617 lines
27 KiB
Java
617 lines
27 KiB
Java
package com.yangwale.backtestify.service.impl;
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import com.alibaba.fastjson2.JSON;
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import com.yangwale.backtestify.common.BusinessException;
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import com.yangwale.backtestify.common.ErrorCode;
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import com.yangwale.backtestify.config.WebMvcConfig;
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import com.yangwale.backtestify.entity.StrategyConfig;
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import com.yangwale.backtestify.entity.StrategyResult;
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import com.yangwale.backtestify.entity.TradeDetail;
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import com.yangwale.backtestify.enums.Direction;
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import com.yangwale.backtestify.enums.KLinePeriod;
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import com.yangwale.backtestify.enums.StopUnit;
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import com.yangwale.backtestify.enums.TradeAction;
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import com.yangwale.backtestify.mapper.StrategyConfigMapper;
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import com.yangwale.backtestify.mapper.StrategyResultMapper;
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import com.yangwale.backtestify.mapper.TradeDetailMapper;
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import com.yangwale.backtestify.model.dto.KLineData;
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import com.yangwale.backtestify.model.request.BacktestRequest;
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import com.yangwale.backtestify.model.response.BacktestResponse;
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import com.yangwale.backtestify.service.BacktestEngine;
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import com.yangwale.backtestify.service.MarketDataService;
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import com.yangwale.backtestify.service.signal.SignalStrategy;
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import com.yangwale.backtestify.service.signal.SignalStrategyFactory;
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import lombok.Getter;
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import lombok.RequiredArgsConstructor;
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import lombok.extern.slf4j.Slf4j;
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import org.springframework.beans.factory.annotation.Value;
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import org.springframework.stereotype.Component;
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import org.springframework.transaction.annotation.Transactional;
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import java.math.BigDecimal;
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import java.math.RoundingMode;
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import java.time.LocalDate;
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import java.time.LocalDateTime;
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import java.time.temporal.ChronoUnit;
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import java.util.ArrayList;
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import java.util.List;
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/**
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* 回测引擎核心实现
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*/
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@Slf4j
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@Component
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@RequiredArgsConstructor
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public class BacktestEngineImpl implements BacktestEngine {
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private final MarketDataService marketDataService;
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private final SignalStrategyFactory signalStrategyFactory;
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private final StrategyConfigMapper strategyConfigMapper;
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private final StrategyResultMapper strategyResultMapper;
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private final TradeDetailMapper tradeDetailMapper;
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@Value("${backtest.initial-capital:1000000}")
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private BigDecimal initialCapital;
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@Value("${backtest.margin-ratio:0.10}")
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private BigDecimal marginRatio;
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@Value("${backtest.fee-rate:0.00005}")
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private BigDecimal feeRate;
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@Value("${backtest.risk-free-rate:0.025}")
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private BigDecimal riskFreeRate;
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@Override
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@Transactional(rollbackFor = Exception.class)
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public BacktestResponse execute(BacktestRequest request) {
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// 1. 参数解析
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Direction direction = Direction.of(request.getDirection());
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KLinePeriod period = KLinePeriod.of(request.getKlinePeriod());
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List<SignalStrategy> strategies = signalStrategyFactory.get(request.getIndicators());
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BigDecimal priceTick = resolvePriceTick(request);
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// 2. 计算回测时间范围
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LocalDateTime now = LocalDateTime.now();
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LocalDateTime startTime = calcStartTime(now, request.getBacktestPeriod());
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// 3. 获取历史K线数据
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List<KLineData> kLines = marketDataService.getKLineData(
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request.getContractCode(), period.getCode(), startTime, now);
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if (kLines.isEmpty()) {
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throw new BusinessException(ErrorCode.MARKET_DATA_UNAVAILABLE, "回测区间内无可用K线数据");
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}
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log.info("回测区间: {} ~ {}, K线数量: {}", kLines.getFirst().getTime(), kLines.getLast().getTime(), kLines.size());
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// 4. 创建回测上下文
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BigDecimal initialCapitalAmount = money(initialCapital);
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BacktestContext ctx = new BacktestContext(initialCapitalAmount, marginRatio, feeRate);
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// 5. 逐根K线遍历
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for (int i = 0; i < kLines.size(); i++) {
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KLineData kline = kLines.get(i);
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// 5a. 检查止盈/止损
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if (ctx.hasPosition() && checkStopCondition(ctx, kline, request, direction, priceTick)) {
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closePosition(ctx, kline, direction);
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ctx.recordEquity(kline, direction);
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continue;
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}
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// 5b. 检查信号策略
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if (!ctx.hasPosition()) {
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boolean allBuy = strategies.stream().allMatch(s -> s.isBuySignal(kline, kLines));
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boolean allSell = strategies.stream().allMatch(s -> s.isSellSignal(kline, kLines));
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if (direction == Direction.LONG && allBuy) {
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openPosition(ctx, kline, direction, request.getOpenVolume());
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} else if (direction == Direction.SHORT && allSell) {
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openPosition(ctx, kline, direction, request.getOpenVolume());
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}
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}
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ctx.recordEquity(kline, direction);
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}
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// 6. 遍历结束，强制平仓
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if (ctx.hasPosition()) {
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KLineData lastKline = kLines.getLast();
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closePosition(ctx, lastKline, direction);
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ctx.recordEquity(lastKline, direction);
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}
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ctx.calculateDailyYields();
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// 7. 计算指标
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LocalDate startDate = kLines.getFirst().getTime().toLocalDate();
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LocalDate endDate = kLines.getLast().getTime().toLocalDate();
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long totalDays = ChronoUnit.DAYS.between(startDate, endDate) + 1;
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BigDecimal finalCapital = money(ctx.getTotalEquity());
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BigDecimal maxEquity = money(ctx.maxEquity);
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BigDecimal minEquity = money(ctx.minEquity);
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BigDecimal totalYield = calcTotalYield(finalCapital, initialCapitalAmount);
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BigDecimal profitAmount = money(finalCapital.subtract(initialCapitalAmount));
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BigDecimal annualizedYield = calcAnnualizedYield(totalYield, totalDays);
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BigDecimal maxDrawdown = calcMaxDrawdown(ctx);
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BigDecimal sharpeRatio = calcSharpeRatio(ctx.dailyYields);
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BigDecimal winRate = calcWinRate(ctx.tradeRecords);
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// 8. 持久化
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StrategyConfig config = saveStrategyConfig(request);
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saveStrategyResult(config.getId(), initialCapitalAmount, finalCapital,
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maxEquity, minEquity, totalYield, profitAmount, annualizedYield,
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ctx.tradeRecords.size(), maxDrawdown, sharpeRatio, winRate,
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startDate, endDate, ctx.dailyEquityCurve);
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List<TradeDetail> tradeDetails = saveTradeDetails(config.getId(), ctx.tradeRecords);
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// 9. 构建响应
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return buildResponse(request, config.getId(), initialCapitalAmount, finalCapital,
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maxEquity, minEquity, totalYield, profitAmount, annualizedYield,
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ctx.tradeRecords.size(), maxDrawdown, sharpeRatio, winRate,
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startDate, endDate, ctx, tradeDetails);
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}
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// ==================== 交易操作 ====================
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private void openPosition(BacktestContext ctx, KLineData kline, Direction direction, int volume) {
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BigDecimal price = kline.getClose();
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BigDecimal turnover = price.multiply(BigDecimal.valueOf(volume));
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BigDecimal margin = turnover.multiply(marginRatio);
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BigDecimal fee = turnover.multiply(feeRate);
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if (ctx.availableCapital.compareTo(margin.add(fee)) < 0) {
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log.debug("保证金不足，跳过开仓。可用: {}, 需要: {}", ctx.availableCapital, margin.add(fee));
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return;
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}
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ctx.availableCapital = ctx.availableCapital.subtract(margin).subtract(fee);
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ctx.position = volume;
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ctx.avgCostPrice = price;
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ctx.marginLocked = margin;
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ctx.openFee = fee;
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TradeAction action = direction == Direction.LONG ? TradeAction.BUY_OPEN : TradeAction.SELL_OPEN;
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String signal = direction == Direction.LONG ? "B" : "S";
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ctx.addRecord(action, price, volume, turnover, kline.getTime(), signal, null);
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log.debug("开仓: {} {}手 @ {}, 保证金={}, 手续费={}", action.getLabel(), volume, price, margin, fee);
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}
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private void closePosition(BacktestContext ctx, KLineData kline, Direction direction) {
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BigDecimal price = kline.getClose();
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int volume = ctx.position;
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BigDecimal turnover = price.multiply(BigDecimal.valueOf(volume));
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BigDecimal fee = turnover.multiply(feeRate);
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// 释放保证金，计算盈亏，更新可用资金
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BigDecimal profit = turnover.subtract(ctx.avgCostPrice.multiply(BigDecimal.valueOf(volume)));
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if (direction == Direction.SHORT) {
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profit = BigDecimal.ZERO.subtract(profit); // 做空盈亏反向
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}
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BigDecimal netProfit = profit.subtract(ctx.openFee).subtract(fee);
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ctx.availableCapital = ctx.availableCapital.add(ctx.marginLocked).add(profit).subtract(fee);
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ctx.position = 0;
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ctx.marginLocked = BigDecimal.ZERO;
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ctx.avgCostPrice = BigDecimal.ZERO;
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ctx.openFee = BigDecimal.ZERO;
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TradeAction action = direction == Direction.LONG ? TradeAction.SELL_CLOSE : TradeAction.BUY_CLOSE;
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String signal = direction == Direction.LONG ? "S" : "B";
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ctx.addRecord(action, price, volume, turnover, kline.getTime(), signal, netProfit);
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log.debug("平仓: {} {}手 @ {}, 盈亏={}, 手续费={}", action.getLabel(), volume, price, profit, fee);
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}
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// ==================== 止盈止损检查 ====================
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private boolean checkStopCondition(BacktestContext ctx, KLineData kline, BacktestRequest request,
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Direction direction, BigDecimal priceTick) {
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BigDecimal price = kline.getClose();
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BigDecimal cost = ctx.avgCostPrice;
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if (request.getStopLossValue() != null) {
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BigDecimal stopDistance = calculateStopDistance(
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cost, request.getStopLossValue(), StopUnit.of(request.getStopLossUnit()), priceTick);
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BigDecimal stopPrice = direction == Direction.LONG
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? cost.subtract(stopDistance)
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: cost.add(stopDistance);
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boolean triggered = direction == Direction.LONG
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? price.compareTo(stopPrice) <= 0
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: price.compareTo(stopPrice) >= 0;
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if (triggered) {
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log.info("触发止损: 价格={}, 止损价={}", price, stopPrice);
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return true;
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}
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}
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if (request.getTakeProfitValue() != null) {
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BigDecimal takeProfitDistance = calculateStopDistance(
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cost, request.getTakeProfitValue(), StopUnit.of(request.getTakeProfitUnit()), priceTick);
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BigDecimal takeProfitPrice = direction == Direction.LONG
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? cost.add(takeProfitDistance)
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: cost.subtract(takeProfitDistance);
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boolean triggered = direction == Direction.LONG
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? price.compareTo(takeProfitPrice) >= 0
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: price.compareTo(takeProfitPrice) <= 0;
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if (triggered) {
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log.info("触发止盈: 价格={}, 止盈价={}", price, takeProfitPrice);
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return true;
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}
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}
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return false;
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}
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private BigDecimal resolvePriceTick(BacktestRequest request) {
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boolean tickStopLoss = request.getStopLossValue() != null
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&& StopUnit.TICK == StopUnit.of(request.getStopLossUnit());
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boolean tickTakeProfit = request.getTakeProfitValue() != null
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&& StopUnit.TICK == StopUnit.of(request.getTakeProfitUnit());
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return tickStopLoss || tickTakeProfit
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? marketDataService.getPriceTick(request.getContractCode())
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: null;
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}
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private BigDecimal calculateStopDistance(BigDecimal cost, BigDecimal value,
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StopUnit unit, BigDecimal priceTick) {
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if (unit == StopUnit.TICK) {
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if (priceTick == null || priceTick.signum() <= 0) {
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throw new BusinessException(ErrorCode.MARKET_DATA_UNAVAILABLE,
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"TICK止盈止损缺少有效的最小变动价位");
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}
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return value.multiply(priceTick);
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}
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BigDecimal percentage = value.divide(BigDecimal.valueOf(100), 8, RoundingMode.HALF_UP);
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return cost.multiply(percentage);
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}
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// ==================== 指标计算 ====================
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private BigDecimal calcTotalYield(BigDecimal finalCapital, BigDecimal initialCapitalAmount) {
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return finalCapital.subtract(initialCapitalAmount)
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.divide(initialCapitalAmount, 8, RoundingMode.HALF_UP)
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.multiply(BigDecimal.valueOf(100))
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.setScale(4, RoundingMode.HALF_UP);
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}
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private BigDecimal money(BigDecimal value) {
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return value.setScale(2, RoundingMode.HALF_UP);
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}
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private BigDecimal calcAnnualizedYield(BigDecimal totalYield, long totalDays) {
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if (totalDays <= 0) return BigDecimal.ZERO;
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return totalYield.divide(BigDecimal.valueOf(totalDays), 8, RoundingMode.HALF_UP)
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.multiply(BigDecimal.valueOf(365))
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.setScale(4, RoundingMode.HALF_UP);
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}
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private BigDecimal calcMaxDrawdown(BacktestContext ctx) {
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BigDecimal peak = BigDecimal.ZERO;
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BigDecimal maximum = BigDecimal.ZERO;
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for (BigDecimal equity : ctx.equityHistory) {
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if (equity.compareTo(peak) > 0) {
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peak = equity;
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}
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if (peak.compareTo(BigDecimal.ZERO) > 0) {
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BigDecimal drawdown = peak.subtract(equity)
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.divide(peak, 8, RoundingMode.HALF_UP);
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if (drawdown.compareTo(maximum) > 0) {
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maximum = drawdown;
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}
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}
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}
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return maximum.multiply(BigDecimal.valueOf(100))
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.setScale(4, RoundingMode.HALF_UP);
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}
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private BigDecimal calcSharpeRatio(List<BigDecimal> dailyYields) {
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if (dailyYields == null || dailyYields.size() < 5) return BigDecimal.ZERO;
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// 日收益率平均值
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BigDecimal sum = dailyYields.stream().reduce(BigDecimal.ZERO, BigDecimal::add);
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BigDecimal avgDaily = sum.divide(BigDecimal.valueOf(dailyYields.size()), 8, RoundingMode.HALF_UP);
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// 日收益率标准差
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BigDecimal variance = dailyYields.stream()
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.map(y -> y.subtract(avgDaily).pow(2))
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.reduce(BigDecimal.ZERO, BigDecimal::add)
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.divide(BigDecimal.valueOf(dailyYields.size()), 8, RoundingMode.HALF_UP);
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BigDecimal stdDaily = BigDecimal.valueOf(Math.sqrt(variance.doubleValue()));
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if (stdDaily.compareTo(BigDecimal.ZERO) == 0) return BigDecimal.ZERO;
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// 年化夏普
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BigDecimal annualizedReturn = avgDaily.multiply(BigDecimal.valueOf(252)); // 252交易日
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BigDecimal annualizedStd = stdDaily.multiply(BigDecimal.valueOf(Math.sqrt(252)));
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return annualizedReturn.subtract(riskFreeRate)
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.divide(annualizedStd, 8, RoundingMode.HALF_UP)
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.setScale(4, RoundingMode.HALF_UP);
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}
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private BigDecimal calcWinRate(List<BacktestContext.TradeRecord> records) {
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if (records.isEmpty()) return BigDecimal.ZERO;
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long winCount = 0;
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long totalClose = 0;
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for (BacktestContext.TradeRecord r : records) {
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if (r.action == TradeAction.SELL_CLOSE || r.action == TradeAction.BUY_CLOSE) {
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totalClose++;
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if (r.netProfit != null && r.netProfit.compareTo(BigDecimal.ZERO) > 0) {
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winCount++;
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}
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}
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}
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return totalClose == 0 ? BigDecimal.ZERO :
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BigDecimal.valueOf(winCount).divide(BigDecimal.valueOf(totalClose), 8, RoundingMode.HALF_UP)
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.multiply(BigDecimal.valueOf(100)).setScale(4, RoundingMode.HALF_UP);
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}
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// ==================== 时间范围计算 ====================
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private LocalDateTime calcStartTime(LocalDateTime now, String backtestPeriod) {
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return switch (backtestPeriod) {
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case "1m" -> now.minusMonths(1);
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case "6m" -> now.minusMonths(6);
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case "1y" -> now.minusYears(1);
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default -> now.minusMonths(3);
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};
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}
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// ==================== 持久化 ====================
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private StrategyConfig saveStrategyConfig(BacktestRequest request) {
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StrategyConfig config = new StrategyConfig();
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config.setUserId(WebMvcConfig.RequestContextHolder.getUserId());
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config.setContractCode(request.getContractCode());
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config.setContractName(request.getContractName());
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config.setDirection(request.getDirection().toUpperCase());
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config.setKlinePeriod(request.getKlinePeriod());
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config.setIndicators(JSON.toJSONString(request.getIndicators()));
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config.setOpenVolume(request.getOpenVolume());
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config.setVolumeUnit(request.getVolumeUnit());
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config.setStopLossValue(request.getStopLossValue());
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config.setStopLossUnit(request.getStopLossUnit());
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config.setTakeProfitValue(request.getTakeProfitValue());
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config.setTakeProfitUnit(request.getTakeProfitUnit());
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config.setBacktestPeriod(request.getBacktestPeriod());
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config.setStatus(0); // 已保存
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strategyConfigMapper.insert(config);
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return config;
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}
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private void saveStrategyResult(Long strategyId, BigDecimal initialCapital,
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BigDecimal finalCapital, BigDecimal maxEquity,
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BigDecimal minEquity, BigDecimal totalYield,
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BigDecimal profitAmount, BigDecimal annualizedYield,
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int tradeCount, BigDecimal maxDrawdown,
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BigDecimal sharpeRatio, BigDecimal winRate,
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LocalDate startDate, LocalDate endDate,
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List<BacktestContext.DailyEquity> dailyCurve) {
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StrategyResult result = new StrategyResult();
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result.setStrategyId(strategyId);
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result.setInitialCapital(initialCapital);
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result.setFinalCapital(finalCapital);
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result.setMaxEquity(maxEquity);
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result.setMinEquity(minEquity);
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result.setTotalYield(totalYield);
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result.setProfitAmount(profitAmount);
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result.setAnnualizedYield(annualizedYield);
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result.setTradeCount(tradeCount);
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result.setMaxDrawdown(maxDrawdown);
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result.setSharpeRatio(sharpeRatio);
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result.setWinRate(winRate);
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result.setStartDate(startDate);
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result.setEndDate(endDate);
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result.setDailyEquityCurve(JSON.toJSONString(dailyCurve));
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strategyResultMapper.insert(result);
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}
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private List<TradeDetail> saveTradeDetails(Long strategyId,
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List<BacktestContext.TradeRecord> records) {
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List<TradeDetail> details = new ArrayList<>();
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for (BacktestContext.TradeRecord r : records) {
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TradeDetail detail = new TradeDetail();
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detail.setStrategyId(strategyId);
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detail.setAction(r.action.name());
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detail.setPrice(r.price);
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detail.setVolume(r.volume);
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detail.setTurnover(r.turnover);
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detail.setTradeTime(r.tradeTime);
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detail.setKlineTime(r.klineTime);
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detail.setSignalType(r.signal);
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details.add(detail);
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}
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if (!details.isEmpty()) {
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tradeDetailMapper.insert(details);
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}
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return details;
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}
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// ==================== 构建响应 ====================
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private BacktestResponse buildResponse(BacktestRequest request, Long strategyId,
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BigDecimal initialCapital, BigDecimal finalCapital,
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BigDecimal maxEquity, BigDecimal minEquity,
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BigDecimal totalYield, BigDecimal profitAmount,
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BigDecimal annualizedYield, int tradeCount,
|
|
BigDecimal maxDrawdown, BigDecimal sharpeRatio,
|
|
BigDecimal winRate,
|
|
LocalDate startDate, LocalDate endDate,
|
|
BacktestContext ctx,
|
|
List<TradeDetail> tradeDetails) {
|
|
List<BacktestResponse.DailyEquityPoint> curve = ctx.dailyEquityCurve.stream()
|
|
.map(d -> BacktestResponse.DailyEquityPoint.builder()
|
|
.date(d.date)
|
|
.equity(d.equity)
|
|
.yield(d.yield)
|
|
.build())
|
|
.toList();
|
|
|
|
List<BacktestResponse.TradeDetailItem> trades = tradeDetails.stream()
|
|
.map(t -> BacktestResponse.TradeDetailItem.builder()
|
|
.action(t.getAction())
|
|
.price(t.getPrice())
|
|
.volume(t.getVolume())
|
|
.turnover(t.getTurnover())
|
|
.tradeTime(t.getTradeTime() != null ? t.getTradeTime().toString() : null)
|
|
.signalType(t.getSignalType())
|
|
.build())
|
|
.toList();
|
|
|
|
List<BacktestResponse.SignalPointItem> signals = ctx.tradeRecords.stream()
|
|
.map(r -> BacktestResponse.SignalPointItem.builder()
|
|
.time(r.klineTime.toString())
|
|
.type(r.signal)
|
|
.price(r.price)
|
|
.build())
|
|
.toList();
|
|
|
|
return BacktestResponse.builder()
|
|
.strategyId(strategyId)
|
|
.contractCode(request.getContractCode())
|
|
.contractName(request.getContractName())
|
|
.direction(request.getDirection())
|
|
.klinePeriod(request.getKlinePeriod())
|
|
.indicators(request.getIndicators())
|
|
.openVolume(request.getOpenVolume())
|
|
.volumeUnit(request.getVolumeUnit())
|
|
.stopLossValue(request.getStopLossValue())
|
|
.stopLossUnit(request.getStopLossUnit())
|
|
.takeProfitValue(request.getTakeProfitValue())
|
|
.takeProfitUnit(request.getTakeProfitUnit())
|
|
.backtestPeriod(request.getBacktestPeriod())
|
|
.initialCapital(initialCapital)
|
|
.finalCapital(finalCapital)
|
|
.maxEquity(maxEquity)
|
|
.minEquity(minEquity)
|
|
.totalYield(totalYield)
|
|
.profitAmount(profitAmount)
|
|
.annualizedYield(annualizedYield)
|
|
.tradeCount(tradeCount)
|
|
.maxDrawdown(maxDrawdown)
|
|
.sharpeRatio(sharpeRatio)
|
|
.winRate(winRate)
|
|
.startDate(startDate)
|
|
.endDate(endDate)
|
|
.dailyEquityCurve(curve)
|
|
.tradeDetails(trades)
|
|
.signalPoints(signals)
|
|
.build();
|
|
}
|
|
|
|
// ==================== 回测上下文（内部类） ====================
|
|
|
|
static class BacktestContext {
|
|
BigDecimal availableCapital;
|
|
BigDecimal marginRatio;
|
|
BigDecimal feeRate;
|
|
int position = 0;
|
|
BigDecimal avgCostPrice = BigDecimal.ZERO;
|
|
BigDecimal marginLocked = BigDecimal.ZERO;
|
|
BigDecimal openFee = BigDecimal.ZERO;
|
|
BigDecimal initialCapital;
|
|
BigDecimal maxEquity;
|
|
BigDecimal minEquity;
|
|
List<TradeRecord> tradeRecords = new ArrayList<>();
|
|
List<DailyEquity> dailyEquityCurve = new ArrayList<>();
|
|
List<BigDecimal> dailyYields = new ArrayList<>();
|
|
List<BigDecimal> equityHistory = new ArrayList<>();
|
|
|
|
BacktestContext(BigDecimal capital, BigDecimal marginRatio, BigDecimal feeRate) {
|
|
this.initialCapital = capital;
|
|
this.availableCapital = capital;
|
|
this.marginRatio = marginRatio;
|
|
this.feeRate = feeRate;
|
|
this.maxEquity = capital;
|
|
this.minEquity = capital;
|
|
this.equityHistory.add(capital);
|
|
}
|
|
|
|
boolean hasPosition() {
|
|
return position > 0;
|
|
}
|
|
|
|
BigDecimal getTotalEquity() {
|
|
return availableCapital.add(marginLocked);
|
|
}
|
|
|
|
void recordEquity(KLineData kline, Direction direction) {
|
|
BigDecimal equity = getTotalEquity();
|
|
if (hasPosition()) {
|
|
BigDecimal unrealized = kline.getClose().subtract(avgCostPrice)
|
|
.multiply(BigDecimal.valueOf(position));
|
|
if (direction == Direction.SHORT) {
|
|
unrealized = unrealized.negate();
|
|
}
|
|
equity = equity.add(unrealized);
|
|
}
|
|
equityHistory.add(equity);
|
|
if (equity.compareTo(maxEquity) > 0) maxEquity = equity;
|
|
if (equity.compareTo(minEquity) < 0) minEquity = equity;
|
|
|
|
BigDecimal displayEquity = equity.setScale(2, RoundingMode.HALF_UP);
|
|
BigDecimal cumulativeYield = displayEquity.subtract(initialCapital)
|
|
.divide(initialCapital, 8, RoundingMode.HALF_UP)
|
|
.multiply(BigDecimal.valueOf(100))
|
|
.setScale(4, RoundingMode.HALF_UP);
|
|
DailyEquity point = new DailyEquity(
|
|
kline.getTime().toLocalDate(), displayEquity, cumulativeYield);
|
|
if (!dailyEquityCurve.isEmpty()
|
|
&& dailyEquityCurve.getLast().date.equals(point.date)) {
|
|
dailyEquityCurve.set(dailyEquityCurve.size() - 1, point);
|
|
} else {
|
|
dailyEquityCurve.add(point);
|
|
}
|
|
}
|
|
|
|
void calculateDailyYields() {
|
|
dailyYields.clear();
|
|
BigDecimal previousEquity = initialCapital;
|
|
for (DailyEquity point : dailyEquityCurve) {
|
|
BigDecimal dailyYield = previousEquity.compareTo(BigDecimal.ZERO) == 0
|
|
? BigDecimal.ZERO
|
|
: point.equity.subtract(previousEquity)
|
|
.divide(previousEquity, 8, RoundingMode.HALF_UP);
|
|
dailyYields.add(dailyYield);
|
|
previousEquity = point.equity;
|
|
}
|
|
}
|
|
|
|
void addRecord(TradeAction action, BigDecimal price, int volume, BigDecimal turnover,
|
|
LocalDateTime klineTime, String signal, BigDecimal netProfit) {
|
|
tradeRecords.add(new TradeRecord(
|
|
action, price, volume, turnover, klineTime, klineTime, signal, netProfit));
|
|
}
|
|
|
|
static class TradeRecord {
|
|
TradeAction action;
|
|
BigDecimal price;
|
|
int volume;
|
|
BigDecimal turnover;
|
|
LocalDateTime tradeTime;
|
|
LocalDateTime klineTime;
|
|
String signal;
|
|
BigDecimal netProfit;
|
|
|
|
TradeRecord(TradeAction action, BigDecimal price, int volume, BigDecimal turnover,
|
|
LocalDateTime tradeTime, LocalDateTime klineTime, String signal,
|
|
BigDecimal netProfit) {
|
|
this.action = action;
|
|
this.price = price;
|
|
this.volume = volume;
|
|
this.turnover = turnover;
|
|
this.tradeTime = tradeTime;
|
|
this.klineTime = klineTime;
|
|
this.signal = signal;
|
|
this.netProfit = netProfit;
|
|
}
|
|
}
|
|
|
|
@Getter
|
|
static class DailyEquity {
|
|
LocalDate date;
|
|
BigDecimal equity;
|
|
BigDecimal yield;
|
|
|
|
DailyEquity(LocalDate date, BigDecimal equity, BigDecimal yield) {
|
|
this.date = date;
|
|
this.equity = equity;
|
|
this.yield = yield;
|
|
}
|
|
|
|
}
|
|
}
|
|
}
|