backtest optimize

config/exchange.toml

@@ -19,7 +19,7 @@ marketSubscribeLimit = 16
 consumeBatch = 1024
 consumeLater = 2000                             # 时间到达later或者数据累计到batch触发consume
 # httpProxy = ""
-# httpProxy = "http://192.168.1.8:7890"
+# httpProxy = "http://192.168.1.5:7890"
 httpProxy = "http://10.255.183.209:7890"
 
 # 模拟盘API交易地址如下：

internal/trading/backtest/backtest_stats.go

@@ -115,6 +115,83 @@ func sharpeFromEquitySnapshots(snapshots []*EquitySnapshot, rfAnnual float64) fl
 	return meanEx / sd * math.Sqrt(periodsPerYear)
 }
 
+// sortinoFromEquitySnapshots computes Sortino Ratio based on equity time series snapshots.
+func sortinoFromEquitySnapshots(snapshots []*EquitySnapshot, rfAnnual float64) float64 {
+	if len(snapshots) < 2 {
+		return 0
+	}
+	// ensure sorted by timestamp
+	sort.Slice(snapshots, func(i, j int) bool { return snapshots[i].Ts < snapshots[j].Ts })
+
+	const secsYear = 365.0 * 24.0 * 3600.0
+	var returns []float64
+	var dts []float64
+	for i := 1; i < len(snapshots); i++ {
+		prev := snapshots[i-1].Equity
+		cur := snapshots[i].Equity
+		if prev <= 0 {
+			continue
+		}
+		returns = append(returns, cur/prev-1)
+		dt := float64(snapshots[i].Ts-snapshots[i-1].Ts) / 1000.0
+		if dt <= 0 {
+			dt = 1.0
+		}
+		dts = append(dts, dt)
+	}
+	if len(returns) <= 1 {
+		return 0
+	}
+	sum := 0.0
+	for _, d := range dts {
+		sum += d
+	}
+	avgDt := sum / float64(len(dts))
+	periodsPerYear := secsYear / avgDt
+	rfPeriod := rfAnnual / periodsPerYear
+
+	excess := make([]float64, len(returns))
+	downsideSum := 0.0
+	for i := range returns {
+		excess[i] = returns[i] - rfPeriod
+		if excess[i] < 0 {
+			downsideSum += excess[i] * excess[i]
+		}
+	}
+	meanEx := ta.Avg(excess)
+	downsideDev := math.Sqrt(downsideSum / float64(len(returns)))
+	if downsideDev == 0 {
+		return 0
+	}
+	return meanEx / downsideDev * math.Sqrt(periodsPerYear)
+}
+
+func calmarRatio(annualReturn float64, maxDrawdown float64) float64 {
+	if maxDrawdown == 0 {
+		return 0
+	}
+	return annualReturn / maxDrawdown
+}
+
+func profitFactor(orders []*trade.TradeOrder) float64 {
+	grossProfit := 0.0
+	grossLoss := 0.0
+	for _, o := range orders {
+		if o.Profit > 0 {
+			grossProfit += o.Profit
+		} else {
+			grossLoss += math.Abs(o.Profit)
+		}
+	}
+	if grossLoss == 0 {
+		if grossProfit == 0 {
+			return 0
+		}
+		return 999.0 // Infinite
+	}
+	return grossProfit / grossLoss
+}
+
 func stddev(x []float64) float64 {
 	if len(x) <= 1 {
 		return 0

internal/trading/backtest/sig_strategy_backtester.go

@@ -266,6 +266,13 @@ func (b *SigStrategyBacktester) multiInstanceIntervalSeries(ctx context.Context,
 		syncCh := make(chan int64)
 		syncChans = append(syncChans, syncCh)
 		go func(isr *pb.SeriesRange, kSeries *types.KlineSeries, syncCh chan int64) {
+			defer func() {
+				if e := recover(); e != nil {
+					zlog.Errorf("fetch interval history panic: inst=%s(%s) interval=%s, err=%v", sr.InstId, sr.Exchange, isr.Interval, e)
+					err = fmt.Errorf("panic: %v", e)
+					close(stopCh)
+				}
+			}()
 			interval := types.Interval(isr.Interval)
 			intervalAdder := types.SupportedIntervals[interval]
 			driverTs := int64(0)
@@ -311,7 +318,7 @@ func (b *SigStrategyBacktester) multiInstanceIntervalSeries(ctx context.Context,
 			})
 			zlog.Debugf("other sr finish with: %s(%s), %v, last=%d", isr.InstId, isr.Interval, err1, intervalAdder(kSeries.MustGet(0).Ts, 1))
 			if err1 == nil {
-				syncCh <- -1 // 通知更新完毕, 后续不再更新
+				close(syncCh) // k线数据拉取完毕, 后续不再更新
 			} else if err1 != errStop {
 				zlog.Errorf("fetch interval history error: inst=%s(%s) interval=%s, err=%v", sr.InstId, sr.Exchange, interval, err1)
 				err = err1
@@ -332,15 +339,19 @@ func (b *SigStrategyBacktester) multiInstanceIntervalSeries(ctx context.Context,
 			return
 		}
 		driverTS := driverIntervalAdder(k.Ts, 1)
-		for i, syncCh := range syncChans {
+		for _, syncCh := range syncChans {
 			if syncCh == nil {
 				continue
 			}
 			syncCh <- driverTS // 通知其他周期更新到主周期时间
+		}
+		for i, syncCh := range syncChans {
+			if syncCh == nil {
+				continue
+			}
 			select {
-			case sig := <-syncCh: // 等待该周期更新完毕
-				if sig == -1 {
-					// 后续不再更新
+			case _, ok := <-syncCh: // 等待其他周期更新完毕
+				if !ok {
 					syncChans[i] = nil
 				}
 			case <-ctx.Done():

internal/trading/backtest/trading_plan_backtester.go

@@ -181,6 +181,21 @@ func (b *TradingPlanBacktester) Backtest(ctx context.Context) (test *trade.Backt
 	sharpeRatio := sharpeFromEquitySnapshots(snaps, 0.01)
 	pow := math.Pow(10, float64(6))
 	test.SharpeRatio = math.Round(sharpeRatio*pow) / pow
+
+	// Advanced Metrics
+	test.SortinoRatio = math.Round(sortinoFromEquitySnapshots(snaps, 0.01)*pow) / pow
+	test.ProfitFactor = math.Round(profitFactor(orders)*pow) / pow
+	if test.TotalTrades > 0 {
+		test.WinRate = float64(test.WinningTrades) / float64(test.TotalTrades)
+	}
+
+	durationMs := float64(b.sr.After - b.sr.Before)
+	if durationMs > 0 && test.Cash > 0 {
+		totalReturn := (test.EndCash - test.Cash) / test.Cash
+		annualReturn := totalReturn * (365.0 * 24.0 * 3600.0 * 1000.0 / durationMs)
+		test.CalmarRatio = math.Round(calmarRatio(annualReturn, test.MaxDrawdown)*pow) / pow
+	}
+
 	return
 }
 

pkg/indicator/indicator_plot.go

@@ -27,9 +27,11 @@ const (
 
 // Series 绘图颜色
 const (
-	ColorRed    string = "red"
-	ColorGreen  string = "green"
-	ColorYellow string = "yellow"
-	ColorBlue   string = "blue"
-	ColorPurple string = "purple"
+	ColorRed    string = "#f23645"
+	ColorGreen  string = "#089981"
+	ColorRed2   string = "#f7a9a7"
+	ColorGreen2 string = "#92d2cc"
+	ColorYellow string = "#cdcf36"
+	ColorBlue   string = "#556cd6"
+	ColorPurple string = "#e48dce"
 )

pkg/indicator/macd.go

@@ -18,12 +18,12 @@ func (c *MACD) Meta() IndicatorMeta {
 		},
 		State: []string{"dif", "dea"},
 		Plots: []Plot{
-			{State: "vector", Type: PlotHistogram, Props: PlotProps{"color": ColorGreen}, Exps: []PlotExp{
-				{Exp: "vector < 0", Props: PlotProps{"color": ColorRed}},
-				{Exp: "vector >= 0", Props: PlotProps{"color": ColorGreen}},
+			{State: "vector", Type: PlotHistogram, Props: PlotProps{"color": ColorGreen2}, Exps: []PlotExp{
+				{Exp: "vector < 0", Props: PlotProps{"color": ColorRed2}},
+				{Exp: "vector >= 0", Props: PlotProps{"color": ColorGreen2}},
 			}},
 			{State: "dif", Type: PlotLine, Props: PlotProps{"color": ColorYellow}},
-			{State: "dea", Type: PlotLine, Props: PlotProps{"color": ColorBlue}},
+			{State: "dea", Type: PlotLine, Props: PlotProps{"color": ColorRed}},
 		},
 	}
 }

pkg/indicator/super_trend.go

@@ -15,9 +15,9 @@ func (c SuperTrend) Meta() IndicatorMeta {
 		},
 		State: []string{"direction"},
 		Plots: []Plot{
-			{State: "vector", Type: PlotLine, Props: PlotProps{"color": ColorGreen}, Exps: []PlotExp{
-				{Exp: "direction == -1", Props: PlotProps{"color": ColorRed}},
-				{Exp: "direction == 1", Props: PlotProps{"color": ColorGreen}},
+			{State: "vector", Type: PlotLine, Props: PlotProps{"color": ColorGreen, "lineWidth": 2}, Exps: []PlotExp{
+				{Exp: "direction == -1", Props: PlotProps{"color": ColorRed2}},
+				{Exp: "direction == 1", Props: PlotProps{"color": ColorGreen2}},
 			}},
 		},
 	}

pkg/trade/types.go

@@ -77,6 +77,10 @@ type BacktestTradingPlan struct {
 	Fee           float64         `json:"fee" gorm:"column:fee"`                      // 总手续费
 	MaxDrawdown   float64         `json:"maxDrawdown" gorm:"column:max_drawdown"`     // 最大回撤
 	SharpeRatio   float64         `json:"sharpeRatio" gorm:"column:sharpe_ratio"`     // 夏普比率
+	SortinoRatio  float64         `json:"sortinoRatio" gorm:"column:sortino_ratio"`   // 索提诺比率
+	CalmarRatio   float64         `json:"calmarRatio" gorm:"column:calmar_ratio"`     // 卡尔玛比率
+	ProfitFactor  float64         `json:"profitFactor" gorm:"column:profit_factor"`   // 盈利因子
+	WinRate       float64         `json:"winRate" gorm:"column:win_rate"`             // 胜率
 	Trades        []*TradeOrder   `json:"-" gorm:"-"`                                 // 回测交易单
 }