init

2026-08-24 20:53:21 +08:00
commit 6e78bba16a
287 changed files with 32443 additions and 0 deletions
--- a/ent/his_sharpe.go
+++ b/ent/his_sharpe.go
@@ -0,0 +1,137 @@
+package ent
+
+import (
+	"errors"
+	"flag"
+	"fmt"
+	"github.com/banbox/banbot/biz"
+	"github.com/banbox/banbot/btime"
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/core"
+	"github.com/banbox/banbot/opt"
+	"github.com/banbox/banbot/orm"
+	"github.com/banbox/banbot/orm/ormo"
+	utils2 "github.com/banbox/banexg/utils"
+	"strconv"
+)
+
+func hisSharpe(args []string) error {
+	var configPaths config.ArrString
+	var inPath string
+	var sub = flag.NewFlagSet("fac", flag.ExitOnError)
+	sub.Var(&configPaths, "config", "config path to use, Multiple -config options may be used")
+	sub.StringVar(&inPath, "in", "", "path for all pairs orders e.g.: orders.gob")
+	err_ := sub.Parse(args)
+	if err_ != nil {
+		return err_
+	}
+	core.SetRunMode(core.RunModeBackTest)
+	err := biz.SetupComsExg(&config.CmdArgs{
+		Configs: configPaths,
+	})
+	if err != nil {
+		return err
+	}
+	var startMs = config.TimeRange.StartMS
+	var endMS = config.TimeRange.EndMS
+	if len(config.StakeCurrency) == 0 {
+		return errors.New("`stake_currency` in yml is required")
+	}
+	var tfSecs int
+	var orders []*ormo.InOutOrder
+	if inPath == "" {
+		return errors.New("-in is required")
+	} else {
+		inPath = config.ParsePath(inPath)
+	}
+	orders, err = ormo.LoadOrdersGob(inPath)
+	if err != nil {
+		return err
+	}
+	var exsMap = make(map[int32]*orm.ExSymbol)
+	var pairMap = make(map[string]int32)
+	var totalCost float64
+	var validOdNum int
+	if len(orders) > 0 {
+		startMs = orders[0].RealEnterMS()
+		endMS = orders[0].RealExitMS()
+		for _, od := range orders {
+			curStart := od.RealEnterMS()
+			if curStart < startMs && curStart > 0 {
+				startMs = curStart
+			}
+			curEnd := od.RealExitMS()
+			if curEnd > endMS {
+				endMS = curEnd
+			}
+			tfSecs = max(tfSecs, utils2.TFToSecs(od.Timeframe))
+			curCost := od.EnterCost()
+			if curCost > 0 {
+				totalCost += curCost
+				validOdNum += 1
+			}
+			if _, ok := pairMap[od.Symbol]; !ok {
+				exs, err := orm.GetExSymbolCur(od.Symbol)
+				if err != nil {
+					return err
+				}
+				exsMap[exs.ID] = exs
+				pairMap[od.Symbol] = exs.ID
+			}
+		}
+	} else {
+		return errors.New("orders is empty")
+	}
+	if validOdNum == 0 {
+		return errors.New("no valid orders")
+	}
+	if tfSecs == 0 {
+		tfSecs = utils2.TFToSecs("1d")
+	}
+	tf := "1d"
+	// 滚动测试因子
+	rangeStart, _ := btime.ParseTimeMS("2022-11-19")
+	rangeEnd, _ := btime.ParseTimeMS("2024-11-18")
+	pairOrders, err := opt.CutOrdersInRange(orders, rangeStart, rangeEnd)
+	if err != nil {
+		return err
+	}
+	pairOrders = map[string][]*ormo.InOutOrder{
+		"WIF/USDT:USDT": pairOrders["WIF/USDT:USDT"],
+	}
+	pairInfos, err := opt.CalcPairStats(pairOrders, rangeStart, rangeEnd, tf)
+	if err != nil {
+		return err
+	}
+	initFund := config.WalletAmounts["USDT"]
+	rangeSecs := (rangeEnd - rangeStart) / 1000
+	for _, sta := range pairInfos {
+		reals := make([]float64, 0, len(sta.Returns))
+		curFund := initFund
+		for _, v := range sta.Returns {
+			curFund += v
+			reals = append(reals, curFund)
+		}
+		sharp, _, err := opt.CalcMeasuresByReal(reals, rangeSecs, "", 0, 0)
+		if err != nil {
+			return err
+		}
+		labels := make([]string, len(reals))
+		for i := range reals {
+			labels[i] = strconv.Itoa(i)
+		}
+		g := opt.Chart{
+			Labels: labels,
+			Datasets: []*opt.ChartDs{
+				{
+					Label:       "pow(x, 1.5)",
+					Data:        reals,
+					BorderColor: "rgb(75, 192, 192)",
+				},
+			},
+		}
+		g.DumpFile("D:/dump_pairs2.html")
+		fmt.Printf("%s sharpe: %v", sta.Symbol, sharp)
+	}
+	return nil
+}