计算 Profit Factor 和 Sharpe Ratio

import math
import statistics

def calculate_profit_factor_and_sharpe(historical_positions):
    """
    计算 Profit Factor 和 Sharpe Ratio 基于历史位置数据。

    :param historical_positions: 列表，每个元素是一个字典，包含 'pnl' (利润/损失) 和 'roi' (回报率，百分比形式)。
    :return: 元组 (profit_factor, sharpe_ratio)
    """
    if not historical_positions:
        return 0.0, 0.0

    # 计算 Profit Factor
    total_profit = sum(pos['pnl'] for pos in historical_positions if pos['pnl'] > 0)
    total_loss = sum(pos['pnl'] for pos in historical_positions if pos['pnl'] < 0)
    profit_factor = total_profit / abs(total_loss) if total_loss != 0 else 0.0  # 避免除以零

    # 计算 Sharpe Ratio
    returns = [pos['roi'] / 100 for pos in historical_positions]  # 将 ROI 转换为小数形式
    mean_return = statistics.mean(returns)
    std_return = statistics.stdev(returns) if len(returns) > 1 else 0.0  # 标准差，样本大小 >1
    n = len(returns)
    if std_return == 0:
        sharpe_ratio = 0.0
    else:
        sharpe_ratio = mean_return / std_return * math.sqrt(365 / n)  # 年化 Sharpe，无风险率为0

    return profit_factor, sharpe_ratio