banstagy/fac/best.go

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
}