市场指标原语指南

本文档介绍了如何在交易策略中使用市场指标原语，包括配置、转换器和与信号系统的集成使用。市场指标原语允许策略参考外部市场数据（如VIX、SPX等）进行决策，而不仅限于单一交易品种的价格数据。

基本概念

市场指标原语扩展了策略原语系统，使其能够引用和使用外部市场指标。这些指标通常代表整体市场状况（如VIX代表市场波动性）或特定市场细分（如SPX代表标普500指数）。

主要组件：

1. 市场指标管理器 (MarketIndicatorManager)：负责加载和管理市场指标数据
2. 市场转换器 (MarketTransformers)：对原始市场数据进行转换和处理
3. 信号评估器扩展 (SignalEvaluator)：支持在信号树中引用市场指标

配置市场指标

在投资组合配置中添加市场指标需要在 strategy_definition 内部添加 market_indicators 部分：

{
  "market_indicators": {
    "indicators": [
      {
        "code": "SPX"
      }
    ],
    "transformers": [
      {
        "name": "spx_raw",
        "type": "IdentityTransformer",
        "params": {
          "indicator": "SPX",
          "field": "Close"
        }
      },
      {
        "name": "spx_ma50",
        "type": "MovingAverageTransformer",
        "params": {
          "indicator": "SPX",
          "window": 50,
          "method": "simple",
          "field": "Close"
        }
      },
      {
        "name": "spx_ma200",
        "type": "MovingAverageTransformer",
        "params": {
          "indicator": "SPX",
          "window": 200,
          "method": "simple",
          "field": "Close"
        }
      },
      {
        "name": "spx_rs",
        "type": "RelativeStrengthTransformer",
        "params": {
          "indicator": "SPX",
          "reference": "ma",
          "window": 90,
          "field": "Close"
        }
      }
    ]
  },
  "trade_strategy": {
    "indicators": [
      {
        "id": "ma_short",
        "type": "SMA",
        "params": {
          "period": 20,
          "column": "Close"
        }
      },
      {
        "id": "ma_long",
        "type": "SMA",
        "params": {
          "period": 50,
          "column": "Close"
        }
      },
      {
        "id": "rsi_indicator",
        "type": "RSI",
        "params": {
          "period": 14
        }
      }
    ],
    "signals": [
      {
        "id": "price_gt_ma_short",
        "type": "GreaterThan",
        "inputs": [
          {
            "column": "Close"
          },
          {
            "ref": "ma_short"
          }
        ]
      },
      {
        "id": "ma_short_gt_ma_long",
        "type": "GreaterThan",
        "inputs": [
          {
            "ref": "ma_short"
          },
          {
            "ref": "ma_long"
          }
        ]
      },
      {
        "id": "rsi_not_overbought",
        "type": "LessThan",
        "epsilon": 0.5,
        "inputs": [
          {
            "type": "Constant",
            "value": 70
          },
          {
            "ref": "rsi_indicator"
          }
        ]
      },
      {
        "id": "rsi_not_overbought_direct",
        "type": "LessThan",
        "inputs": [
          {
            "type": "Constant",
            "value": 65
          },
          {
            "ref": "rsi_indicator"
          }
        ]
      },
      {
        "id": "rsi_not_oversold",
        "type": "GreaterThan",
        "inputs": [
          {
            "ref": "rsi_indicator"
          },
          {
            "type": "Constant",
            "value": 30
          }
        ]
      },
      {
        "id": "market_uptrend",
        "type": "GreaterThan",
        "inputs": [
          {
            "market": "SPX",
            "transformer": "spx_ma50"
          },
          {
            "market": "SPX",
            "transformer": "spx_ma200"
          }
        ]
      },
      {
        "id": "market_strength_rising",
        "type": "GreaterThan",
        "inputs": [
          {
            "market": "SPX",
            "transformer": "spx_rs"
          },
          {
            "type": "Constant",
            "value": 1
          }
        ]
      },
      {
        "id": "market_environment_bullish",
        "type": "And",
        "inputs": [
          {
            "ref": "market_uptrend"
          },
          {
            "ref": "market_strength_rising"
          }
        ]
      },
      {
        "id": "market_price_reference",
        "type": "GreaterThan",
        "inputs": [
          {
            "market": "SPX",
            "transformer": "spx_raw"
          },
          {
            "type": "Constant",
            "value": 0
          }
        ]
      },
      {
        "id": "price_and_ma_bullish",
        "type": "And",
        "inputs": [
          {
            "ref": "price_gt_ma_short"
          },
          {
            "ref": "ma_short_gt_ma_long"
          }
        ]
      },
      {
        "id": "stock_technical_bullish",
        "type": "And",
        "inputs": [
          {
            "ref": "price_and_ma_bullish"
          },
          {
            "ref": "rsi_not_overbought"
          }
        ]
      },
      {
        "id": "buy_signal_condition",
        "type": "And",
        "inputs": [
          {
            "ref": "stock_technical_bullish"
          },
          {
            "ref": "market_environment_bullish"
          }
        ]
      },
      {
        "id": "sell_signal_condition",
        "type": "Or",
        "inputs": [
          {
            "type": "Not",
            "inputs": [
              {
                "ref": "market_uptrend"
              }
            ]
          },
          {
            "type": "Not",
            "inputs": [
              {
                "ref": "price_gt_ma_short"
              }
            ]
          }
        ]
      }
    ],
    "outputs": {
      "buy_signal": "buy_signal_condition",
      "sell_signal": "sell_signal_condition",
      "indicators": [
        {
          "id": "ma_short",
          "output_name": "ma_short"
        },
        {
          "id": "ma_long",
          "output_name": "ma_long"
        },
        {
          "id": "rsi_indicator",
          "output_name": "rsi"
        },
        {
          "id": "price_gt_ma_short",
          "output_name": "price_gt_ma"
        },
        {
          "id": "ma_short_gt_ma_long",
          "output_name": "ma_crossover"
        },
        {
          "id": "rsi_not_overbought",
          "output_name": "rsi_ok"
        },
        {
          "id": "rsi_not_overbought_direct",
          "output_name": "rsi_direct"
        },
        {
          "id": "rsi_not_oversold",
          "output_name": "rsi_gt_30"
        },
        {
          "id": "price_ma_bull",
          "output_name": "price_ma_bull"
        },
        {
          "id": "market_uptrend",
          "output_name": "mkt_uptrend"
        },
        {
          "id": "market_strength_rising",
          "output_name": "mkt_strength"
        },
        {
          "id": "market_environment_bullish",
          "output_name": "mkt_bullish"
        },
        {
          "id": "market_price_reference",
          "output_name": "spx_ref"
        },
        {
          "id": "stock_technical_bullish",
          "output_name": "stock_bullish"
        },
        {
          "id": "buy_signal_condition",
          "output_name": "buy_condition"
        },
        {
          "id": "sell_signal_condition",
          "output_name": "sell_condition"
        }
      ],
      "market_indicators": [
        {
          "market": "SPX",
          "transformer": "spx_raw",
          "output_name": "spx"
        },
        {
          "market": "SPX",
          "transformer": "spx_ma50",
          "output_name": "spx_ma50"
        },
        {
          "market": "SPX",
          "transformer": "spx_ma200",
          "output_name": "spx_ma200"
        },
        {
          "market": "SPX",
          "transformer": "spx_rs",
          "output_name": "spx_rs"
        }
      ]
    }
  }
}

指标配置选项：

字段	说明	示例
code	市场指标代码	"VIX", "SPX"
start_date	数据开始日期（可选）	"2018-01-01"
end_date	数据结束日期（可选）	"2022-12-31"

注意： 如果不指定时间范围，系统将使用投资组合的时间范围

市场指标转换器

转换器允许对原始市场数据进行转换和处理，生成新的派生时间序列。系统内置了以下转换器：

1. 移动平均转换器 (MovingAverageTransformer)

计算指定窗口的移动平均值。

{
  "name": "spx_ma50",
  "type": "MovingAverageTransformer",
  "params": {
    "indicator": "SPX",
    "window": 50,
    "method": "simple",  // simple/weighted/exponential
    "field": "Close"
  }
}

2. 百分位排名转换器 (PercentileRankTransformer)

计算当前值在历史窗口中的百分位排名（0-100）。

{
  "name": "vix_percentile",
  "type": "PercentileRankTransformer",
  "params": {
    "indicator": "VIX",
    "lookback": 252,  // 注意：使用lookback而不是window
    "field": "Close"
  }
}

3. 相对强度转换器 (RelativeStrengthTransformer)

计算当前值相对于历史平均值的强度比率。

{
  "name": "spx_rs",
  "type": "RelativeStrengthTransformer",
  "params": {
    "indicator": "SPX",
    "window": 90,
    "field": "Close",
    "reference": "ma"  // ma, value 或 lookback
  }
}

4. Z分数转换器 (ZScoreTransformer)

计算当前值在历史窗口中的标准化分数（Z分数）。

{
  "name": "vix_zscore",
  "type": "ZScoreTransformer",
  "params": {
    "indicator": "VIX",
    "window": 252,
    "field": "Close"
  }
}

5. 原样返回转换器 (IdentityTransformer)

直接返回原始指标数据，不做任何转换。通常用于统一处理市场指标的原始数据。

{
  "name": "vix_raw",
  "type": "IdentityTransformer",
  "params": {
    "indicator": "VIX",  // indicator 参数是必须的
    "field": "Close"
  }
}

使用示例：

{
  "market_indicators": {
    "indicators": [{"code": "VIX"}],
    "transformers": [
      {
        "name": "vix_raw",
        "type": "IdentityTransformer",
        "params": {
          "indicator": "VIX",
          "field": "Close"
        }
      }
    ]
  },
  "outputs": {
    "market_indicators": [
      {
        "market": "VIX",
        "transformer": "vix_raw",
        "output_name": "vix_raw"
      }
    ]
  }
}

这种方式统一了市场指标的处理流程，无论是原始数据还是转换后的数据都通过转换器机制处理。

在信号中引用市场指标

市场指标可以在信号配置中使用 market 键进行引用：

1. 通过转换器引用

{ "market": "VIX", "transformer": "vix_percentile" }  // 引用VIX的百分位转换

2. 原始指标数据引用

{
  "market": "VIX",
  "transformer": "vix_raw"
}  // 使用 IdentityTransformer 引用VIX的原始数据

完整的信号配置示例：

{
  "id": "market_volatility_low",
  "type": "LessThan",
  "epsilon": 0.5,  // 可选参数，用于处理浮点数比较的精度问题
  "inputs": [
    { "market": "VIX", "transformer": "vix_percentile" },
    { "ref": "constant_75" }  // 引用常量指标，而不是直接使用value
  ]
}

重要： 系统要求所有市场指标数据的访问都通过转换器进行，这样可以保持数据处理流程的一致性。

逻辑操作符限制

在信号系统中，逻辑操作符（如 And、Or）有严格的输入限制：

1. And 和 Or 操作符严格要求两个输入，不多不少
2. 要组合多个条件，需要使用嵌套结构

示例：三个条件的组合需要嵌套实现

// 错误 - And不能有3个输入
{
  "id": "combined_conditions",
  "type": "And",
  "inputs": [
    { "ref": "condition1" },
    { "ref": "condition2" },
    { "ref": "condition3" }
  ]
}

// 正确 - 使用嵌套And实现多条件组合
{
  "id": "conditions_1_2",
  "type": "And",
  "inputs": [
    { "ref": "condition1" },
    { "ref": "condition2" }
  ]
},
{
  "id": "combined_conditions",
  "type": "And",
  "inputs": [
    { "ref": "conditions_1_2" },
    { "ref": "condition3" }
  ]
}

市场指标策略示例

示例1：VIX过滤策略

使用VIX波动率指标过滤市场环境，结合250日均线和吊灯止损的趋势跟踪策略。买入条件：价格高于均线和吊灯止损，且VIX百分位低于75或VIX下降；卖出条件：价格低于均线和吊灯止损，且市场环境恶化。(美股用VIX，其他市场需调整)

{
  "market_indicators": {
    "indicators": [
      {
        "code": "VIX"
      }
    ],
    "transformers": [
      {
        "name": "vix_raw",
        "type": "IdentityTransformer",
        "params": {
          "indicator": "VIX",
          "field": "Close"
        }
      },
      {
        "name": "vix_percentile",
        "type": "PercentileRankTransformer",
        "params": {
          "indicator": "VIX",
          "lookback": 252,
          "field": "Close"
        }
      },
      {
        "name": "vix_ma",
        "type": "MovingAverageTransformer",
        "params": {
          "indicator": "VIX",
          "window": 20,
          "method": "simple",
          "field": "Close"
        }
      }
    ]
  },
  "trade_strategy": {
    "indicators": [
      {
        "id": "ma_indicator",
        "type": "SMA",
        "params": {
          "period": 250,
          "column": "Close"
        }
      },
      {
        "id": "atr_indicator",
        "type": "ATR",
        "params": {
          "period": 60
        }
      },
      {
        "id": "chandelier_exit_indicator",
        "type": "ChandelierExit",
        "params": {
          "period": 60,
          "multiplier": 4
        }
      },
      {
        "id": "constant_75",
        "type": "Constant",
        "params": {
          "value": 75
        }
      }
    ],
    "signals": [
      {
        "id": "price_gt_ma",
        "type": "GreaterThan",
        "inputs": [
          {
            "column": "Close"
          },
          {
            "ref": "ma_indicator"
          }
        ]
      },
      {
        "id": "price_gt_ce",
        "type": "GreaterThan",
        "inputs": [
          {
            "column": "Close"
          },
          {
            "ref": "chandelier_exit_indicator"
          }
        ]
      },
      {
        "id": "market_volatility_low",
        "type": "LessThan",
        "epsilon": 0.5,
        "inputs": [
          {
            "market": "VIX",
            "transformer": "vix_percentile"
          },
          {
            "ref": "constant_75"
          }
        ]
      },
      {
        "id": "market_volatility_declining",
        "type": "LessThan",
        "inputs": [
          {
            "market": "VIX",
            "transformer": "vix_raw"
          },
          {
            "market": "VIX",
            "transformer": "vix_ma"
          }
        ]
      },
      {
        "id": "price_lt_ma",
        "type": "LessThan",
        "inputs": [
          {
            "ref": "ma_indicator"
          },
          {
            "column": "Close"
          }
        ]
      },
      {
        "id": "price_lt_ce",
        "type": "LessThan",
        "inputs": [
          {
            "ref": "chandelier_exit_indicator"
          },
          {
            "column": "Close"
          }
        ]
      },
      {
        "id": "market_condition_good",
        "type": "Or",
        "inputs": [
          {
            "ref": "market_volatility_low"
          },
          {
            "ref": "market_volatility_declining"
          }
        ]
      },
      {
        "id": "price_conditions",
        "type": "And",
        "inputs": [
          {
            "ref": "price_gt_ma"
          },
          {
            "ref": "price_gt_ce"
          }
        ]
      },
      {
        "id": "technical_buy_conditions",
        "type": "And",
        "inputs": [
          {
            "ref": "price_conditions"
          },
          {
            "ref": "price_gt_ma"
          }
        ]
      },
      {
        "id": "buy_signal_condition",
        "type": "And",
        "inputs": [
          {
            "ref": "technical_buy_conditions"
          },
          {
            "ref": "market_condition_good"
          }
        ]
      },
      {
        "id": "price_conditions_sell",
        "type": "And",
        "inputs": [
          {
            "ref": "price_lt_ma"
          },
          {
            "ref": "price_lt_ce"
          }
        ]
      },
      {
        "id": "sell_signal_condition",
        "type": "And",
        "inputs": [
          {
            "ref": "price_conditions_sell"
          },
          {
            "type": "Not",
            "inputs": [
              {
                "ref": "market_condition_good"
              }
            ]
          }
        ]
      }
    ],
    "outputs": {
      "buy_signal": "buy_signal_condition",
      "sell_signal": "sell_signal_condition",
      "indicators": [
        {
          "id": "ma_indicator",
          "output_name": "ma"
        },
        {
          "id": "atr_indicator",
          "output_name": "atr"
        },
        {
          "id": "chandelier_exit_indicator",
          "output_name": "chandelier_stop"
        },
        {
          "id": "market_volatility_low",
          "output_name": "vix_percentile_low"
        },
        {
          "id": "market_volatility_declining",
          "output_name": "vix_declining"
        },
        {
          "id": "market_condition_good",
          "output_name": "market_ok"
        },
        {
          "id": "price_conditions",
          "output_name": "price_conditions"
        },
        {
          "id": "technical_buy_conditions",
          "output_name": "tech_buy"
        },
        {
          "id": "buy_signal_condition",
          "output_name": "buy_condition"
        },
        {
          "id": "sell_signal_condition",
          "output_name": "sell_condition"
        }
      ],
      "market_indicators": [
        {
          "market": "VIX",
          "transformer": "vix_raw",
          "output_name": "vix_raw"
        },
        {
          "market": "VIX",
          "transformer": "vix_percentile",
          "output_name": "vix_percentile"
        },
        {
          "market": "VIX",
          "transformer": "vix_ma",
          "output_name": "vix_ma"
        }
      ]
    }
  }
}

示例2：市场趋势跟踪策略

基于市场指数相对强度和市场趋势的双重过滤策略，结合了离散对比强度速率和市场平均线趋势。

{
  "market_indicators": {
    "indicators": [
      {
        "code": "SPX"
      }
    ],
    "transformers": [
      {
        "name": "spx_raw",
        "type": "IdentityTransformer",
        "params": {
          "indicator": "SPX",
          "field": "Close"
        }
      },
      {
        "name": "spx_ma50",
        "type": "MovingAverageTransformer",
        "params": {
          "indicator": "SPX",
          "window": 50,
          "method": "simple",
          "field": "Close"
        }
      },
      {
        "name": "spx_ma200",
        "type": "MovingAverageTransformer",
        "params": {
          "indicator": "SPX",
          "window": 200,
          "method": "simple",
          "field": "Close"
        }
      },
      {
        "name": "spx_rs",
        "type": "RelativeStrengthTransformer",
        "params": {
          "indicator": "SPX",
          "reference": "ma",
          "window": 90,
          "field": "Close"
        }
      }
    ]
  },
  "trade_strategy": {
    "indicators": [
      {
        "id": "ma_short",
        "type": "SMA",
        "params": {
          "period": 20,
          "column": "Close"
        }
      },
      {
        "id": "ma_long",
        "type": "SMA",
        "params": {
          "period": 50,
          "column": "Close"
        }
      },
      {
        "id": "rsi_indicator",
        "type": "RSI",
        "params": {
          "period": 14
        }
      }
    ],
    "signals": [
      {
        "id": "price_gt_ma_short",
        "type": "GreaterThan",
        "inputs": [
          {
            "column": "Close"
          },
          {
            "ref": "ma_short"
          }
        ]
      },
      {
        "id": "ma_short_gt_ma_long",
        "type": "GreaterThan",
        "inputs": [
          {
            "ref": "ma_short"
          },
          {
            "ref": "ma_long"
          }
        ]
      },
      {
        "id": "rsi_not_overbought",
        "type": "LessThan",
        "epsilon": 0.5,
        "inputs": [
          {
            "type": "Constant",
            "value": 70
          },
          {
            "ref": "rsi_indicator"
          }
        ]
      },
      {
        "id": "rsi_not_overbought_direct",
        "type": "LessThan",
        "inputs": [
          {
            "type": "Constant",
            "value": 65
          },
          {
            "ref": "rsi_indicator"
          }
        ]
      },
      {
        "id": "rsi_not_oversold",
        "type": "GreaterThan",
        "inputs": [
          {
            "ref": "rsi_indicator"
          },
          {
            "type": "Constant",
            "value": 30
          }
        ]
      },
      {
        "id": "market_uptrend",
        "type": "GreaterThan",
        "inputs": [
          {
            "market": "SPX",
            "transformer": "spx_ma50"
          },
          {
            "market": "SPX",
            "transformer": "spx_ma200"
          }
        ]
      },
      {
        "id": "market_strength_rising",
        "type": "GreaterThan",
        "inputs": [
          {
            "market": "SPX",
            "transformer": "spx_rs"
          },
          {
            "type": "Constant",
            "value": 1
          }
        ]
      },
      {
        "id": "market_environment_bullish",
        "type": "And",
        "inputs": [
          {
            "ref": "market_uptrend"
          },
          {
            "ref": "market_strength_rising"
          }
        ]
      },
      {
        "id": "market_price_reference",
        "type": "GreaterThan",
        "inputs": [
          {
            "market": "SPX",
            "transformer": "spx_raw"
          },
          {
            "type": "Constant",
            "value": 0
          }
        ]
      },
      {
        "id": "price_and_ma_bullish",
        "type": "And",
        "inputs": [
          {
            "ref": "price_gt_ma_short"
          },
          {
            "ref": "ma_short_gt_ma_long"
          }
        ]
      },
      {
        "id": "stock_technical_bullish",
        "type": "And",
        "inputs": [
          {
            "ref": "price_and_ma_bullish"
          },
          {
            "ref": "rsi_not_overbought"
          }
        ]
      },
      {
        "id": "buy_signal_condition",
        "type": "And",
        "inputs": [
          {
            "ref": "stock_technical_bullish"
          },
          {
            "ref": "market_environment_bullish"
          }
        ]
      },
      {
        "id": "sell_signal_condition",
        "type": "Or",
        "inputs": [
          {
            "type": "Not",
            "inputs": [
              {
                "ref": "market_uptrend"
              }
            ]
          },
          {
            "type": "Not",
            "inputs": [
              {
                "ref": "price_gt_ma_short"
              }
            ]
          }
        ]
      }
    ],
    "outputs": {
      "buy_signal": "buy_signal_condition",
      "sell_signal": "sell_signal_condition",
      "indicators": [
        {
          "id": "ma_short",
          "output_name": "ma_short"
        },
        {
          "id": "ma_long",
          "output_name": "ma_long"
        },
        {
          "id": "rsi_indicator",
          "output_name": "rsi"
        },
        {
          "id": "price_gt_ma_short",
          "output_name": "price_gt_ma"
        },
        {
          "id": "ma_short_gt_ma_long",
          "output_name": "ma_crossover"
        },
        {
          "id": "rsi_not_overbought",
          "output_name": "rsi_ok"
        },
        {
          "id": "rsi_not_overbought_direct",
          "output_name": "rsi_direct"
        },
        {
          "id": "rsi_not_oversold",
          "output_name": "rsi_gt_30"
        },
        {
          "id": "price_ma_bull",
          "output_name": "price_ma_bull"
        },
        {
          "id": "market_uptrend",
          "output_name": "mkt_uptrend"
        },
        {
          "id": "market_strength_rising",
          "output_name": "mkt_strength"
        },
        {
          "id": "market_environment_bullish",
          "output_name": "mkt_bullish"
        },
        {
          "id": "market_price_reference",
          "output_name": "spx_ref"
        },
        {
          "id": "stock_technical_bullish",
          "output_name": "stock_bullish"
        },
        {
          "id": "buy_signal_condition",
          "output_name": "buy_condition"
        },
        {
          "id": "sell_signal_condition",
          "output_name": "sell_condition"
        }
      ],
      "market_indicators": [
        {
          "market": "SPX",
          "transformer": "spx_raw",
          "output_name": "spx"
        },
        {
          "market": "SPX",
          "transformer": "spx_ma50",
          "output_name": "spx_ma50"
        },
        {
          "market": "SPX",
          "transformer": "spx_ma200",
          "output_name": "spx_ma200"
        },
        {
          "market": "SPX",
          "transformer": "spx_rs",
          "output_name": "spx_rs"
        }
      ]
    }
  }
}

最佳实践

1. 明确引用要求：市场指标转换器必须在信号计算树中被明确引用和使用，才能触发数据处理和收集。仅在 outputs.market_indicators 中列出但未在信号中使用的转换器不会被处理和输出。

2. 创建参考信号：如果需要在输出中包含某个市场指标（如原始SPX数据），但该指标在主要信号逻辑中没有直接使用，可以创建一个专用的参考信号：

   {
     "id": "market_price_reference",
     "type": "GreaterThan",
     "inputs": [
       { "market": "SPX", "transformer": "spx_raw" },
       { "type": "Constant", "value": 0 }
     ]
   }

   然后将此信号添加到outputs.indicators中：

   { "id": "market_price_reference", "output_name": "spx_ref" }

3. 统一转换器处理：始终使用转换器处理市场指标数据，包括原始数据（使用IdentityTransformer）

4. 使用正确的参数名称：

   • 对于PercentileRankTransformer，使用lookback而不是window
   • 对于所有转换器，使用field而不是column
   • 字段名称区分大小写，通常使用Close而不是close

5. 使用epsilon参数：在LessThan和GreaterThan信号中，可以使用epsilon参数处理浮点数比较的精度问题

6. 使用常量指标：对于固定阈值，最好创建常量指标并引用它，而不是直接使用value属性

7. 明确注册管理：所有市场指标转换器必须在配置中明确定义并正确注册后才能被引用

8. 数据同步：确保市场指标数据与交易资产数据的日期范围匹配

9. 转换器命名：为转换器使用清晰的命名约定，如 vix_percentile、spx_ma50 等

10. 性能优化：使用适当的数据窗口大小，避免过长的历史窗口导致性能问题

技术限制

1. 市场指标数据必须通过数据加载器可用
2. 市场指标的时间序列必须与回测期间有足够的重叠
3. 引用不存在的市场指标或转换器会立即抛出异常，不进行降级处理
4. 逻辑操作符（如And、Or）严格要求两个输入，必须使用嵌套结构处理更多条件
5. 所有市场指标数据访问必须通过转换器进行，不支持直接访问原始数据
6. 参数名称必须正确，系统不会自动纠正错误的参数名称