Initial commit: 可转债轮动分析系统
- 实时行情：东财push2主源 + 腾讯批量报价备用源（自动切换） - 历史K线：东财push2his主源 + 腾讯web子域备用源（含熔断机制） - 增量同步：支持 -incr/-since 参数按存档日期增量入库 - 策略回测：净值曲线/10指标/基准对比，含基本面过滤 - 用户认证：用户名密码 + 邮箱验证码双登录方式 - 前端：三Tab SPA（实时行情/策略回测/数据管理）
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258
cmd/backtest/main.go
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258
cmd/backtest/main.go
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// backtest 是可转债轮动策略回测命令。
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//
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// go run ./cmd/backtest [-db 库路径] [-from 2020-01-01] [-to 2025-12-31] \
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// [-strategy lowprice|doublelow] [-topn 10] [-rebalance 21] \
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// [-min-price 80] [-max-price 130] [-max-premium 30] [-cash 100000] [-out 曲线.csv]
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//
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// 从 SQLite 加载全量转债日K线，运行内置轮动策略（低价/双低），
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// 输出绩效指标并与等权全转债基准对比。
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package main
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import (
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"context"
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"encoding/csv"
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"flag"
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"fmt"
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"os"
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"path/filepath"
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"stock-analysis/internal/backtest"
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"stock-analysis/internal/strategy"
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"stock-analysis/internal/storage/sqlite"
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)
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func main() {
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dbPath := flag.String("db", defaultDBPath(), "SQLite 数据库文件路径")
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from := flag.String("from", "2020-01-01", "回测起始日（含）")
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to := flag.String("to", "", "回测结束日（含，默认数据末日）")
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topn := flag.Int("topn", 10, "持仓数量")
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rebalance := flag.Int("rebalance", 21, "调仓周期（交易日）")
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minPrice := flag.Float64("min-price", 80, "价格下限")
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maxPrice := flag.Float64("max-price", 130, "价格上限")
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strategyName := flag.String("strategy", "lowprice", "策略: lowprice(低价轮动)|doublelow(双低轮动)|premium(溢价率轮动)")
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maxPremium := flag.Float64("max-premium", 30, "双低策略溢价率上限")
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fundamental := flag.Bool("fundamental", false, "启用正股基本面过滤器（排除ST/高负债/亏损标的）")
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cash := flag.Float64("cash", 100000, "初始资金（元）")
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out := flag.String("out", "", "净值曲线 CSV 输出路径（可选）")
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flag.Parse()
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ctx := context.Background()
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store, err := sqlite.Open(*dbPath)
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if err != nil {
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fatal("打开数据库失败: ", err)
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}
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defer store.Close()
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feed, err := backtest.NewDataFeed(ctx, store)
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if err != nil {
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fatal("加载K线数据失败: ", err)
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}
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fmt.Printf("数据加载完成：%d 个交易日（%s ~ %s）\n\n",
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len(feed.Dates()), feed.Dates()[0], feed.Dates()[len(feed.Dates())-1])
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params := backtest.DefaultParams()
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params.InitialCash = *cash
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params.StartDate = *from
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params.EndDate = *to
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var strat backtest.Strategy
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switch *strategyName {
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case "lowprice":
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strat = strategy.NewLowPrice(strategy.LowPriceParams{
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TopN: *topn,
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Rebalance: *rebalance,
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MinPrice: *minPrice,
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MaxPrice: *maxPrice,
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})
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case "doublelow":
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strat = strategy.NewDoubleLow(strategy.DoubleLowParams{
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TopN: *topn,
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Rebalance: *rebalance,
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MinPrice: *minPrice,
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MaxPrice: *maxPrice,
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MaxPremium: *maxPremium,
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})
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case "premium":
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strat = strategy.NewPremium(strategy.PremiumParams{
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TopN: *topn,
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Rebalance: *rebalance,
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MinPrice: *minPrice,
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MaxPrice: *maxPrice,
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})
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default:
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fatal("未知策略 ", fmt.Errorf("应为 lowprice、doublelow 或 premium"))
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}
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engine := backtest.NewEngine(params, strat)
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if *fundamental {
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// 加载正股基本面数据
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fundamentals, err := store.LoadAllFundamentals(ctx)
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if err != nil {
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fatal("加载基本面数据失败: ", err)
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}
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// 获取正股-转债映射
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stock2bond, err := store.GetStockBondMap(ctx)
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if err != nil {
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fatal("获取正股-转债映射失败: ", err)
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}
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filter := backtest.NewFundamentalFilter(stock2bond)
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engine.SetFundamentalFilter(filter, fundamentals)
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fmt.Printf("基本面过滤器已启用：%d 只正股数据, %d 条正股-转债映射\n", len(fundamentals), len(stock2bond))
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}
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res, err := engine.Run(ctx, feed)
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if err != nil {
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fatal("回测失败: ", err)
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}
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fmt.Printf("策略：%s（%s ~ %s）\n", res.Strategy, res.Start, res.End)
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printMetrics("策略", res.Metrics)
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bench := computeBenchmark(feed, *from, *to)
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fmt.Println()
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fmt.Printf("基准：等权全转债指数（%s ~ %s）\n", *from, *to)
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printMetrics("基准", bench)
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if *out != "" {
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if err := writeCSV(*out, res, feed); err != nil {
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fatal("写CSV失败: ", err)
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}
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fmt.Printf("\n净值曲线已输出到 %s\n", *out)
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}
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}
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// computeBenchmark 计算等权全转债指数：每日对全部存续转债取等权平均日收益并复利。
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func computeBenchmark(feed *backtest.DataFeed, from, to string) backtest.Metrics {
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var (
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idx float64 = 1
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prev map[string]float64
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curve []backtest.EquityPoint
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hasPrev bool
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)
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for _, date := range feed.Dates() {
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if from != "" && date < from {
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continue
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}
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if to != "" && date > to {
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break
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}
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cur := make(map[string]float64)
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for _, q := range feed.QuotesOn(date) {
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cur[q.Code] = q.Price
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}
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if hasPrev {
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var sum, n float64
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for code, p := range cur {
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if pp, ok := prev[code]; ok && pp > 0 {
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sum += p/pp - 1
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n++
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}
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}
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if n > 0 {
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idx *= 1 + sum/n
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}
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}
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curve = append(curve, backtest.EquityPoint{Date: date, Value: idx, Return: idx - 1})
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prev = cur
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hasPrev = true
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}
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return backtest.ComputeMetrics(curve)
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}
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// printMetrics 打印绩效指标表格。
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func printMetrics(label string, m backtest.Metrics) {
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fmt.Printf("%-14s 总收益 %9.2f%% 年化 %8.2f%% 最大回撤 %7.2f%% 夏普 %6.2f 波动率 %5.2f%% 胜率 %5.1f%%\n",
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label,
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m.TotalReturn*100, m.AnnualReturn*100, m.MaxDrawdown*100,
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m.Sharpe, m.Volatility*100, m.WinRatio*100)
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}
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// writeCSV 输出策略与基准的净值曲线（含累计收益）到 CSV 文件。
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func writeCSV(path string, res *backtest.Result, feed *backtest.DataFeed) error {
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f, err := os.Create(path)
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if err != nil {
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return err
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}
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defer f.Close()
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w := csv.NewWriter(f)
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defer w.Flush()
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if err := w.Write([]string{"date", "strategy_value", "strategy_return", "bench_value", "bench_return"}); err != nil {
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return err
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}
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// 基准曲线独立重算，与策略日期对齐。
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benchCurve := benchmarkCurve(feed, res.Start, res.End)
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byDate := make(map[string]backtest.EquityPoint, len(benchCurve))
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for _, p := range benchCurve {
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byDate[p.Date] = p
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}
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for _, p := range res.Curve {
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b, ok := byDate[p.Date]
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bv, br := 1.0, 0.0
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if ok {
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bv, br = b.Value, b.Return
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}
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if err := w.Write([]string{
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p.Date,
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fmt.Sprintf("%.2f", p.Value),
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fmt.Sprintf("%.6f", p.Return),
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fmt.Sprintf("%.6f", bv),
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fmt.Sprintf("%.6f", br),
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}); err != nil {
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return err
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}
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}
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return nil
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}
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// benchmarkCurve 返回 from~to 区间的基准净值曲线。
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func benchmarkCurve(feed *backtest.DataFeed, from, to string) []backtest.EquityPoint {
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var (
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idx float64 = 1
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prev map[string]float64
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curve []backtest.EquityPoint
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hasPrev bool
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)
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for _, date := range feed.Dates() {
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if date < from || (to != "" && date > to) {
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continue
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}
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cur := make(map[string]float64)
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for _, q := range feed.QuotesOn(date) {
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cur[q.Code] = q.Price
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}
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if hasPrev {
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var sum, n float64
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for code, p := range cur {
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if pp, ok := prev[code]; ok && pp > 0 {
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sum += p/pp - 1
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n++
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}
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}
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if n > 0 {
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idx *= 1 + sum/n
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}
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}
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curve = append(curve, backtest.EquityPoint{Date: date, Value: idx, Return: idx - 1})
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prev = cur
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hasPrev = true
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}
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return curve
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}
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// defaultDBPath 与 ingest 保持一致，返回默认数据库路径。
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func defaultDBPath() string {
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local := os.Getenv("LOCALAPPDATA")
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if local == "" {
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local = os.TempDir()
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}
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return filepath.Join(local, "stock-analysis", "stock.db")
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}
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// fatal 打印错误并退出。
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func fatal(msg string, err error) {
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fmt.Fprintln(os.Stderr, msg, err)
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os.Exit(1)
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}
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