Merge pull request #141 from fasiondog/feature/tools

Feature/tools add MDD/MRR indicator, Performance 增加单笔最大盈利/亏损比例统计

docs/source/indicator/indicator.rst

@@ -612,6 +612,11 @@
     :rtype: Indicator
 
 
+.. py:function:: MDD([ind])
+
+    当前价格相对历史最高值的回撤百分比，通常用于计算最大回撤
+
+
 .. py:function:: MIN(ind1, ind2)
 
     求最小值, MIN(A,B)返回A和B中的较小值。
@@ -650,6 +655,11 @@
     :rtype: Indicator
 
 
+.. py:function:: MRR([ind])
+
+    当前价格相对历史最低值的盈利百分比
+
+
 .. py:function:: NDAY(x, y[, n=3])
 
     连大, NDAY(X,Y,N)表示条件X>Y持续存在N个周期

hikyuu/gui/data/UsePytdxImportToH5Thread.py

@@ -116,6 +116,7 @@ class UsePytdxImportToH5Thread(QThread):
             return
 
         if task_count == 0:
+            self.send_message(['INFO', '未选择需要导入的行情数据！'])
             return
 
         use_tdx_number = min(

hikyuu_cpp/hikyuu/indicator/build_in.h

@@ -58,8 +58,10 @@
 #include "crt/MA.h"
 #include "crt/MACD.h"
 #include "crt/MAX.h"
+#include "crt/MDD.h"
 #include "crt/MIN.h"
 #include "crt/MOD.h"
+#include "crt/MRR.h"
 #include "crt/NDAY.h"
 #include "crt/NOT.h"
 #include "crt/POS.h"

hikyuu_cpp/hikyuu/indicator/crt/MDD.h

@@ -0,0 +1,29 @@
+/*
+ *  Copyright (c) 2023 hikyuu.org
+ *
+ *  Created on: 2023-12-24
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/**
+ * 当前价格相对历史最高值的回撤百分比，通常用于计算最大回撤
+ * @ingroup Indicator
+ */
+Indicator HKU_API MDD();
+
+/**
+ * 当前价格相对历史最高值的回撤百分比
+ * @param ind 待计算的数据
+ * @ingroup Indicator
+ */
+inline Indicator MDD(const Indicator& ind) {
+    return MDD()(ind);
+}
+
+}  // namespace hku

hikyuu_cpp/hikyuu/indicator/crt/MRR.h

@@ -0,0 +1,29 @@
+/*
+ *  Copyright (c) 2023 hikyuu.org
+ *
+ *  Created on: 2023-12-24
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/**
+ * 当前价格相对历史最低值的盈利百分比
+ * @ingroup Indicator
+ */
+Indicator HKU_API MRR();
+
+/**
+ * 当前价格相对历史最低值的盈利百分比
+ * @param ind 待计算的数据
+ * @ingroup Indicator
+ */
+inline Indicator MRR(const Indicator& ind) {
+    return MRR()(ind);
+}
+
+}  // namespace hku

hikyuu_cpp/hikyuu/indicator/imp/IMdd.cpp

@@ -0,0 +1,53 @@
+/*
+ *  Copyright (c) 2023 hikyuu.org
+ *
+ *  Created on: 2023-12-24
+ *      Author: fasiondog
+ */
+
+#include "IMdd.h"
+
+#if HKU_SUPPORT_SERIALIZATION
+BOOST_CLASS_EXPORT(hku::IMdd)
+#endif
+
+namespace hku {
+
+IMdd::IMdd() : IndicatorImp("MDD", 1) {}
+
+IMdd::~IMdd() {}
+
+bool IMdd::check() {
+    return true;
+}
+
+void IMdd::_calculate(const Indicator& ind) {
+    m_discard = 0;
+    for (size_t i = 0, len = ind.discard(); i < len; i++) {
+        _set(0.0, i);
+    }
+
+    size_t total = ind.size();
+    if (ind.discard() < total) {
+        _set(0., ind.discard());
+    }
+
+    price_t pre_max = ind[ind.discard()];
+    for (size_t i = ind.discard() + 1; i < total; i++) {
+        if (ind[i] >= pre_max || pre_max == 0.) {
+            _set(0., i);
+        } else {
+            _set((ind[i] / pre_max - 1.0) * 100., i);
+        }
+        if (ind[i] > pre_max) {
+            pre_max = ind[i];
+        }
+    }
+}
+
+Indicator HKU_API MDD() {
+    IndicatorImpPtr p = make_shared<IMdd>();
+    return Indicator(p);
+}
+
+}  // namespace hku

hikyuu_cpp/hikyuu/indicator/imp/IMdd.h

@@ -0,0 +1,23 @@
+/*
+ *  Copyright (c) 2023 hikyuu.org
+ *
+ *  Created on: 2023-12-24
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../Indicator.h"
+
+namespace hku {
+
+class IMdd : public IndicatorImp {
+    INDICATOR_IMP(IMdd)
+    INDICATOR_IMP_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    IMdd();
+    virtual ~IMdd();
+};
+
+}  // namespace hku

hikyuu_cpp/hikyuu/indicator/imp/IMrr.cpp

@@ -0,0 +1,53 @@
+/*
+ *  Copyright (c) 2023 hikyuu.org
+ *
+ *  Created on: 2023-12-24
+ *      Author: fasiondog
+ */
+
+#include "IMrr.h"
+
+#if HKU_SUPPORT_SERIALIZATION
+BOOST_CLASS_EXPORT(hku::IMrr)
+#endif
+
+namespace hku {
+
+IMrr::IMrr() : IndicatorImp("MRR", 1) {}
+
+IMrr::~IMrr() {}
+
+bool IMrr::check() {
+    return true;
+}
+
+void IMrr::_calculate(const Indicator& ind) {
+    m_discard = 0;
+    for (size_t i = 0, len = ind.discard(); i < len; i++) {
+        _set(0.0, i);
+    }
+
+    size_t total = ind.size();
+    if (ind.discard() < total) {
+        _set(0., ind.discard());
+    }
+
+    price_t pre_min = ind[ind.discard()];
+    for (size_t i = ind.discard() + 1; i < total; i++) {
+        if (ind[i] <= pre_min || pre_min == 0.) {
+            _set(0., i);
+        } else {
+            _set((ind[i] / pre_min - 1.0) * 100., i);
+        }
+        if (ind[i] < pre_min) {
+            pre_min = ind[i];
+        }
+    }
+}
+
+Indicator HKU_API MRR() {
+    IndicatorImpPtr p = make_shared<IMrr>();
+    return Indicator(p);
+}
+
+}  // namespace hku

hikyuu_cpp/hikyuu/indicator/imp/IMrr.h

@@ -0,0 +1,23 @@
+/*
+ *  Copyright (c) 2023 hikyuu.org
+ *
+ *  Created on: 2023-12-24
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../Indicator.h"
+
+namespace hku {
+
+class IMrr : public IndicatorImp {
+    INDICATOR_IMP(IMrr)
+    INDICATOR_IMP_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    IMrr();
+    virtual ~IMrr();
+};
+
+}  // namespace hku

hikyuu_cpp/hikyuu/trade_manage/Performance.cpp

@@ -40,7 +40,9 @@ Performance::Performance()
            {"平均赢利/平均亏损比例", 0.},
            {"净赢利/亏损比例", 0.},
            {"最大单笔赢利", 0.},
+           {"最大单笔盈利百分比%", 0.},
            {"最大单笔亏损", 0.},
+           {"最大单笔亏损百分比%", 0.},
            {"赢利交易平均持仓时间", 0.},
            {"赢利交易最大持仓时间", 0.},
            {"亏损交易平均持仓时间", 0.},
@@ -198,6 +200,8 @@ void Performance ::statistics(const TradeManagerPtr& tm, const Datetime& datetim
         price_t profit = roundEx(pos.sellMoney - pos.totalCost - pos.buyMoney, precision);
         m_result["已平仓净利润总额"] = roundEx(m_result["已平仓净利润总额"] + profit, precision);
 
+        price_t profit_percent = profit / (pos.buyMoney + pos.totalCost) * 100.;
+
         price_t r = roundEx(profit / pos.totalRisk, precision);
         total_r += r;
 
@@ -209,6 +213,10 @@ void Performance ::statistics(const TradeManagerPtr& tm, const Datetime& datetim
                 m_result["最大单笔赢利"] = profit;
             }
 
+            if (profit_percent > m_result["最大单笔盈利百分比%"]) {
+                m_result["最大单笔盈利百分比%"] = profit_percent;
+            }
+
             int duration = (pos.cleanDatetime.date() - pos.takeDatetime.date()).days();
             earn.total_duration += duration;
             if (duration > m_result["赢利交易最大持仓时间"]) {
@@ -252,6 +260,10 @@ void Performance ::statistics(const TradeManagerPtr& tm, const Datetime& datetim
                 m_result["最大单笔亏损"] = profit;
             }
 
+            if (profit_percent < m_result["最大单笔亏损百分比%"]) {
+                m_result["最大单笔亏损百分比%"] = profit_percent;
+            }
+
             int duration = (pos.cleanDatetime.date() - pos.takeDatetime.date()).days();
             loss.total_duration += duration;
             if (duration > m_result["亏损交易最大持仓时间"]) {

hikyuu_cpp/unit_test/hikyuu/indicator/test_MA.cpp

@@ -41,9 +41,12 @@ TEST_CASE("test_MA") {
     CHECK_EQ(ma.empty(), false);
     CHECK_EQ(ma.size(), kdata.size());
     CHECK_EQ(ma.discard(), 0);
+    std::vector<price_t> expects{
+      2415.197,  2397.1715, 2395.89,   2392.8908, 2394.1114,
+      2396.1477, 2395.6244, 2393.0338, 2389.7090, 2383.4041,
+    };
     for (size_t i = 0; i < kdata.size(); ++i) {
-        HKU_INFO("i: {}, ma: {}, open: {}", i, ma[i], open[i]);
-        // CHECK_UNARY(std::isnan(ma[i]));
+        CHECK_EQ(ma[i], doctest::Approx(expects[i]).epsilon(0.0001));
     }
 
     /** @arg n = 10 且数据大小刚好为10 时, 正常关联数据 */

hikyuu_cpp/unit_test/hikyuu/indicator/test_MDD.cpp

@@ -0,0 +1,79 @@
+/*
+ *  Copyright (c) 2023 hikyuu.org
+ *
+ *  Created on: 2023-12-24
+ *      Author: fasiondog
+ */
+#include "doctest/doctest.h"
+#include <fstream>
+#include <hikyuu/StockManager.h>
+#include <hikyuu/indicator/crt/MDD.h>
+
+using namespace hku;
+
+/**
+ * @defgroup test_indicator_MDD test_indicator_MDD
+ * @ingroup test_hikyuu_indicator_suite
+ * @{
+ */
+
+/** @par 检测点 */
+TEST_CASE("test_MDD") {
+    StockManager& sm = StockManager::instance();
+    Stock stock = sm.getStock("sh000001");
+    KData kdata;
+    Indicator open, ma;
+
+    /** @arg n = 10 且数据大小刚好为10 时, 正常关联数据 */
+    kdata = stock.getKData(KQuery(-10));
+    auto c = kdata.close();
+    auto m = MDD(c);
+    CHECK_EQ(m.name(), "MDD");
+    CHECK_EQ(m.empty(), false);
+    CHECK_EQ(m.size(), kdata.size());
+    CHECK_EQ(m.discard(), 0);
+    std::vector<price_t> expects{0.,       0.,      -0.72282, -0.60562, 0.,
+                                 -3.27389, -1.0584, -2.1443,  -3.2816,  -3.5852};
+    for (size_t i = 0, len = m.size(); i < len; i++) {
+        CHECK_EQ(m[i], doctest::Approx(expects[i]).epsilon(0.0001));
+    }
+}
+
+//-----------------------------------------------------------------------------
+// test export
+//-----------------------------------------------------------------------------
+#if HKU_SUPPORT_SERIALIZATION
+
+/** @par 检测点 */
+TEST_CASE("test_MDD_export") {
+    StockManager& sm = StockManager::instance();
+    string filename(sm.tmpdir());
+    filename += "/MDD.xml";
+
+    Stock stock = sm.getStock("sh000001");
+    KData kdata = stock.getKData(KQuery(-20));
+    Indicator m1 = MDD(kdata.close());
+    {
+        std::ofstream ofs(filename);
+        boost::archive::xml_oarchive oa(ofs);
+        oa << BOOST_SERIALIZATION_NVP(m1);
+    }
+
+    Indicator m2;
+    {
+        std::ifstream ifs(filename);
+        boost::archive::xml_iarchive ia(ifs);
+        ia >> BOOST_SERIALIZATION_NVP(m2);
+    }
+
+    CHECK_EQ(m2.name(), "MDD");
+    CHECK_EQ(m1.size(), m2.size());
+    CHECK_EQ(m1.discard(), m2.discard());
+    CHECK_EQ(m1.getResultNumber(), m2.getResultNumber());
+    for (size_t i = 0; i < m1.size(); ++i) {
+        CHECK_EQ(m1[i], doctest::Approx(m2[i]));
+    }
+}
+#endif /* #if HKU_SUPPORT_SERIALIZATION */
+
+/** @} */

hikyuu_cpp/unit_test/hikyuu/indicator/test_MRR.cpp

@@ -0,0 +1,80 @@
+/*
+ *  Copyright (c) 2023 hikyuu.org
+ *
+ *  Created on: 2023-12-24
+ *      Author: fasiondog
+ */
+
+#include "doctest/doctest.h"
+#include <fstream>
+#include <hikyuu/StockManager.h>
+#include <hikyuu/indicator/crt/MRR.h>
+
+using namespace hku;
+
+/**
+ * @defgroup test_indicator_MRR test_indicator_MRR
+ * @ingroup test_hikyuu_indicator_suite
+ * @{
+ */
+
+/** @par 检测点 */
+TEST_CASE("test_MRR") {
+    StockManager& sm = StockManager::instance();
+    Stock stock = sm.getStock("sh000001");
+    KData kdata;
+    Indicator open, ma;
+
+    /** @arg n = 10 且数据大小刚好为10 时, 正常关联数据 */
+    kdata = stock.getKData(KQuery(-10));
+    auto c = kdata.close();
+    auto m = MRR(c);
+    CHECK_EQ(m.name(), "MRR");
+    CHECK_EQ(m.empty(), false);
+    CHECK_EQ(m.size(), kdata.size());
+    CHECK_EQ(m.discard(), 0);
+    std::vector<price_t> expects{0., 0.1039, 0., 0.1181, 1.3515, 0., 2.2905, 1.1678, 0., 0.};
+    for (size_t i = 0, len = m.size(); i < len; i++) {
+        CHECK_EQ(m[i], doctest::Approx(expects[i]).epsilon(0.0001));
+        // std::cout << c[i] << " " << m[i] << std::endl;
+    }
+}
+
+//-----------------------------------------------------------------------------
+// test export
+//-----------------------------------------------------------------------------
+#if HKU_SUPPORT_SERIALIZATION
+
+/** @par 检测点 */
+TEST_CASE("test_MRR_export") {
+    StockManager& sm = StockManager::instance();
+    string filename(sm.tmpdir());
+    filename += "/MRR.xml";
+
+    Stock stock = sm.getStock("sh000001");
+    KData kdata = stock.getKData(KQuery(-20));
+    Indicator m1 = MRR(kdata.close());
+    {
+        std::ofstream ofs(filename);
+        boost::archive::xml_oarchive oa(ofs);
+        oa << BOOST_SERIALIZATION_NVP(m1);
+    }
+
+    Indicator m2;
+    {
+        std::ifstream ifs(filename);
+        boost::archive::xml_iarchive ia(ifs);
+        ia >> BOOST_SERIALIZATION_NVP(m2);
+    }
+
+    CHECK_EQ(m2.name(), "MRR");
+    CHECK_EQ(m1.size(), m2.size());
+    CHECK_EQ(m1.discard(), m2.discard());
+    CHECK_EQ(m1.getResultNumber(), m2.getResultNumber());
+    for (size_t i = 0; i < m1.size(); ++i) {
+        CHECK_EQ(m1[i], doctest::Approx(m2[i]));
+    }
+}
+#endif /* #if HKU_SUPPORT_SERIALIZATION */
+
+/** @} */

hikyuu_pywrap/indicator/_build_in.cpp

@@ -459,6 +459,12 @@ Indicator (*SLOPE3)(const Indicator&, int) = SLOPE;
 Indicator (*SLOPE4)(const Indicator&, const IndParam&) = SLOPE;
 Indicator (*SLOPE5)(const Indicator&, const Indicator&) = SLOPE;
 
+Indicator (*MDD_1)() = MDD;
+Indicator (*MDD_2)(const Indicator&) = MDD;
+
+Indicator (*MRR_1)() = MRR;
+Indicator (*MRR_2)(const Indicator&) = MRR;
+
 void export_Indicator_build_in() {
     def("KDATA", KDATA1);
     def("KDATA", KDATA3, R"(KDATA([data])
@@ -1597,4 +1603,14 @@ void export_Indicator_build_in() {
     :param Indicator data: 输入数据
     :param int|Indicator|IndParam n: 时间窗口
     :rtype: Indicator)");
+
+    def("MDD", MDD_1);
+    def("MDD", MDD_2, R"(MDD([data])
+    
+    当前价格相对历史最高值的回撤百分比，通常用于计算最大回撤)");
+
+    def("MRR", MRR_1);
+    def("MRR", MRR_2, R"(MRR([data])
+    
+    当前价格相对历史最低值的盈利百分比，可用于计算历史最高盈利比例)");
 }