.rev()
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.take(5)
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.collect::<Vec<_>>()
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.into_iter()
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.rev()
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.map(|row| {
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json!({
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"date": row.date.to_string(),
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"cash": row.cash,
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"marketValue": row.market_value,
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"totalEquity": row.total_equity,
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"benchmarkClose": row.benchmark_close,
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"notes": row.notes,
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"diagnostics": row.diagnostics,
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})
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})
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.collect::<Vec<_>>();
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let trades_preview = fills
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.iter()
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.rev()
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.take(10)
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.collect::<Vec<_>>()
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.into_iter()
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.rev()
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.map(|row| {
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json!({
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"date": row.date.to_string(),
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"symbol": row.symbol,
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"side": format!("{:?}", row.side),
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"quantity": row.quantity,
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"price": row.price,
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"grossAmount": row.gross_amount,
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"netCashFlow": row.net_cash_flow,
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"reason": row.reason,
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})
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})
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.collect::<Vec<_>>();
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RunSummary {
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strategy: strategy_name.to_string(),
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start_date: first.map(|row| row.date.to_string()).unwrap_or_default(),
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end_date: last.map(|row| row.date.to_string()).unwrap_or_default(),
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start_equity,
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final_equity,
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total_return,
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trade_count: fills.len(),
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holding_count: holdings.len(),
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benchmark_code: benchmark_last.map(|row| row.benchmark.clone()),
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benchmark_last_close: benchmark_last.map(|row| row.close),
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output_dir: output_dir.display().to_string(),
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diagnostics,
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warnings,
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equity_preview,
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trades_preview,
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}
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}
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fn extract_diagnostics(equity_curve: &[DailyEquityPoint]) -> serde_json::Value {
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let last = equity_curve.last();
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let text = last.map(|row| row.diagnostics.as_str()).unwrap_or("");
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let notes = last.map(|row| row.notes.as_str()).unwrap_or("");
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let mut map = serde_json::Map::new();
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map.insert("latestText".to_string(), json!(text));
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map.insert("latestNotes".to_string(), json!(notes));
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map.insert("equityPointCount".to_string(), json!(equity_curve.len()));
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for part in text.split(" | ") {
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let part = part.trim();
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if let Some(rest) = part.strip_prefix("selection_diag ") {
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for token in rest.split_whitespace() {
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if let Some((k, v)) = token.split_once('=') {
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map.insert(k.to_string(), parse_diag_value(v));
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}
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}
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} else if let Some(rest) = part.strip_prefix("selection_band ") {
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for token in rest.split_whitespace() {
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if let Some((k, v)) = token.split_once('=') {
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map.insert(k.to_string(), parse_diag_value(v));
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}
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}
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} else if let Some(rest) =
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part.strip_prefix("market_cap_missing likely blocks selection; sample=")
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{
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map.insert(
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"marketCapMissingSample".to_string(),
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json!(
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rest.split('|')
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.filter(|s| !s.is_empty())
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.collect::<Vec<_>>()
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),
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);
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} else if let Some(rest) = part.strip_prefix("selection_rejections sample=") {
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map.insert(
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"selectionRejectionsSample".to_string(),
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json!(
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rest.split(" | ")
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.filter(|s| !s.is_empty())
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.collect::<Vec<_>>()
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),
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);
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} else if let Some(rest) = part.strip_prefix("ma_filter_rejections sample=") {
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map.insert(
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"maFilterRejectionsSample".to_string(),
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json!(
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rest.split('|')
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.filter(|s| !s.is_empty())
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.collect::<Vec<_>>()
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),
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);
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} else if let Some(rest) = part.strip_prefix("selected=") {
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map.insert("selectedLine".to_string(), json!(rest));
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}
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}
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serde_json::Value::Object(map)
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}
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fn parse_diag_value(value: &str) -> serde_json::Value {
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if let Ok(v) = value.parse::<i64>() {
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return json!(v);
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}
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if let Ok(v) = value.parse::<f64>() {
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return json!(v);
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}
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json!(value)
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}
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fn build_warnings(
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fills: &[FillEvent],
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holdings: &[HoldingSummary],
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diagnostics: &serde_json::Value,
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) -> Vec<String> {
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let mut warnings = Vec::new();
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if fills.is_empty() {
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warnings.push("本次回测没有产生任何成交。".to_string());
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}
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if holdings.is_empty() {
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warnings.push("期末没有持仓。".to_string());
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}
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if diagnostics
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.get("selected_after_ma")
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.and_then(|v| v.as_i64())
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.unwrap_or(0)
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== 0
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{
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warnings
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.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());
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}
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if diagnostics
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.get("market_cap_missing_count")
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.and_then(|v| v.as_i64())
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.unwrap_or(0)
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> 0
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{
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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());
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}
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warnings
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}
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fn print_summary(
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summary: &RunSummary,
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equity_curve: &[DailyEquityPoint],
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holdings: &[HoldingSummary],
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) {
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if equity_curve.is_empty() {
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println!("No equity curve points generated.");
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return;
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}
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println!("Strategy: {}", summary.strategy);
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println!("Start equity: {:.2}", summary.start_equity);
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println!("Final equity: {:.2}", summary.final_equity);
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println!("Total return: {:.2}%", summary.total_return * 100.0);
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println!("Trades: {}", summary.trade_count);
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println!("Final holdings: {}", summary.holding_count);
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if let (Some(code), Some(close)) = (&summary.benchmark_code, summary.benchmark_last_close) {
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println!("Benchmark last close: {} {:.2}", code, close);
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}
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println!("Recent equity points:");
|
|
for point in equity_curve
|
|
.iter()
|
|
.rev()
|
|
.take(3)
|
|
.collect::<Vec<_>>()
|
|
.into_iter()
|
|
.rev()
|
|
{
|
|
println!(
|
|
" {} equity {:.2} cash {:.2} mv {:.2}",
|
|
point.date, point.total_equity, point.cash, point.market_value
|
|
);
|
|
}
|
|
|
|
if holdings.is_empty() {
|
|
println!("No holdings at the end of the demo run.");
|
|
} else {
|
|
println!("Ending holdings:");
|
|
for holding in holdings {
|
|
println!(
|
|
" {} qty {} mv {:.2} pnl {:.2}",
|
|
holding.symbol, holding.quantity, holding.market_value, holding.unrealized_pnl
|
|
);
|
|
}
|
|
}
|
|
}
|