@gabriel3615/ta_analysis
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stock ta analysis
219 lines (218 loc) • 9.18 kB
JavaScript
function calcSharpe(returns) {
if (returns.length === 0)
return 0;
const mean = returns.reduce((s, r) => s + r, 0) / returns.length;
const varr = returns.reduce((s, r) => s + Math.pow(r - mean, 2), 0) / returns.length;
const std = Math.sqrt(Math.max(varr, 0));
if (std === 0)
return 0;
return (mean * Math.sqrt(252)) / std;
}
function calcMaxDrawdown(equity) {
let peak = equity[0];
let maxDd = 0;
for (const v of equity) {
if (v > peak)
peak = v;
const dd = (peak - v) / peak;
if (dd > maxDd)
maxDd = dd;
}
return maxDd;
}
export class Backtester {
constructor(config) {
this.config = {
initialCapital: 100000,
positionSizing: 0.2,
maxConcurrentPositions: 1,
commissionPerTrade: 0,
slippageBps: 5,
allowShort: true,
...config,
};
}
async run(candles, strategy) {
let cash = this.config.initialCapital;
let positionQty = 0;
let positionSide = null;
let entryPrice = 0;
let peakOrTroughPrice = 0; // For trailing stop
const trades = [];
const equity = [];
const stepReturns = [];
for (let i = 50; i < candles.length - 1; i++) {
const signal = await strategy.generateSignal(candles.slice(0, i + 1), i);
const nextOpen = candles[i + 1].open;
const slip = nextOpen * (this.config.slippageBps / 10000);
const portfolioValue = positionSide
? positionSide === 'long'
? positionQty * candles[i].close // 多头持仓市值
: positionQty * (2 * entryPrice - candles[i].close) // 空头持仓市值（简化）
: 0;
const currentEquity = cash + portfolioValue;
equity.push(currentEquity);
const lastEquity = equity.length > 1
? equity[equity.length - 2]
: this.config.initialCapital;
const dailyReturn = (currentEquity - lastEquity) / lastEquity;
stepReturns.push(dailyReturn);
// 1. 出场逻辑 (Exit Logic)
// ----------------------------------------------------------------
if (positionSide) {
const currentPrice = candles[i].close;
const pnlRatio = positionSide === 'long'
? (currentPrice - entryPrice) / entryPrice
: (entryPrice - currentPrice) / entryPrice;
const tp = this.config.exitParams?.takeProfitPercent;
const sl = this.config.exitParams?.stopLossPercent;
const ts = this.config.exitParams?.trailingStopPercent;
let shouldExit = false;
// 固定止盈/止损
if (tp && pnlRatio >= tp / 100)
shouldExit = true;
if (sl && pnlRatio <= -sl / 100)
shouldExit = true;
// 追踪止损逻辑
if (ts && !shouldExit) {
if (positionSide === 'long') {
peakOrTroughPrice = Math.max(peakOrTroughPrice, candles[i].high);
const trailingStopLevel = peakOrTroughPrice * (1 - ts / 100);
if (candles[i].low <= trailingStopLevel) {
shouldExit = true;
}
}
else {
// short
peakOrTroughPrice = Math.min(peakOrTroughPrice, candles[i].low);
const trailingStopLevel = peakOrTroughPrice * (1 + ts / 100);
if (candles[i].high >= trailingStopLevel) {
shouldExit = true;
}
}
}
// 来自策略的平仓信号
if (signal && signal.direction === 'flat')
shouldExit = true;
if (shouldExit) {
const exitPrice = nextOpen - (positionSide === 'long' ? slip : -slip);
const pnl = positionSide === 'long'
? (exitPrice - entryPrice) * positionQty
: (entryPrice - exitPrice) * positionQty;
cash += pnl - this.config.commissionPerTrade;
trades.push({
entryIdx: trades.length > 0 ? trades[trades.length - 1].exitIdx : 50, // Approximate
exitIdx: i + 1,
direction: positionSide,
entryPrice,
exitPrice,
qty: positionQty,
pnl,
});
positionQty = 0;
positionSide = null;
peakOrTroughPrice = 0; // Reset trailing stop tracker
continue; // Exit processed, skip to next candle
}
}
// 如果没有信号，则跳过入场逻辑
if (!signal)
continue;
// exit logic
if (positionSide && signal.direction === 'flat') {
const exitPrice = nextOpen - (positionSide === 'long' ? slip : -slip);
const pnl = positionSide === 'long'
? (exitPrice - entryPrice) * positionQty
: (entryPrice - exitPrice) * positionQty;
cash += pnl - this.config.commissionPerTrade;
trades.push({
entryIdx: i,
exitIdx: i + 1,
direction: positionSide,
entryPrice,
exitPrice,
qty: positionQty,
pnl,
});
positionQty = 0;
positionSide = null;
continue;
}
// entry logic
if (!positionSide) {
if (signal.direction === 'long') {
const entry = nextOpen + slip;
const qty = (cash * this.config.positionSizing) / entry;
positionQty = qty;
positionSide = 'long';
entryPrice = entry;
peakOrTroughPrice = entry; // Initialize for trailing stop
cash -= this.config.commissionPerTrade;
}
else if (signal.direction === 'short' && this.config.allowShort) {
const entry = nextOpen - slip;
const qty = (cash * this.config.positionSizing) / entry;
positionQty = qty;
positionSide = 'short';
entryPrice = entry;
peakOrTroughPrice = entry; // Initialize for trailing stop
cash -= this.config.commissionPerTrade;
}
}
}
// 在回测结束时，清算所有未平仓头寸
if (positionSide) {
const lastPrice = candles[candles.length - 1].close;
const slip = lastPrice * (this.config.slippageBps / 10000);
const exitPrice = lastPrice - (positionSide === 'long' ? slip : -slip);
const pnl = positionSide === 'long'
? (exitPrice - entryPrice) * positionQty
: (entryPrice - exitPrice) * positionQty;
cash += pnl - this.config.commissionPerTrade;
trades.push({
entryIdx: trades.length > 0 ? trades[trades.length - 1].exitIdx : 50, // Approximate entry index
exitIdx: candles.length - 1,
direction: positionSide,
entryPrice,
exitPrice,
qty: positionQty,
pnl,
});
// 更新最终权益
const finalEquity = cash;
equity.push(finalEquity);
positionQty = 0;
positionSide = null;
}
// final equity mark
if (equity.length === 0)
equity.push(this.config.initialCapital);
const totalPnL = equity[equity.length - 1] - this.config.initialCapital;
// metrics
const wins = trades.filter(t => t.pnl > 0);
const losses = trades.filter(t => t.pnl <= 0);
const winRate = trades.length ? wins.length / trades.length : 0;
const avgWin = wins.length
? wins.reduce((s, t) => s + t.pnl, 0) / wins.length
: 0;
const avgLoss = losses.length
? losses.reduce((s, t) => s + t.pnl, 0) / losses.length
: 0;
const maxDrawdown = calcMaxDrawdown(equity);
const sharpe = calcSharpe(stepReturns);
return {
trades,
totalPnL,
returns: stepReturns,
equity,
metrics: {
winRate,
avgWin,
avgLoss,
maxDrawdown,
sharpe,
tradeCount: trades.length,
},
};
}
}