backtest

Documentation

Index

• Constants
• func NewCore(enc zapcore.Encoder, ws zapcore.WriteSyncer, enab zapcore.LevelEnabler) zapcore.Core
• type Backtest
  • func NewBacktest(datas []*dataloader.Data, symbol string, start time.Time, end time.Time, ...) *Backtest
  • func (b *Backtest) ComputeStats() (result *Stats)
  • func (b *Backtest) GetLogs() LogItems
  • func (b *Backtest) GetTime() time.Time
  • func (b *Backtest) HtmlReport()
  • func (b *Backtest) Plot()
  • func (b *Backtest) PlotOld()
  • func (b *Backtest) Run()
  • func (b *Backtest) SetDatas(datas []*dataloader.Data)
• type BtLogger
  • func NewBtLogger(gct GetCurrentTime, path string, level string, jsonFormat bool, stdout bool) *BtLogger
  • func (l *BtLogger) Debug(args ...interface{})
  • func (l *BtLogger) Debugf(template string, args ...interface{})
  • func (l *BtLogger) Debugw(msg string, keysAndValues ...interface{})
  • func (l *BtLogger) Error(args ...interface{})
  • func (l *BtLogger) Errorf(template string, args ...interface{})
  • func (l *BtLogger) Errorw(msg string, keysAndValues ...interface{})
  • func (l *BtLogger) Info(args ...interface{})
  • func (l *BtLogger) Infof(template string, args ...interface{})
  • func (l *BtLogger) Infow(msg string, keysAndValues ...interface{})
  • func (l *BtLogger) Sync()
  • func (l *BtLogger) Warn(args ...interface{})
  • func (l *BtLogger) Warnf(template string, args ...interface{})
  • func (l *BtLogger) Warnw(msg string, keysAndValues ...interface{})
• type DataState
• type GetCurrentTime
• type PlotData
• type SOrder
  • func (o *SOrder) BalancesString() string

Constants

const (
	OriginEChartsJs = "https://go-echarts.github.io/go-echarts-assets/assets/echarts.min.js"
	MyEChartsJs     = "https://cdnjs.cloudflare.com/ajax/libs/echarts/4.7.0/echarts.min.js"

	OriginEChartsBulmaCss = "https://go-echarts.github.io/go-echarts-assets/assets/bulma.min.css"
	MyEChartsBulmaCss     = "https://cdnjs.cloudflare.com/ajax/libs/bulma/0.8.2/css/bulma.min.css"
)

const (
	LogTsKey = "log_ts"
)

const SimpleDateTimeFormat = "2006-01-02 15:04:05.000"

Functions

func NewCore

func NewCore(enc zapcore.Encoder, ws zapcore.WriteSyncer, enab zapcore.LevelEnabler) zapcore.Core

NewCore creates a Core that writes logs to a WriteSyncer.

Types

type Backtest

type Backtest struct {
	// contains filtered or unexported fields
}

func NewBacktest

func NewBacktest(datas []*dataloader.Data, symbol string, start time.Time, end time.Time, strategy Strategy, exchanges []ExchangeSim, outputDir string) *Backtest

NewBacktest Create backtest data: The data outputDir: 日志输出目录

func (*Backtest) ComputeStats

func (b *Backtest) ComputeStats() (result *Stats)

ComputeStats Calculating Backtest Statistics

func (*Backtest) GetLogs

func (b *Backtest) GetLogs() LogItems

func (*Backtest) GetTime

func (b *Backtest) GetTime() time.Time

GetTime get current time

func (*Backtest) HtmlReport

func (b *Backtest) HtmlReport()

HTMLReport 创建Html报告文件

func (*Backtest) Plot

func (b *Backtest) Plot()

Plot Output backtest results

func (*Backtest) PlotOld

func (b *Backtest) PlotOld()

func (*Backtest) Run

func (b *Backtest) Run()

Run Run backtest

func (*Backtest) SetDatas

func (b *Backtest) SetDatas(datas []*dataloader.Data)

SetData Set data for backtest

type BtLogger

type BtLogger struct {
	Path        string // 文件路径，如：./app.log
	Level       string // 日志输出的级别
	MaxFileSize int    // 日志文件大小的最大值，单位(M)
	MaxBackups  int    // 最多保留备份数
	MaxAge      int    // 日志文件保存的时间，单位(天)
	Compress    bool   // 是否压缩
	Caller      bool   // 日志是否需要显示调用位置
	JsonFormat  bool   // 是否以Json格式输出
	Stdout      bool   // 是否输出到控制台
	// contains filtered or unexported fields
}

func NewBtLogger

func NewBtLogger(gct GetCurrentTime, path string, level string, jsonFormat bool, stdout bool) *BtLogger

func (*BtLogger) Debug

func (l *BtLogger) Debug(args ...interface{})

func (*BtLogger) Debugf

func (l *BtLogger) Debugf(template string, args ...interface{})

func (*BtLogger) Debugw

func (l *BtLogger) Debugw(msg string, keysAndValues ...interface{})

func (*BtLogger) Error

func (l *BtLogger) Error(args ...interface{})

func (*BtLogger) Errorf

func (l *BtLogger) Errorf(template string, args ...interface{})

func (*BtLogger) Errorw

func (l *BtLogger) Errorw(msg string, keysAndValues ...interface{})

func (*BtLogger) Info

func (l *BtLogger) Info(args ...interface{})

func (*BtLogger) Infof

func (l *BtLogger) Infof(template string, args ...interface{})

func (*BtLogger) Infow

func (l *BtLogger) Infow(msg string, keysAndValues ...interface{})

func (*BtLogger) Sync

func (l *BtLogger) Sync()

func (*BtLogger) Warn

func (l *BtLogger) Warn(args ...interface{})

func (*BtLogger) Warnf

func (l *BtLogger) Warnf(template string, args ...interface{})

func (*BtLogger) Warnw

func (l *BtLogger) Warnw(msg string, keysAndValues ...interface{})

type DataState

type DataState struct {
	Time  int64 // ns
	Index int   // datas 中的索引
}

type GetCurrentTime

type GetCurrentTime interface {
	GetTime() time.Time
}

type PlotData

type PlotData struct {
	NameItems []string
	Prices    []float64
	Equities  []float64
}

type SOrder

type SOrder struct {
	Ts        time.Time   // ts: 2019-10-02T07:03:53.584+0800
	Order     *Order      // order
	OrderBook *OrderBook  // orderbook
	Positions []*Position // positions
	Balances  []float64   // balances
	Comment   string      // msg: Place order/Match order
}

SOrder "event":"order"/"deal"

func (*SOrder) BalancesString

func (o *SOrder) BalancesString() string