def update(self):
# 若标记的长度比历史数据更长，则无法回测并报错
if len(self.history_price) < len(self.choose_position):
print(
'Error! The length of choose_position is larger than that of history_price!'
)
return
# 若标记的长度比历史数据更短，则用0补齐标记数组及amount数组使之与历史数据长度一致
if len(self.history_price) > len(self.choose_position):
for i in range(
len(self.history_price) - len(self.choose_position)):
self.choose_position.append(0)
self.choose_amount.append(0)
real_capital = 0
now_hold = 0
capital = []
capital_return = []
for t in range(len(self.history_price)):
if t > 0:
capital_return.append(
now_hold *
(self.history_price[t] - self.history_price[t - 1]))
if t == 0:
capital_return.append(0)
self.total_amount = self.total_amount + self.choose_amount[t]
if self.choose_position[t] == 1:
now_hold = now_hold + self.choose_amount[t]
real_capital = real_capital + self.choose_amount[
t] * self.history_price[t]
if self.choose_position[t] == 2:
real_capital = real_capital * (
(now_hold - self.choose_amount[t]) / now_hold)
if MathUtils.double_compare(now_hold - self.choose_amount[t],
0) < 0:
print("Error! Hold can't be smaller than 0!")
now_hold = now_hold - self.choose_amount[t]
capital.append(real_capital)
max_draw_down = -float("inf")
temp_sum_return = [capital_return[0]]
for i in range(1, len(capital_return)):
temp = temp_sum_return[i - 1] + capital_return[i]
if MathUtils.double_compare(-temp, max_draw_down) > 0:
max_draw_down = -temp
temp_sum_return.append(temp)
self.sum_return = np.array(temp_sum_return)
self.capital = np.array(capital)
self.capital_return = np.array(capital_return)
self.max_draw_down = max_draw_down
self.final_return = self.sum_return[-1]
def add_choose_position(self, is_buy: bool, position: int, amount: float):
# 不检查hold是否充足，在update时再进行检查，但检查amount是否为非负数
if MathUtils.double_compare(amount, 0) < 0:
print("Error! Amount can't be smaller than 0!")
return
# 若两数组长度不够，则用 0 补齐长度
if len(self.choose_position) <= position:
for i in range(position - len(self.choose_position) + 1):
self.choose_position.append(0)
self.choose_amount.append(0)
# 在对应的位置上加上标记及amount
if is_buy:
self.choose_position[position] = 1
else:
self.choose_position[position] = 2
self.choose_amount[position] = amount