Dev backtest (#1134)

backtest/equity.go

@@ -0,0 +1,95 @@
+package backtest
+
+import (
+	"math"
+	"sort"
+
+	"nofx/market"
+)
+
+// ResampleEquity 根据时间周期重采样资金曲线。
+func ResampleEquity(points []EquityPoint, timeframe string) ([]EquityPoint, error) {
+	if timeframe == "" {
+		return points, nil
+	}
+	dur, err := market.TFDuration(timeframe)
+	if err != nil {
+		return nil, err
+	}
+	if len(points) == 0 {
+		return points, nil
+	}
+
+	durMs := dur.Milliseconds()
+	if durMs <= 0 {
+		return points, nil
+	}
+
+	bucketMap := make(map[int64]EquityPoint)
+	bucketKeys := make([]int64, 0)
+	for _, pt := range points {
+		bucket := (pt.Timestamp / durMs) * durMs
+		if _, exists := bucketMap[bucket]; !exists {
+			bucketKeys = append(bucketKeys, bucket)
+		}
+		bucketPoint := pt
+		bucketPoint.Timestamp = bucket
+		bucketMap[bucket] = bucketPoint
+	}
+
+	sort.Slice(bucketKeys, func(i, j int) bool {
+		return bucketKeys[i] < bucketKeys[j]
+	})
+
+	resampled := make([]EquityPoint, 0, len(bucketKeys))
+	for _, key := range bucketKeys {
+		resampled = append(resampled, bucketMap[key])
+	}
+
+	return resampled, nil
+}
+
+// LimitEquityPoints 将数据点数量限制在给定范围内（均匀抽样）。
+func LimitEquityPoints(points []EquityPoint, limit int) []EquityPoint {
+	if limit <= 0 || len(points) <= limit {
+		return points
+	}
+
+	step := float64(len(points)) / float64(limit)
+	result := make([]EquityPoint, 0, limit)
+	for i := 0; i < limit; i++ {
+		idx := int(math.Round(step * float64(i)))
+		if idx >= len(points) {
+			idx = len(points) - 1
+		}
+		result = append(result, points[idx])
+	}
+
+	return result
+}
+
+// LimitTradeEvents 同样对交易事件按均匀抽样。
+func LimitTradeEvents(events []TradeEvent, limit int) []TradeEvent {
+	if limit <= 0 || len(events) <= limit {
+		return events
+	}
+
+	step := float64(len(events)) / float64(limit)
+	result := make([]TradeEvent, 0, limit)
+	for i := 0; i < limit; i++ {
+		idx := int(math.Round(step * float64(i)))
+		if idx >= len(events) {
+			idx = len(events) - 1
+		}
+		result = append(result, events[idx])
+	}
+	return result
+}
+
+// AlignEquityTimestamps 确保时间戳按升序排列。
+func AlignEquityTimestamps(points []EquityPoint) []EquityPoint {
+	sort.Slice(points, func(i, j int) bool {
+		return points[i].Timestamp < points[j].Timestamp
+	})
+	return points
+}