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@@ -1,87 +1,89 @@
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# NOFX 回测模块技术文档
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# NOFX Backtest Module - Technical Documentation
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## 概述
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**Language:** [English](BACKTEST_MODULE.md) | [中文](BACKTEST_MODULE.zh-CN.md)
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本文档详细描述 NOFX 回测模块的完整技术实现,包括配置、历史数据加载、模拟引擎、AI 决策、性能指标计算和结果存储。
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## Overview
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This document describes the complete technical implementation of the NOFX backtest module, including configuration, historical data loading, simulation engine, AI decision making, performance metrics calculation, and result storage.
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---
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## 完整回测流程图
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## Complete Backtest Flow
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```
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┌─────────────────────────────────────────────────────────────────┐
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│ 回测执行流程 │
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│ Backtest Execution Flow │
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└─────────────────────────────────────────────────────────────────┘
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1. API 请求: /backtest/start
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1. API Request: /backtest/start
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↓
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2. Manager.Start()
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├─ 验证配置
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├─ 解析 AI 模型
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├─ 创建 Runner 实例
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└─ 启动 runner.Start() (goroutine)
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├─ Validate config
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├─ Parse AI model
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├─ Create Runner instance
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└─ Start runner.Start() (goroutine)
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↓
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3. Runner.Start() → Runner.loop()
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└─ 遍历每个决策时间点:
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├─ DataFeed.BuildMarketData() [构建市场数据]
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├─ 检查决策触发条件 [每 N 根 K 线]
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├─ buildDecisionContext() [构建决策上下文]
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├─ invokeAIWithRetry() [调用 AI + 缓存]
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├─ executeDecision() [执行交易]
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├─ checkLiquidation() [检查爆仓]
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├─ updateState() [更新状态]
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├─ appendEquityPoint() [记录权益]
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├─ appendTradeEvent() [记录交易]
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├─ maybeCheckpoint() [保存检查点]
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└─ persistMetrics() [持久化指标]
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└─ Iterate each decision time point:
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├─ DataFeed.BuildMarketData() [Build market data]
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├─ Check decision trigger [Every N bars]
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├─ buildDecisionContext() [Build decision context]
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├─ invokeAIWithRetry() [Call AI + cache]
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├─ executeDecision() [Execute trades]
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├─ checkLiquidation() [Check liquidation]
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├─ updateState() [Update state]
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├─ appendEquityPoint() [Record equity]
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├─ appendTradeEvent() [Record trades]
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├─ maybeCheckpoint() [Save checkpoint]
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└─ persistMetrics() [Persist metrics]
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↓
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4. 完成/失败
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├─ 计算最终指标
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├─ 持久化所有结果
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└─ 释放锁
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4. Complete/Failed
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├─ Calculate final metrics
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├─ Persist all results
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└─ Release lock
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↓
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5. API 查询: /backtest/metrics, /backtest/equity, /backtest/trades
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└─ 加载并返回结果
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5. API Query: /backtest/metrics, /backtest/equity, /backtest/trades
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└─ Load and return results
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```
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---
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## 1. 回测配置 (Configuration)
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## 1. Configuration
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**核心文件:** `backtest/config.go`
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**Core File:** `backtest/config.go`
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### 1.1 配置参数
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### 1.1 Config Parameters
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| 参数 | 类型 | 默认值 | 说明 |
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|------|------|--------|------|
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| `RunID` | string | (必填) | 回测运行唯一标识 |
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| `UserID` | string | "default" | 用户 ID |
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| `Symbols` | []string | (必填) | 交易币种列表 |
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| `Timeframes` | []string | ["3m", "15m", "4h"] | K 线周期 |
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| `DecisionTimeframe` | string | Symbols[0] | 主决策周期 |
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| `DecisionCadenceNBars` | int | 20 | 每 N 根 K 线触发一次决策 |
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| `StartTS`, `EndTS` | int64 | (必填) | 回测时间范围 (Unix 时间戳) |
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| `InitialBalance` | float64 | 1000 | 初始资金 (USD) |
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| `FeeBps` | float64 | 5 | 手续费 (基点) |
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| `SlippageBps` | float64 | 2 | 滑点 (基点) |
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| `FillPolicy` | string | "next_open" | 成交策略 |
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| `PromptVariant` | string | "baseline" | AI 提示词变体 |
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| `CacheAI` | bool | false | 是否缓存 AI 决策 |
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| `Leverage` | LeverageConfig | BTC/ETH:5, Altcoin:5 | 杠杆设置 |
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| Parameter | Type | Default | Description |
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|-----------|------|---------|-------------|
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| `RunID` | string | (required) | Unique backtest run ID |
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| `UserID` | string | "default" | User ID |
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| `Symbols` | []string | (required) | Trading symbols list |
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| `Timeframes` | []string | ["3m", "15m", "4h"] | K-line timeframes |
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| `DecisionTimeframe` | string | Symbols[0] | Primary decision timeframe |
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| `DecisionCadenceNBars` | int | 20 | Trigger decision every N bars |
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| `StartTS`, `EndTS` | int64 | (required) | Backtest time range (Unix timestamp) |
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| `InitialBalance` | float64 | 1000 | Initial balance (USD) |
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| `FeeBps` | float64 | 5 | Trading fee (basis points) |
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| `SlippageBps` | float64 | 2 | Slippage (basis points) |
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| `FillPolicy` | string | "next_open" | Fill policy |
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| `PromptVariant` | string | "baseline" | AI prompt variant |
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| `CacheAI` | bool | false | Cache AI decisions |
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| `Leverage` | LeverageConfig | BTC/ETH:5, Altcoin:5 | Leverage settings |
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### 1.2 成交策略 (Fill Policy)
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### 1.2 Fill Policy
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```go
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// backtest/config.go:163-179
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switch fillPolicy {
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case "next_open": // 下一根 K 线开盘价
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case "bar_vwap": // 当前 K 线 VWAP
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case "mid": // 当前 K 线 (High+Low)/2
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case "next_open": // Next bar open price
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case "bar_vwap": // Current bar VWAP
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case "mid": // Current bar (High+Low)/2
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default: // Mark Price
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}
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```
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### 1.3 配置示例
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### 1.3 Config Example
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```go
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cfg := backtest.BacktestConfig{
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@@ -101,61 +103,61 @@ cfg := backtest.BacktestConfig{
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---
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## 2. 历史数据加载 (Data Loading)
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## 2. Data Loading
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**核心文件:** `backtest/datafeed.go`
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**Core File:** `backtest/datafeed.go`
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### 2.1 数据加载流程
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### 2.1 Data Loading Flow
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```
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1. NewDataFeed() - 初始化
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1. NewDataFeed() - Initialize
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↓
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2. loadAll() - 加载所有历史数据
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├─ 计算缓冲区 (StartTS 前 200 根 K 线)
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├─ 调用 market.GetKlinesRange() 获取数据
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├─ 存储到 symbolSeries map
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└─ 从主周期构建决策时间线
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2. loadAll() - Load all historical data
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├─ Calculate buffer (200 bars before StartTS)
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├─ Call market.GetKlinesRange() to fetch data
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├─ Store in symbolSeries map
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└─ Build decision timeline from primary timeframe
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↓
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3. BuildMarketData() - 构建市场数据快照
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├─ 切片 K 线数据到当前时间戳
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├─ 计算技术指标 (EMA, MACD, RSI, ATR)
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└─ 返回 market.Data 结构
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3. BuildMarketData() - Build market data snapshot
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├─ Slice K-line data to current timestamp
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├─ Calculate technical indicators (EMA, MACD, RSI, ATR)
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└─ Return market.Data structure
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```
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### 2.2 数据结构
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### 2.2 Data Structure
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```go
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// DataFeed 核心结构
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// DataFeed core structure
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type DataFeed struct {
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decisionTimes []int64 // 决策时间点列表
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symbolSeries map[string]*symbolSeries // 按币种存储的数据
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decisionTimes []int64 // Decision time points list
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symbolSeries map[string]*symbolSeries // Data stored by symbol
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}
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// 单币种时间序列
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// Single symbol time series
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type symbolSeries struct {
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timeframes map[string]*timeframeSeries // 按周期存储
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timeframes map[string]*timeframeSeries // Stored by timeframe
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}
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// 单周期数据
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// Single timeframe data
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type timeframeSeries struct {
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klines []market.Kline // K 线数据
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closeTimes []int64 // 收盘时间索引
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klines []market.Kline // K-line data
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closeTimes []int64 // Close time index
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}
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```
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### 2.3 关键代码引用
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### 2.3 Key Code References
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- 数据获取: `backtest/datafeed.go:48-93`
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- 时间线生成: `backtest/datafeed.go:96-115`
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- 市场数据组装: `backtest/datafeed.go:141-171`
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- Data fetching: `backtest/datafeed.go:48-93`
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- Timeline generation: `backtest/datafeed.go:96-115`
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- Market data assembly: `backtest/datafeed.go:141-171`
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---
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## 3. 模拟引擎 (Simulation Engine)
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## 3. Simulation Engine
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**核心文件:** `backtest/runner.go`
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**Core File:** `backtest/runner.go`
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### 3.1 主循环
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### 3.1 Main Loop
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```go
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// backtest/runner.go:232-264
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@@ -169,44 +171,44 @@ func (r *Runner) loop() {
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}
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```
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### 3.2 单步执行
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### 3.2 Single Step Execution
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```go
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// backtest/runner.go:266-471
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func (r *Runner) stepOnce(ts int64) {
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// 1. 获取当前 K 线时间戳
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// 2. 构建市场数据
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// 3. 检查决策触发条件 (每 N 根 K 线)
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// 4. 执行决策周期 (如果触发)
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// 5. 检查爆仓
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// 6. 更新状态并记录
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// 1. Get current bar timestamp
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// 2. Build market data
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// 3. Check decision trigger (every N bars)
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// 4. Execute decision cycle (if triggered)
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// 5. Check liquidation
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// 6. Update state and record
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}
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```
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### 3.3 状态管理
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### 3.3 State Management
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```go
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// backtest/types.go:31-47
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type BacktestState struct {
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BarIndex int // 当前 K 线索引
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Cash float64 // 可用余额
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Equity float64 // 总权益
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UnrealizedPnL float64 // 未实现盈亏
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RealizedPnL float64 // 已实现盈亏
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MaxEquity float64 // 最高权益
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MinEquity float64 // 最低权益
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MaxDrawdownPct float64 // 最大回撤
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Positions map[string]*position // 持仓
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BarIndex int // Current bar index
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Cash float64 // Available balance
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Equity float64 // Total equity
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UnrealizedPnL float64 // Unrealized PnL
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RealizedPnL float64 // Realized PnL
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MaxEquity float64 // Peak equity
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MinEquity float64 // Trough equity
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MaxDrawdownPct float64 // Max drawdown
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Positions map[string]*position // Positions
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}
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```
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---
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## 4. AI 决策 (AI Decision Making)
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## 4. AI Decision Making
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**核心文件:** `backtest/runner.go`
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**Core File:** `backtest/runner.go`
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### 4.1 决策上下文构建
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### 4.1 Decision Context Building
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```go
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// backtest/runner.go:473-532
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@@ -226,29 +228,29 @@ func (r *Runner) buildDecisionContext() *decision.Context {
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}
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```
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### 4.2 AI 调用
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### 4.2 AI Invocation
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```go
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// backtest/runner.go:544-563
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func (r *Runner) invokeAIWithRetry() (*decision.FullDecision, error) {
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// 最多重试 3 次
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// 指数退避: 500ms, 1000ms, 1500ms
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// 使用 decision.GetFullDecisionWithStrategy() 统一提示词生成
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// Max 3 retries
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// Exponential backoff: 500ms, 1000ms, 1500ms
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// Uses decision.GetFullDecisionWithStrategy() for unified prompt generation
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}
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```
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### 4.3 AI 缓存
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### 4.3 AI Cache
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```go
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// backtest/aicache.go:127-168
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// 缓存键: SHA256(context payload)
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// 包含: variant, timestamp, account, positions, market data
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// Cache key: SHA256(context payload)
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// Contains: variant, timestamp, account, positions, market data
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```
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### 4.4 支持的 AI 模型
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### 4.4 Supported AI Models
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| 模型 | 客户端文件 |
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|------|-----------|
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| Model | Client File |
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|-------|-------------|
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| DeepSeek | `mcp/deepseek_client.go` |
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| Qwen | `mcp/qwen_client.go` |
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| Claude | `mcp/claude_client.go` |
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@@ -259,21 +261,21 @@ func (r *Runner) invokeAIWithRetry() (*decision.FullDecision, error) {
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---
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## 5. 性能指标 (Performance Metrics)
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## 5. Performance Metrics
|
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**核心文件:** `backtest/metrics.go`
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**Core File:** `backtest/metrics.go`
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### 5.1 指标计算
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### 5.1 Metrics Calculation
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| 指标 | 公式 | 代码位置 |
|
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|------|------|----------|
|
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| **总收益率** | (最终权益 - 初始资金) / 初始资金 × 100 | metrics.go:36-42 |
|
||||
| **最大回撤** | max((峰值 - 当前) / 峰值 × 100) | metrics.go:64-91 |
|
||||
| **夏普比率** | 平均收益 / 收益标准差 | metrics.go:94-138 |
|
||||
| **胜率** | 盈利交易数 / 总交易数 × 100 | metrics.go:180-181 |
|
||||
| **盈亏比** | 总盈利 / 总亏损 | metrics.go:189-193 |
|
||||
| Metric | Formula | Code Location |
|
||||
|--------|---------|---------------|
|
||||
| **Total Return** | (Final Equity - Initial) / Initial × 100 | metrics.go:36-42 |
|
||||
| **Max Drawdown** | max((Peak - Current) / Peak × 100) | metrics.go:64-91 |
|
||||
| **Sharpe Ratio** | Avg Return / Return StdDev | metrics.go:94-138 |
|
||||
| **Win Rate** | Winning Trades / Total Trades × 100 | metrics.go:180-181 |
|
||||
| **Profit Factor** | Total Profit / Total Loss | metrics.go:189-193 |
|
||||
|
||||
### 5.2 交易统计
|
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### 5.2 Trade Statistics
|
||||
|
||||
```go
|
||||
// backtest/metrics.go:141-225
|
||||
@@ -291,11 +293,11 @@ type TradeMetrics struct {
|
||||
|
||||
---
|
||||
|
||||
## 6. 权益曲线 (Equity Curve)
|
||||
## 6. Equity Curve
|
||||
|
||||
**核心文件:** `backtest/equity.go`
|
||||
**Core File:** `backtest/equity.go`
|
||||
|
||||
### 6.1 权益点结构
|
||||
### 6.1 Equity Point Structure
|
||||
|
||||
```json
|
||||
{
|
||||
@@ -309,56 +311,56 @@ type TradeMetrics struct {
|
||||
}
|
||||
```
|
||||
|
||||
### 6.2 权益更新
|
||||
### 6.2 Equity Update
|
||||
|
||||
```go
|
||||
// backtest/runner.go:829-872
|
||||
func (r *Runner) updateState() {
|
||||
// 1. 计算总权益: cash + margin + 未实现盈亏
|
||||
// 2. 追踪峰值 (MaxEquity)
|
||||
// 3. 追踪谷值 (MinEquity)
|
||||
// 4. 重新计算回撤: (MaxEquity - Equity) / MaxEquity × 100
|
||||
// 1. Calculate total equity: cash + margin + unrealized PnL
|
||||
// 2. Track peak (MaxEquity)
|
||||
// 3. Track trough (MinEquity)
|
||||
// 4. Recalculate drawdown: (MaxEquity - Equity) / MaxEquity × 100
|
||||
}
|
||||
```
|
||||
|
||||
### 6.3 数据重采样
|
||||
### 6.3 Data Resampling
|
||||
|
||||
```go
|
||||
// backtest/equity.go:10-50
|
||||
func ResampleEquity(points []EquityPoint, timeframe string) []EquityPoint {
|
||||
// 按时间周期分桶
|
||||
// 保留每个桶的最后一个点
|
||||
// Bucket by timeframe
|
||||
// Keep last point in each bucket
|
||||
}
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 7. 结果存储 (Result Storage)
|
||||
## 7. Result Storage
|
||||
|
||||
**核心文件:** `backtest/storage.go`, `store/backtest.go`
|
||||
**Core Files:** `backtest/storage.go`, `store/backtest.go`
|
||||
|
||||
### 7.1 文件存储结构
|
||||
### 7.1 File Storage Structure
|
||||
|
||||
```
|
||||
backtests/
|
||||
├── <run_id>/
|
||||
│ ├── run.json # 运行元数据
|
||||
│ ├── checkpoint.json # 检查点 (用于恢复)
|
||||
│ ├── equity.jsonl # 权益曲线 (逐行 JSON)
|
||||
│ ├── trades.jsonl # 交易记录 (逐行 JSON)
|
||||
│ ├── metrics.json # 性能指标
|
||||
│ ├── progress.json # 进度信息
|
||||
│ ├── ai_cache.json # AI 决策缓存
|
||||
│ └── decision_logs/ # 决策日志
|
||||
│ ├── run.json # Run metadata
|
||||
│ ├── checkpoint.json # Checkpoint (for resume)
|
||||
│ ├── equity.jsonl # Equity curve (line-delimited JSON)
|
||||
│ ├── trades.jsonl # Trade records (line-delimited JSON)
|
||||
│ ├── metrics.json # Performance metrics
|
||||
│ ├── progress.json # Progress info
|
||||
│ ├── ai_cache.json # AI decision cache
|
||||
│ └── decision_logs/ # Decision logs
|
||||
│ ├── 0.json
|
||||
│ ├── 1.json
|
||||
│ └── ...
|
||||
```
|
||||
|
||||
### 7.2 数据库表结构
|
||||
### 7.2 Database Schema
|
||||
|
||||
```sql
|
||||
-- 回测运行元数据
|
||||
-- Backtest run metadata
|
||||
CREATE TABLE backtest_runs (
|
||||
run_id TEXT PRIMARY KEY,
|
||||
user_id TEXT,
|
||||
@@ -375,7 +377,7 @@ CREATE TABLE backtest_runs (
|
||||
updated_at DATETIME
|
||||
);
|
||||
|
||||
-- 权益曲线
|
||||
-- Equity curve
|
||||
CREATE TABLE backtest_equity (
|
||||
id INTEGER PRIMARY KEY,
|
||||
run_id TEXT,
|
||||
@@ -388,7 +390,7 @@ CREATE TABLE backtest_equity (
|
||||
cycle INTEGER
|
||||
);
|
||||
|
||||
-- 交易记录
|
||||
-- Trade records
|
||||
CREATE TABLE backtest_trades (
|
||||
id INTEGER PRIMARY KEY,
|
||||
run_id TEXT,
|
||||
@@ -405,14 +407,14 @@ CREATE TABLE backtest_trades (
|
||||
liquidation BOOLEAN
|
||||
);
|
||||
|
||||
-- 性能指标
|
||||
-- Performance metrics
|
||||
CREATE TABLE backtest_metrics (
|
||||
run_id TEXT PRIMARY KEY,
|
||||
payload BLOB,
|
||||
updated_at DATETIME
|
||||
);
|
||||
|
||||
-- 检查点 (暂停/恢复)
|
||||
-- Checkpoints (pause/resume)
|
||||
CREATE TABLE backtest_checkpoints (
|
||||
run_id TEXT PRIMARY KEY,
|
||||
payload BLOB,
|
||||
@@ -422,31 +424,31 @@ CREATE TABLE backtest_checkpoints (
|
||||
|
||||
---
|
||||
|
||||
## 8. API 接口
|
||||
## 8. API Endpoints
|
||||
|
||||
**核心文件:** `api/backtest.go`
|
||||
**Core File:** `api/backtest.go`
|
||||
|
||||
### 8.1 接口列表
|
||||
### 8.1 Endpoint List
|
||||
|
||||
| 接口 | 方法 | 说明 |
|
||||
|------|------|------|
|
||||
| `/backtest/start` | POST | 开始回测 |
|
||||
| `/backtest/pause` | POST | 暂停回测 |
|
||||
| `/backtest/resume` | POST | 恢复回测 |
|
||||
| `/backtest/stop` | POST | 停止回测 |
|
||||
| `/backtest/status` | GET | 获取状态 |
|
||||
| `/backtest/runs` | GET | 列出所有回测 |
|
||||
| `/backtest/equity` | GET | 获取权益曲线 |
|
||||
| `/backtest/trades` | GET | 获取交易记录 |
|
||||
| `/backtest/metrics` | GET | 获取性能指标 |
|
||||
| `/backtest/trace` | GET | 获取决策日志 |
|
||||
| `/backtest/export` | GET | 导出 ZIP |
|
||||
| `/backtest/delete` | POST | 删除回测 |
|
||||
| Endpoint | Method | Description |
|
||||
|----------|--------|-------------|
|
||||
| `/backtest/start` | POST | Start backtest |
|
||||
| `/backtest/pause` | POST | Pause backtest |
|
||||
| `/backtest/resume` | POST | Resume backtest |
|
||||
| `/backtest/stop` | POST | Stop backtest |
|
||||
| `/backtest/status` | GET | Get status |
|
||||
| `/backtest/runs` | GET | List all backtests |
|
||||
| `/backtest/equity` | GET | Get equity curve |
|
||||
| `/backtest/trades` | GET | Get trade records |
|
||||
| `/backtest/metrics` | GET | Get performance metrics |
|
||||
| `/backtest/trace` | GET | Get decision logs |
|
||||
| `/backtest/export` | GET | Export ZIP |
|
||||
| `/backtest/delete` | POST | Delete backtest |
|
||||
|
||||
### 8.2 请求示例
|
||||
### 8.2 Request Examples
|
||||
|
||||
```bash
|
||||
# 开始回测
|
||||
# Start backtest
|
||||
POST /backtest/start
|
||||
{
|
||||
"config": {
|
||||
@@ -460,17 +462,17 @@ POST /backtest/start
|
||||
}
|
||||
}
|
||||
|
||||
# 获取权益曲线
|
||||
# Get equity curve
|
||||
GET /backtest/equity?run_id=bt_20231215&tf=1h&limit=1000
|
||||
|
||||
# 获取指标
|
||||
# Get metrics
|
||||
GET /backtest/metrics?run_id=bt_20231215
|
||||
```
|
||||
|
||||
### 8.3 响应示例
|
||||
### 8.3 Response Examples
|
||||
|
||||
```json
|
||||
// 状态响应
|
||||
// Status response
|
||||
{
|
||||
"run_id": "bt_20231215",
|
||||
"state": "running",
|
||||
@@ -480,7 +482,7 @@ GET /backtest/metrics?run_id=bt_20231215
|
||||
"unrealized_pnl": 234.50
|
||||
}
|
||||
|
||||
// 指标响应
|
||||
// Metrics response
|
||||
{
|
||||
"total_return_pct": 12.34,
|
||||
"max_drawdown_pct": 5.67,
|
||||
@@ -493,74 +495,74 @@ GET /backtest/metrics?run_id=bt_20231215
|
||||
|
||||
---
|
||||
|
||||
## 9. 账户与持仓管理
|
||||
## 9. Account & Position Management
|
||||
|
||||
**核心文件:** `backtest/account.go`
|
||||
**Core File:** `backtest/account.go`
|
||||
|
||||
### 9.1 持仓结构
|
||||
### 9.1 Position Structure
|
||||
|
||||
```go
|
||||
type position struct {
|
||||
Symbol string
|
||||
Side string // "long" 或 "short"
|
||||
Side string // "long" or "short"
|
||||
Quantity float64
|
||||
EntryPrice float64
|
||||
Leverage int
|
||||
Margin float64 // 保证金
|
||||
Notional float64 // 名义价值
|
||||
LiquidationPrice float64 // 爆仓价格
|
||||
Margin float64 // Margin
|
||||
Notional float64 // Notional value
|
||||
LiquidationPrice float64 // Liquidation price
|
||||
OpenTime int64
|
||||
}
|
||||
```
|
||||
|
||||
### 9.2 开仓逻辑
|
||||
### 9.2 Open Position Logic
|
||||
|
||||
```go
|
||||
// backtest/account.go:61-104
|
||||
func (a *BacktestAccount) Open(symbol, side string, qty, price float64, leverage int) {
|
||||
// 1. 应用滑点
|
||||
// 2. 计算名义价值 (qty × price)
|
||||
// 3. 计算保证金 (notional / leverage)
|
||||
// 4. 扣除保证金 + 手续费
|
||||
// 5. 创建/加仓
|
||||
// 6. 计算爆仓价格
|
||||
// 1. Apply slippage
|
||||
// 2. Calculate notional value (qty × price)
|
||||
// 3. Calculate margin (notional / leverage)
|
||||
// 4. Deduct margin + fees
|
||||
// 5. Create/add to position
|
||||
// 6. Calculate liquidation price
|
||||
}
|
||||
```
|
||||
|
||||
### 9.3 平仓逻辑
|
||||
### 9.3 Close Position Logic
|
||||
|
||||
```go
|
||||
// backtest/account.go:106-140
|
||||
func (a *BacktestAccount) Close(symbol, side string, qty, price float64) {
|
||||
// 1. 验证持仓存在
|
||||
// 2. 应用滑点 (反向)
|
||||
// 3. 计算已实现盈亏
|
||||
// 1. Verify position exists
|
||||
// 2. Apply slippage (reverse direction)
|
||||
// 3. Calculate realized PnL
|
||||
// long: (exit - entry) × qty
|
||||
// short: (entry - exit) × qty
|
||||
// 4. 返还保证金 + 盈亏 - 手续费
|
||||
// 5. 更新/删除持仓
|
||||
// 4. Return margin + PnL - fees
|
||||
// 5. Update/delete position
|
||||
}
|
||||
```
|
||||
|
||||
### 9.4 爆仓价格计算
|
||||
### 9.4 Liquidation Price Calculation
|
||||
|
||||
```go
|
||||
// backtest/account.go:177-186
|
||||
func computeLiquidation(entry float64, leverage int, side string) float64 {
|
||||
if side == "long" {
|
||||
return entry * (1 - 1.0/float64(leverage)) // 做多: 下跌爆仓
|
||||
return entry * (1 - 1.0/float64(leverage)) // Long: liquidate on drop
|
||||
}
|
||||
return entry * (1 + 1.0/float64(leverage)) // 做空: 上涨爆仓
|
||||
return entry * (1 + 1.0/float64(leverage)) // Short: liquidate on rise
|
||||
}
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 10. 检查点与恢复
|
||||
## 10. Checkpoint & Resume
|
||||
|
||||
**核心文件:** `backtest/runner.go`
|
||||
**Core File:** `backtest/runner.go`
|
||||
|
||||
### 10.1 检查点结构
|
||||
### 10.1 Checkpoint Structure
|
||||
|
||||
```json
|
||||
{
|
||||
@@ -576,47 +578,47 @@ func computeLiquidation(entry float64, leverage int, side string) float64 {
|
||||
}
|
||||
```
|
||||
|
||||
### 10.2 检查点触发
|
||||
### 10.2 Checkpoint Trigger
|
||||
|
||||
```go
|
||||
// backtest/runner.go:874-898
|
||||
func (r *Runner) maybeCheckpoint() {
|
||||
// 每 N 根 K 线保存
|
||||
// 或每 N 秒保存
|
||||
// Save every N bars
|
||||
// Or save every N seconds
|
||||
}
|
||||
```
|
||||
|
||||
### 10.3 恢复流程
|
||||
### 10.3 Resume Flow
|
||||
|
||||
```go
|
||||
func (r *Runner) RestoreFromCheckpoint() {
|
||||
// 1. 加载检查点
|
||||
// 2. 恢复账户状态
|
||||
// 3. 恢复 K 线索引 (从下一根继续)
|
||||
// 4. 恢复权益曲线、交易记录
|
||||
// 1. Load checkpoint
|
||||
// 2. Restore account state
|
||||
// 3. Restore bar index (continue from next bar)
|
||||
// 4. Restore equity curve, trade records
|
||||
}
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## 核心文件索引
|
||||
## Core File Index
|
||||
|
||||
| 模块 | 文件 | 关键方法 |
|
||||
|------|------|----------|
|
||||
| **配置** | `backtest/config.go` | `BacktestConfig`, `Validate()` |
|
||||
| **数据加载** | `backtest/datafeed.go` | `NewDataFeed()`, `loadAll()`, `BuildMarketData()` |
|
||||
| **模拟引擎** | `backtest/runner.go` | `Start()`, `loop()`, `stepOnce()` |
|
||||
| **决策** | `backtest/runner.go` | `buildDecisionContext()`, `invokeAIWithRetry()` |
|
||||
| **执行** | `backtest/runner.go` | `executeDecision()` |
|
||||
| **账户** | `backtest/account.go` | `Open()`, `Close()`, `TotalEquity()` |
|
||||
| **指标** | `backtest/metrics.go` | `CalculateMetrics()` |
|
||||
| **权益** | `backtest/equity.go` | `ResampleEquity()`, `LimitEquityPoints()` |
|
||||
| **存储** | `backtest/storage.go` | `SaveCheckpoint()`, `appendEquityPoint()` |
|
||||
| **数据库** | `store/backtest.go` | 表结构和 CRUD 操作 |
|
||||
| **API** | `api/backtest.go` | HTTP 处理器 |
|
||||
| **AI 缓存** | `backtest/aicache.go` | `Get()`, `Put()`, `save()` |
|
||||
| Module | File | Key Methods |
|
||||
|--------|------|-------------|
|
||||
| **Config** | `backtest/config.go` | `BacktestConfig`, `Validate()` |
|
||||
| **Data Loading** | `backtest/datafeed.go` | `NewDataFeed()`, `loadAll()`, `BuildMarketData()` |
|
||||
| **Sim Engine** | `backtest/runner.go` | `Start()`, `loop()`, `stepOnce()` |
|
||||
| **Decision** | `backtest/runner.go` | `buildDecisionContext()`, `invokeAIWithRetry()` |
|
||||
| **Execution** | `backtest/runner.go` | `executeDecision()` |
|
||||
| **Account** | `backtest/account.go` | `Open()`, `Close()`, `TotalEquity()` |
|
||||
| **Metrics** | `backtest/metrics.go` | `CalculateMetrics()` |
|
||||
| **Equity** | `backtest/equity.go` | `ResampleEquity()`, `LimitEquityPoints()` |
|
||||
| **Storage** | `backtest/storage.go` | `SaveCheckpoint()`, `appendEquityPoint()` |
|
||||
| **Database** | `store/backtest.go` | Schema and CRUD operations |
|
||||
| **API** | `api/backtest.go` | HTTP handlers |
|
||||
| **AI Cache** | `backtest/aicache.go` | `Get()`, `Put()`, `save()` |
|
||||
|
||||
---
|
||||
|
||||
**文档版本:** 1.0.0
|
||||
**最后更新:** 2025-01-15
|
||||
**Document Version:** 1.0.0
|
||||
**Last Updated:** 2025-01-15
|
||||
|
||||
Reference in New Issue
Block a user