feat: 增加简单回测

leopard-core/src/main/java/com/lanyuanxiaoyao/leopard/core/strategy/TradeEngine.java

@@ -1,11 +1,16 @@
 package com.lanyuanxiaoyao.leopard.core.strategy;
 
+import cn.hutool.core.util.ObjectUtil;
 import com.lanyuanxiaoyao.leopard.core.entity.Daily;
+import com.lanyuanxiaoyao.leopard.core.entity.QDaily;
 import com.lanyuanxiaoyao.leopard.core.repository.DailyRepository;
 import java.time.LocalDate;
+import java.util.ArrayList;
 import java.util.HashMap;
 import java.util.List;
 import java.util.Map;
+import java.util.stream.Collectors;
+import lombok.Data;
 import lombok.extern.slf4j.Slf4j;
 import org.springframework.stereotype.Service;
 
@@ -24,23 +29,80 @@ public class TradeEngine {
     this.dailyRepository = dailyRepository;
   }
 
-  public void backtest(List<Long> stocks, TradeStrategy strategy) {
+  public Asset backtest(List<Long> stocks, TradeStrategy strategy, LocalDate startDate, LocalDate endDate) {
+    var dailies = dailyRepository.findAll(
+      QDaily.daily.stock.id.in(stocks)
+        .and(QDaily.daily.tradeDate.before(endDate)),
+      QDaily.daily.tradeDate.asc()
+    );
+    var validTradeDates = dailies.stream()
+      .map(Daily::getTradeDate)
+      .distinct()
+      .toList();
+    var asset = new Asset();
+    for (var now = startDate; now.isBefore(endDate) || now.isEqual(endDate); now = now.plusDays(1)) {
+      if (!validTradeDates.contains(now)) {
+        continue;
+      }
+      final var currentDate = now;
+      var trades = strategy.trade(
+        now,
+        asset,
+        dailies.stream()
+          .filter(daily -> daily.getTradeDate().isBefore(currentDate))
+          .collect(Collectors.groupingBy(daily -> daily.getStock().getId()))
+      );
+      for (var trade : trades) {
+        dailies.stream()
+          .filter(daily -> ObjectUtil.equals(daily.getStock().getId(), trade.stockId))
+          .filter(daily -> ObjectUtil.equals(daily.getTradeDate(), currentDate))
+          .findFirst()
+          .map(Daily::getHfqClose)
+          .ifPresent(close -> {
+            if (trade.volume < 0) {
+              asset.setCash(asset.getCash() + Math.abs(trade.volume) * close);
+            } else if (trade.volume > 0) {
+              asset.setCash(asset.getCash() - Math.abs(trade.volume) * close);
+            }
+            asset.getStocks().put(
+              trade.stockId,
+              asset.getStocks().getOrDefault(trade.stockId, 0) + trade.volume
+            );
+          });
+      }
+      asset.getHistories().add(new Asset.History(
+        now,
+        asset.getCash(),
+        asset.getStocks(),
+        trades.stream()
+          .collect(Collectors.groupingBy(trade -> trade.stockId))
+      ));
+    }
+    return asset;
   }
 
   public interface TradeStrategy {
     List<Trade> trade(LocalDate now, Asset asset, Map<Long, List<Daily>> dailies);
   }
 
-  public record Asset(
+  @Data
-    Double cash,
+  public static final class Asset {
-    Map<Long, Double> stocks
+    private double cash = 0;
-  ) {
+    private double profit = 0.0;
-    public Asset() {
+    private Map<Long, Integer> stocks = new HashMap<>();
-      this(0.0, new HashMap<>());
+    private List<History> histories = new ArrayList<>();
+
+    public record History(
+      LocalDate date,
+      double cash,
+      Map<Long, Integer> stocks,
+      Map<Long, List<Trade>> trades
+    ) {
     }
   }
 
   public record Trade(
+    LocalDate date,
     Long stockId,
     // 用正负数表达买卖
     Integer volume

leopard-strategy/src/main/java/com/lanyuanxiaoyao/leopard/strategy/StrategyApplication.java

@@ -1,7 +1,9 @@
 package com.lanyuanxiaoyao.leopard.strategy;
 
+import cn.hutool.core.util.ObjectUtil;
 import cn.hutool.core.util.StrUtil;
 import com.fasterxml.jackson.databind.ObjectMapper;
+import com.lanyuanxiaoyao.leopard.core.entity.Daily;
 import com.lanyuanxiaoyao.leopard.core.entity.QStock;
 import com.lanyuanxiaoyao.leopard.core.repository.DailyRepository;
 import com.lanyuanxiaoyao.leopard.core.repository.StockRepository;
@@ -9,10 +11,14 @@ import com.lanyuanxiaoyao.leopard.core.service.AssessmentService;
 import com.lanyuanxiaoyao.leopard.core.service.StockService;
 import com.lanyuanxiaoyao.leopard.core.service.TuShareService;
 import com.lanyuanxiaoyao.leopard.core.service.selector.PyramidStockSelector;
+import com.lanyuanxiaoyao.leopard.core.strategy.TradeEngine;
 import jakarta.annotation.Resource;
 import java.io.IOException;
 import java.nio.file.Files;
 import java.nio.file.Path;
+import java.time.LocalDate;
+import java.util.Comparator;
+import java.util.List;
 import java.util.Map;
 import lombok.extern.slf4j.Slf4j;
 import org.springframework.boot.SpringApplication;
@@ -39,6 +45,8 @@ public class StrategyApplication {
   private StockRepository stockRepository;
   @Resource
   private StockService stockService;
+  @Resource
+  private TradeEngine tradeEngine;
 
   public static void main(String[] args) {
     SpringApplication.run(StrategyApplication.class, args);
@@ -279,9 +287,41 @@ public class StrategyApplication {
   @EventListener(ApplicationReadyEvent.class)
   public void test() {
     var stock = stockRepository.findOne(QStock.stock.code.eq("000001.SZ")).orElseThrow();
-    var weeklies = stockService.findWeeklyRecent(stock.getId(), 2);
+    var asset = tradeEngine.backtest(
-    for (var weekly : weeklies) {
+      List.of(stock.getId()),
-      log.info("{}", weekly);
+      (now, currentAsset, dailies) -> {
+        return dailies.entrySet()
+          .stream()
+          .map(entry -> {
+            var stockId = entry.getKey();
+            var stockDailies = entry.getValue()
+              .stream()
+              .sorted(Comparator.comparing(Daily::getTradeDate))
+              .toList();
+            var yesterday = stockDailies.getLast();
+            if (yesterday.getHfqClose() > yesterday.getHfqOpen()) {
+              log.info("{} Buy for price {} {}", now, yesterday.getHfqOpen(), yesterday.getHfqClose());
+              return new TradeEngine.Trade(now, stockId, 100);
+            } else if (yesterday.getHfqClose() < yesterday.getHfqOpen()) {
+              var hold = currentAsset.getStocks().getOrDefault(stockId, 0);
+              if (hold > 0) {
+                log.info("{} Sell for price {} {}", now, yesterday.getHfqOpen(), yesterday.getHfqClose());
+                return new TradeEngine.Trade(now, stockId, -1 * hold);
+              }
+            } else {
+              log.info("{} Hold for price {} {}", now, yesterday.getHfqOpen(), yesterday.getHfqClose());
+            }
+            return null;
+          })
+          .filter(ObjectUtil::isNotNull)
+          .toList();
+      },
+      LocalDate.of(2024, 12, 1),
+      LocalDate.of(2024, 12, 31)
+    );
+    log.info("Final Cash: {}", asset.getCash());
+    for (var history : asset.getHistories()) {
+      log.info("Date: {} Cash: {} Trade: {}", history.date(), history.cash(), history.trades().values());
     }
   }
 }