backtest

internal/trading/backtest/account.go

@@ -2,7 +2,6 @@ package backtest
 
 import (
 	"math"
-	"sig-pub/api/pb"
 	"sig-pub/pkg/types"
 	"sig-pub/pkg/types/decimals"
 )
@@ -34,9 +33,9 @@ func (a *Account) SetRiskLimits(maxPosPct, maxExposurePct float64) {
 func (a *Account) CurrentEquity(price float64) float64 {
 	equity := a.Cash
 	for _, p := range a.Positions {
-		if p.Side == pb.Side_BUY {
+		if p.Side == types.SideBuy {
 			equity += (price - p.EntryPx) * p.Qty
-		} else if p.Side == pb.Side_SELL {
+		} else if p.Side == types.SideSell {
 			equity += (p.EntryPx - price) * p.Qty
 		}
 	}
@@ -53,7 +52,7 @@ func (a *Account) CurrentExposure(price float64) float64 {
 }
 
 // CanOpen 判断在给定价格下是否可以开仓（基于 MaxPosPct 和 MaxExposurePct）
-func (a *Account) CanOpen(side pb.Side, qty, price float64) bool {
+func (a *Account) CanOpen(side types.Side, qty, price float64) bool {
 	if qty <= 0 || price <= 0 {
 		return false
 	}
@@ -78,7 +77,7 @@ func (a *Account) CanOpen(side pb.Side, qty, price float64) bool {
 }
 
 // ApplyMarketOrder 直接用市价下单（简化），qty为基础货币数量
-func (a *Account) ApplyMarketOrder(side pb.Side, qty float64, klineTs int64, kline types.Kline) (t Trade, ok bool) {
+func (a *Account) ApplyMarketOrder(side types.Side, qty float64, klineTs int64, kline types.Kline) (t Trade, ok bool) {
 	// risk check before executing
 	price := decimals.MustToFloat64(kline.Close)
 	if !a.CanOpen(side, qty, price) {
@@ -86,7 +85,7 @@ func (a *Account) ApplyMarketOrder(side pb.Side, qty float64, klineTs int64, kli
 	}
 	trade := a.Simulator.ExecuteMarket(side, qty, kline, klineTs)
 	// apply cash/position
-	if side == pb.Side_BUY {
+	if side == types.SideBuy {
 		cost := trade.Price*qty + trade.Fee
 		if cost > a.Cash {
 			return trade, false
@@ -95,7 +94,7 @@ func (a *Account) ApplyMarketOrder(side pb.Side, qty float64, klineTs int64, kli
 		// open/add position
 		pos := &Position{Side: side, Qty: qty, EntryPx: trade.Price, EntryTs: klineTs, PeakPx: trade.Price}
 		a.Positions = append(a.Positions, pos)
-	} else if side == pb.Side_SELL {
+	} else if side == types.SideSell {
 		// simplify: allow short by increasing cash
 		receive := trade.Price*qty - trade.Fee
 		a.Cash += receive
@@ -116,17 +115,17 @@ func (a *Account) ClosePosition(index int, kline types.Kline, ts int64, cause st
 		return t, false
 	}
 	// determine close side (opposite)
-	var closeSide pb.Side
+	var closeSide types.Side
-	if pos.Side == pb.Side_BUY {
+	if pos.Side == types.SideBuy {
-		closeSide = pb.Side_SELL
+		closeSide = types.SideSell
 	} else {
-		closeSide = pb.Side_BUY
+		closeSide = types.SideBuy
 	}
 
 	t = a.Simulator.ExecuteMarket(closeSide, pos.Qty, kline, ts)
 	t.CloseCause = cause
 	// apply cash change
-	if closeSide == pb.Side_SELL {
+	if closeSide == types.SideSell {
 		// selling a long position -> receive cash
 		receive := t.Price*pos.Qty - t.Fee
 		a.Cash += receive

internal/trading/backtest/backtest.go

@@ -8,6 +8,7 @@ import (
 	"sig-pub/internal/trading/sig"
 	"sig-pub/pkg/indicator"
 	"sig-pub/pkg/strategy"
+	"sig-pub/pkg/trade"
 	"sig-pub/pkg/types"
 	"sig-pub/pkg/types/decimals"
 	"sig-pub/pkg/utils/times"
@@ -20,10 +21,22 @@ type Backtest struct {
 	exchangeClient pb.ExchangeServiceClient
 	indReg         *indicator.IndicatorRegistry
 	sigStrategyReg *strategy.SigStrategyRegistry
+
+	account      *Account
+	riskStrategy *trade.RiskStrategy
+	closeManager *CloseManager
 }
 
 func NewBacktest(exchangeClient pb.ExchangeServiceClient, indReg *indicator.IndicatorRegistry, sigStrategyReg *strategy.SigStrategyRegistry) *Backtest {
-	return &Backtest{exchangeClient: exchangeClient, indReg: indReg}
+	account := NewAccount(10000, NewSimulator(0.0005, 0.0008))
+	cm := NewCloseManager(0.02, 0.03)
+	return &Backtest{
+		exchangeClient: exchangeClient,
+		indReg:         indReg,
+		riskStrategy:   trade.NewRiskStrategy(),
+		account:        account,
+		closeManager:   cm,
+	}
 }
 
 func (b *Backtest) RunTradingPlan(ctx context.Context, tradingPlan *sig.TradingPlan, stime, etime int64, sigKlineSeries *sig.KlineSeries) (err error) {
@@ -61,6 +74,7 @@ func (b *Backtest) RunTradingPlan(ctx context.Context, tradingPlan *sig.TradingP
 
 	recvTimes, total := 0, 0
 	watch := times.NewWatch()
+	var lastK *types.Kline
 	for {
 		msg, err0 := stream.Recv()
 		if err0 == io.EOF {
@@ -75,7 +89,7 @@ func (b *Backtest) RunTradingPlan(ctx context.Context, tradingPlan *sig.TradingP
 		for _, k := range msg.Klines {
 			kline := new(types.Kline)
 			kline.ParsePBKline(seriesRange.Exchange, k)
-
+			lastK = kline
 			if lastTs, serial := sigKlineSeries.Update(kline); !serial {
 				err = fmt.Errorf("kline not series: %s(%s), interval=%s, lastTs=%d", instId, exchange, interval, lastTs)
 				return
@@ -85,19 +99,56 @@ func (b *Backtest) RunTradingPlan(ctx context.Context, tradingPlan *sig.TradingP
 				continue
 			}
 
-			signalSide := tradingPlan.Update(strategy.StrategyTypeSig)
+			// 平仓策略
-			switch signalSide {
+			b.closeManager.OnKline(*kline, b.account)
-			case types.SideBuy, types.SideSell:
+
-				k, _ := sigKlineSeries.Get(0)
+			sigSide := tradingPlan.Update(strategy.StrategyTypeSig)
-				_ = k
+			if sigSide.IsValid() {
-				// zlog.Infof("sigSide: ts=%d, %s", k.Ts, sigSide)
+				b.onSigSideSignal(sigSide, *kline)
+			}
+		}
+	}
+
+	// build result
+	res := &BacktestResult{}
+	res.StartTs = 0
+	res.EndTs = 0
+	acct := b.account
+	res.Trades = acct.Trades
+	for _, p := range acct.Positions {
+		res.Positions = append(res.Positions, *p)
+	}
+	res.Cash = acct.Cash
+	// estimate equity using last close price
+	if lastK != nil {
+		last := decimals.MustToFloat64(lastK.Close)
+		equity := acct.Cash
+		// naive mark-to-market of positions
+		for _, p := range acct.Positions {
+			if p.Side == types.SideBuy {
+				equity += (last - p.EntryPx) * p.Qty
+			} else {
+				equity += (p.EntryPx - last) * p.Qty
+			}
 		}
+		res.Equity = equity
 	}
+	zlog.Debugf("recv=%d, total=%d, use %s, ret=%#v", recvTimes, total, watch.ElapsedFmt("."), res)
+	return
 }
 
-	zlog.Debugf("recv=%d, total=%d, use %s", recvTimes, total, watch.ElapsedFmt("."))
+// onSigSideSignal 交易策略发出交易信号
+func (b *Backtest) onSigSideSignal(sigSide types.Side, k types.Kline) {
+	side := b.riskStrategy.SideAssess(sigSide)
+	if !side.IsValid() {
+		zlog.Debugf("risk strategy filter sig side: %s", sigSide.String())
 		return
 	}
+	zlog.Debugf("apply market order:  ts=%d, side=%s", k.Ts, side.String())
+	b.account.ApplyMarketOrder(side, 0.01, k.Ts, k)
+
+	b.closeManager.CloseBySignal(types.SideBuy, b.account, k)
+}
 
 // Run 执行回测
 // seriesRange: 回测的交易产品/周期/时间区间
@@ -178,9 +229,9 @@ func (b *Backtest) Run0(ctx context.Context, seriesRange *pb.SeriesRange, sigStr
 		if side == types.SideBuy || side == types.SideSell {
 			// signal-based close: close opposite positions first
 			if cm != nil {
-				cm.CloseBySignal(pb.Side_BUY, acct, klines[i])
+				cm.CloseBySignal(types.SideBuy, acct, klines[i])
 			}
-			if _, ok := acct.ApplyMarketOrder(pb.Side_BUY, qty, klines[i].Ts, klines[i]); ok {
+			if _, ok := acct.ApplyMarketOrder(types.SideBuy, qty, klines[i].Ts, klines[i]); ok {
 				// trade recorded
 			} else {
 				zlog.Debugf("order rejected or insufficient cash at ts=%d", klines[i].Ts)
@@ -202,7 +253,7 @@ func (b *Backtest) Run0(ctx context.Context, seriesRange *pb.SeriesRange, sigStr
 		equity := acct.Cash
 		// naive mark-to-market of positions
 		for _, p := range acct.Positions {
-			if p.Side == pb.Side_BUY {
+			if p.Side == types.SideBuy {
 				equity += (last - p.EntryPx) * p.Qty
 			} else {
 				equity += (p.EntryPx - last) * p.Qty

internal/trading/backtest/close_manager.go

@@ -1,7 +1,6 @@
 package backtest
 
 import (
-	"sig-pub/api/pb"
 	"sig-pub/pkg/types"
 	"sig-pub/pkg/types/decimals"
 )
@@ -52,16 +51,16 @@ func (m *CloseManager) OnKline(k types.Kline, acct *Account) (trades []Trade) {
 		// update peak px
 		high := decimals.MustToFloat64(k.High)
 		low := decimals.MustToFloat64(k.Low)
-		if p.Side == pb.Side_BUY {
+		if p.Side == types.SideBuy {
 			if high > p.PeakPx {
 				p.PeakPx = high
 			}
-		} else if p.Side == pb.Side_SELL {
+		} else if p.Side == types.SideSell {
 			if low < p.PeakPx {
 				p.PeakPx = low
 			}
 		}
-		if p.Side == pb.Side_BUY {
+		if p.Side == types.SideBuy {
 			// stoploss
 			if m.StopLossPct > 0 && priceLow <= entry*(1-m.StopLossPct) {
 				toClose = append(toClose, closeTask{idx: i, cause: "stoploss"})
@@ -97,7 +96,7 @@ func (m *CloseManager) OnKline(k types.Kline, acct *Account) (trades []Trade) {
 					}
 				}
 			}
-		} else if p.Side == pb.Side_SELL {
+		} else if p.Side == types.SideSell {
 			// short: stoploss if high >= entry*(1+stop), takeprofit if low <= entry*(1-tp)
 			if m.StopLossPct > 0 && priceHigh >= entry*(1+m.StopLossPct) {
 				toClose = append(toClose, closeTask{idx: i, cause: "stoploss"})
@@ -141,11 +140,11 @@ func (m *CloseManager) OnKline(k types.Kline, acct *Account) (trades []Trade) {
 		}
 		// perform market close: side opposite
 		pos := acct.Positions[idx]
-		var closeSide pb.Side
+		var closeSide types.Side
-		if pos.Side == pb.Side_BUY {
+		if pos.Side == types.SideBuy {
-			closeSide = pb.Side_SELL
+			closeSide = types.SideSell
 		} else {
-			closeSide = pb.Side_BUY
+			closeSide = types.SideBuy
 		}
 		tr, ok := acct.ClosePosition(idx, k, k.Ts, cause)
 		if ok {
@@ -157,7 +156,7 @@ func (m *CloseManager) OnKline(k types.Kline, acct *Account) (trades []Trade) {
 }
 
 // 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
-func (m *CloseManager) CloseBySignal(sigSide pb.Side, acct *Account, k types.Kline) (trades []Trade) {
+func (m *CloseManager) CloseBySignal(sigSide types.Side, acct *Account, k types.Kline) (trades []Trade) {
 	if acct == nil {
 		return
 	}
@@ -171,9 +170,9 @@ func (m *CloseManager) CloseBySignal(sigSide pb.Side, acct *Account, k types.Kli
 		if p == nil {
 			continue
 		}
-		if sigSide == pb.Side_BUY && p.Side == pb.Side_SELL {
+		if sigSide == types.SideBuy && p.Side == types.SideSell {
 			toClose = append(toClose, closeTask{idx: i, cause: "signal"})
-		} else if sigSide == pb.Side_SELL && p.Side == pb.Side_BUY {
+		} else if sigSide == types.SideSell && p.Side == types.SideBuy {
 			toClose = append(toClose, closeTask{idx: i, cause: "signal"})
 		}
 	}

internal/trading/backtest/simulator.go

@@ -2,7 +2,6 @@ package backtest
 
 import (
 	"math"
-	"sig-pub/api/pb"
 	"sig-pub/pkg/types"
 	"sig-pub/pkg/types/decimals"
 )
@@ -17,11 +16,11 @@ func NewSimulator(feePct, slippagePct float64) *Simulator {
 }
 
 // ExecuteMarket 执行市价单，使用kline信息决定成交价（使用close以及滑点）
-func (s *Simulator) ExecuteMarket(side pb.Side, qty float64, k types.Kline, ts int64) (trade Trade) {
+func (s *Simulator) ExecuteMarket(side types.Side, qty float64, k types.Kline, ts int64) (trade Trade) {
 	// base price use close
 	base := decimals.MustToFloat64(k.Close)
 	slippage := s.SlippagePct
-	if side == pb.Side_SELL {
+	if side == types.SideSell {
 		// sell: worse price lower
 		base = base * (1 - slippage)
 	} else {
@@ -34,10 +33,10 @@ func (s *Simulator) ExecuteMarket(side pb.Side, qty float64, k types.Kline, ts i
 }
 
 // ExecuteLimit 简单实现: 如果limit价格被kline的high/low包含则成交
-func (s *Simulator) ExecuteLimit(side pb.Side, qty float64, limitPx float64, k types.Kline, ts int64) (filled bool, trade Trade) {
+func (s *Simulator) ExecuteLimit(side types.Side, qty float64, limitPx float64, k types.Kline, ts int64) (filled bool, trade Trade) {
 	h := decimals.MustToFloat64(k.High)
 	l := decimals.MustToFloat64(k.Low)
-	if side == pb.Side_BUY {
+	if side == types.SideBuy {
 		// buy limit: filled if low <= price
 		if l <= limitPx {
 			// assume filled at min(limitPx, open)
@@ -46,7 +45,7 @@ func (s *Simulator) ExecuteLimit(side pb.Side, qty float64, limitPx float64, k t
 			trade = Trade{Side: side, Qty: qty, Price: px * (1 + s.SlippagePct), Fee: fee, Ts: ts}
 			return true, trade
 		}
-	} else if side == pb.Side_SELL {
+	} else if side == types.SideSell {
 		if h >= limitPx {
 			px := math.Max(limitPx, decimals.MustToFloat64(k.Open))
 			fee := math.Abs(px*qty) * s.FeePct

internal/trading/backtest/types.go

@@ -1,10 +1,8 @@
 package backtest
 
-import (
+import "sig-pub/pkg/types"
-	"sig-pub/api/pb"
-)
 
-type Side = pb.Side
+type Side = types.Side
 
 type Position struct {
 	Side    Side
@@ -16,7 +14,7 @@ type Position struct {
 
 type Trade struct {
 	Id         int64      // 交易id
-	Side       pb.Side // 交易方向
+	Side       types.Side // 交易方向
 	Status     int32      // 1.交易中 2.持仓中 3.已平仓
 	Qty        float64    // 交易量
 	Price      float64    // 开仓价格

pkg/trade/risk_strategy.go

@@ -1,8 +1,6 @@
 package trade
 
 import (
-	"sig-pub/api/pb"
-	"sig-pub/pkg/indicator"
 	"sig-pub/pkg/types"
 )
 
@@ -10,18 +8,17 @@ type IRickStrategy interface {
 	OnSingle(signalSide types.Side)
 }
 
-// RickStrategy 风险管理策略
+// RiskStrategy 风险管理策略
-type RickStrategy struct {
+type RiskStrategy struct {
-	indicatorCtx indicator.IIndicatorContext
 }
 
-// OnSingle 收到信号时进行评估, 返回过滤后的交易信号
+func NewRiskStrategy() *RiskStrategy {
+	return &RiskStrategy{}
+}
+
+// SideAssess 收到信号时进行评估, 返回过滤后的交易信号
 // todo 对交易方向进行信心分数评估, 后续开仓仓位
-func (s *RickStrategy) OnSingle(signalSide pb.Side) (side pb.Side) {
+func (s *RiskStrategy) SideAssess(signalSide types.Side) (side types.Side) {
-	k := s.indicatorCtx.Get(0)
-	price := k.Close
-	ts := k.Ts
-	_, _ = price, ts
 
 	return signalSide
 }

pkg/types/signal.go

@@ -7,6 +7,10 @@ const (
 	SideSell Side = 2 // SELL
 )
 
+func (side Side) IsValid() bool {
+	return side == SideBuy || side == SideSell
+}
+
 func (side Side) String() string {
 	switch side {
 	default: