stock-analysis/cmd/backtest/main.go

// backtest 是可转债轮动策略回测命令。
//
//	go run ./cmd/backtest [-db 库路径] [-from 2020-01-01] [-to 2025-12-31] \
//	    [-strategy lowprice|doublelow] [-topn 10] [-rebalance 21] \
//	    [-min-price 80] [-max-price 130] [-max-premium 30] [-cash 100000] [-out 曲线.csv]
//
// 从 SQLite 加载全量转债日K线，运行内置轮动策略（低价/双低），
// 输出绩效指标并与等权全转债基准对比。
package main

import (
	"context"
	"encoding/csv"
	"flag"
	"fmt"
	"os"
	"path/filepath"

	"stock-analysis/internal/backtest"
	"stock-analysis/internal/strategy"
	"stock-analysis/internal/storage/sqlite"
)

func main() {
	dbPath := flag.String("db", defaultDBPath(), "SQLite 数据库文件路径")
	from := flag.String("from", "2020-01-01", "回测起始日（含）")
	to := flag.String("to", "", "回测结束日（含，默认数据末日）")
	topn := flag.Int("topn", 10, "持仓数量")
	rebalance := flag.Int("rebalance", 21, "调仓周期（交易日）")
	minPrice := flag.Float64("min-price", 80, "价格下限")
	maxPrice := flag.Float64("max-price", 130, "价格上限")
	strategyName := flag.String("strategy", "lowprice", "策略: lowprice(低价轮动)|doublelow(双低轮动)|premium(溢价率轮动)")
	maxPremium := flag.Float64("max-premium", 30, "双低策略溢价率上限")
		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）")
		cash := flag.Float64("cash", 100000, "初始资金（元）")
		out := flag.String("out", "", "净值曲线 CSV 输出路径（可选）")
	flag.Parse()

	ctx := context.Background()
	store, err := sqlite.Open(*dbPath)
	if err != nil {
		fatal("打开数据库失败: ", err)
	}
	defer store.Close()

	feed, err := backtest.NewDataFeed(ctx, store)
	if err != nil {
		fatal("加载K线数据失败: ", err)
	}
	fmt.Printf("数据加载完成：%d 个交易日（%s ~ %s）\n\n",
		len(feed.Dates()), feed.Dates()[0], feed.Dates()[len(feed.Dates())-1])

	params := backtest.DefaultParams()
	params.InitialCash = *cash
	params.StartDate = *from
	params.EndDate = *to

	var strat backtest.Strategy
	switch *strategyName {
	case "lowprice":
		strat = strategy.NewLowPrice(strategy.LowPriceParams{
			TopN:      *topn,
			Rebalance: *rebalance,
			MinPrice:  *minPrice,
			MaxPrice:  *maxPrice,
		})
	case "doublelow":
			strat = strategy.NewDoubleLow(strategy.DoubleLowParams{
				TopN:       *topn,
				Rebalance:  *rebalance,
				MinPrice:   *minPrice,
				MaxPrice:   *maxPrice,
				MaxPremium: *maxPremium,
			})
		case "premium":
			strat = strategy.NewPremium(strategy.PremiumParams{
				TopN:      *topn,
				Rebalance: *rebalance,
				MinPrice:  *minPrice,
				MaxPrice:  *maxPrice,
			})
		default:
			fatal("未知策略 ", fmt.Errorf("应为 lowprice、doublelow 或 premium"))
	}

	engine := backtest.NewEngine(params, strat)

	if *fundamental {
		// 加载正股基本面数据
		fundamentals, err := store.LoadAllFundamentals(ctx)
		if err != nil {
			fatal("加载基本面数据失败: ", err)
		}
		// 获取正股-转债映射
		stock2bond, err := store.GetStockBondMap(ctx)
		if err != nil {
			fatal("获取正股-转债映射失败: ", err)
		}
		filter := backtest.NewFundamentalFilter(stock2bond)
		engine.SetFundamentalFilter(filter, fundamentals)
		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))
	}

	res, err := engine.Run(ctx, feed)
	if err != nil {
		fatal("回测失败: ", err)
	}
	fmt.Printf("策略：%s（%s ~ %s）\n", res.Strategy, res.Start, res.End)
	printMetrics("策略", res.Metrics)

	bench := computeBenchmark(feed, *from, *to)
	fmt.Println()
	fmt.Printf("基准：等权全转债指数（%s ~ %s）\n", *from, *to)
	printMetrics("基准", bench)

	if *out != "" {
		if err := writeCSV(*out, res, feed); err != nil {
			fatal("写CSV失败: ", err)
		}
		fmt.Printf("\n净值曲线已输出到 %s\n", *out)
	}
}

// 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。
func computeBenchmark(feed *backtest.DataFeed, from, to string) backtest.Metrics {
	var (
		idx    float64 = 1
		prev   map[string]float64
		curve  []backtest.EquityPoint
		hasPrev bool
	)
	for _, date := range feed.Dates() {
		if from != "" && date < from {
			continue
		}
		if to != "" && date > to {
			break
		}
		cur := make(map[string]float64)
		for _, q := range feed.QuotesOn(date) {
			cur[q.Code] = q.Price
		}
		if hasPrev {
			var sum, n float64
			for code, p := range cur {
				if pp, ok := prev[code]; ok && pp > 0 {
					sum += p/pp - 1
					n++
				}
			}
			if n > 0 {
				idx *= 1 + sum/n
			}
		}
		curve = append(curve, backtest.EquityPoint{Date: date, Value: idx, Return: idx - 1})
		prev = cur
		hasPrev = true
	}
	return backtest.ComputeMetrics(curve)
}

// printMetrics 打印绩效指标表格。
func printMetrics(label string, m backtest.Metrics) {
	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",
		label,
		m.TotalReturn*100, m.AnnualReturn*100, m.MaxDrawdown*100,
		m.Sharpe, m.Volatility*100, m.WinRatio*100)
}

// writeCSV 输出策略与基准的净值曲线（含累计收益）到 CSV 文件。
func writeCSV(path string, res *backtest.Result, feed *backtest.DataFeed) error {
	f, err := os.Create(path)
	if err != nil {
		return err
	}
	defer f.Close()

	w := csv.NewWriter(f)
	defer w.Flush()
	if err := w.Write([]string{"date", "strategy_value", "strategy_return", "bench_value", "bench_return"}); err != nil {
		return err
	}

	// 基准曲线独立重算，与策略日期对齐。
	benchCurve := benchmarkCurve(feed, res.Start, res.End)
	byDate := make(map[string]backtest.EquityPoint, len(benchCurve))
	for _, p := range benchCurve {
		byDate[p.Date] = p
	}

	for _, p := range res.Curve {
		b, ok := byDate[p.Date]
		bv, br := 1.0, 0.0
		if ok {
			bv, br = b.Value, b.Return
		}
		if err := w.Write([]string{
			p.Date,
			fmt.Sprintf("%.2f", p.Value),
			fmt.Sprintf("%.6f", p.Return),
			fmt.Sprintf("%.6f", bv),
			fmt.Sprintf("%.6f", br),
		}); err != nil {
			return err
		}
	}
	return nil
}

// benchmarkCurve 返回 from~to 区间的基准净值曲线。
func benchmarkCurve(feed *backtest.DataFeed, from, to string) []backtest.EquityPoint {
	var (
		idx     float64 = 1
		prev    map[string]float64
		curve   []backtest.EquityPoint
		hasPrev bool
	)
	for _, date := range feed.Dates() {
		if date < from || (to != "" && date > to) {
			continue
		}
		cur := make(map[string]float64)
		for _, q := range feed.QuotesOn(date) {
			cur[q.Code] = q.Price
		}
		if hasPrev {
			var sum, n float64
			for code, p := range cur {
				if pp, ok := prev[code]; ok && pp > 0 {
					sum += p/pp - 1
					n++
				}
			}
			if n > 0 {
				idx *= 1 + sum/n
			}
		}
		curve = append(curve, backtest.EquityPoint{Date: date, Value: idx, Return: idx - 1})
		prev = cur
		hasPrev = true
	}
	return curve
}

// defaultDBPath 与 ingest 保持一致，返回默认数据库路径。
func defaultDBPath() string {
	local := os.Getenv("LOCALAPPDATA")
	if local == "" {
		local = os.TempDir()
	}
	return filepath.Join(local, "stock-analysis", "stock.db")
}

// fatal 打印错误并退出。
func fatal(msg string, err error) {
	fmt.Fprintln(os.Stderr, msg, err)
	os.Exit(1)
}