init

fac/best.go

@@ -0,0 +1,172 @@
+package fac
+
+import (
+	"github.com/banbox/banbot/config"
+	"github.com/banbox/banbot/opt"
+	"github.com/banbox/banbot/utils"
+	"github.com/banbox/banexg/log"
+	utils2 "github.com/banbox/banexg/utils"
+	"go.uber.org/zap"
+	"gonum.org/v1/gonum/floats"
+)
+
+func init() {
+	opt.FactorMap["best"] = best
+	opt.FactorMap["best3"] = best3
+	opt.FactorMap["bigVol"] = bigVols
+	opt.FactorMap["sharpe"] = sharpe
+}
+
+func bigVols(arg opt.FacArgs) ([]string, error) {
+	allNum := len(arg.Pairs)
+	cutNum := min(int(float64(allNum)/10), 30)
+	// 只取成交量高的一半品种
+	volPeriodMS := int64(utils2.TFToSecs("30d") * 1000)
+	volBarNum := int(volPeriodMS / arg.TFMSecs)
+	vols := make([]float64, 0, allNum)
+	for _, sta := range arg.Pairs {
+		start := max(0, len(sta.KLines)-volBarNum)
+		bars := sta.KLines[start:]
+		volSum := float64(0)
+		for _, b := range bars {
+			volSum += b.Volume * b.Close
+		}
+		vols = append(vols, volSum)
+	}
+	volIdxArr := utils.ArgSortDesc(vols)[:allNum/2]
+	var result = make([]string, 0, cutNum)
+	for _, idx := range volIdxArr {
+		result = append(result, arg.Pairs[idx].Symbol)
+		if len(result) >= cutNum {
+			break
+		}
+	}
+	return result, nil
+}
+
+func best(arg opt.FacArgs) ([]string, error) {
+	return bestOf(arg, 0)
+}
+
+func best3(arg opt.FacArgs) ([]string, error) {
+	return bestOf(arg, 0.25)
+}
+
+func bestOf(arg opt.FacArgs, offRate float64) ([]string, error) {
+	allNum := len(arg.Pairs)
+	initFund := float64(0)
+	for _, v := range config.WalletAmounts {
+		initFund = v
+		break
+	}
+	cutNum := min(int(float64(allNum)/10), 30)
+	// 只取成交量高的一半品种
+	volPeriodMS := int64(utils2.TFToSecs("30d") * 1000)
+	volBarNum := int(volPeriodMS / arg.TFMSecs)
+	vols := make([]float64, 0, allNum)
+	scores := make([]float64, 0, allNum)
+	for _, sta := range arg.Pairs {
+		start := max(0, len(sta.KLines)-volBarNum)
+		bars := sta.KLines[start:]
+		volSum := float64(0)
+		for _, b := range bars {
+			volSum += b.Volume * b.Close
+		}
+		vols = append(vols, volSum)
+		profitPct := floats.Sum(sta.Returns) * 100 / initFund
+		reals := make([]float64, 0, len(sta.Returns))
+		curFund := initFund
+		for _, v := range sta.Returns {
+			curFund += v
+			reals = append(reals, curFund)
+		}
+		drawRate, _ := utils.CalcDrawDown(reals, opt.ShowNum)
+		score := opt.CalcBtScore(profitPct, drawRate*100)
+		scores = append(scores, score)
+	}
+	volIdxArr := utils.ArgSortDesc(vols)[:allNum/2]
+	scoreIdxArr := utils.ArgSortDesc(scores)
+	volIdMap := utils.ArrToMap(volIdxArr, func(t2 int) int {
+		return t2
+	})
+	offset := int(float64(len(scoreIdxArr)) * offRate)
+	var result = make([]string, 0, cutNum)
+	for _, idx := range scoreIdxArr[offset:] {
+		if _, ok := volIdMap[idx]; ok {
+			result = append(result, arg.Pairs[idx].Symbol)
+			if len(result) >= cutNum {
+				break
+			}
+		}
+	}
+	return result, nil
+}
+
+func sharpe(arg opt.FacArgs) ([]string, error) {
+	allNum := len(arg.Pairs)
+	initFund := float64(0)
+	for _, v := range config.WalletAmounts {
+		initFund = v
+		break
+	}
+	cutNum := min(int(float64(allNum)/10), 30)
+	// 只取成交量高的一半品种
+	volPeriodMS := int64(utils2.TFToSecs("30d") * 1000)
+	volBarNum := int(volPeriodMS / arg.TFMSecs)
+	vols := make([]float64, 0, allNum)
+	scores := make([]float64, 0, allNum)
+	totOdNum := 0
+	rangeSecs := (arg.EndMS - arg.StartMS) / 1000
+	for _, sta := range arg.Pairs {
+		if len(sta.KLines) == 0 || sta.KLines[0].Time > arg.StartMS {
+			// 跳过回顾周期内数据不全的品种
+			vols = append(vols, 0)
+			scores = append(scores, -99)
+			continue
+		}
+		start := max(0, len(sta.KLines)-volBarNum)
+		bars := sta.KLines[start:]
+		volSum := float64(0)
+		for _, b := range bars {
+			volSum += b.Volume * b.Close
+		}
+		vols = append(vols, volSum)
+		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 nil, err
+		}
+		scores = append(scores, sharp)
+		totOdNum += len(sta.Orders)
+	}
+	validNum := len(vols)
+	volIdxArr := utils.ArgSortDesc(vols)[:validNum/2]
+	scoreIdxArr := utils.ArgSortDesc(scores)
+	volIdMap := utils.ArrToMap(volIdxArr, func(t2 int) int {
+		return t2
+	})
+	avgOdNum := totOdNum / len(arg.Pairs)
+	var result = make([]string, 0, cutNum)
+	var raw = make([]string, 0, allNum)
+	for _, idx := range scoreIdxArr {
+		//raw[arg.Pairs[idx].Symbol] = scores[idx]
+		raw = append(raw, arg.Pairs[idx].Symbol)
+		if _, ok := volIdMap[idx]; ok {
+			sta := arg.Pairs[idx]
+			if len(sta.Orders)*4 < avgOdNum {
+				continue
+			}
+			result = append(result, sta.Symbol)
+			if len(result) >= cutNum {
+				break
+			}
+		}
+	}
+	log.Info("by sharpe", zap.Strings("pairs", raw))
+	return result, nil
+}