统计收益率
BotVS的收益统计只能记录一根曲线。不能进行技术分析。 此模板可以实现自动统计最近1日，上1日，最近7日，上个7日，最近30日，上30日 和所有时间的收益，收益率，月化收益率，年化收益率以及最大回撤。（根据短时间段计算出来的月化和年化收益率没有用复利算法。）
用法： 引入此模板，替换原来策略的LogProfit函数为$.LogProfit。 并在 LogStatus 的地方，添加 $.ProfitSummary(初始资金) 的返回字符串
例如: function main() { while(true) { var t = exchange.GetTicker(); $.LogProfit(t.Last); LogStatus($.ProfitSummary(10000)); Sleep(3600000); } }
显示效果：
1日: 收-78.44元(-0.537%)，月化-16.781%，年化-204.169%，回撤1.106% 上1日: 收176.08元(1.221%)，月化38.226%，年化465.087%，回撤1.236% 7日: 收771.74元(5.599%)，月化24.141%，年化293.719%，回撤1.517% 上7日: 收223.15元(1.64%)，月化7.071%，年化86.039%，回撤0.9% 30日: 收1570.31元(12.094%)，月化12.111%，年化147.352%，回撤3.251% 上30日: 收200.12元(1.565%)，月化1.567%，年化19.076%，回撤1.521% 总: 收4554.11元(45.541%)，最大回撤3.251%，统计时间74天23小时
$.LogProfit = function(profit) {
var args = Array.prototype.slice.call(arguments);
if (SYS_LOGPROFIT) {
LogProfit.apply(this, args);
} else {
args.unshift('收益');
Log.apply(this,args);
}
var _history = $.GetAllProfit();
_history.push([ Math.floor(new Date().getTime()/1000), profit]);
_G('profit_history', JSON.stringify(_history));
};
$.GetAllProfit = function() {
var old = _G('profit_history') || '[]';
try {
var _history = JSON.parse(old);
return _history;
} catch(e) {
_G('profit_history', null);
return [];
}
};
function filterProfit(from, to) {
var arr = $.GetAllProfit();
if (!arr || arr.length === 0) return;
var re, maxdrawback=0, lastProfit=0, maxProfit=false, maxdrawbackProfit=0;
var earlest, latest;
for(var i=0;i<arr.length;i++) {
if (!arr[i]) continue;
if (arr[i][0] > from && arr[i][0] <= to) {
var profit = arr[i][1];
if (!earlest) earlest = arr[i];
latest = arr[i];
if (!lastProfit) lastProfit = profit;
if (maxProfit === false || maxProfit < profit) maxProfit = profit;
var drawback = maxProfit - profit;
if (drawback > maxdrawback) {
maxdrawback = drawback;
maxdrawbackProfit = maxProfit;
}
}
}
if (!earlest || !latest) return;
return [earlest, latest, maxdrawback, maxdrawbackProfit];
}
function daysProfit(offset, days) {
var from = getDaySecond( -offset+days);
var to = getDaySecond(-offset);
var arr = filterProfit( from, to );
if (!arr || !arr[0] || !arr[1]) return;
var profitTime = arr[1][0] - arr[0][0];
if (!profitTime) return;
var periodTime = to - from;
var profit = arr[1][1] - arr[0][1];
var realPercent = profitTime*100 / periodTime;
var expectedProfit = profit * 100 / realPercent;
return {
profit:profit,
expectedProfit:expectedProfit,
profitTime:profitTime,
periodTime:periodTime,
open: arr[0][1],
close: arr[1][1],
drawback: arr[2],
drawbackProfit: arr[3]
};
}
function getDaySecond(days) {
var d = new Date();
var now = d.getTime();
now -= days*86400000;
d.setTime(now);
return Math.floor(d.getTime() / 1000);
}
$.DaysProfit = function(days) {
return filterProfit(days)[2];
};
$.ProfitSummary = function(initialBalance) {
if (!initialBalance) return '没有传入初始资金';
var day = daysProfit(0, 1);
var lastDay = daysProfit(-1, 1);
var week = daysProfit(0,7);
var lastWeek = daysProfit(-7,7);
var month = daysProfit(0,30);
var lastMonth = daysProfit(-30,30);
var all = daysProfit(0, 10000);
if (!all) return '';
var _days = Math.floor(all.profitTime / 86400);
var text = [];
var t = profitSummary(day, initialBalance);
if (t) text.push('1日: '+t);
t = profitSummary(lastDay, initialBalance);
if (t) text.push('上1日: '+t);
t = profitSummary(week, initialBalance);
if (t && _days >= 7) text.push('7日: '+t);
t = profitSummary(lastWeek, initialBalance);
if (t) text.push('上7日: '+t);
t = profitSummary(month, initialBalance);
if (t && _days>=30) text.push('30日: '+t);
t = profitSummary(lastMonth, initialBalance);
if (t) text.push('上30日: '+t);
if (all) {
var _days = Math.floor(all.profitTime / 86400);
all.profitTime %= 86400;
var _hours = Math.floor(all.profitTime / 3600);
var drawback = _N( all.drawback*100/(all.drawbackProfit+initialBalance), 3 )+'%';
text.push('总: 收'+_N(all.close,2)+'元('+_N(all.close*100/initialBalance,3)+'%)，最大回撤'+drawback+'，统计时间'+_days+'天'+_hours+'小时');
}
return text.join('\n');
};
function profitSummary(p, base) {
if (!p) return '';
var text = [];
text.push('收'+_N(p.profit,2)+'元('+_N(p.profit*100/(base+p.open), 3)+'%)');
var month = expectProfit(p, 30, base);
if (month) {
text.push('月化'+month.percent+'%');
}
var year = expectProfit(p, 365, base);
if (year) {
text.push('年化'+year.percent+'%');
}
text.push('回撤'+ _N( p.drawback*100/(p.drawbackProfit+base), 3 )+'%' );
return text.join('，');
}
function expectProfit(p, days, base) {
var expectSeconds = days*86400;
if (expectSeconds < p.profitTime) return;
return {
profit: _N(p.profit * expectSeconds / p.profitTime, 2),
percent: _N(p.profit * expectSeconds *100 / (p.profitTime * (base+p.open)),3)
};
}
function main() {
while(true) {
var t = exchange.GetTicker();
$.LogProfit(t.Last);
LogStatus($.ProfitSummary(10000));
Sleep(3600000);
}
}
xunfeng91 用了该模板，回测速度很慢。。。
nxtplayer 非常感谢
Loga 还是不会用 求联系方式
ywx 谢谢，正需要呢~
momox 支持