update
This commit is contained in:
aaron
parent
64c5ce606e
commit
fbdb1cf421
@ -1099,7 +1099,7 @@ class PaperTradingService:
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if end_date:
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if end_date:
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query = query.filter(PaperOrder.closed_at <= end_date)
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query = query.filter(PaperOrder.closed_at <= end_date)
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orders = query.all()
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orders = query.order_by(PaperOrder.closed_at.asc()).all()
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if not orders:
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if not orders:
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return self._empty_statistics()
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return self._empty_statistics()
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@ -1118,6 +1118,9 @@ class PaperTradingService:
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gross_profit = sum(wins) if wins else 0
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gross_profit = sum(wins) if wins else 0
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gross_loss = sum(losses) if losses else 0
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gross_loss = sum(losses) if losses else 0
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# 计算账户最大回撤
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account_max_drawdown = self._calculate_account_max_drawdown(orders)
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return {
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return {
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'total_trades': total_trades,
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'total_trades': total_trades,
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'winning_trades': winning_trades,
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'winning_trades': winning_trades,
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@ -1129,7 +1132,8 @@ class PaperTradingService:
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'average_win': round(sum(wins) / len(wins), 2) if wins else 0,
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'average_win': round(sum(wins) / len(wins), 2) if wins else 0,
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'average_loss': round(sum(losses) / len(losses), 2) if losses else 0,
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'average_loss': round(sum(losses) / len(losses), 2) if losses else 0,
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'profit_factor': round(gross_profit / gross_loss, 2) if gross_loss > 0 else float('inf'),
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'profit_factor': round(gross_profit / gross_loss, 2) if gross_loss > 0 else float('inf'),
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'max_drawdown': min(o.max_drawdown for o in orders) if orders else 0,
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'max_drawdown': round(account_max_drawdown, 2),
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'max_drawdown_amount': round(account_max_drawdown * self.initial_balance / 100, 2) if account_max_drawdown != 0 else 0,
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'best_trade': max(o.pnl_percent for o in orders) if orders else 0,
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'best_trade': max(o.pnl_percent for o in orders) if orders else 0,
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'worst_trade': min(o.pnl_percent for o in orders) if orders else 0,
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'worst_trade': min(o.pnl_percent for o in orders) if orders else 0,
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'by_grade': self._calculate_grade_statistics(orders),
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'by_grade': self._calculate_grade_statistics(orders),
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@ -1140,6 +1144,49 @@ class PaperTradingService:
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finally:
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finally:
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db.close()
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db.close()
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def _calculate_account_max_drawdown(self, orders: List[PaperOrder]) -> float:
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"""
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计算账户最大回撤
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账户最大回撤是指在统计周期内，账户权益从最高点跌落的最大百分比。
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这是通过模拟每笔交易平仓后的账户余额来计算的。
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Args:
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orders: 已平仓订单列表（应按平仓时间排序）
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Returns:
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账户最大回撤百分比（负数，如 -5.23 表示最大回撤 5.23%）
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"""
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if not orders:
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return 0.0
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# 确保订单按平仓时间排序
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orders = sorted(orders, key=lambda o: o.closed_at or datetime.utcnow())
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# 模拟账户权益曲线
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initial_balance = self.initial_balance
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running_balance = initial_balance
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peak_balance = initial_balance
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max_drawdown = 0.0
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for order in orders:
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if order.closed_at and order.pnl_amount is not None:
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# 更新账户余额
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running_balance += order.pnl_amount
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# 检查是否创新高
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if running_balance > peak_balance:
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peak_balance = running_balance
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# 计算从峰值到当前值的回撤
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if peak_balance > 0:
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drawdown = (running_balance - peak_balance) / peak_balance * 100
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# 记录最大回撤（最负的值）
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if drawdown < max_drawdown:
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max_drawdown = drawdown
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return max_drawdown
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def _empty_statistics(self) -> Dict[str, Any]:
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def _empty_statistics(self) -> Dict[str, Any]:
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"""返回空统计结构"""
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"""返回空统计结构"""
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return {
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return {
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@ -1154,6 +1201,7 @@ class PaperTradingService:
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'average_loss': 0,
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'average_loss': 0,
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'profit_factor': 0,
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'profit_factor': 0,
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'max_drawdown': 0,
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'max_drawdown': 0,
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'max_drawdown_amount': 0,
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'best_trade': 0,
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'best_trade': 0,
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'worst_trade': 0,
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'worst_trade': 0,
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'by_grade': {},
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'by_grade': {},
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@ -1185,6 +1233,10 @@ class PaperTradingService:
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).all()
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).all()
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realized_pnl = sum(o.pnl_amount for o in closed_orders)
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realized_pnl = sum(o.pnl_amount for o in closed_orders)
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# 计算账户最大回撤
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account_max_drawdown = self._calculate_account_max_drawdown(closed_orders)
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finally:
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finally:
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db.close()
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db.close()
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@ -1210,7 +1262,10 @@ class PaperTradingService:
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'max_orders': self.max_orders,
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'max_orders': self.max_orders,
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'available_orders': available_orders,
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'available_orders': available_orders,
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'total_position_value': round(used_margin * self.leverage, 2),
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'total_position_value': round(used_margin * self.leverage, 2),
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'margin_ratio': round((used_margin / current_balance * 100), 2) if current_balance > 0 else 0
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'margin_ratio': round((used_margin / current_balance * 100), 2) if current_balance > 0 else 0,
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'max_drawdown': round(account_max_drawdown, 2), # 账户最大回撤百分比
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'max_drawdown_amount': round(account_max_drawdown * self.initial_balance / 100, 2) if account_max_drawdown != 0 else 0, # 账户最大回撤金额
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'total_pnl_percent': round((realized_pnl / self.initial_balance * 100), 2) if self.initial_balance > 0 else 0
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}
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}
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def _calculate_grade_statistics(self, orders: List[PaperOrder]) -> Dict[str, Any]:
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def _calculate_grade_statistics(self, orders: List[PaperOrder]) -> Dict[str, Any]:
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@ -1087,6 +1087,12 @@
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<div class="stat-label">盈亏比</div>
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<div class="stat-label">盈亏比</div>
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<div class="stat-value">{{ stats.profit_factor === Infinity ? '∞' : stats.profit_factor.toFixed(2) }}</div>
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<div class="stat-value">{{ stats.profit_factor === Infinity ? '∞' : stats.profit_factor.toFixed(2) }}</div>
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</div>
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</div>
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<div class="stat-card">
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<div class="stat-label">最大回撤</div>
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<div class="stat-value" :class="stats.max_drawdown <= 0 ? 'negative' : 'positive'">
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{{ stats.max_drawdown ? stats.max_drawdown.toFixed(2) : '0.00' }}%
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</div>
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</div>
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</div>
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</div>
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<!-- 实时价格 -->
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<!-- 实时价格 -->
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@ -1267,6 +1273,91 @@
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<!-- 详细统计 -->
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<!-- 详细统计 -->
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<div v-if="activeTab === 'stats'">
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<div v-if="activeTab === 'stats'">
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<!-- 总体指标汇总 -->
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<div class="grade-stats" style="margin-bottom: 30px;">
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<div class="grade-card">
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<div class="grade-card-header">
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<span class="grade-card-title">交易统计</span>
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</div>
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<div class="grade-card-stats">
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<div class="grade-stat-row">
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<span class="grade-stat-label">总交易数</span>
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<span>{{ stats.total_trades }}</span>
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</div>
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<div class="grade-stat-row">
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<span class="grade-stat-label">盈利交易</span>
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<span class="positive">{{ stats.winning_trades }}</span>
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</div>
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<div class="grade-stat-row">
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<span class="grade-stat-label">亏损交易</span>
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<span class="negative">{{ stats.losing_trades }}</span>
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</div>
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<div class="grade-stat-row">
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<span class="grade-stat-label">胜率</span>
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<span>{{ stats.win_rate.toFixed(1) }}%</span>
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</div>
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<div class="grade-stat-row">
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<span class="grade-stat-label">平均盈利</span>
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<span class="positive">${{ stats.average_win.toFixed(2) }}</span>
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</div>
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<div class="grade-stat-row">
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<span class="grade-stat-label">平均亏损</span>
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<span class="negative">${{ stats.average_loss.toFixed(2) }}</span>
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</div>
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</div>
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</div>
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<div class="grade-card">
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<div class="grade-card-header">
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<span class="grade-card-title">盈亏指标</span>
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</div>
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<div class="grade-card-stats">
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<div class="grade-stat-row">
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<span class="grade-stat-label">总盈亏</span>
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<span :class="stats.total_pnl >= 0 ? 'positive' : 'negative'">
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${{ stats.total_pnl.toFixed(2) }}
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</span>
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</div>
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<div class="grade-stat-row">
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<span class="grade-stat-label">平均盈亏</span>
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<span :class="stats.average_pnl >= 0 ? 'positive' : 'negative'">
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${{ stats.average_pnl.toFixed(2) }}
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</span>
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</div>
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<div class="grade-stat-row">
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<span class="grade-stat-label">盈亏比</span>
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<span>{{ stats.profit_factor === Infinity ? '∞' : stats.profit_factor.toFixed(2) }}</span>
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</div>
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<div class="grade-stat-row">
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<span class="grade-stat-label">最佳交易</span>
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<span class="positive">{{ stats.best_trade.toFixed(2) }}%</span>
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</div>
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<div class="grade-stat-row">
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<span class="grade-stat-label">最差交易</span>
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<span class="negative">{{ stats.worst_trade.toFixed(2) }}%</span>
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</div>
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</div>
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</div>
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<div class="grade-card">
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<div class="grade-card-header">
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<span class="grade-card-title">风险指标</span>
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</div>
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<div class="grade-card-stats">
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<div class="grade-stat-row">
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<span class="grade-stat-label">最大回撤</span>
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<span :class="stats.max_drawdown <= 0 ? 'negative' : 'positive'">
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{{ stats.max_drawdown ? stats.max_drawdown.toFixed(2) : '0.00' }}%
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</span>
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</div>
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<div class="grade-stat-row">
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<span class="grade-stat-label">回撤金额</span>
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<span :class="stats.max_drawdown_amount <= 0 ? 'negative' : 'positive'">
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{{ stats.max_drawdown_amount ? (stats.max_drawdown_amount >= 0 ? '+$' : '-$') + Math.abs(stats.max_drawdown_amount).toFixed(2) : '$0.00' }}
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</span>
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</div>
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</div>
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</div>
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</div>
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<h3 style="color: var(--text-primary); font-weight: 300; margin-bottom: 16px;">按信号等级统计</h3>
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<h3 style="color: var(--text-primary); font-weight: 300; margin-bottom: 16px;">按信号等级统计</h3>
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<div class="grade-stats">
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<div class="grade-stats">
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<div class="grade-card" v-for="(data, grade) in stats.by_grade" :key="grade">
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<div class="grade-card" v-for="(data, grade) in stats.by_grade" :key="grade">
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