package cn.how2j.trend.service;

import cn.how2j.trend.client.IndexDataClient;
import cn.how2j.trend.pojo.IndexData;
import cn.how2j.trend.pojo.Profit;
import cn.how2j.trend.pojo.Trade;
import cn.hutool.core.date.DateUnit;
import cn.hutool.core.date.DateUtil;
import org.springframework.beans.factory.annotation.Autowired;
import org.springframework.stereotype.Service;

import java.util.*;

@Service
public class BackTestService {
	@Autowired IndexDataClient indexDataClient;

	public List<IndexData> listIndexData(String code){
		List<IndexData> result = indexDataClient.getIndexData(code);
		Collections.reverse(result);

//		for (IndexData indexData : result) {
//			System.out.println(indexData.getDate());
//		}

		return result;
	}
	public Map<String,Object> simulate(int ma, float sellRate, float buyRate, float serviceCharge, List<IndexData> indexDatas)  {

		List<Profit> profits =new ArrayList<>();
		List<Trade> trades = new ArrayList<>();

		float initCash = 1000;
		float cash = initCash;
		float share = 0;
		float value = 0;

		int winCount = 0;
		float totalWinRate = 0;
		float avgWinRate = 0;
		float totalLossRate = 0;
		int lossCount = 0;
		float avgLossRate = 0;

		float init =0;
		if(!indexDatas.isEmpty())
			init = indexDatas.get(0).getClosePoint();

		for (int i = 0; i<indexDatas.size() ; i++) {
			IndexData indexData = indexDatas.get(i);
			float closePoint = indexData.getClosePoint();
			float avg = getMA(i,ma,indexDatas);
			float max = getMax(i,ma,indexDatas);

			float increase_rate = closePoint/avg;
			float decrease_rate = closePoint/max;

			if(avg!=0) {
				//buy 超过了均线
				if(increase_rate>buyRate  ) {
					//如果没买
					if(0 == share) {
						share = cash / closePoint;
						cash = 0;

						Trade trade = new Trade();
						trade.setBuyDate(indexData.getDate());
						trade.setBuyClosePoint(indexData.getClosePoint());
						trade.setSellDate("n/a");
						trade.setSellClosePoint(0);
						trades.add(trade);
					}
				}
				//sell 低于了卖点
				else if(decrease_rate<sellRate ) {
					//如果没卖
					if(0!= share){
						cash = closePoint * share * (1-serviceCharge);
						share = 0;

						Trade trade =trades.get(trades.size()-1);
						trade.setSellDate(indexData.getDate());
						trade.setSellClosePoint(indexData.getClosePoint());

						float rate = cash / initCash;
						trade.setRate(rate);

						if(trade.getSellClosePoint()-trade.getBuyClosePoint()>0) {
							totalWinRate +=(trade.getSellClosePoint()-trade.getBuyClosePoint())/trade.getBuyClosePoint();
							winCount++;
						}

						else {
							totalLossRate +=(trade.getSellClosePoint()-trade.getBuyClosePoint())/trade.getBuyClosePoint();
							lossCount ++;
						}
					}
				}
				//do nothing
				else{

				}
			}

			if(share!=0) {
				value = closePoint * share;
			}
			else {
				value = cash;
			}
			float rate = value/initCash;

			Profit profit = new Profit();
			profit.setDate(indexData.getDate());
			profit.setValue(rate*init);
			
			profits.add(profit);

		}

		avgWinRate = totalWinRate / winCount;
		avgLossRate = totalLossRate / lossCount;

		Map<String,Object> map = new HashMap<>();
		map.put("profits", profits);
		map.put("trades", trades);

		map.put("winCount", winCount);
		map.put("lossCount", lossCount);
		map.put("avgWinRate", avgWinRate);
		map.put("avgLossRate", avgLossRate);

		return map;
	}

	private static float getMax(int i, int day, List<IndexData> list) {
		int start = i-1-day;
		if(start<0)
			start = 0;
		int now = i-1;

		if(start<0)
			return 0;

		float max = 0;
		for (int j = start; j < now; j++) {
			IndexData bean =list.get(j);
			if(bean.getClosePoint()>max) {
				max = bean.getClosePoint();
			}
		}
		return max;
	}

	private static float getMA(int i, int ma, List<IndexData> list) {
		int start = i-1-ma;
		int now = i-1;

		if(start<0)
			return 0;

		float sum = 0;
		float avg = 0;
		for (int j = start; j < now; j++) {
			IndexData bean =list.get(j);
			sum += bean.getClosePoint();
		}
		avg = sum / (now - start);
		return avg;
	}

	public float getYear(List<IndexData> allIndexDatas) {
		float years;
		String sDateStart = allIndexDatas.get(0).getDate();
		String sDateEnd = allIndexDatas.get(allIndexDatas.size()-1).getDate();

		Date dateStart = DateUtil.parse(sDateStart);
		Date dateEnd = DateUtil.parse(sDateEnd);

		long days = DateUtil.between(dateStart, dateEnd, DateUnit.DAY);
		years = days/365f;
		return years;
	}

}

package cn.how2j.trend.web;

import cn.how2j.trend.pojo.IndexData;
import cn.how2j.trend.pojo.Profit;
import cn.how2j.trend.pojo.Trade;
import cn.how2j.trend.service.BackTestService;
import cn.hutool.core.date.DateUnit;
import cn.hutool.core.date.DateUtil;
import cn.hutool.core.util.StrUtil;
import org.springframework.beans.factory.annotation.Autowired;
import org.springframework.web.bind.annotation.CrossOrigin;
import org.springframework.web.bind.annotation.GetMapping;
import org.springframework.web.bind.annotation.PathVariable;
import org.springframework.web.bind.annotation.RestController;

import java.util.*;

@RestController
public class BackTestController {
	@Autowired BackTestService backTestService;

	@GetMapping("/simulate/{code}/{startDate}/{endDate}")
	@CrossOrigin
	public Map<String,Object> backTest(
	        @PathVariable("code") String code
            ,@PathVariable("startDate") String strStartDate
            ,@PathVariable("endDate") String strEndDate
    ) throws Exception {
		List<IndexData> allIndexDatas = backTestService.listIndexData(code);

		String indexStartDate = allIndexDatas.get(0).getDate();
		String indexEndDate = allIndexDatas.get(allIndexDatas.size()-1).getDate();

        allIndexDatas = filterByDateRange(allIndexDatas,strStartDate, strEndDate);

        int ma = 20;
        float sellRate = 0.95f;
        float buyRate = 1.05f;
        float serviceCharge = 0f;
        Map<String,?> simulateResult= backTestService.simulate(ma,sellRate, buyRate,serviceCharge, allIndexDatas);
        List<Profit> profits = (List<Profit>) simulateResult.get("profits");
        List<Trade> trades = (List<Trade>) simulateResult.get("trades");

        float years = backTestService.getYear(allIndexDatas);
        float indexIncomeTotal = (allIndexDatas.get(allIndexDatas.size()-1).getClosePoint() - allIndexDatas.get(0).getClosePoint()) / allIndexDatas.get(0).getClosePoint();
        float indexIncomeAnnual = (float) Math.pow(1+indexIncomeTotal, 1/years) - 1;
        float trendIncomeTotal = (profits.get(profits.size()-1).getValue() - profits.get(0).getValue()) / profits.get(0).getValue();
        float trendIncomeAnnual = (float) Math.pow(1+trendIncomeTotal, 1/years) - 1;

        int winCount = (Integer) simulateResult.get("winCount");
        int lossCount = (Integer) simulateResult.get("lossCount");
        float avgWinRate = (Float) simulateResult.get("avgWinRate");
        float avgLossRate = (Float) simulateResult.get("avgLossRate");

        Map<String,Object> result = new HashMap<>();
		result.put("indexDatas", allIndexDatas);
		result.put("indexStartDate", indexStartDate);
		result.put("indexEndDate", indexEndDate);
        result.put("profits", profits);
        result.put("trades", trades);
        result.put("years", years);
        result.put("indexIncomeTotal", indexIncomeTotal);
        result.put("indexIncomeAnnual", indexIncomeAnnual);
        result.put("trendIncomeTotal", trendIncomeTotal);
        result.put("trendIncomeAnnual", trendIncomeAnnual);

        result.put("winCount", winCount);
        result.put("lossCount", lossCount);
        result.put("avgWinRate", avgWinRate);
        result.put("avgLossRate", avgLossRate);

        return result;
	}

    private List<IndexData> filterByDateRange(List<IndexData> allIndexDatas, String strStartDate, String strEndDate) {
        if(StrUtil.isBlankOrUndefined(strStartDate) || StrUtil.isBlankOrUndefined(strEndDate) )
            return allIndexDatas;

        List<IndexData> result = new ArrayList<>();
        Date startDate = DateUtil.parse(strStartDate);
        Date endDate = DateUtil.parse(strEndDate);

        for (IndexData indexData : allIndexDatas) {
            Date date =DateUtil.parse(indexData.getDate());
            if(
                    date.getTime()>=startDate.getTime() &&
                            date.getTime()<=endDate.getTime()
                    ) {
                result.add(indexData);
            }
        }
        return result;
    }

}

<!DOCTYPE html>
<html xmlns:th="http://www.thymeleaf.org">
<head th:include="include/header::html('趋势投资模拟回测')" ></head>
<body >
<script>
    var chart4Profit = null;

    $(function(){
	        var data4Vue = {
                indexes: [],
                currentIndex: '000300',

                indexDatas:[],
                dates:[],
                closePoints:[],

                flushDate: true,

                indexStartDate: null,
                indexEndDate: null,
                startDate: null,
                endDate: null,

                profits:[],
                profitValues:[],

                trades:[],

                years:0,
                indexIncomeTotal:0,
                indexIncomeAnnual:0,
                trendIncomeTotal:0,
                trendIncomeAnnual:0,

                winCount:0,
                lossCount:0,
                avgWinRate:0,
                avgLossRate:0,
            };

            //ViewModel
            var vue = new Vue({
                el: '#workingArea',
                data: data4Vue,
                mounted:function(){ //mounted　表示这个 Vue 对象加载成功了
                    this.init();
                    $("[data-toggle='tooltip']").tooltip();
                },
                methods: {
                    init:function(){
                        var url =  "http://127.0.0.1:8031/api-codes/codes";
                        axios.get(url).then(function(response) {
                            vue.indexes = response.data;
                            vue.$nextTick(function(){
                                vue.simulate();
                            });
                        });
                    },
                    simulate:function(){
                        var url =  "http://127.0.0.1:8031/api-backtest/simulate/"+vue.currentIndex+"/"+vue.startDate+"/"+vue.endDate+"/";
                        axios.get(url).then(function(response) {
                            //清空原数据
							vue.indexDatas = [];
                            vue.closePoints = [];
                            vue.dates = [];
                            vue.profits = [];
							vue.profitValues =[];
							vue.trades = [];

							//获取返回数据

                            vue.indexDatas = response.data.indexDatas;
                            vue.dates = new Array();
                            vue.closePoints = new Array();

                            //日期
                            vue.indexStartDate = response.data.indexStartDate;
                            vue.indexEndDate = response.data.indexEndDate;

                            //收益
                            vue.profits = response.data.profits;

                            //交易明细
                            vue.trades = response.data.trades;

                            //收益一览
                            vue.years = response.data.years;
                            vue.indexIncomeTotal = response.data.indexIncomeTotal;
                            vue.indexIncomeAnnual = response.data.indexIncomeAnnual;
                            vue.trendIncomeTotal = response.data.trendIncomeTotal;
                            vue.trendIncomeAnnual = response.data.trendIncomeAnnual;

                            //交易统计
                            vue.winCount = response.data.winCount;
                            vue.lossCount = response.data.lossCount;
                            vue.avgWinRate = response.data.avgWinRate;
                            vue.avgLossRate = response.data.avgLossRate;

                            //指数数据
                            for(i in vue.indexDatas){
                                var indexData = vue.indexDatas[i];
                                vue.dates.push(indexData.date);
                                vue.closePoints.push(indexData.closePoint);

                                var profit = vue.profits[i];
                                vue.profitValues.push(profit.value);
                            }

							//收益图表
                            chart4Profit.config.data.labels = vue.dates;
                            chart4Profit.config.data.datasets[0].label = vue.currentIndex;
                            chart4Profit.config.data.datasets[0].data = vue.closePoints;
                            chart4Profit.config.data.datasets[1].data = vue.profitValues;
                            chart4Profit.update();

                            if(vue.flushDate)
                                vue.updateDate();

                        });
                    },
                    changeParam:function(){
                        vue.flushDate = false;
                        vue.simulate();
                    },
                    changeParamWithFlushDate:function(){
                        vue.flushDate = true;
                        vue.startDate = null;
                        vue.endDate = null;
                        vue.simulate();
                    },
					updateDate:function(){
                        vue.startDate = vue.indexStartDate;
                        vue.endDate = vue.indexEndDate;

                        console.log("vue.indexStartDate："+vue.indexStartDate);

                        //需要先destroy，否则后续新的日期范围如果超出了前面的日期范围，会出冲突
                        $('#date4Start').datepicker("destroy");
                        $('#date4Start').datepicker({
                            "format": 'yyyy-mm-dd',
                            "language": "zh-CN",
                            autoclose: true,
                            startDate: vue.indexStartDate,
                            endDate: vue.indexEndDate,
                        }).on("changeDate",function(e){
                            var month = (e.date.getMonth()+1);
                            if(month <10)
                                month = '0'+month;
                            var day = (e.date.getDate());
                            if(day <10)
                                day = '0'+day;
                            vue.startDate = e.date.getFullYear()+"-"+month+"-"+day;

                            if(!vue.checkDateRange()){
                                $('#date4Start').datepicker('update', vue.indexStartDate);
                                return;
                            }

							vue.changeParam();
                        });

                        $('#date4End').datepicker("destroy");
                        $('#date4End').datepicker({
                            "format": 'yyyy-mm-dd',
                            "language": "zh-CN",
                            autoclose: true,
                            startDate: vue.indexStartDate,
                            endDate: vue.indexEndDate,
                        }).on("changeDate",function(e){
                            var month = (e.date.getMonth()+1);
                            if(month <10)
                                month = '0'+month;
                            var day = (e.date.getDate());
                            if(day <10)
                                day = '0'+day;
                            vue.endDate = e.date.getFullYear()+"-"+month+"-"+day;
                            if(!vue.checkDateRange()){
                                $('#date4End').datepicker('update', vue.indexEndDate);
                                return;
							}

                            vue.changeParam();

                        });

                        $('#date4Start').datepicker('update', vue.indexStartDate);
                        $('#date4End').datepicker('update', vue.indexEndDate);
                    },
					checkDateRange:function(){
					    if(null==vue.startDate || null==vue.endDate)
					        return true;

                        var strStartDate = vue.startDate.replace(/-/g, '/')
                        var startTime = new Date(strStartDate).getTime();
                        var strEndDate = vue.endDate.replace(/-/g, '/')
                        var endTime = new Date(strEndDate).getTime();
						if(startTime>endTime){
                            alert("开始日期不能大于日期！");
                            return false;
						}
						return true;

					}
                }
            });

        var ctx4Profit = $(".canvas4Profit")[0].getContext('2d');
        chart4Profit = new Chart(ctx4Profit, {
            type: 'line',
            data: {
                labels: '',
                datasets: [
                    {
                        label: '',
                        data: [],
                        borderColor: '#FF4040',
                        backgroundColor: '#FF4040',
                        borderWidth: 1.2,
                        pointRadius: 0,
                        fill: false,
                        lineTension: 0,
                    },
                    {
                        label: '趋势投资',
                        data: [],
                        borderColor: '#5D98C8',
                        backgroundColor: '#5D98C8',
                        borderWidth: 1.2,
                        pointRadius: 0,
                        fill: false,
                        lineTension: 0,
                    }
                ]
            },
            options: {
                title: {
                    display: true,
                    text: '指数趋势投资收益对比图'
                },
                responsive: true,
                responsiveAnimationDuration:3000,
                scales: {
                    yAxes: [{
                        ticks: {
                            beginAtZero: false,
                        }
                    }]
                },
                tooltips: {
                    intersect: false,
                    mode: 'index',
// 	   					axis: 'y',
                    callbacks: {
                        label: function(tooltipItem, myData) {
                            var label = myData.datasets[tooltipItem.datasetIndex].label || '';
                            if (label) {
                                label += ': ';
                            }
                            label += parseFloat(tooltipItem.value).toFixed(2);
                            return label;
                        }
                    }
                }
            }
        });

    });

</script>

<style>
table.inputTable{
	width:100%;
}
table.inputTable td{
	padding:20px 20px;
}

table{
	margin:20px;
}

div#workingArea{
	margin:50px;
}
</style>

<div id="workingArea">
	<span class="label label-info">回测参数</span>
	<table class="inputTable ">
		<tr>
			<td width="25%">
				<span data-toggle="tooltip" data-placement="top" title="选择某一个指数进行模拟回测">
					请选择指数:<span class="glyphicon glyphicon-question-sign" > </span>
				</span>
			</td>
			<td width="25%">
				<select @change="changeParamWithFlushDate" v-model="currentIndex" class="indexSelect form-control">
					<option v-for="bean in indexes " :value="bean.code">{{bean.name}} - ( {{bean.code}} )</option>
				</select>
			</td>
			<td width="25%"></td>
			<td width="25%"></td>
		</tr>
		<tr>
			<td>
           				<span data-toggle="tooltip" data-placement="top" title="指定模拟回测的开始日期，默认是当前指数最开始的日期">
            				开始日期:<span class="glyphicon glyphicon-question-sign	" > </span>
           				</span>
			</td>
			<td>
				<div class="form-group">
					<div class="input-group date" id="date4Start">
						<input  type="text" readOnly="readOnly" class="form-control"  ><span class="input-group-addon"><i class="glyphicon glyphicon-th"></i></span>
					</div>
				</div>
			</td>
			<td>
           				<span data-toggle="tooltip" data-placement="top" title="指定模拟回测的结束日期，默认是当前指数最后的日期">
            				结束日期:<span class="glyphicon glyphicon-question-sign	" > </span>
           				</span>
			</td>
			<td>
				<div class="form-group">
					<div class="input-group date" id="date4End">
						<input type="text" readOnly="readOnly" class="form-control"  ><span class="input-group-addon"><i class="glyphicon glyphicon-th"></i></span>
					</div>
				</div>
			</td>

		</tr>
	</table>

	<div class="label label-warning">收益对比图</div>

	<div  class="div4chart" style="margin:0px auto; width:80%">
		<canvas class='canvas4Profit'></canvas>
	</div>

	<div class="label label-warning">收益一览</div>

	<table class="table table-striped table-bordered table-condensed" >
		<thead>

		<th>投资类型</th>
		<th>投资时长 (年)</th>
		<th>1000元投资收益</th>
		<th>总收益率</th>
		<th>年化收益率</th>
		</thead>
		<tbody>
		<tr>
			<td>指数投资</td>
			<td>{{years|formatNumberFilter(2)}} </td>
			<td>{{(indexIncomeTotal+1)*1000|formatMoneyFilter}}</td>
			<td>{{indexIncomeTotal*100|formatNumberFilter(2)}}%</td>
			<td>{{indexIncomeAnnual*100|formatNumberFilter(2)}}%</td>
		</tr>
		<tr>
			<td>趋势投资</td>
			<td>{{years|formatNumberFilter(2)}} </td>
			<td>{{(trendIncomeTotal+1)*1000|formatMoneyFilter}}</td>
			<td>{{trendIncomeTotal*100|formatNumberFilter(2)}}%</td>
			<td>{{trendIncomeAnnual*100|formatNumberFilter(2)}}%</td>
		</tr>
		<tr>
			<td>相对收益</td>
			<td>n/a</td>
			<td>{{(trendIncomeTotal-indexIncomeTotal)*1000|formatMoneyFilter}}</td>
			<td>{{(trendIncomeTotal-indexIncomeTotal)*100|formatNumberFilter(2)}}%</td>
			<td>{{(trendIncomeAnnual-indexIncomeAnnual)*100|formatNumberFilter(2)}}%</td>
		</tr>

		</tbody>

	</table>

	<div class="label label-warning">交易统计</div>
	<table class="table table-bordered table-condensed" >
		<thead>
		<th align="center" colspan="2">趋势投资盈亏统计</th>
		</thead>
		<tbody>
		<tr>
			<td width="50%">总共交易次数</td>
			<td>{{winCount+lossCount}}</td>
		</tr>
		<tr>
			<td>盈利交易次数</td>
			<td>{{winCount}}</td>
		</tr>
		<tr>
			<td>平均盈利比率</td>
			<td>{{avgWinRate*100|formatNumberFilter(2)}}%</td>
		</tr>
		<tr>
			<td>亏损交易次数</td>
			<td>{{lossCount}}</td>
		</tr>
		<tr>
			<td>平均亏损比率</td>
			<td>{{avgLossRate*100|formatNumberFilter(2)}}%</td>
		</tr>
		<tr>
			<td>胜率</td>
			<td>{{(winCount/(winCount+lossCount))*100|formatNumberFilter(2)}}%	</td>
		</tr>

		</tbody>
	</table>

	<div class="label label-warning">交易明细</div>

	<table class="table table-striped table-bordered table-condensed table-hover" >
		<thead>

		<th>盈/亏</th>
		<th>购买日期</th>
		<th>购买盘点</th>
		<th>出售日期</th>
		<th>出售盘点</th>
		<th>盈亏比率</th>
		<th>1000元投资收益</th>
		</thead>
		<tbody>
		<tr v-for="bean in trades">
			<td>
				<span v-if="bean.sellClosePoint>bean.buyClosePoint" class="label label-danger">盈利</span>
				<span v-if="bean.sellClosePoint<=bean.buyClosePoint" class="label label-success">亏损</span>

			</td>
			<td>{{bean.buyDate}}</td>
			<td>{{bean.buyClosePoint}}</td>
			<td>{{bean.sellDate}}</td>
			<td>

				<span v-if="bean.sellClosePoint==0">n/a</span>
				<span v-if="bean.sellClosePoint!=0">{{bean.sellClosePoint}}</span>

			</td>
			<td>
				<span v-if="bean.sellClosePoint==0">n/a</span>

				<span class="label" v-bind:class="{ 'label-danger' : bean.sellClosePoint>bean.buyClosePoint, 'label-success' : bean.sellClosePoint<=bean.buyClosePoint }" v-if="bean.sellClosePoint!=0">{{(bean.sellClosePoint-bean.buyClosePoint)*100/bean.buyClosePoint | formatNumberFilter(2)}}%</span>

			</td>
			<td>
				<span v-if="bean.sellClosePoint==0">n/a</span>
				<span v-if="bean.sellClosePoint!=0">{{bean.rate*1000 | formatMoneyFilter }}</span>

			</td>
		</tr>

		</tbody>

	</table>
</div>

<div th:replace="include/footer::html" ></div>

</body>
</html>