咨询下大佬们 DailyResult 这个类，做什么用的？ 如果我是多只票回测的？
class DailyResult:
""""""
def __init__(self, date: date, close_price: float):
""""""
self.date = date
self.close_price = close_price
self.pre_close = 0
self.trades = []
self.trade_count = 0
self.start_pos = 0
self.end_pos = 0
self.turnover = 0
self.commission = 0
self.slippage = 0
self.trading_pnl = 0
self.holding_pnl = 0
self.total_pnl = 0
self.net_pnl = 0
def add_trade(self, trade: TradeData):
""""""
self.trades.append(trade)
def calculate_pnl(
self,
pre_close: float,
start_pos: float,
size: int,
rate: float,
slippage: float,
inverse: bool
):
""""""
# If no pre_close provided on the first day,
# use value 1 to avoid zero division error
if pre_close:
self.pre_close = pre_close
else:
self.pre_close = 1
# Holding pnl is the pnl from holding position at day start
self.start_pos = start_pos
self.end_pos = start_pos
if not inverse: # For normal contract
self.holding_pnl = self.start_pos * \
(self.close_price - self.pre_close) * size
else: # For crypto currency inverse contract
self.holding_pnl = self.start_pos * \
(1 / self.pre_close - 1 / self.close_price) * size
# Trading pnl is the pnl from new trade during the day
self.trade_count = len(self.trades)
for trade in self.trades:
if trade.direction == Direction.LONG:
pos_change = trade.volume
else:
pos_change = -trade.volume
self.end_pos += pos_change
# For normal contract
if not inverse:
turnover = trade.volume * size * trade.price
self.trading_pnl += pos_change * \
(self.close_price - trade.price) * size
self.slippage += trade.volume * size * slippage
# For crypto currency inverse contract
else:
turnover = trade.volume * size / trade.price
self.trading_pnl += pos_change * \
(1 / trade.price - 1 / self.close_price) * size
self.slippage += trade.volume * size * slippage / (trade.price ** 2)
self.turnover += turnover
self.commission += turnover * rate
# Net pnl takes account of commission and slippage cost
self.total_pnl = self.trading_pnl + self.holding_pnl
self.net_pnl = self.total_pnl - self.commission - self.slippage
