feat: 实现基本的回测图表绘制

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

@@ -1,21 +1,34 @@
 package com.lanyuanxiaoyao.leopard.strategy;
 
 import cn.hutool.core.lang.Dict;
+import cn.hutool.core.util.ObjectUtil;
+import cn.hutool.core.util.StrUtil;
 import cn.hutool.extra.template.TemplateConfig;
 import cn.hutool.extra.template.TemplateEngine;
 import cn.hutool.extra.template.TemplateUtil;
 import com.lanyuanxiaoyao.leopard.core.entity.Daily;
 import com.lanyuanxiaoyao.leopard.core.entity.QDaily;
+import com.lanyuanxiaoyao.leopard.core.entity.QStock;
+import com.lanyuanxiaoyao.leopard.core.entity.dto.Monthly;
+import com.lanyuanxiaoyao.leopard.core.entity.dto.Weekly;
+import com.lanyuanxiaoyao.leopard.core.entity.dto.YearAndMonth;
+import com.lanyuanxiaoyao.leopard.core.entity.dto.YearAndWeek;
 import com.lanyuanxiaoyao.leopard.core.helper.TaHelper;
 import com.lanyuanxiaoyao.leopard.core.repository.DailyRepository;
 import com.lanyuanxiaoyao.leopard.core.repository.StockCollectionRepository;
+import com.lanyuanxiaoyao.leopard.core.repository.StockRepository;
+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.time.temporal.WeekFields;
 import java.util.ArrayList;
+import java.util.Comparator;
+import java.util.HashMap;
 import java.util.List;
+import java.util.stream.Collectors;
 import lombok.extern.slf4j.Slf4j;
 import org.springframework.boot.SpringApplication;
 import org.springframework.boot.autoconfigure.SpringBootApplication;
@@ -24,12 +37,20 @@ import org.springframework.context.event.EventListener;
 import org.springframework.data.jpa.repository.config.EnableJpaAuditing;
 import org.springframework.transaction.annotation.Transactional;
 
+import static com.lanyuanxiaoyao.leopard.core.helper.TaHelper.maxFromDaily;
+import static com.lanyuanxiaoyao.leopard.core.helper.TaHelper.minFromDaily;
+import static com.lanyuanxiaoyao.leopard.core.helper.TaHelper.sumFromDaily;
+
 @Slf4j
 @SpringBootApplication(scanBasePackages = "com.lanyuanxiaoyao.leopard")
 @EnableJpaAuditing
 public class StrategyApplication {
   private static final TemplateEngine engine = TemplateUtil.createEngine(new TemplateConfig("templates", TemplateConfig.ResourceMode.CLASSPATH));
 
+  @Resource
+  private TradeEngine tradeEngine;
+  @Resource
+  private StockRepository stockRepository;
   @Resource
   private DailyRepository dailyRepository;
   @Resource
@@ -41,38 +62,234 @@ public class StrategyApplication {
 
   @Transactional(readOnly = true)
   @EventListener(ApplicationReadyEvent.class)
-  public void test() throws IOException {
-    var charts = Dict.create();
-    List.of("000048.SZ", "000333.SZ", "000568.SZ", "000596.SZ", "000651.SZ", "000848.SZ", "000858.SZ", "000933.SZ", "002027.SZ", "002032.SZ", "002142.SZ", "002192.SZ", "002415.SZ", "002432.SZ", "002475.SZ", "002517.SZ", "002555.SZ", "002648.SZ", "002756.SZ", "002847.SZ", "600036.SH", "600096.SH", "600132.SH", "600188.SH", "600309.SH", "600426.SH", "600436.SH", "600519.SH", "600546.SH", "600563.SH", "600702.SH", "600779.SH", "600803.SH", "600809.SH", "600961.SH", "601001.SH", "601100.SH", "601138.SH", "601225.SH", "601899.SH", "601919.SH", "603195.SH", "603198.SH", "603288.SH", "603369.SH", "603444.SH", "603565.SH", "603568.SH", "603605.SH", "603688.SH")
+  public void backtest() throws IOException {
+    var startDate = LocalDate.of(2024, 12, 1);
+    var endDate = LocalDate.of(2024, 12, 31);
+    var charts = new ArrayList<Dict>();
+    List.of("000048.SZ", "000333.SZ", "000568.SZ", "000596.SZ"/*, "000651.SZ", "000848.SZ", "000858.SZ", "000933.SZ", "002027.SZ", "002032.SZ", "002142.SZ", "002192.SZ", "002415.SZ", "002432.SZ", "002475.SZ", "002517.SZ", "002555.SZ", "002648.SZ", "002756.SZ", "002847.SZ", "600036.SH", "600096.SH", "600132.SH", "600188.SH", "600309.SH", "600426.SH", "600436.SH", "600519.SH", "600546.SH", "600563.SH", "600702.SH", "600779.SH", "600803.SH", "600809.SH", "600961.SH", "601001.SH", "601100.SH", "601138.SH", "601225.SH", "601899.SH", "601919.SH", "603195.SH", "603198.SH", "603288.SH", "603369.SH", "603444.SH", "603565.SH", "603568.SH", "603605.SH", "603688.SH"*/)
       .parallelStream()
       .forEach(code -> {
-        var dailies = dailyRepository.findAll(
+        var stock = stockRepository.findOne(QStock.stock.code.eq(code)).orElseThrow();
+        var asset = tradeEngine.backtest(
+          List.of(stock.getId()),
+          (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();
+          },
+          startDate,
+          endDate
+        );
+        var sources = dailyRepository.findAll(
           QDaily.daily.stock.code.eq(code)
-            .and(QDaily.daily.tradeDate.after(LocalDate.of(2025, 1, 1))),
+            .and(QDaily.daily.tradeDate.after(startDate.minusDays(150)))
+            .and(QDaily.daily.tradeDate.before(endDate)),
           QDaily.daily.tradeDate.asc()
         );
 
-        var sma30 = TaHelper.sma(dailies, 30, Daily::getHfqClose);
-        var slopes = new ArrayList<Double>();
+        var dailies = sources.stream()
+          .filter(daily -> daily.getTradeDate().isAfter(startDate) && daily.getTradeDate().isBefore(endDate))
+          .sorted(Comparator.comparing(Daily::getTradeDate))
+          .toList();
+        var dailyXList = new ArrayList<String>();
+        var dailyYList = new ArrayList<List<Double>>();
+        var dailyCloseMapping = new HashMap<String, Double>();
+        for (var daily : dailies) {
+          dailyXList.add(daily.getTradeDate().toString());
+          dailyYList.add(List.of(daily.getHfqOpen(), daily.getHfqClose(), daily.getHfqLow(), daily.getHfqHigh()));
+          dailyCloseMapping.put(daily.getTradeDate().toString(), daily.getHfqClose());
+        }
+        charts.add(Dict.create()
+          .set("title", code)
+          .set(
+            "data",
+            Dict.create()
+              .set(
+                "日线",
+                Dict.create()
+                  .set("xList", dailyXList)
+                  .set("yList", dailyYList)
+                  .set(
+                    "points",
+                    asset.getHistories()
+                      .stream()
+                      .filter(history -> ObjectUtil.isNotEmpty(history.trades()))
+                      .filter(history -> history.trades().containsKey(stock.getId()))
+                      .filter(history -> ObjectUtil.isNotEmpty(history.trades().get(stock.getId())))
+                      .map(history -> {
+                          var trade = history.trades().get(stock.getId()).getFirst();
+                          return Dict.create()
+                            .set("value", trade.volume())
+                            .set("itemStyle", Dict.create()
+                              .set("color", trade.volume() > 0 ? "#e5b8b5" : "#b5e2e5")
+                            )
+                            .set("coord", List.of(history.date().toString(), dailyCloseMapping.getOrDefault(history.date().toString(), 0.0)));
+                        }
+                      )
+                      .toList()
+                  )
+              )
+          )
+        );
+        /*log.info("Final Cash: {}", asset.getCash());
+        for (var history : asset.getHistories()) {
+          log.info("Date: {} Cash: {} Trade: {}", history.date(), history.cash(), history.trades().values());
+        }*/
+      });
+    var template = engine.getTemplate("backtest_report.html");
+    Files.writeString(Path.of("backtest_report.html"), template.render(
+      Dict.create().set("charts", charts)
+    ));
+  }
+
+  @Transactional(readOnly = true)
+  @EventListener(ApplicationReadyEvent.class)
+  public void test() throws IOException {
+    var dailyRange = 150;
+    var weekRange = 24;
+    var monthRange = 12;
+    var charts = Dict.create();
+    List.of("000048.SZ", "000333.SZ", "000568.SZ", "000596.SZ", "000651.SZ", "000848.SZ"/*, "000858.SZ", "000933.SZ", "002027.SZ", "002032.SZ", "002142.SZ", "002192.SZ", "002415.SZ", "002432.SZ", "002475.SZ", "002517.SZ", "002555.SZ", "002648.SZ", "002756.SZ", "002847.SZ", "600036.SH", "600096.SH", "600132.SH", "600188.SH", "600309.SH", "600426.SH", "600436.SH", "600519.SH", "600546.SH", "600563.SH", "600702.SH", "600779.SH", "600803.SH", "600809.SH", "600961.SH", "601001.SH", "601100.SH", "601138.SH", "601225.SH", "601899.SH", "601919.SH", "603195.SH", "603198.SH", "603288.SH", "603369.SH", "603444.SH", "603565.SH", "603568.SH", "603605.SH", "603688.SH"*/)
+      .parallelStream()
+      .forEach(code -> {
+        var sources = dailyRepository.findAll(
+          QDaily.daily.stock.code.eq(code)
+            .and(QDaily.daily.tradeDate.after(LocalDate.now().minusMonths(12))),
+          QDaily.daily.tradeDate.asc()
+        );
+
+        var dailies = sources.stream()
+          .filter(daily -> daily.getTradeDate().isAfter(LocalDate.now().minusDays(dailyRange)))
+          .sorted(Comparator.comparing(Daily::getTradeDate))
+          .toList();
+        var dailyXList = new ArrayList<String>();
+        var dailyYList = new ArrayList<List<Double>>();
+        for (var daily : dailies) {
+          dailyXList.add(daily.getTradeDate().toString());
+          dailyYList.add(List.of(daily.getHfqOpen(), daily.getHfqClose(), daily.getHfqLow(), daily.getHfqHigh()));
+        }
+
+        // 30日均线和均线斜率
+        var sma30 = TaHelper.sma(sources, 30, Daily::getHfqClose).subList(sources.size() - dailyRange, sources.size());
+        /*var slopes = new ArrayList<Double>();
         slopes.add(0.0);
         for (int i = 1; i < sma30.size(); i++) {
           slopes.add(((sma30.get(i) - sma30.get(i - 1)) * 1000.0) / sma30.get(i - 1));
-        }
+        }*/
+        var sma60 = TaHelper.sma(sources, 60, Daily::getHfqClose).subList(sources.size() - dailyRange, sources.size());
 
-        var xList = new ArrayList<String>();
-        var yList = new ArrayList<List<Double>>();
-        for (var daily : dailies) {
-          xList.add(daily.getTradeDate().toString());
-          yList.add(List.of(daily.getHfqOpen(), daily.getHfqClose(), daily.getHfqLow(), daily.getHfqHigh()));
+        charts.set(
+          StrUtil.format("日线 {}", code),
+          Dict.create()
+            .set("xList", dailyXList)
+            .set("yList", dailyYList)
+            .set("sma30", sma30)
+            .set("sma60", sma60)
+          // .set("sma30Slopes", slopes)
+        );
+
+        var weeklies = sources.stream()
+          .filter(daily -> daily.getTradeDate().isAfter(LocalDate.now().minusWeeks(weekRange)))
+          .collect(Collectors.groupingBy(daily -> new YearAndWeek(daily.getTradeDate().getYear(), daily.getTradeDate().get(WeekFields.ISO.weekOfYear()))))
+          .entrySet()
+          .stream()
+          .map(entry -> {
+            var yearAndWeek = entry.getKey();
+            var subDailies = entry.getValue();
+            var open = subDailies.getFirst().getHfqOpen();
+            var close = subDailies.getLast().getHfqClose();
+            return new Weekly(
+              LocalDate.of(yearAndWeek.year(), 1, 1).with(WeekFields.ISO.weekOfYear(), yearAndWeek.week()),
+              yearAndWeek.year(),
+              yearAndWeek.week(),
+              open,
+              maxFromDaily(subDailies, Daily::getHfqHigh),
+              minFromDaily(subDailies, Daily::getHfqLow),
+              close,
+              close - open,
+              (close - open) / open * 100,
+              sumFromDaily(subDailies, Daily::getVolume),
+              sumFromDaily(subDailies, Daily::getTurnover)
+            );
+          })
+          .sorted(Comparator.comparingInt(weekly -> weekly.year() * 100 + weekly.week()))
+          .toList();
+
+        var weekXList = new ArrayList<String>();
+        var weekYList = new ArrayList<List<Double>>();
+        for (var weekly : weeklies) {
+          weekXList.add(weekly.tradeDate().toString());
+          weekYList.add(List.of(weekly.open(), weekly.close(), weekly.low(), weekly.high()));
         }
 
         charts.set(
-          code,
+          StrUtil.format("周线 {}", code),
           Dict.create()
-            .set("xList", xList)
-            .set("yList", yList)
-            .set("sma30", sma30)
-            .set("sma30Slopes", slopes)
+            .set("xList", weekXList)
+            .set("yList", weekYList)
+        );
+
+        var monthlies = sources.stream()
+          .filter(daily -> daily.getTradeDate().isAfter(LocalDate.now().minusMonths(monthRange)))
+          .collect(Collectors.groupingBy(daily -> new YearAndMonth(daily.getTradeDate().getYear(), daily.getTradeDate().getMonthValue())))
+          .entrySet()
+          .stream()
+          .map(entry -> {
+            var yearAndMonth = entry.getKey();
+            var subDailies = entry.getValue();
+            var open = subDailies.getFirst().getHfqOpen();
+            var close = subDailies.getLast().getHfqClose();
+            return new Monthly(
+              LocalDate.of(yearAndMonth.year(), yearAndMonth.month(), 1),
+              yearAndMonth.year(),
+              yearAndMonth.month(),
+              open,
+              maxFromDaily(subDailies, Daily::getHfqHigh),
+              minFromDaily(subDailies, Daily::getHfqLow),
+              close,
+              close - open,
+              (close - open) / open * 100,
+              sumFromDaily(subDailies, Daily::getVolume),
+              sumFromDaily(subDailies, Daily::getTurnover)
+            );
+          })
+          .sorted(Comparator.comparingInt(monthly -> monthly.year() * 100 + monthly.month()))
+          .toList();
+
+        var monthXList = new ArrayList<String>();
+        var monthYList = new ArrayList<List<Double>>();
+        for (var month : monthlies) {
+          monthXList.add(month.tradeDate().toString());
+          monthYList.add(List.of(month.open(), month.close(), month.low(), month.high()));
+        }
+
+        charts.set(
+          StrUtil.format("月线 {}", code),
+          Dict.create()
+            .set("xList", monthXList)
+            .set("yList", monthYList)
         );
       });
 

leopard-strategy/src/main/resources/logback-spring.xml

@@ -15,7 +15,7 @@
     </appender>
 
     <logger name="com.lanyuanxiaoyao.leopard" level="INFO"/>
-    <!--<logger name="org.hibernate.SQL" level="DEBUG"/>-->
+    <logger name="org.hibernate.SQL" level="DEBUG"/>
 
     <root level="ERROR">
         <appender-ref ref="Console"/>

leopard-strategy/src/main/resources/templates/backtest_report.html

@@ -0,0 +1,259 @@
+<html lang='zh'>
+<head>
+  <meta charset='utf-8'/>
+  <meta content="text/html; charset=utf-8" http-equiv="Content-Type"/>
+  <meta content='width=device-width, initial-scale=1.0' name='viewport'/>
+  <title>Strategy</title>
+  <link href="https://cdnjs.cloudflare.com/ajax/libs/amis/6.13.0/antd.min.css" rel="stylesheet"/>
+  <link href="https://cdnjs.cloudflare.com/ajax/libs/amis/6.13.0/helper.min.css" rel="stylesheet"/>
+  <link href="https://cdnjs.cloudflare.com/ajax/libs/amis/6.13.0/iconfont.min.css" rel="stylesheet"/>
+  <style>
+    html, body, #root {
+      position: relative;
+      width: 100%;
+      height: 100%;
+      margin: 0;
+      padding: 0;
+    }
+  </style>
+</head>
+<body>
+<div id='root'></div>
+</body>
+<script src="https://cdnjs.cloudflare.com/ajax/libs/amis/6.13.0/sdk.min.js"></script>
+<script th:inline="javascript" type='text/javascript'>
+  function candleChart(title, data) {
+    return {
+      type: 'service',
+      data: data,
+      body: {
+        className: 'mt-2',
+        type: 'chart',
+        height: 800,
+        config: {
+          title: {
+            text: title,
+          },
+          backgroundColor: '#fff',
+          animation: true,
+          animationDuration: 1000,
+          tooltip: {
+            trigger: 'axis',
+            axisPointer: {
+              type: 'cross',
+            },
+            backgroundColor: 'rgba(0, 0, 0, 0.7)',
+            borderColor: '#333',
+            borderWidth: 1,
+            textStyle: {
+              color: '#fff',
+              fontSize: 12,
+            },
+            padding: 12,
+            formatter: function (params) {
+              const param = params[0]
+              const open = parseFloat(param.data[1]).toFixed(2)
+              const close = parseFloat(param.data[2]).toFixed(2)
+              const lowest = parseFloat(param.data[3]).toFixed(2)
+              const highest = parseFloat(param.data[4]).toFixed(2)
+
+              return `<div class="text-center font-bold mb-2">${param.name}</div>
+                        <div class="text-center">
+                          <span>开盘:</span>
+                          <span class="font-bold ml-4">${open}</span>
+                        </div>
+                        <div class="text-center">
+                          <span>收盘:</span>
+                          <span class="font-bold ml-4">${close}</span>
+                        </div>
+                        <div class="text-center">
+                          <span>最低:</span>
+                          <span class="font-bold ml-4">${lowest}</span>
+                        </div>
+                        <div class="text-center">
+                          <span>最高:</span>
+                          <span class="font-bold ml-4">${highest}</span>
+                        </div>`
+            },
+          },
+          grid: {
+            left: '2%',
+            right: '2%',
+            top: '15%',
+            bottom: '15%',
+            containLabel: true,
+          },
+          xAxis: {
+            data: '${xList || []}',
+            axisLine: {
+              lineStyle: {
+                color: '#e0e0e0',
+              },
+            },
+            axisLabel: {
+              color: '#666',
+              fontWeight: 'bold',
+            },
+            splitLine: {
+              show: false,
+            },
+            axisTick: {
+              show: false,
+            },
+          },
+          yAxis: [
+            {
+              position: 'left',
+              scale: true,
+              axisLine: {
+                lineStyle: {
+                  color: '#e0e0e0',
+                },
+              },
+              axisLabel: {
+                color: '#666',
+                fontWeight: 'bold',
+                formatter: function (value) {
+                  return value.toFixed(2)
+                },
+              },
+              splitLine: {
+                lineStyle: {
+                  type: 'dashed',
+                  color: '#f0f0f0',
+                },
+              },
+              axisTick: {
+                show: false,
+              },
+            },
+            {
+              position: 'right',
+              scale: true,
+              axisLine: {
+                lineStyle: {
+                  color: '#e0e0e0',
+                },
+              },
+              axisLabel: {
+                color: '#666',
+                fontWeight: 'bold',
+                formatter: function (value) {
+                  return value.toFixed(2)
+                },
+              },
+              splitLine: {
+                lineStyle: {
+                  type: 'dashed',
+                  color: '#f0f0f0',
+                },
+              },
+              axisTick: {
+                show: false,
+              },
+            },
+            {
+              scale: true,
+              axisLine: {
+                show: false,
+              },
+              axisTick: {
+                show: false,
+              },
+              axisLabel: {
+                show: false,
+              },
+              splitLine: {
+                show: false,
+              },
+            },
+          ],
+          dataZoom: [
+            {
+              type: 'inside',
+              start: 0,
+              end: 100,
+            },
+            {
+              show: true,
+              type: 'slider',
+              top: '90%',
+              start: 0,
+              end: 100,
+            },
+          ],
+          series: [
+            {
+              type: 'candlestick',
+              data: '${yList || []}',
+              yAxisIndex: 0,
+              itemStyle: {
+                color: '#eb5454',
+                color0: '#4aaa93',
+                borderColor: '#eb5454',
+                borderColor0: '#4aaa93',
+                borderWidth: 1,
+              },
+              markPoint: {
+                data: '${points || []}',
+              },
+            },
+            {
+              type: 'line',
+              yAxisIndex: 0,
+              data: '${sma30 || []}',
+              smooth: true,
+              symbol: 'none',
+              lineStyle: {
+                color: 'rgba(0,111,255,0.5)',
+              },
+            },
+            {
+              type: 'line',
+              yAxisIndex: 0,
+              data: '${sma60 || []}',
+              smooth: true,
+              symbol: 'none',
+              lineStyle: {
+                color: 'rgba(115,0,255,0.5)',
+              },
+            },
+            {
+              type: 'line',
+              yAxisIndex: 1,
+              data: '${sma30Slopes || []}',
+              smooth: true,
+              symbol: 'none',
+              lineStyle: {
+                color: 'rgba(0,255,81,0.5)',
+              },
+            },
+          ],
+        },
+      },
+    }
+  }
+
+  const data = /*[[${charts}]]*/ [];
+
+  (function () {
+    const amis = amisRequire('amis/embed')
+    const amisJson = {
+      type: 'page',
+      title: 'Strategy',
+      body: {
+        type: 'tabs',
+        tabsMode: 'vertical',
+        tabs: data.map(item => {
+          return {
+            title: item?.title,
+            body: Object.keys(item?.data ?? {})
+              .map(key => candleChart(key, item.data[key])),
+          }
+        }),
+      },
+    }
+    amis.embed('#root', amisJson, {}, {theme: 'antd'})
+  })()
+</script>
+</html>

leopard-strategy/src/main/resources/templates/report.html

@@ -205,6 +205,16 @@
                 color: 'rgba(0,111,255,0.5)',
               },
             },
+            {
+              type: 'line',
+              yAxisIndex: 0,
+              data: '${sma60 || []}',
+              smooth: true,
+              symbol: 'none',
+              lineStyle: {
+                color: 'rgba(115,0,255,0.5)',
+              },
+            },
             {
               type: 'line',
               yAxisIndex: 1,