从回溯测试结果中寻找每日利润

我在TRX/USDT上运行了回溯测试(间隔5m),并将结果导出到JSON。然后我就可以计算整个测试期间的累计利润%和总利润%。我现在要计算每日利润 daily_profit = results.resample('1day', on='close_date')['profit_percent'].sum() pandas ). 我试着用Deedle做这个,但我不知道它是怎么工作的。我在下面提供了完整的代码,因此可以编译和测试它。它从我下面链接的pastebin代码中获取JSON数据。你知道我怎样才能得到每天的利润吗?

我对其他解决方案也持开放态度,不仅仅是迪德尔。

一旦计算了每日利润,以下是一些预期值:

daily_profit = results.resample('1d', on='close_date')['profit_percent'].sum()
backtest_worst_day = min(daily_profit) // -0.26123255999999995
backtest_best_day = max(daily_profit) // 0.029468
winning_days = sum(daily_profit > 0) // 11
draw_days = sum(daily_profit == 0) // 0
losing_days = sum(daily_profit < 0) // 20

• 迪德尔,我的前任。 QuantConnect's Lean 正在使用它。
• Resample, aggregate, and interpolate of TimeSeries trend data

代码段:

我的JSON数据: https://pastebin.com/raw/0bASqR47

下面的代码会自动执行。

using Deedle;
using Deedle.Math;
using Newtonsoft.Json;
using Newtonsoft.Json.Converters;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Net;

namespace Test
{
    class Program
    {
        public class JsonTimestampConverter : DateTimeConverterBase
        {
            public override bool CanConvert(Type objectType)
            {
                return objectType == typeof(long) || objectType == typeof(string);
            }

            public override object ReadJson(JsonReader reader, Type objectType, object existingValue, JsonSerializer serializer)
            {
                long milliseconds;

                if (reader.TokenType == JsonToken.Integer)
                {
                    milliseconds = (long)reader.Value!;
                }
                else if (reader.TokenType == JsonToken.String)
                {
                    if (!long.TryParse((string)reader.Value!, out milliseconds))
                    {
                        throw new JsonSerializationException($"Cannot convert invalid value to {objectType}.");
                    }
                }
                else
                {
                    throw new JsonSerializationException($"Unexpected token parsing date. Expected Integer or String, got {reader.TokenType}.");
                }

                return DateTimeOffset.FromUnixTimeMilliseconds(milliseconds).DateTime;
            }

            public override void WriteJson(JsonWriter writer, object value, JsonSerializer serializer)
            {
                DateTime utcTime;

                if (value is DateTime dateTime)
                {
                    utcTime = DateTime.SpecifyKind(dateTime, DateTimeKind.Utc);
                }
                else
                {
                    throw new JsonSerializationException("Expected date object value.");
                }

                writer.WriteRawValue($"{((DateTimeOffset)utcTime).ToUnixTimeMilliseconds()}");
            }
        }

        public class BResult
        {
            [JsonProperty("pair")]
            public string Pair { get; set; }

            [JsonProperty("profit_percent")]
            public decimal ProfitPercentage { get; set; }

            [JsonProperty("profit_abs")]
            public decimal ProfitAbs { get; set; }

            [JsonProperty("open_rate")]
            public decimal OpenRate { get; set; }

            [JsonProperty("close_rate")]
            public decimal CloseRate { get; set; }

            [JsonProperty("open_date")]
            [JsonConverter(typeof(JsonTimestampConverter))]
            public DateTime OpenDate { get; set; }

            [JsonProperty("close_date")]
            [JsonConverter(typeof(JsonTimestampConverter))]
            public DateTime CloseDate { get; set; }

            [JsonProperty("open_fee")]
            public decimal OpenFee { get; set; }

            [JsonProperty("close_fee")]
            public decimal CloseFee { get; set; }

            [JsonProperty("amount")]
            public decimal Amount { get; set; }

            [JsonProperty("trade_duration")]
            public decimal TradeDuration { get; set; }

            [JsonProperty("open_at_end")]
            public bool OpenAtEnd { get; set; }

            [JsonProperty("sell_reason")]
            public string SellReason { get; set; }
        }

        static void Main(string[] args)
        {
            // Take JSON data from pastebin
            using var webClient = new WebClient();
            var json = webClient.DownloadString("https://pastebin.com/raw/0bASqR47");

            // Deserialize the data
            var data = JsonConvert.DeserializeObject<List<BResult>>(json);

            // Summary
            foreach (var result in data.GroupBy(e => e.Pair)
                                       .Select(e => new { Pair = e.Key, Count = e.Count(), Value = e }))
            {
                var pairsCount = 1;

                var key = result.Pair;
                var trades = result.Count;

                var profitSum = result.Value.Sum(e => e.ProfitPercentage);
                var profitSumPercentage = profitSum * 100;

                var profitTotal = profitSum / pairsCount; 
                var profitTotalPercentage = profitTotal * 100;

                Console.WriteLine($"Cumulative Profit %: {profitSumPercentage:f2}% | Total Profit %: {profitTotalPercentage:f2}%");
            }

            // Create series
            var series = data.Select(e => KeyValue.Create(e.CloseDate, e)).ToSeries();

            // Resample data
            var resampled = series.ResampleEquivalence(dt => new DateTime(dt.Year, dt.Month, dt.Day, dt.Hour, 0, 0, DateTimeKind.Utc));

            // Summary on daily basis

            Console.ReadLine();
        }
    }
}