opt Package

The opt package provides strategy optimization functionality.

Main Structures

BackTest

Backtest instance structure.

Fields:

• Trader biz.Trader - Trader interface implementation
• BTResult *BTResult - Backtest result
• lastDumpMs int64 - Last timestamp when backtest status was saved
• dp *data.HistProvider - Historical data provider
• isOpt bool - Whether in hyperparameter optimization mode
• PBar *utils.StagedPrg - Progress bar

BTResult

Backtest result structure.

Fields:

• MaxOpenOrders int - Maximum number of concurrent open orders
• MinReal float64 - Minimum assets
• MaxReal float64 - Maximum assets
• MaxDrawDownPct float64 - Maximum drawdown percentage
• ShowDrawDownPct float64 - Displayed maximum drawdown percentage
• MaxDrawDownVal float64 - Maximum drawdown value
• ShowDrawDownVal float64 - Displayed maximum drawdown value
• BarNum int - Number of candlesticks
• TimeNum int - Number of time periods
• OrderNum int - Number of orders
• Plots *PlotData - Plot data
• StartMS int64 - Start timestamp (milliseconds)
• EndMS int64 - End timestamp (milliseconds)
• PlotEvery int - Plot interval
• TotalInvest float64 - Total investment amount
• OutDir string - Output directory
• TotProfit float64 - Total profit
• TotCost float64 - Total cost
• TotFee float64 - Total fees
• TotProfitPct float64 - Total profit percentage
• WinRatePct float64 - Win rate
• SharpeRatio float64 - Sharpe ratio
• SortinoRatio float64 - Sortino ratio

PlotData

Plot data structure.

Fields:

• Labels []string - Time labels
• OdNum []int - Number of orders
• JobNum []int - Number of jobs
• Real []float64 - Actual assets
• Available []float64 - Available assets
• Profit []float64 - Realized profit
• UnrealizedPOL []float64 - Unrealized profit/loss
• WithDraw []float64 - Withdrawal amount

RowPart

Backtest statistics row data structure.

Fields:

• WinCount int - Number of profitable orders
• OrderNum int - Total number of orders
• ProfitSum float64 - Total profit amount
• ProfitPctSum float64 - Total profit percentage
• CostSum float64 - Total cost
• Durations []int - List of holding durations
• Orders []*InOutOrder - List of orders
• Sharpe float64 - Sharpe ratio
• Sortino float64 - Sortino ratio

Main Features

NewBackTest

Create a new backtest instance.

Parameters:

• isOpt bool - Whether in hyperparameter optimization mode
• outDir string - Output directory path

Returns:

• *BackTest - Backtest instance pointer

RunBTOverOpt

Run backtest mode based on continuous parameter tuning, approximating live trading conditions and avoiding using future information for parameter tuning.

Parameters:

• args *config.CmdArgs - Command line argument configuration

Returns:

• *errs.Error - Error information

RunRollBTPicker

Execute rolling backtest stock picker.

Parameters:

• args *config.CmdArgs - Command line argument configuration

Returns:

• *errs.Error - Error information

RunOptimize

Execute strategy parameter optimization.

Parameters:

• args *config.CmdArgs - Command line argument configuration

Returns:

• *errs.Error - Error information

CollectOptLog

Collect and analyze optimization logs.

Parameters:

• args *config.CmdArgs - Command line argument configuration

Returns:

• *errs.Error - Error information

NewBTResult

Create a new backtest result instance.

Returns:

• *BTResult - Backtest result instance pointer

AvgGoodDesc

Calculate average optimization results within specified return rate range.

Parameters:

• items []*OptInfo - Optimization information list
• startRate float64 - Start return rate
• endRate float64 - End return rate

Returns:

• *OptInfo - Average optimization information

DescGroups

Group optimization results by return rate.

Parameters:

• items []*OptInfo - Optimization information list

Returns:

• []*OptInfo, []*OptInfo - Good group and bad group optimization information lists

DumpLineGraph

Generate and save line graph.

Parameters:

• path string - Output file path
• title string - Chart title
• label []string - Label list
• prec float64 - Precision
• tplData []byte - Template data
• items []*ChartDs - Chart datasets

Returns:

• *errs.Error - Error information

CompareExgBTOrders

Compare exchange backtest orders.

Parameters:

• args []string - Command line argument list