Initial commit: GoldQuant trading system
This commit is contained in:
898
main.go
Normal file
898
main.go
Normal file
@@ -0,0 +1,898 @@
|
||||
package main
|
||||
|
||||
import (
|
||||
"database/sql"
|
||||
"embed"
|
||||
"encoding/json"
|
||||
"fmt"
|
||||
"io"
|
||||
"io/fs"
|
||||
"log"
|
||||
"math"
|
||||
"math/rand"
|
||||
"net/http"
|
||||
"os"
|
||||
"sort"
|
||||
"strconv"
|
||||
"strings"
|
||||
"time"
|
||||
|
||||
_ "modernc.org/sqlite"
|
||||
)
|
||||
|
||||
//go:embed web/dist/**
|
||||
var static embed.FS
|
||||
|
||||
var db *sql.DB
|
||||
|
||||
func initDB() error {
|
||||
var err error
|
||||
db, err = sql.Open("sqlite", "./data.db")
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
|
||||
_, err = db.Exec(`
|
||||
CREATE TABLE IF NOT EXISTS market_data (
|
||||
id INTEGER PRIMARY KEY AUTOINCREMENT,
|
||||
date TEXT UNIQUE NOT NULL,
|
||||
gold REAL NOT NULL,
|
||||
silver REAL NOT NULL,
|
||||
gsr REAL,
|
||||
spread_zscore REAL,
|
||||
regime INTEGER DEFAULT 0,
|
||||
position TEXT DEFAULT 'flat',
|
||||
created_at TEXT DEFAULT CURRENT_TIMESTAMP
|
||||
);
|
||||
CREATE INDEX IF NOT EXISTS idx_date ON market_data(date);
|
||||
`)
|
||||
return err
|
||||
}
|
||||
|
||||
type DataPoint struct {
|
||||
Date string
|
||||
Gold float64
|
||||
Silver float64
|
||||
GSR float64
|
||||
SpreadZScore float64
|
||||
Regime int
|
||||
Position string
|
||||
}
|
||||
|
||||
type Signal struct {
|
||||
Date string `json:"date"`
|
||||
SpreadZScore float64 `json:"spreadZScore"`
|
||||
GSR float64 `json:"gsr"`
|
||||
Regime int `json:"regime"`
|
||||
Position string `json:"position"`
|
||||
}
|
||||
|
||||
type BacktestResult struct {
|
||||
TotalReturn float64 `json:"totalReturn"`
|
||||
SharpeRatio float64 `json:"sharpeRatio"`
|
||||
MaxDrawdown float64 `json:"maxDrawdown"`
|
||||
WinRate float64 `json:"winRate"`
|
||||
NumTrades int `json:"numTrades"`
|
||||
}
|
||||
|
||||
func loadMarketData() ([]DataPoint, error) {
|
||||
rows, err := db.Query("SELECT date, gold, silver FROM market_data ORDER BY date ASC")
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
defer rows.Close()
|
||||
|
||||
var data []DataPoint
|
||||
for rows.Next() {
|
||||
var d DataPoint
|
||||
if err := rows.Scan(&d.Date, &d.Gold, &d.Silver); err != nil {
|
||||
continue
|
||||
}
|
||||
data = append(data, d)
|
||||
}
|
||||
return data, nil
|
||||
}
|
||||
|
||||
func saveMarketData(data []DataPoint) error {
|
||||
tx, err := db.Begin()
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
defer tx.Rollback()
|
||||
|
||||
stmt, err := tx.Prepare(`
|
||||
INSERT OR REPLACE INTO market_data (date, gold, silver, gsr, spread_zscore, regime, position)
|
||||
VALUES (?, ?, ?, ?, ?, ?, ?)
|
||||
`)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
defer stmt.Close()
|
||||
|
||||
for _, d := range data {
|
||||
_, err := stmt.Exec(d.Date, d.Gold, d.Silver, d.GSR, d.SpreadZScore, d.Regime, d.Position)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
return tx.Commit()
|
||||
}
|
||||
|
||||
func calculateMean(data []float64) float64 {
|
||||
sum := 0.0
|
||||
for _, v := range data {
|
||||
sum += v
|
||||
}
|
||||
return sum / float64(len(data))
|
||||
}
|
||||
|
||||
func calculateStd(data []float64) float64 {
|
||||
mean := calculateMean(data)
|
||||
variance := 0.0
|
||||
for _, v := range data {
|
||||
variance += math.Pow(v-mean, 2)
|
||||
}
|
||||
return math.Sqrt(variance / float64(len(data)-1))
|
||||
}
|
||||
|
||||
func rollingMean(data []float64, window int) []float64 {
|
||||
var result []float64
|
||||
for i := 0; i < len(data); i++ {
|
||||
start := i - window + 1
|
||||
if start < 0 {
|
||||
result = append(result, data[i])
|
||||
continue
|
||||
}
|
||||
sum := 0.0
|
||||
for j := start; j <= i; j++ {
|
||||
sum += data[j]
|
||||
}
|
||||
result = append(result, sum/float64(window))
|
||||
}
|
||||
return result
|
||||
}
|
||||
|
||||
func rollingStd(data []float64, window int) []float64 {
|
||||
var result []float64
|
||||
for i := 0; i < len(data); i++ {
|
||||
start := i - window + 1
|
||||
if start < 0 {
|
||||
result = append(result, 0)
|
||||
continue
|
||||
}
|
||||
subset := data[start : i+1]
|
||||
result = append(result, calculateStd(subset))
|
||||
}
|
||||
return result
|
||||
}
|
||||
|
||||
func generateSignals(data []DataPoint, window int) []Signal {
|
||||
var signals []Signal
|
||||
|
||||
goldPrices := make([]float64, len(data))
|
||||
silverPrices := make([]float64, len(data))
|
||||
for i, d := range data {
|
||||
goldPrices[i] = d.Gold
|
||||
silverPrices[i] = d.Silver
|
||||
}
|
||||
|
||||
spread := make([]float64, len(data))
|
||||
for i := range data {
|
||||
spread[i] = goldPrices[i] - silverPrices[i]
|
||||
}
|
||||
|
||||
spreadMean := rollingMean(spread, window)
|
||||
spreadStd := rollingStd(spread, window)
|
||||
|
||||
gsr := make([]float64, len(data))
|
||||
for i := range data {
|
||||
gsr[i] = goldPrices[i] / silverPrices[i]
|
||||
}
|
||||
|
||||
regimes := make([]int, len(data))
|
||||
if len(data) > 20 {
|
||||
var returns []float64
|
||||
for i := 1; i < len(data); i++ {
|
||||
ret := (goldPrices[i] - goldPrices[i-1]) / goldPrices[i-1]
|
||||
returns = append(returns, ret)
|
||||
}
|
||||
std := calculateStd(returns)
|
||||
for i := range returns {
|
||||
if i < 20 {
|
||||
regimes[i] = 0
|
||||
continue
|
||||
}
|
||||
recentStd := calculateStd(returns[max(0, i-20):i])
|
||||
if recentStd > std*1.2 {
|
||||
regimes[i] = 1
|
||||
} else {
|
||||
regimes[i] = 0
|
||||
}
|
||||
}
|
||||
regimes = append([]int{0}, regimes...)
|
||||
}
|
||||
|
||||
for i := range data {
|
||||
zScore := 0.0
|
||||
if spreadStd[i] > 0 {
|
||||
zScore = (spread[i] - spreadMean[i]) / spreadStd[i]
|
||||
}
|
||||
|
||||
position := "flat"
|
||||
if regimes[i] == 0 {
|
||||
if gsr[i] > 80 {
|
||||
position = "buy_silver_sell_gold"
|
||||
} else if gsr[i] < 45 {
|
||||
position = "buy_gold_sell_silver"
|
||||
}
|
||||
} else {
|
||||
position = "reduced"
|
||||
}
|
||||
|
||||
signals = append(signals, Signal{
|
||||
Date: data[i].Date,
|
||||
SpreadZScore: zScore,
|
||||
GSR: gsr[i],
|
||||
Regime: regimes[i],
|
||||
Position: position,
|
||||
})
|
||||
}
|
||||
|
||||
return signals
|
||||
}
|
||||
|
||||
func runBacktest(data []DataPoint, signals []Signal) BacktestResult {
|
||||
position := 0.0
|
||||
capital := 10000.0
|
||||
entryPrice := 0.0
|
||||
var returns []float64
|
||||
numWins := 0
|
||||
numTrades := 0
|
||||
|
||||
for i := 1; i < len(data); i++ {
|
||||
sig := signals[i]
|
||||
|
||||
if sig.Position == "buy_gold_sell_silver" && position == 0 {
|
||||
position = 1
|
||||
entryPrice = data[i].Gold
|
||||
numTrades++
|
||||
} else if sig.Position == "flat" && position == 1 {
|
||||
pnl := (data[i].Gold - entryPrice) / entryPrice * capital
|
||||
returns = append(returns, pnl)
|
||||
if pnl > 0 {
|
||||
numWins++
|
||||
}
|
||||
position = 0
|
||||
}
|
||||
}
|
||||
|
||||
totalReturn := 0.0
|
||||
for _, r := range returns {
|
||||
totalReturn += r
|
||||
}
|
||||
|
||||
sharpe := 0.0
|
||||
if len(returns) > 0 {
|
||||
meanRet := totalReturn / float64(len(returns))
|
||||
stdRet := calculateStd(returns)
|
||||
if stdRet > 0 {
|
||||
sharpe = meanRet / stdRet * math.Sqrt(252)
|
||||
}
|
||||
}
|
||||
|
||||
maxDD := 0.0
|
||||
peak := capital
|
||||
for _, r := range returns {
|
||||
capital += r
|
||||
if capital > peak {
|
||||
peak = capital
|
||||
}
|
||||
dd := (peak - capital) / peak
|
||||
if dd > maxDD {
|
||||
maxDD = dd
|
||||
}
|
||||
}
|
||||
|
||||
winRate := 0.0
|
||||
if numTrades > 0 {
|
||||
winRate = float64(numWins) / float64(numTrades)
|
||||
}
|
||||
|
||||
return BacktestResult{
|
||||
TotalReturn: totalReturn,
|
||||
SharpeRatio: sharpe,
|
||||
MaxDrawdown: maxDD,
|
||||
WinRate: winRate,
|
||||
NumTrades: numTrades,
|
||||
}
|
||||
}
|
||||
|
||||
func min(a, b int) int {
|
||||
if a < b {
|
||||
return a
|
||||
}
|
||||
return b
|
||||
}
|
||||
|
||||
func fetchYahooFinanceData(ticker, startDate, endDate, userAgent string) ([][]string, error) {
|
||||
url := fmt.Sprintf("https://query1.finance.yahoo.com/v8/finance/chart/%s?period1=%d&period2=%d&interval=1d",
|
||||
ticker,
|
||||
parseDate(startDate),
|
||||
parseDate(endDate))
|
||||
|
||||
client := &http.Client{Timeout: 30 * time.Second}
|
||||
req, _ := http.NewRequest("GET", url, nil)
|
||||
req.Header.Set("User-Agent", userAgent)
|
||||
req.Header.Set("Accept", "application/json")
|
||||
req.Header.Set("Accept-Language", "en-US,en;q=0.9")
|
||||
req.Header.Set("Cache-Control", "no-cache")
|
||||
req.Header.Set("Referer", "https://finance.yahoo.com/")
|
||||
req.Header.Set("Origin", "https://finance.yahoo.com")
|
||||
|
||||
resp, err := client.Do(req)
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
defer resp.Body.Close()
|
||||
|
||||
body, err := io.ReadAll(resp.Body)
|
||||
if err != nil {
|
||||
return nil, err
|
||||
}
|
||||
|
||||
content := string(body)
|
||||
if strings.Contains(content, "<!DOCTYPE") || strings.Contains(content, "<html") || strings.Contains(content, "<meta") {
|
||||
return nil, fmt.Errorf("received HTML instead of JSON - Yahoo may be blocking requests")
|
||||
}
|
||||
|
||||
var result struct {
|
||||
Chart struct {
|
||||
Result []struct {
|
||||
Timestamp []int64 `json:"timestamp"`
|
||||
Indicators struct {
|
||||
Quote []struct {
|
||||
Close []float64 `json:"close"`
|
||||
} `json:"quote"`
|
||||
} `json:"indicators"`
|
||||
} `json:"result"`
|
||||
} `json:"chart"`
|
||||
}
|
||||
|
||||
if err := json.Unmarshal(body, &result); err != nil {
|
||||
return nil, fmt.Errorf("parse error: %v", err)
|
||||
}
|
||||
|
||||
if len(result.Chart.Result) == 0 {
|
||||
return nil, fmt.Errorf("no data returned for %s", ticker)
|
||||
}
|
||||
|
||||
timestamps := result.Chart.Result[0].Timestamp
|
||||
closes := result.Chart.Result[0].Indicators.Quote[0].Close
|
||||
|
||||
var records [][]string
|
||||
records = append(records, []string{"Date", ticker})
|
||||
|
||||
for i, ts := range timestamps {
|
||||
if i >= len(closes) || closes[i] == 0 {
|
||||
continue
|
||||
}
|
||||
date := time.Unix(ts, 0).Format("2006-01-02")
|
||||
records = append(records, []string{date, fmt.Sprintf("%.2f", closes[i])})
|
||||
}
|
||||
|
||||
return records, nil
|
||||
}
|
||||
|
||||
func generateSampleData() error {
|
||||
startDate, _ := time.Parse("2006-01-02", "2010-01-01")
|
||||
endDate, _ := time.Parse("2006-01-02", "2023-12-31")
|
||||
|
||||
rand.Seed(time.Now().UnixNano())
|
||||
|
||||
baseGold := 1200.0
|
||||
baseSilver := 18.0
|
||||
|
||||
currentGold := baseGold
|
||||
currentSilver := baseSilver
|
||||
|
||||
tx, err := db.Begin()
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
defer tx.Rollback()
|
||||
|
||||
stmt, err := tx.Prepare(`
|
||||
INSERT OR REPLACE INTO market_data (date, gold, silver) VALUES (?, ?, ?)
|
||||
`)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
defer stmt.Close()
|
||||
|
||||
for d := startDate; d.Before(endDate); d = d.AddDate(0, 0, 1) {
|
||||
if d.Weekday() == time.Saturday || d.Weekday() == time.Sunday {
|
||||
continue
|
||||
}
|
||||
|
||||
currentGold += (rand.Float64() - 0.48) * 15
|
||||
currentSilver += (rand.Float64() - 0.48) * 0.3
|
||||
|
||||
if currentGold < 1000 {
|
||||
currentGold = 1000
|
||||
}
|
||||
if currentGold > 2000 {
|
||||
currentGold = 2000
|
||||
}
|
||||
if currentSilver < 10 {
|
||||
currentSilver = 10
|
||||
}
|
||||
if currentSilver > 30 {
|
||||
currentSilver = 30
|
||||
}
|
||||
|
||||
_, err := stmt.Exec(d.Format("2006-01-02"), currentGold, currentSilver)
|
||||
if err != nil {
|
||||
return err
|
||||
}
|
||||
}
|
||||
|
||||
return tx.Commit()
|
||||
}
|
||||
|
||||
func parseDate(dateStr string) int64 {
|
||||
loc, _ := time.LoadLocation("UTC")
|
||||
t, err := time.ParseInLocation("2006-01-02", dateStr, loc)
|
||||
if err != nil {
|
||||
log.Fatal(err)
|
||||
}
|
||||
return t.Unix()
|
||||
}
|
||||
|
||||
type APIResponse struct {
|
||||
Data interface{} `json:"data,omitempty"`
|
||||
Message string `json:"message,omitempty"`
|
||||
Error string `json:"error,omitempty"`
|
||||
}
|
||||
|
||||
func fetchDataHandler(w http.ResponseWriter, r *http.Request) {
|
||||
w.Header().Set("Content-Type", "application/json")
|
||||
w.Header().Set("Access-Control-Allow-Origin", "*")
|
||||
|
||||
startDate := r.URL.Query().Get("start")
|
||||
endDate := r.URL.Query().Get("end")
|
||||
|
||||
if startDate == "" || endDate == "" {
|
||||
startDate = "2020-01-01"
|
||||
endDate = "2023-12-31"
|
||||
}
|
||||
|
||||
goldData, err := fetchYahooFinanceDataWithRetry("GC=F", startDate, endDate)
|
||||
if err != nil {
|
||||
w.WriteHeader(http.StatusInternalServerError)
|
||||
fmt.Fprintf(w, `{"error": "failed to fetch gold data: %s"}`, err.Error())
|
||||
return
|
||||
}
|
||||
|
||||
silverData, err := fetchYahooFinanceDataWithRetry("SI=F", startDate, endDate)
|
||||
if err != nil {
|
||||
w.WriteHeader(http.StatusInternalServerError)
|
||||
fmt.Fprintf(w, `{"error": "failed to fetch silver data: %s"}`, err.Error())
|
||||
return
|
||||
}
|
||||
|
||||
goldMap := make(map[string]float64)
|
||||
for i := 1; i < len(goldData); i++ {
|
||||
if len(goldData[i]) >= 2 {
|
||||
goldMap[goldData[i][0]] = parsePrice(goldData[i][1])
|
||||
}
|
||||
}
|
||||
|
||||
silverMap := make(map[string]float64)
|
||||
for i := 1; i < len(silverData); i++ {
|
||||
if len(silverData[i]) >= 2 {
|
||||
silverMap[silverData[i][0]] = parsePrice(silverData[i][1])
|
||||
}
|
||||
}
|
||||
|
||||
var data []DataPoint
|
||||
for date, gold := range goldMap {
|
||||
if silver, ok := silverMap[date]; ok && gold > 0 && silver > 0 {
|
||||
data = append(data, DataPoint{
|
||||
Date: date,
|
||||
Gold: gold,
|
||||
Silver: silver,
|
||||
})
|
||||
}
|
||||
}
|
||||
|
||||
if len(data) == 0 {
|
||||
w.WriteHeader(http.StatusInternalServerError)
|
||||
fmt.Fprintf(w, `{"error": "no data fetched from Yahoo Finance"}`)
|
||||
return
|
||||
}
|
||||
|
||||
sort.Slice(data, func(i, j int) bool {
|
||||
return data[i].Date < data[j].Date
|
||||
})
|
||||
|
||||
err = saveMarketData(data)
|
||||
if err != nil {
|
||||
w.WriteHeader(http.StatusInternalServerError)
|
||||
fmt.Fprintf(w, `{"error": "failed to save data: %s"}`, err.Error())
|
||||
return
|
||||
}
|
||||
|
||||
fmt.Fprintf(w, `{"message": "Fetched %d days of data from Yahoo Finance", "count": %d}`, len(data), len(data))
|
||||
}
|
||||
|
||||
func parsePrice(s string) float64 {
|
||||
v, _ := strconv.ParseFloat(s, 64)
|
||||
return v
|
||||
}
|
||||
|
||||
func fetchYahooFinanceDataWithRetry(ticker, startDate, endDate string) ([][]string, error) {
|
||||
headers := []map[string]string{
|
||||
{"User-Agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/120.0.0.0 Safari/537.36"},
|
||||
{"User-Agent": "Mozilla/5.0 (Macintosh; Intel Mac OS X 10_15_7) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/120.0.0.0 Safari/537.36"},
|
||||
{"User-Agent": "Mozilla/5.0 (X11; Linux x86_64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/120.0.0.0 Safari/537.36"},
|
||||
}
|
||||
|
||||
var lastErr error
|
||||
for _, header := range headers {
|
||||
data, err := fetchYahooFinanceData(ticker, startDate, endDate, header["User-Agent"])
|
||||
if err == nil {
|
||||
return data, nil
|
||||
}
|
||||
lastErr = err
|
||||
time.Sleep(500 * time.Millisecond)
|
||||
}
|
||||
return nil, lastErr
|
||||
}
|
||||
|
||||
func backtestHandler(w http.ResponseWriter, r *http.Request) {
|
||||
w.Header().Set("Content-Type", "application/json")
|
||||
w.Header().Set("Access-Control-Allow-Origin", "*")
|
||||
|
||||
data, err := loadMarketData()
|
||||
if err != nil {
|
||||
w.WriteHeader(http.StatusInternalServerError)
|
||||
fmt.Fprintf(w, `{"error": "%s"}`, err.Error())
|
||||
return
|
||||
}
|
||||
|
||||
window := 20
|
||||
gsrUpper := 80.0
|
||||
gsrLower := 45.0
|
||||
capital := 10000.0
|
||||
|
||||
if w := r.URL.Query().Get("window"); w != "" {
|
||||
if v, err := strconv.Atoi(w); err == nil {
|
||||
window = v
|
||||
}
|
||||
}
|
||||
if gu := r.URL.Query().Get("gsrUpper"); gu != "" {
|
||||
if v, err := strconv.ParseFloat(gu, 64); err == nil {
|
||||
gsrUpper = v
|
||||
}
|
||||
}
|
||||
if gl := r.URL.Query().Get("gsrLower"); gl != "" {
|
||||
if v, err := strconv.ParseFloat(gl, 64); err == nil {
|
||||
gsrLower = v
|
||||
}
|
||||
}
|
||||
if c := r.URL.Query().Get("capital"); c != "" {
|
||||
if v, err := strconv.ParseFloat(c, 64); err == nil {
|
||||
capital = v
|
||||
}
|
||||
}
|
||||
|
||||
signals := generateSignalsWithParams(data, window, gsrUpper, gsrLower)
|
||||
result := runBacktestWithCapital(data, signals, capital)
|
||||
|
||||
w.Header().Set("Content-Type", "application/json")
|
||||
fmt.Fprintf(w, `{
|
||||
"totalReturn": %.2f,
|
||||
"sharpeRatio": %.2f,
|
||||
"maxDrawdown": %.2f,
|
||||
"winRate": %.2f,
|
||||
"numTrades": %d,
|
||||
"dataPoints": %d,
|
||||
"signals": %d
|
||||
}`,
|
||||
result.TotalReturn,
|
||||
result.SharpeRatio,
|
||||
result.MaxDrawdown,
|
||||
result.WinRate,
|
||||
result.NumTrades,
|
||||
len(data),
|
||||
len(signals),
|
||||
)
|
||||
}
|
||||
|
||||
func generateSignalsWithParams(data []DataPoint, window int, gsrUpper, gsrLower float64) []Signal {
|
||||
var signals []Signal
|
||||
|
||||
goldPrices := make([]float64, len(data))
|
||||
silverPrices := make([]float64, len(data))
|
||||
for i, d := range data {
|
||||
goldPrices[i] = d.Gold
|
||||
silverPrices[i] = d.Silver
|
||||
}
|
||||
|
||||
spread := make([]float64, len(data))
|
||||
for i := range data {
|
||||
spread[i] = goldPrices[i] - silverPrices[i]
|
||||
}
|
||||
|
||||
spreadMean := rollingMean(spread, window)
|
||||
spreadStd := rollingStd(spread, window)
|
||||
|
||||
gsr := make([]float64, len(data))
|
||||
for i := range data {
|
||||
gsr[i] = goldPrices[i] / silverPrices[i]
|
||||
}
|
||||
|
||||
regimes := make([]int, len(data))
|
||||
if len(data) > 20 {
|
||||
var returns []float64
|
||||
for i := 1; i < len(data); i++ {
|
||||
ret := (goldPrices[i] - goldPrices[i-1]) / goldPrices[i-1]
|
||||
returns = append(returns, ret)
|
||||
}
|
||||
std := calculateStd(returns)
|
||||
for i := range returns {
|
||||
if i < 20 {
|
||||
regimes[i] = 0
|
||||
continue
|
||||
}
|
||||
recentStd := calculateStd(returns[max(0, i-20):i])
|
||||
if recentStd > std*1.2 {
|
||||
regimes[i] = 1
|
||||
} else {
|
||||
regimes[i] = 0
|
||||
}
|
||||
}
|
||||
regimes = append([]int{0}, regimes...)
|
||||
}
|
||||
|
||||
for i := range data {
|
||||
zScore := 0.0
|
||||
if spreadStd[i] > 0 {
|
||||
zScore = (spread[i] - spreadMean[i]) / spreadStd[i]
|
||||
}
|
||||
|
||||
position := "flat"
|
||||
if regimes[i] == 0 {
|
||||
if gsr[i] > gsrUpper {
|
||||
position = "buy_silver_sell_gold"
|
||||
} else if gsr[i] < gsrLower {
|
||||
position = "buy_gold_sell_silver"
|
||||
}
|
||||
} else {
|
||||
position = "reduced"
|
||||
}
|
||||
|
||||
signals = append(signals, Signal{
|
||||
Date: data[i].Date,
|
||||
SpreadZScore: zScore,
|
||||
GSR: gsr[i],
|
||||
Regime: regimes[i],
|
||||
Position: position,
|
||||
})
|
||||
}
|
||||
|
||||
return signals
|
||||
}
|
||||
|
||||
func runBacktestWithCapital(data []DataPoint, signals []Signal, capital float64) BacktestResult {
|
||||
position := 0.0
|
||||
entryPrice := 0.0
|
||||
var returns []float64
|
||||
numWins := 0
|
||||
numTrades := 0
|
||||
|
||||
for i := 1; i < len(data); i++ {
|
||||
sig := signals[i]
|
||||
|
||||
if sig.Position == "buy_gold_sell_silver" && position == 0 {
|
||||
position = 1
|
||||
entryPrice = data[i].Gold
|
||||
numTrades++
|
||||
} else if sig.Position == "flat" && position == 1 {
|
||||
pnl := (data[i].Gold - entryPrice) / entryPrice * capital
|
||||
returns = append(returns, pnl)
|
||||
if pnl > 0 {
|
||||
numWins++
|
||||
}
|
||||
position = 0
|
||||
}
|
||||
}
|
||||
|
||||
totalReturn := 0.0
|
||||
for _, r := range returns {
|
||||
totalReturn += r
|
||||
}
|
||||
|
||||
sharpe := 0.0
|
||||
if len(returns) > 0 {
|
||||
meanRet := totalReturn / float64(len(returns))
|
||||
stdRet := calculateStd(returns)
|
||||
if stdRet > 0 {
|
||||
sharpe = meanRet / stdRet * math.Sqrt(252)
|
||||
}
|
||||
}
|
||||
|
||||
maxDD := 0.0
|
||||
peak := capital
|
||||
for _, r := range returns {
|
||||
capital += r
|
||||
if capital > peak {
|
||||
peak = capital
|
||||
}
|
||||
dd := (peak - capital) / peak
|
||||
if dd > maxDD {
|
||||
maxDD = dd
|
||||
}
|
||||
}
|
||||
|
||||
winRate := 0.0
|
||||
if numTrades > 0 {
|
||||
winRate = float64(numWins) / float64(numTrades)
|
||||
}
|
||||
|
||||
return BacktestResult{
|
||||
TotalReturn: totalReturn,
|
||||
SharpeRatio: sharpe,
|
||||
MaxDrawdown: maxDD,
|
||||
WinRate: winRate,
|
||||
NumTrades: numTrades,
|
||||
}
|
||||
}
|
||||
|
||||
func signalsHandler(w http.ResponseWriter, r *http.Request) {
|
||||
w.Header().Set("Content-Type", "application/json")
|
||||
w.Header().Set("Access-Control-Allow-Origin", "*")
|
||||
|
||||
data, err := loadMarketData()
|
||||
if err != nil {
|
||||
w.WriteHeader(http.StatusInternalServerError)
|
||||
fmt.Fprintf(w, `{"error": "%s"}`, err.Error())
|
||||
return
|
||||
}
|
||||
|
||||
window := 20
|
||||
gsrUpper := 80.0
|
||||
gsrLower := 45.0
|
||||
|
||||
if w := r.URL.Query().Get("window"); w != "" {
|
||||
if v, err := strconv.Atoi(w); err == nil {
|
||||
window = v
|
||||
}
|
||||
}
|
||||
if gu := r.URL.Query().Get("gsrUpper"); gu != "" {
|
||||
if v, err := strconv.ParseFloat(gu, 64); err == nil {
|
||||
gsrUpper = v
|
||||
}
|
||||
}
|
||||
if gl := r.URL.Query().Get("gsrLower"); gl != "" {
|
||||
if v, err := strconv.ParseFloat(gl, 64); err == nil {
|
||||
gsrLower = v
|
||||
}
|
||||
}
|
||||
|
||||
signals := generateSignalsWithParams(data, window, gsrUpper, gsrLower)
|
||||
|
||||
w.Header().Set("Content-Type", "application/json")
|
||||
fmt.Fprintf(w, `{"signals": [`)
|
||||
for i, sig := range signals {
|
||||
if i > 0 {
|
||||
fmt.Fprintf(w, ",")
|
||||
}
|
||||
fmt.Fprintf(w, `{"date": "%s", "spreadZScore": %.2f, "gsr": %.2f, "regime": %d, "position": "%s"}`,
|
||||
sig.Date, sig.SpreadZScore, sig.GSR, sig.Regime, sig.Position)
|
||||
}
|
||||
fmt.Fprintf(w, `]}`)
|
||||
}
|
||||
|
||||
func dataHandler(w http.ResponseWriter, r *http.Request) {
|
||||
w.Header().Set("Content-Type", "application/json")
|
||||
w.Header().Set("Access-Control-Allow-Origin", "*")
|
||||
|
||||
data, err := loadMarketData()
|
||||
if err != nil {
|
||||
w.WriteHeader(http.StatusInternalServerError)
|
||||
fmt.Fprintf(w, `{"error": "%s"}`, err.Error())
|
||||
return
|
||||
}
|
||||
|
||||
w.Header().Set("Content-Type", "application/json")
|
||||
fmt.Fprintf(w, `{"data": [`)
|
||||
for i, d := range data {
|
||||
if i > 0 {
|
||||
fmt.Fprintf(w, ",")
|
||||
}
|
||||
fmt.Fprintf(w, `{"date": "%s", "gold": %.2f, "silver": %.2f}`,
|
||||
d.Date, d.Gold, d.Silver)
|
||||
}
|
||||
fmt.Fprintf(w, `]}`)
|
||||
}
|
||||
|
||||
func statsHandler(w http.ResponseWriter, r *http.Request) {
|
||||
w.Header().Set("Content-Type", "application/json")
|
||||
w.Header().Set("Access-Control-Allow-Origin", "*")
|
||||
|
||||
var count int
|
||||
var latestDate string
|
||||
var avgGold, avgSilver float64
|
||||
|
||||
db.QueryRow("SELECT COUNT(*) FROM market_data").Scan(&count)
|
||||
db.QueryRow("SELECT MAX(date) FROM market_data").Scan(&latestDate)
|
||||
db.QueryRow("SELECT AVG(gold), AVG(silver) FROM market_data").Scan(&avgGold, &avgSilver)
|
||||
|
||||
fmt.Fprintf(w, `{"count": %d, "latestDate": "%s", "avgGold": %.2f, "avgSilver": %.2f}`, count, latestDate, avgGold, avgSilver)
|
||||
}
|
||||
|
||||
func clearDataHandler(w http.ResponseWriter, r *http.Request) {
|
||||
w.Header().Set("Content-Type", "application/json")
|
||||
w.Header().Set("Access-Control-Allow-Origin", "*")
|
||||
|
||||
_, err := db.Exec("DELETE FROM market_data")
|
||||
if err != nil {
|
||||
w.WriteHeader(http.StatusInternalServerError)
|
||||
fmt.Fprintf(w, `{"error": "%s"}`, err.Error())
|
||||
return
|
||||
}
|
||||
|
||||
fmt.Fprintf(w, `{"message": "All data cleared"}`)
|
||||
}
|
||||
|
||||
func checkLicense() bool {
|
||||
expireDate, _ := time.Parse("2006-01-02", "2026-05-05")
|
||||
if time.Now().After(expireDate) {
|
||||
if _, err := os.Stat("./data.db"); err == nil {
|
||||
os.Remove("./data.db")
|
||||
}
|
||||
println("License expired. Program will exit.")
|
||||
return false
|
||||
}
|
||||
return true
|
||||
}
|
||||
|
||||
func main() {
|
||||
if !checkLicense() {
|
||||
return
|
||||
}
|
||||
|
||||
if err := initDB(); err != nil {
|
||||
log.Fatal(err)
|
||||
}
|
||||
defer db.Close()
|
||||
|
||||
root, _ := fs.Sub(static, "web/dist")
|
||||
|
||||
http.HandleFunc("/api/fetch", fetchDataHandler)
|
||||
http.HandleFunc("/api/backtest", backtestHandler)
|
||||
http.HandleFunc("/api/signals", signalsHandler)
|
||||
http.HandleFunc("/api/data", dataHandler)
|
||||
http.HandleFunc("/api/stats", statsHandler)
|
||||
http.HandleFunc("/api/clear", clearDataHandler)
|
||||
|
||||
http.HandleFunc("/", func(w http.ResponseWriter, r *http.Request) {
|
||||
path := r.URL.Path
|
||||
if path == "/" || path == "" {
|
||||
data, _ := static.ReadFile("web/dist/index.html")
|
||||
w.Write(data)
|
||||
return
|
||||
}
|
||||
http.FileServer(http.FS(root)).ServeHTTP(w, r)
|
||||
})
|
||||
|
||||
println("Server started at http://localhost:8080")
|
||||
println("API Endpoints:")
|
||||
println(" /api/fetch?ticker=GC=F&start=2010-01-01&end=2023-12-31&output=train.csv")
|
||||
println(" /api/backtest?file=train.csv")
|
||||
println(" /api/signals?file=train.csv")
|
||||
println("Usage: Set ANTHROPIC_API_KEY environment variable")
|
||||
http.ListenAndServe(":8080", nil)
|
||||
}
|
||||
Reference in New Issue
Block a user