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https://gitee.com/fasiondog/hikyuu.git
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468 lines
17 KiB
C++
468 lines
17 KiB
C++
/*
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* Performance.cpp
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*
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* Created on: 2013-4-23
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* Author: fasiondog
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*/
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#include "boost/date_time/gregorian/gregorian.hpp"
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#include "boost/lexical_cast.hpp"
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#include "Performance.h"
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namespace hku {
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Performance::Performance()
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: m_result{{"帐户初始金额", 0.},
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{"累计投入本金", 0.},
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{"累计投入资产", 0.},
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{"累计借入现金", 0.},
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{"累计借入资产", 0.},
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{"累计红利", 0.},
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{"现金余额", 0.},
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{"未平仓头寸净值", 0.},
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{"当前总资产", 0.},
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{"已平仓交易总成本", 0.},
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{"已平仓净利润总额", 0.},
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{"单笔交易最大占用现金比例%", 0.},
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{"交易平均占用现金比例%", 0.},
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{"已平仓帐户收益率%", 0.},
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{"帐户年复合收益率%", 0.},
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{"帐户平均年收益率%", 0.},
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{"赢利交易赢利总额", 0.},
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{"亏损交易亏损总额", 0.},
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{"已平仓交易总数", 0.},
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{"赢利交易数", 0.},
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{"亏损交易数", 0.},
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{"赢利交易比例%", 0.},
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{"赢利期望值", 0.},
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{"赢利交易平均赢利", 0.},
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{"亏损交易平均亏损", 0.},
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{"平均赢利/平均亏损比例", 0.},
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{"净赢利/亏损比例", 0.},
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{"最大单笔赢利", 0.},
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{"最大单笔亏损", 0.},
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{"赢利交易平均持仓时间", 0.},
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{"赢利交易最大持仓时间", 0.},
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{"亏损交易平均持仓时间", 0.},
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{"亏损交易最大持仓时间", 0.},
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{"空仓总时间", 0.},
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{"空仓时间/总时间%", 0.},
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{"平均空仓时间", 0.},
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{"最长空仓时间", 0.},
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{"最大连续赢利笔数", 0.},
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{"最大连续亏损笔数", 0.},
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{"最大连续赢利金额", 0.},
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{"最大连续亏损金额", 0.},
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{"R乘数期望值", 0.},
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{"交易机会频率/年", 0.},
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{"年度期望R乘数", 0.},
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{"赢利交易平均R乘数", 0.},
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{"亏损交易平均R乘数", 0.},
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{"最大单笔赢利R乘数", 0.},
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{"最大单笔亏损R乘数", 0.},
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{"最大连续赢利R乘数", 0.},
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{"最大连续亏损R乘数", 0.}} {}
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Performance::~Performance() {}
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Performance& Performance::operator=(const Performance& other) {
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HKU_IF_RETURN(this == &other, *this);
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m_result = other.m_result;
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return *this;
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}
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Performance& Performance::operator=(Performance&& other) {
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HKU_IF_RETURN(this == &other, *this);
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m_result = std::move(other.m_result);
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return *this;
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}
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void Performance::reset() {
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map_type::iterator iter = m_result.begin();
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for (; iter != m_result.end(); ++iter) {
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iter->second = 0.0;
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}
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}
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double Performance::get(const string& name) const {
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auto iter = m_result.find(name);
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if (iter != m_result.end()) {
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return iter->second;
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}
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return Null<double>();
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}
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StringList Performance::names() const {
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StringList result(m_result.size());
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size_t i = 0;
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for (auto iter = m_result.cbegin(); iter != m_result.cend(); ++iter, i++) {
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result[i] = iter->first;
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}
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return result;
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}
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PriceList Performance::values() const {
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PriceList result(m_result.size());
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size_t i = 0;
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for (auto iter = m_result.cbegin(); iter != m_result.cend(); ++iter, i++) {
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result[i] = iter->second;
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}
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return result;
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}
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string Performance::report(const TradeManagerPtr& tm, const Datetime& datetime) {
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std::stringstream buf;
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HKU_INFO_IF_RETURN(!tm, buf.str(), "TradeManagerPtr is Null!");
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statistics(tm, datetime);
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buf << std::fixed;
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buf.precision(2);
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buf.setf(std::ios_base::fixed);
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buf.precision(tm->precision());
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for (auto iter = m_result.begin(); iter != m_result.end(); ++iter) {
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buf << iter->first << ": " << iter->second << std::endl;
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}
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buf.unsetf(std::ostream::floatfield);
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buf.precision();
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return buf.str();
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}
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void Performance ::statistics(const TradeManagerPtr& tm, const Datetime& datetime) {
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// 清除上次统计结果
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reset();
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if (!tm) {
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HKU_INFO("TradeManagerPtr is Null!");
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return;
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}
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if (datetime < tm->lastDatetime()) {
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HKU_ERROR("datetime must >= tm->lastDatetime !");
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return;
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}
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int precision = tm->precision();
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m_result["帐户初始金额"] = tm->initCash();
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FundsRecord funds = tm->getFunds(datetime, KQuery::DAY);
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m_result["现金余额"] = funds.cash;
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m_result["累计投入本金"] = funds.base_cash;
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m_result["累计投入资产"] = funds.base_asset;
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m_result["累计借入现金"] = funds.borrow_cash;
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m_result["累计借入资产"] = funds.borrow_asset;
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m_result["未平仓头寸净值"] = funds.market_value;
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m_result["当前总资产"] =
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funds.cash + funds.market_value - funds.borrow_cash - funds.borrow_asset;
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price_t total_money = funds.base_cash + funds.base_asset;
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const TradeRecordList& trade_list = tm->getTradeList();
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TradeRecordList::const_iterator trade_iter = trade_list.begin();
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for (; trade_iter != trade_list.end(); ++trade_iter) {
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if (trade_iter->business == BUSINESS_BONUS) {
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m_result["累计红利"] += trade_iter->realPrice;
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}
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}
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struct CalData {
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CalData()
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: total_duration(0),
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continues(0),
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max_continues(0),
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continues_money(0.0),
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max_continues_money(0.0),
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total_r(0.0),
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max_continues_r(0.0) {}
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int total_duration; // 总持仓时间
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int continues; // 当前连续持仓时间
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int max_continues; // 最大连续持仓数
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price_t continues_money; // 当前连续持仓利润或损失
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price_t max_continues_money; // 最大连续持仓利润或损失
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price_t total_r; // 累计r乘数
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price_t max_continues_r; // 最大连续盈利或损失的r乘数和
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};
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CalData earn, loss;
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bool pre_earn = true;
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const PositionRecordList& his_position = tm->getHistoryPositionList();
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price_t total_r = 0.0;
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m_result["已平仓交易总数"] = (double)his_position.size();
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PositionRecordList::const_iterator his_iter = his_position.begin();
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for (; his_iter != his_position.end(); ++his_iter) {
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const PositionRecord& pos = *his_iter;
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m_result["已平仓交易总成本"] += pos.totalCost;
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price_t profit = roundEx(pos.sellMoney - pos.totalCost - pos.buyMoney, precision);
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m_result["已平仓净利润总额"] = roundEx(m_result["已平仓净利润总额"] + profit, precision);
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price_t r = roundEx(profit / pos.totalRisk, precision);
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total_r += r;
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if (profit > 0.0) {
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m_result["赢利交易数"]++;
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m_result["赢利交易赢利总额"] =
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roundEx(profit + m_result["赢利交易赢利总额"], precision);
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if (profit > m_result["最大单笔赢利"]) {
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m_result["最大单笔赢利"] = profit;
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}
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int duration = (pos.cleanDatetime.date() - pos.takeDatetime.date()).days();
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earn.total_duration += duration;
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if (duration > m_result["赢利交易最大持仓时间"]) {
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m_result["赢利交易最大持仓时间"] = duration;
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}
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earn.total_r += r;
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if (r > m_result["最大单笔赢利R乘数"]) {
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m_result["最大单笔赢利R乘数"] = r;
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}
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// 上一笔交易是盈利交易
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if (pre_earn) {
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earn.continues++;
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earn.continues_money = roundEx(profit + earn.continues_money, precision);
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if (earn.continues >= earn.max_continues) {
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earn.max_continues = earn.continues;
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if (earn.continues_money > earn.max_continues_money) {
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earn.max_continues_money = earn.continues_money;
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earn.max_continues_r += r;
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}
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}
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} else {
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earn.continues = 1;
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earn.continues_money = profit;
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earn.max_continues = 1;
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if (profit > earn.max_continues_money) {
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earn.max_continues_money = profit;
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earn.max_continues_r = r;
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}
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}
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pre_earn = true;
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} else {
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// 没赚钱的，记为亏损交易
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m_result["亏损交易数"]++;
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m_result["亏损交易亏损总额"] =
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roundEx(profit + m_result["亏损交易亏损总额"], precision);
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if (profit < m_result["最大单笔亏损"]) {
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m_result["最大单笔亏损"] = profit;
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}
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int duration = (pos.cleanDatetime.date() - pos.takeDatetime.date()).days();
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loss.total_duration += duration;
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if (duration > m_result["亏损交易最大持仓时间"]) {
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m_result["亏损交易最大持仓时间"] = duration;
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}
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loss.total_r += r;
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if (r < m_result["最大单笔亏损R乘数"]) {
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m_result["最大单笔亏损R乘数"] = r;
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}
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// 上一次是亏损交易
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if (!pre_earn) {
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loss.continues++;
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loss.continues_money = roundEx(profit + loss.continues_money, precision);
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if (loss.continues >= loss.max_continues) {
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loss.max_continues = loss.continues;
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if (loss.continues_money < loss.max_continues_money) {
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loss.max_continues_money = loss.continues_money;
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loss.max_continues_r += r;
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}
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}
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} else {
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loss.continues = 1;
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loss.continues_money = profit;
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loss.max_continues = 1;
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if (profit < loss.max_continues_money) {
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loss.max_continues_money = profit;
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loss.max_continues_r = r;
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}
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}
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pre_earn = false;
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}
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}
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m_result["最大连续赢利笔数"] = earn.max_continues;
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m_result["最大连续赢利金额"] = earn.max_continues_money;
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m_result["最大连续亏损笔数"] = loss.max_continues;
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m_result["最大连续亏损金额"] = loss.max_continues_money;
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if (m_result["最大连续赢利笔数"] != 0.0) {
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m_result["最大连续赢利R乘数"] =
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roundEx(earn.max_continues_r / m_result["最大连续赢利笔数"], precision);
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}
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if (m_result["最大连续亏损笔数"] != 0.0) {
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m_result["最大连续亏损R乘数"] =
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roundEx(loss.max_continues_r / m_result["最大连续亏损笔数"], precision);
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}
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if (m_result["累计投入本金"] != 0.0) {
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m_result["已平仓帐户收益率%"] =
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100 * m_result["已平仓净利润总额"] / m_result["累计投入本金"];
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}
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if (m_result["赢利交易数"] != 0.0) {
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m_result["赢利交易平均赢利"] =
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roundEx(m_result["赢利交易赢利总额"] / m_result["赢利交易数"], precision);
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m_result["赢利交易平均持仓时间"] = earn.total_duration / m_result["赢利交易数"];
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m_result["赢利交易平均R乘数"] = roundEx(earn.total_r / m_result["赢利交易数"], precision);
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}
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if (m_result["亏损交易数"] != 0.0) {
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m_result["亏损交易平均亏损"] =
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roundEx(m_result["亏损交易亏损总额"] / m_result["亏损交易数"], precision);
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m_result["亏损交易平均持仓时间"] = loss.total_duration / m_result["亏损交易数"];
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m_result["亏损交易平均R乘数"] = roundEx(loss.total_r / m_result["亏损交易数"], precision);
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}
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if (m_result["亏损交易平均亏损"] != 0.0) {
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m_result["平均赢利/平均亏损比例"] = roundEx(
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m_result["赢利交易平均赢利"] / std::fabs(m_result["亏损交易平均亏损"]), precision);
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}
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if (m_result["已平仓交易总数"] != 0.0) {
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m_result["赢利交易比例%"] = 100 * m_result["赢利交易数"] / m_result["已平仓交易总数"];
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m_result["R乘数期望值"] = roundEx(total_r / m_result["已平仓交易总数"], precision);
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}
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if (m_result["亏损交易亏损总额"] != 0.0) {
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m_result["净赢利/亏损比例"] =
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m_result["赢利交易赢利总额"] / std::fabs(m_result["亏损交易亏损总额"]);
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}
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m_result["赢利期望值"] = 0.01 * m_result["赢利交易比例%"] * m_result["赢利交易平均赢利"] +
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(1 - 0.01 * m_result["赢利交易比例%"]) * m_result["亏损交易平均亏损"];
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int duration = 0;
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if (tm->firstDatetime() != Null<Datetime>()) {
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if (datetime == Null<Datetime>()) {
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duration = (Datetime::now().date() - tm->firstDatetime().date()).days();
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} else {
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duration = (datetime.date() - tm->firstDatetime().date()).days();
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}
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}
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double years = duration / 365.0;
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if (duration != 0) {
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m_result["交易机会频率/年"] = m_result["已平仓交易总数"] / years;
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m_result["年度期望R乘数"] =
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roundEx(m_result["R乘数期望值"] * m_result["交易机会频率/年"], precision);
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}
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if (total_money != 0.0 && years != 0.0) {
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m_result["帐户平均年收益率%"] =
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100 * (((m_result["当前总资产"] / total_money) - 1) / years);
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m_result["帐户年复合收益率%"] =
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100 * ((std::pow(10, (std::log10(m_result["当前总资产"] / total_money) / years)) - 1));
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}
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double max_percent = 0.0, sum_percent = 0.0;
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int trade_number = 0;
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trade_iter = trade_list.begin();
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for (; trade_iter != trade_list.end(); ++trade_iter) {
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if (trade_iter->business == BUSINESS_BUY) {
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trade_number++;
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const TradeRecord& record = *trade_iter;
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price_t hold_cash =
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roundEx(record.realPrice * record.number + record.cost.total, precision);
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price_t total_cash = roundEx(hold_cash + record.cash, precision);
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double percent = (total_cash != 0.0) ? hold_cash / total_cash : 0.0;
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sum_percent += percent;
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if (percent > max_percent) {
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max_percent = percent;
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}
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}
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}
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m_result["单笔交易最大占用现金比例%"] = 100 * max_percent;
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if (trade_number != 0) {
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m_result["交易平均占用现金比例%"] = 100 * sum_percent / trade_number;
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}
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PositionRecordList cur_position = tm->getPositionList();
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PositionRecordList::const_iterator cur_iter;
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int short_number = 0;
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int short_days = 0;
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int total_short_days = 0;
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int max_short_days = 0;
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bool pre_short = false;
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if (tm->firstDatetime() != Null<Datetime>()) {
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Datetime end_day;
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if (datetime == Null<Datetime>()) {
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end_day = Datetime(tm->lastDatetime().date() + bd::days(1));
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} else {
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end_day = Datetime(datetime.date() + bd::days(1));
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}
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DatetimeList day_range = getDateRange(tm->firstDatetime(), end_day);
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DatetimeList::const_iterator day_iter = day_range.begin();
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for (; day_iter != day_range.end(); ++day_iter) {
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bool hold = false;
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his_iter = his_position.begin();
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for (; his_iter != his_position.end(); ++his_iter) {
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if (his_iter->takeDatetime <= *day_iter && *day_iter < his_iter->cleanDatetime) {
|
|
hold = true;
|
|
break;
|
|
}
|
|
}
|
|
|
|
if (hold) {
|
|
if (pre_short) {
|
|
short_days = 0;
|
|
pre_short = false;
|
|
}
|
|
continue;
|
|
}
|
|
|
|
cur_iter = cur_position.begin();
|
|
for (; cur_iter != cur_position.end(); ++cur_iter) {
|
|
if (cur_iter->takeDatetime <= *day_iter) {
|
|
hold = false;
|
|
break;
|
|
}
|
|
}
|
|
|
|
if (hold) {
|
|
if (pre_short) {
|
|
short_days = 0;
|
|
pre_short = false;
|
|
}
|
|
continue;
|
|
}
|
|
|
|
// 当前是空仓
|
|
total_short_days++;
|
|
if (pre_short) {
|
|
short_days++;
|
|
if (short_days > max_short_days) {
|
|
max_short_days = short_days;
|
|
}
|
|
} else {
|
|
short_number++;
|
|
pre_short = true;
|
|
}
|
|
}
|
|
|
|
m_result["空仓总时间"] = total_short_days;
|
|
m_result["最长空仓时间"] = max_short_days;
|
|
if (day_range.size() != 0) {
|
|
m_result["空仓时间/总时间%"] = 100 * total_short_days / day_range.size();
|
|
}
|
|
if (short_number != 0) {
|
|
m_result["平均空仓时间"] = total_short_days / short_number;
|
|
}
|
|
}
|
|
}
|
|
|
|
} /* namespace hku */
|