84 lines
2.7 KiB
Rust
84 lines
2.7 KiB
Rust
use chrono::NaiveDate;
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use fidc_core::{
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CnSmallCapRotationConfig, CnSmallCapRotationStrategy, DataSet, JqMicroCapConfig,
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JqMicroCapStrategy, PortfolioState, Strategy, StrategyContext,
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};
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use std::path::PathBuf;
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#[test]
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fn strategy_emits_target_weights_and_diagnostics() {
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let data_dir = PathBuf::from(env!("CARGO_MANIFEST_DIR")).join("../../data/demo");
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let data = DataSet::from_csv_dir(&data_dir).expect("demo data");
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let decision_date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
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let execution_date = NaiveDate::from_ymd_opt(2024, 1, 11).unwrap();
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let portfolio = PortfolioState::new(1_000_000.0);
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let mut cfg = CnSmallCapRotationConfig::cn_dyn_smallcap_band();
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cfg.signal_symbol = Some("000001.SZ".to_string());
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cfg.short_ma_days = 3;
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cfg.long_ma_days = 5;
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let mut strategy = CnSmallCapRotationStrategy::new(cfg);
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let decision = strategy
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.on_day(&StrategyContext {
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execution_date,
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decision_date,
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decision_index: 0,
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data: &data,
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portfolio: &portfolio,
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open_orders: &[],
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})
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.expect("decision");
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assert!(decision.rebalance);
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assert!(decision.rebalance);
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assert!(!decision.diagnostics.is_empty());
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assert!(
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decision
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.diagnostics
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.iter()
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.any(|line| line.contains("signal_symbol="))
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);
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assert_eq!(strategy.name(), "cn-dyn-smallcap-band");
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}
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#[test]
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fn jq_strategy_emits_same_day_decision() {
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let data_dir = PathBuf::from(env!("CARGO_MANIFEST_DIR")).join("../../data/demo");
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let data = DataSet::from_csv_dir(&data_dir).expect("demo data");
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let execution_date = NaiveDate::from_ymd_opt(2024, 1, 10).unwrap();
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let portfolio = PortfolioState::new(1_000_000.0);
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let mut cfg = JqMicroCapConfig::jq_microcap();
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cfg.benchmark_signal_symbol = "000001.SZ".to_string();
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cfg.benchmark_short_ma_days = 3;
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cfg.benchmark_long_ma_days = 5;
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cfg.stock_short_ma_days = 3;
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cfg.stock_mid_ma_days = 4;
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cfg.stock_long_ma_days = 5;
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let mut strategy = JqMicroCapStrategy::new(cfg);
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let decision = strategy
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.on_day(&StrategyContext {
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execution_date,
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decision_date: execution_date,
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decision_index: 0,
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data: &data,
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portfolio: &portfolio,
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open_orders: &[],
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})
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.expect("jq decision");
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assert!(!decision.rebalance);
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assert!(
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decision
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.diagnostics
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.iter()
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.any(|line| line.contains("jq_microcap signal="))
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);
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assert!(
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decision
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.diagnostics
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.iter()
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.any(|line| line.contains("selected="))
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);
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}
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