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@ -1,11 +1,14 @@ |
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package backtest |
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package backtest |
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import ( |
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import ( |
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"sig-pub/pkg/trade" |
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"sig-pub/pkg/types" |
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"sig-pub/pkg/types" |
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"sig-pub/pkg/types/decimals" |
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"sig-pub/pkg/types/decimals" |
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) |
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) |
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// CloseManager 管理持仓平仓逻辑：stoploss/takeprofit 与 基于信号的平仓
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// CloseManager 管理持仓平仓逻辑：stoploss/takeprofit 与 基于信号的平仓
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// 1.交易信号和持单方向相反时是否进行平仓
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// 2.计算止盈止损时是否包含手续费
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type CloseManager struct { |
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type CloseManager struct { |
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StopLossPct float64 // static stoploss
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StopLossPct float64 // static stoploss
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TakeProfitPct float64 // static take profit
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TakeProfitPct float64 // static take profit
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@ -24,9 +27,13 @@ func (m *CloseManager) SetDynamicParams(trailingPct, minProfitToTrail, profitRet |
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m.ProfitRetracePct = profitRetracePct |
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m.ProfitRetracePct = profitRetracePct |
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} |
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} |
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func (m *CloseManager) Init(param trade.CloseStrategyParam) { |
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} |
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// OnKline 根据最新 kline 检查是否触发 stoploss 或 takeprofit，触发则平仓（市价）
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// OnKline 根据最新 kline 检查是否触发 stoploss 或 takeprofit，触发则平仓（市价）
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// 返回发生的平仓成交记录
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// 返回发生的平仓成交记录
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func (m *CloseManager) OnKline(k types.Kline, acct *Account) (trades []Trade) { |
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func (m *CloseManager) OnKline(k types.Kline, acct *Account) (trades []*Trade) { |
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if acct == nil { |
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if acct == nil { |
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return |
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return |
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} |
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} |
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@ -36,127 +43,140 @@ func (m *CloseManager) OnKline(k types.Kline, acct *Account) (trades []Trade) { |
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// collect indices to close to avoid modifying slice during iteration
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// collect indices to close to avoid modifying slice during iteration
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type closeTask struct { |
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type closeTask struct { |
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idx int |
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tradeId int64 |
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cause string |
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cause string |
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} |
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} |
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var toClose []closeTask |
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var toClose []closeTask |
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priceHigh := decimals.MustToFloat64(k.High) |
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closePrice := decimals.MustToFloat64(k.Close) |
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priceLow := decimals.MustToFloat64(k.Low) |
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for i, p := range acct.Positions { |
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for _, p := range acct.Positions { |
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if p == nil { |
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if p == nil { |
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continue |
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continue |
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} |
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} |
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entry := p.EntryPx |
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entry := p.EntryPx |
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// update peak px
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// update peak px
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high := decimals.MustToFloat64(k.High) |
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switch p.Side { |
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low := decimals.MustToFloat64(k.Low) |
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case types.SideLong: |
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if p.Side == types.SideBuy { |
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if closePrice > p.PeakPx { |
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if high > p.PeakPx { |
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p.PeakPx = closePrice |
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p.PeakPx = high |
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} |
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} |
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} else if p.Side == types.SideSell { |
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case types.SideShort: |
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if low < p.PeakPx { |
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if closePrice < p.PeakPx { |
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p.PeakPx = low |
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p.PeakPx = closePrice |
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} |
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} |
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} |
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} |
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if p.Side == types.SideBuy { |
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// 固定止盈止损
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if p.Side == types.SideLong { |
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// stoploss
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// stoploss
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if m.StopLossPct > 0 && priceLow <= entry*(1-m.StopLossPct) { |
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if m.StopLossPct > 0 && closePrice <= entry*(1-m.StopLossPct) { |
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toClose = append(toClose, closeTask{idx: i, cause: "stoploss"}) |
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acct.Stat.StoplossTimes++ |
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toClose = append(toClose, closeTask{tradeId: p.TradeId, cause: "stoploss"}) |
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continue |
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continue |
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} |
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} |
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// takeprofit
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// takeprofit
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if m.TakeProfitPct > 0 && priceHigh >= entry*(1+m.TakeProfitPct) { |
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// if m.TakeProfitPct > 0 && priceHigh >= entry*(1+m.TakeProfitPct) {
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toClose = append(toClose, closeTask{idx: i, cause: "takeprofit"}) |
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// acct.Stat.TakeprofitTimes++
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continue |
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// toClose = append(toClose, closeTask{tradeId: p.TradeId, cause: "takeprofit"})
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} |
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// continue
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// }
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// dynamic trailing stop based on peak price
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// dynamic trailing stop based on peak price
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if m.TrailingPct > 0 && m.MinProfitToTrail > 0 { |
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if m.TrailingPct > 0 && m.MinProfitToTrail > 0 { |
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// peak profit fraction
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// peak profit fraction
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peakProfit := (p.PeakPx - entry) / entry |
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peakProfit := (p.PeakPx - entry) / entry |
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if peakProfit >= m.MinProfitToTrail { |
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if peakProfit >= m.MinProfitToTrail { // 最高盈利百分比
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// trailing level
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// trailing level
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trailLevel := p.PeakPx * (1 - m.TrailingPct) |
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// trailLevel := p.PeakPx * (1 - m.TrailingPct)
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if priceLow <= trailLevel { |
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// if closePrice <= trailLevel {
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toClose = append(toClose, closeTask{idx: i, cause: "trailing"}) |
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trail := (p.PeakPx - entry) * (1 - m.TrailingPct) |
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if (closePrice - entry) < trail { |
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acct.Stat.TrailingTimes++ |
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toClose = append(toClose, closeTask{tradeId: p.TradeId, cause: "trailing"}) |
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continue |
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continue |
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} |
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} |
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} |
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} |
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} |
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} |
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// profit retrace rule: if peakProfit>0 and current retrace > ProfitRetracePct
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// profit retrace rule: if peakProfit>0 and current retrace > ProfitRetracePct
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if m.ProfitRetracePct > 0 { |
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// if m.ProfitRetracePct > 0 {
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peakProfit := (p.PeakPx - entry) / entry |
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// peakProfit := (p.PeakPx - entry) / entry
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curProfit := (priceHigh - entry) / entry |
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// curProfit := (closePrice - entry) / entry
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if peakProfit > 0 { |
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// if peakProfit > 0 {
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retrace := (peakProfit - curProfit) / peakProfit |
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// retrace := (peakProfit - curProfit) / peakProfit
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if retrace >= m.ProfitRetracePct { |
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// if retrace >= m.ProfitRetracePct {
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toClose = append(toClose, closeTask{idx: i, cause: "retrace"}) |
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// acct.Stat.RetraceTimes++
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continue |
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// toClose = append(toClose, closeTask{tradeId: p.TradeId, cause: "retrace"})
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} |
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// continue
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} |
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// }
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} |
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// }
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} else if p.Side == types.SideSell { |
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// }
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} else if p.Side == types.SideShort { |
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// short: stoploss if high >= entry*(1+stop), takeprofit if low <= entry*(1-tp)
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// short: stoploss if high >= entry*(1+stop), takeprofit if low <= entry*(1-tp)
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if m.StopLossPct > 0 && priceHigh >= entry*(1+m.StopLossPct) { |
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if m.StopLossPct > 0 && closePrice >= entry*(1+m.StopLossPct) { |
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toClose = append(toClose, closeTask{idx: i, cause: "stoploss"}) |
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acct.Stat.StoplossTimes++ |
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continue |
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toClose = append(toClose, closeTask{tradeId: p.TradeId, cause: "stoploss"}) |
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} |
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if m.TakeProfitPct > 0 && priceLow <= entry*(1-m.TakeProfitPct) { |
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toClose = append(toClose, closeTask{idx: i, cause: "takeprofit"}) |
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continue |
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continue |
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} |
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} |
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// if m.TakeProfitPct > 0 && priceLow <= entry*(1-m.TakeProfitPct) {
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// acct.Stat.TakeprofitTimes++
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// toClose = append(toClose, closeTask{tradeId: p.TradeId, cause: "takeprofit"})
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// continue
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// }
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// update trailing for short based on PeakPx (lower is better for short)
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// update trailing for short based on PeakPx (lower is better for short)
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if m.TrailingPct > 0 && m.MinProfitToTrail > 0 { |
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if m.TrailingPct > 0 && m.MinProfitToTrail > 0 { |
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peakProfit := (entry - p.PeakPx) / entry |
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peakProfit := (entry - p.PeakPx) / entry |
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if peakProfit >= m.MinProfitToTrail { |
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if peakProfit >= m.MinProfitToTrail { |
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trailLevel := p.PeakPx * (1 + m.TrailingPct) |
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// trailLevel := p.PeakPx * (1 + m.TrailingPct)
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if priceHigh >= trailLevel { |
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// if closePrice >= trailLevel {
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toClose = append(toClose, closeTask{idx: i, cause: "trailing"}) |
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trail := (entry - p.PeakPx) * (1 - m.TrailingPct) |
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continue |
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if (entry - closePrice) < trail { |
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} |
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acct.Stat.TrailingTimes++ |
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} |
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toClose = append(toClose, closeTask{tradeId: p.TradeId, cause: "trailing"}) |
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} |
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if m.ProfitRetracePct > 0 { |
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peakProfit := (entry - p.PeakPx) / entry |
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curProfit := (entry - priceLow) / entry |
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if peakProfit > 0 { |
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retrace := (peakProfit - curProfit) / peakProfit |
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if retrace >= m.ProfitRetracePct { |
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toClose = append(toClose, closeTask{idx: i, cause: "retrace"}) |
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continue |
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continue |
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} |
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} |
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} |
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} |
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} |
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} |
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// if m.ProfitRetracePct > 0 {
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// peakProfit := (entry - p.PeakPx) / entry
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// curProfit := (entry - closePrice) / entry
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// if peakProfit > 0 {
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// retrace := (peakProfit - curProfit) / peakProfit
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// if retrace >= m.ProfitRetracePct {
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// acct.Stat.RetraceTimes++
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// toClose = append(toClose, closeTask{tradeId: p.TradeId, cause: "retrace"})
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// continue
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// }
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// }
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// }
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} |
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} |
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} |
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} |
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// close collected positions (process from high index to low to safely remove)
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// close collected positions (process from high index to low to safely remove)
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for j := len(toClose) - 1; j >= 0; j-- { |
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for j := len(toClose) - 1; j >= 0; j-- { |
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idx := toClose[j].idx |
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tradeId := toClose[j].tradeId |
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cause := toClose[j].cause |
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cause := toClose[j].cause |
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if idx < 0 || idx >= len(acct.Positions) { |
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var pos *Position |
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continue |
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var index int |
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for i, p := range acct.Positions { |
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if p.TradeId == tradeId { |
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pos = p |
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index = i |
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break |
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} |
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} |
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} |
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// perform market close: side opposite
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if pos == nil { |
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pos := acct.Positions[idx] |
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return |
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var closeSide types.Side |
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if pos.Side == types.SideBuy { |
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closeSide = types.SideSell |
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} else { |
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closeSide = types.SideBuy |
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} |
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} |
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tr, ok := acct.ClosePosition(idx, k, k.Ts, cause) |
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// perform market close: side opposite
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tr, ok := acct.ClosePosition(index, pos, k, k.Ts, cause) |
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if ok { |
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if ok { |
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trades = append(trades, tr) |
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trades = append(trades, tr) |
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} |
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} |
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_ = closeSide // closeSide kept for clarity if we later need it
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} |
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} |
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return |
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return |
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} |
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} |
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// CloseBySignal 根据策略信号尝试平掉相反方向的仓位。例如策略返回 SELL 时，尝试平掉所有 BUY 持仓
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// CloseBySignal 根据策略信号尝试平掉相反方向的仓位。例如策略返回 SELL 时，尝试平掉所有 BUY 持仓
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func (m *CloseManager) CloseBySignal(sigSide types.Side, acct *Account, k types.Kline) (trades []Trade) { |
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func (m *CloseManager) CloseBySignal(sigSide types.Side, acct *Account, k types.Kline) (trades []*Trade) { |
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if acct == nil { |
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if acct == nil { |
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return |
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return |
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} |
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} |
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@ -164,22 +184,23 @@ func (m *CloseManager) CloseBySignal(sigSide types.Side, acct *Account, k types. |
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type closeTask struct { |
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type closeTask struct { |
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idx int |
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idx int |
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cause string |
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cause string |
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pos *Position |
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} |
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} |
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var toClose []closeTask |
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var toClose []closeTask |
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for i, p := range acct.Positions { |
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for i, p := range acct.Positions { |
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if p == nil { |
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if p == nil { |
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continue |
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continue |
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} |
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} |
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if sigSide == types.SideBuy && p.Side == types.SideSell { |
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if sigSide == types.SideLong && p.Side == types.SideShort { |
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toClose = append(toClose, closeTask{idx: i, cause: "signal"}) |
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|
toClose = append(toClose, closeTask{idx: i, cause: "signal", pos: p}) |
|
|
|
} else if sigSide == types.SideSell && p.Side == types.SideBuy { |
|
|
|
} else if sigSide == types.SideShort && p.Side == types.SideLong { |
|
|
|
toClose = append(toClose, closeTask{idx: i, cause: "signal"}) |
|
|
|
toClose = append(toClose, closeTask{idx: i, cause: "signal", pos: p}) |
|
|
|
} |
|
|
|
} |
|
|
|
} |
|
|
|
} |
|
|
|
for j := len(toClose) - 1; j >= 0; j-- { |
|
|
|
for j := len(toClose) - 1; j >= 0; j-- { |
|
|
|
idx := toClose[j].idx |
|
|
|
idx := toClose[j].idx |
|
|
|
cause := toClose[j].cause |
|
|
|
cause := toClose[j].cause |
|
|
|
tr, ok := acct.ClosePosition(idx, k, k.Ts, cause) |
|
|
|
tr, ok := acct.ClosePosition(idx, toClose[j].pos, k, k.Ts, cause) |
|
|
|
if ok { |
|
|
|
if ok { |
|
|
|
trades = append(trades, tr) |
|
|
|
trades = append(trades, tr) |
|
|
|
} |
|
|
|
} |
|
|
|
|
