feat(portfolio): 组合回测结果增强: 基准对比曲线(对齐交易日+归一化)+回撤序列+扩展指标(波动/Sortino/Calmar/超额/Alpha/Beta), worker与API透传, 结果页净值对比+回撤图 [vps]
This commit is contained in:
@@ -51,6 +51,24 @@ export interface PortfolioMetrics {
|
||||
win_rate_daily: number | null
|
||||
win_rate_trade: number | null
|
||||
trading_days: number | null
|
||||
// 扩展指标(后端 _compute_extended_metrics,可能缺失)
|
||||
annual_volatility?: number | null
|
||||
sortino?: number | null
|
||||
calmar?: number | null
|
||||
benchmark_return?: number | null
|
||||
excess_return?: number | null
|
||||
alpha?: number | null
|
||||
beta?: number | null
|
||||
}
|
||||
|
||||
export interface BenchmarkPoint {
|
||||
date: string
|
||||
benchmark: number
|
||||
}
|
||||
|
||||
export interface DrawdownPoint {
|
||||
date: string
|
||||
drawdown: number
|
||||
}
|
||||
|
||||
export interface PortfolioBacktestResult {
|
||||
@@ -60,6 +78,8 @@ export interface PortfolioBacktestResult {
|
||||
trades: PortfolioTrade[]
|
||||
equity_curve: EquityPoint[]
|
||||
metrics: PortfolioMetrics
|
||||
benchmark_curve?: BenchmarkPoint[]
|
||||
drawdown_curve?: DrawdownPoint[]
|
||||
raw_summary?: Record<string, unknown>
|
||||
}
|
||||
|
||||
|
||||
Reference in New Issue
Block a user