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fix: backtest module PostgreSQL compatibility and bug fixes

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- Fix PostgreSQL placeholder conversion (? to $1, $2...) in all SQL queries
- Fix int4 overflow for timestamp columns (ALTER to BIGINT)
- Fix notional calculation bug in position Close() using proportional entry
- Fix potential panic in DecisionTimestamp with bounds check
- Fix nil pointer dereference in sliceUpTo with defensive checks
- Fix race condition in releaseLock using sync.Once
- Fix UnrealizedPnLPct always 0 in convertPositions
- Improve Sharpe ratio calculation with proper negative return handling
This commit is contained in:
tinkle-community
2026-01-09 01:48:02 +08:00
parent 2f88205231
commit 705aa641b0
9 changed files with 186 additions and 83 deletions
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12
backtest/account.go
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@@ -122,10 +122,10 @@ func (acc *BacktestAccount) Close(symbol, side string, quantity float64, price f
}
execPrice := applySlippage(price, acc.slippageRate, side, false)
notional := execPrice * quantity
closingFee := notional * acc.feeRate
closeNotional := execPrice * quantity // Notional at close price (for fee calculation)
closingFee := closeNotional * acc.feeRate
// Calculate proportional opening fee for the quantity being closed
// Calculate proportional values based on the portion being closed
closePortion := quantity / pos.Quantity
openingFeePortion := pos.AccumulatedFee * closePortion
totalFee := closingFee + openingFeePortion
@@ -133,13 +133,17 @@ func (acc *BacktestAccount) Close(symbol, side string, quantity float64, price f
realized := realizedPnL(pos, quantity, execPrice)
marginPortion := pos.Margin * closePortion
// BUG FIX: Calculate notional portion based on ENTRY price, not close price
// pos.Notional tracks the total notional at entry, so we must subtract proportionally
entryNotionalPortion := pos.Notional * closePortion
// Note: Opening fee was already deducted from cash when opening, so we only deduct closing fee here
acc.cash += marginPortion + realized - closingFee
// But for realized P&L tracking, we include both fees
acc.realizedPnL += realized - totalFee
pos.Quantity -= quantity
pos.Notional -= notional
pos.Notional -= entryNotionalPortion // FIX: Use entry notional portion, not close notional
pos.Margin -= marginPortion
pos.AccumulatedFee -= openingFeePortion // Reduce tracked opening fee