fulid 0.1.0

Trading engine
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73

use std::collections::VecDeque;

use crate::strategy_engine::Strategy;

#[derive(Debug, Clone)]
pub struct Momentum {
    prices: VecDeque<f64>,
    window_size: usize,
}

impl Momentum {
    pub fn new(window_size: usize) -> Self {
        Self {
            prices: VecDeque::with_capacity(window_size),
            window_size,
        }
    }

    pub fn update_price(&mut self, price: f64) {
        self.prices.push_back(price);

        if self.prices.len() > self.prices.capacity() {
            self.prices.pop_front();
        }
    }
}

impl Strategy for Momentum {
    fn evaluate(&self, price: &f64) -> f64 {
        if self.prices.len() < self.window_size {
            return 0.0;
        }

        let current_price = *price;
        let past_price = self.prices.front().unwrap();
        let momentum = current_price - *past_price;

        if momentum > 0.0 {
            1.0 // 买入信号
        } else if momentum < 0.0 {
            -1.0 // 卖出信号
        } else {
            0.0 // 无信号
        }
    }

    fn calculate_indicator(&self, prices: &Vec<f64>) -> f64 {
        // 计算胜率作为指标
        let mut wins = 0;
        let mut total_trades = 0;

        for price in prices {
            let signal = self.evaluate(price);
            if signal > 0.0 {
                total_trades += 1;
                if *price > prices[0] {
                    wins += 1;
                }
            } else if signal < 0.0 {
                total_trades += 1;
                if *price < prices[0] {
                    wins += 1;
                }
            }
        }

        if total_trades == 0 {
            0.0
        } else {
            wins as f64 / total_trades as f64
        }
    }
}