def __get_performance_manager(self):
# TODO 加入回测是否运行的判断
if False:
raise ValueError('please run the backtest first')
return StrategyPerformanceManagerOnline(
self.__strategy_engine.profit_records,
self.__strategy_engine.deals, self.__strategy_engine.positions)
def get_sharpe(self, start_time, end_time, simple=True):
si, ei = self.get_index(start_time, end_time)
if si >= len(self.__pnl):
return 0
records = self.__pnl[si:ei]
manager = StrategyPerformanceManagerOnline(records, {}, {})
performance = manager.get_performance()
if simple:
return performance.sharpe_ratio.total
else:
return performance.sharpe_ratio_compound.total
def performance(self):
if self._performance is None:
self._performance_manager = StrategyPerformanceManagerOnline(self.profit_records, self.deals,
self.positions)
self._performance = self._performance_manager.get_performance()
return self._performance
def get_performance(self, start_time, end_time):
si, ei = self.get_index(start_time, end_time)
if si >= len(self.__pnl):
return None
records = self.__pnl[si:ei]
return StrategyPerformanceManagerOnline(records, {}, {})
