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78 lines
2.2 KiB
78 lines
2.2 KiB
package backtest |
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import ( |
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"sig-pub/pkg/indicator" |
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"sig-pub/pkg/types" |
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"sig-pub/pkg/types/series" |
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) |
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// SigStrategyContext 是一个轻量的策略上下文，用于回测时把历史k线提供给策略 |
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type SigStrategyContext struct { |
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klines []types.Kline // 时间升序: oldest ... newest |
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offset int16 // offset applied when indicators request |
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indReg *indicator.IndicatorRegistry |
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} |
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func NewSigStrategyContext(klines []types.Kline, indReg *indicator.IndicatorRegistry) *SigStrategyContext { |
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return &SigStrategyContext{klines: klines, indReg: indReg} |
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} |
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func (c *SigStrategyContext) Get(offset int16) (k types.Kline) { |
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// offset relative to current (0 = latest) |
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idx := len(c.klines) - 1 - int(offset+c.offset) |
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if idx < 0 { |
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// return zero kline if out of range |
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return types.Kline{} |
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} |
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return c.klines[idx] |
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} |
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func (c *SigStrategyContext) Series(offset, count int16) (klines series.Klines) { |
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// return slice in descending time order as expected by series.Klines |
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var ret series.Klines |
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for i := int16(0); i < count; i++ { |
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k := c.Get(offset + i) |
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ret = append(ret, k) |
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} |
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return ret |
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} |
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// WindowIndicatorSeriesLocal 实现 indicator.IIndicatorSeries |
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type WindowIndicatorSeriesLocal struct { |
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window int16 |
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ind indicator.IWindowIndicator |
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ctx *SigStrategyContext |
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} |
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func NewWindowIndicatorSeriesLocal(window int16, ind indicator.IWindowIndicator, ctx *SigStrategyContext) *WindowIndicatorSeriesLocal { |
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return &WindowIndicatorSeriesLocal{window: window, ind: ind, ctx: ctx} |
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} |
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func (w *WindowIndicatorSeriesLocal) Get(offset int16) (vector float64) { |
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// tell indicator to use offset by shifting internal offset then restore |
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prev := w.ctx.offset |
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w.ctx.offset += offset |
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vector = w.ind.Calculate(w.ctx, w.window) |
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w.ctx.offset = prev |
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return |
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} |
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func (w *WindowIndicatorSeriesLocal) Series(offset, count int16) (matrix series.Floats) { |
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prev := w.ctx.offset |
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w.ctx.offset += offset |
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for i := int16(0); i < count; i++ { |
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v := w.ind.Calculate(w.ctx, w.window) |
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matrix.Push(v) |
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w.ctx.offset++ |
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} |
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w.ctx.offset = prev |
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return |
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} |
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func (c *SigStrategyContext) IndicatorW(name string, window int16) indicator.IIndicatorSeries { |
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ind, ok := c.indReg.IndicatorW(name) |
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if !ok { |
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panic("indicator not found: " + name) |
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} |
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return NewWindowIndicatorSeriesLocal(window, ind, c) |
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}
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