WarrenZhou
e28bfec957
- 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）
98 lines
2.9 KiB
Go
98 lines
2.9 KiB
Go
package backtest
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import (
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"math"
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"testing"
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)
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func TestComputeMetrics_Empty(t *testing.T) {
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m := ComputeMetrics(nil)
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if m.TradeDays != 0 {
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t.Errorf("expected 0 trade days, got %d", m.TradeDays)
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}
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}
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func TestComputeMetrics_SinglePoint(t *testing.T) {
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curve := []EquityPoint{{Date: "2020-01-02", Value: 100000, Return: 0}}
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m := ComputeMetrics(curve)
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if m.TotalReturn != 0 {
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t.Errorf("expected 0 total return, got %f", m.TotalReturn)
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}
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}
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func TestComputeMetrics_SteadyGrowth(t *testing.T) {
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// 10 个交易日，每天涨 1%
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curve := make([]EquityPoint, 11)
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curve[0] = EquityPoint{Date: "2020-01-02", Value: 100000, Return: 0}
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for i := 1; i <= 10; i++ {
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val := curve[i-1].Value * 1.01
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curve[i] = EquityPoint{
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Date: "2020-01-02",
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Value: val,
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Return: val/100000 - 1,
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}
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}
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m := ComputeMetrics(curve)
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expectedReturn := 100000*math.Pow(1.01, 10)/100000 - 1
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if math.Abs(m.TotalReturn-expectedReturn) > 0.0001 {
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t.Errorf("total return: expected %f, got %f", expectedReturn, m.TotalReturn)
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}
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if m.WinRatio != 1.0 {
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t.Errorf("win ratio: expected 1.0, got %f", m.WinRatio)
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}
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if m.MaxDrawdown > 0.0001 {
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t.Errorf("max drawdown: expected 0, got %f", m.MaxDrawdown)
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}
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if m.TradeDays != 11 {
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t.Errorf("trade days: expected 11, got %d", m.TradeDays)
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}
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}
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func TestComputeMetrics_Drawdown(t *testing.T) {
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// 先涨后跌：100000 → 110000 → 99000
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curve := []EquityPoint{
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{Date: "2020-01-02", Value: 100000, Return: 0},
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{Date: "2020-01-03", Value: 110000, Return: 0.1},
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{Date: "2020-01-06", Value: 99000, Return: -0.01},
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}
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m := ComputeMetrics(curve)
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if m.TotalReturn != -0.01 {
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t.Errorf("total return: expected -0.01, got %f", m.TotalReturn)
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}
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// 峰值 110000, 谷 99000, 回撤 = (110000-99000)/110000 = 0.1
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expectedDD := 0.1
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if math.Abs(m.MaxDrawdown-expectedDD) > 0.0001 {
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t.Errorf("max drawdown: expected %f, got %f", expectedDD, m.MaxDrawdown)
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}
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}
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func TestComputeMetrics_MixedPerformance(t *testing.T) {
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// 模拟实际场景：混合涨跌
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curve := []EquityPoint{
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{Date: "2020-01-02", Value: 100000, Return: 0},
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{Date: "2020-01-03", Value: 101000, Return: 0.01}, // +1%
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{Date: "2020-01-06", Value: 100500, Return: 0.005}, // -0.5%
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{Date: "2020-01-07", Value: 102000, Return: 0.02}, // +1.5%
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{Date: "2020-01-08", Value: 101500, Return: 0.015}, // -0.5%
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{Date: "2020-01-09", Value: 103000, Return: 0.03}, // +1.5%
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}
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m := ComputeMetrics(curve)
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if m.TotalReturn != 0.03 {
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t.Errorf("total return: expected 0.03, got %f", m.TotalReturn)
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}
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if m.TradeDays != 6 {
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t.Errorf("trade days: expected 6, got %d", m.TradeDays)
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}
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// 3 个正收益日 / 5 个交易日
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if math.Abs(m.WinRatio-0.6) > 0.0001 {
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t.Errorf("win ratio: expected 0.6, got %f", m.WinRatio)
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}
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// 年化收益应 > 0
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if m.AnnualReturn <= 0 {
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t.Errorf("annual return should be positive, got %f", m.AnnualReturn)
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}
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// 波动率应 > 0
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if m.Volatility <= 0 {
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t.Errorf("volatility should be positive, got %f", m.Volatility)
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}
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} |