haha

strategy/bb_backtest.py

@@ -49,6 +49,14 @@ class BBConfig:
     rebate_pct: float = 0.0          # e.g. 0.70 = 70% rebate
     rebate_hour_utc: int = 0         # hour in UTC when rebate arrives (0 = 8am UTC+8)
 
+    # Pyramid (加仓): add to position on repeated same-direction BB touch
+    pyramid_enabled: bool = False
+    pyramid_decay: float = 0.99      # each add uses margin * decay^n (n = add count)
+    pyramid_max: int = 10            # max number of adds (0 = unlimited)
+    # Increment mode: each add uses equity * (margin_pct + pyramid_step * n)
+    # e.g. step=0.01 → 1st open=1%, 1st add=2%, 2nd add=3% ...
+    pyramid_step: float = 0.0        # 0 = use decay mode; >0 = use increment mode
+
 
 @dataclass
 class BBTrade:
@@ -105,6 +113,8 @@ def run_bb_backtest(df: pd.DataFrame, cfg: BBConfig) -> BBResult:
     entry_time = None
     entry_margin = 0.0
     entry_qty = 0.0
+    pyramid_count = 0        # number of adds so far
+    last_add_margin = 0.0    # margin used in last open/add
 
     trades: List[BBTrade] = []
     total_fee = 0.0
@@ -136,6 +146,7 @@ def run_bb_backtest(df: pd.DataFrame, cfg: BBConfig) -> BBResult:
     def close_position(exit_price, exit_idx):
         nonlocal balance, position, entry_price, entry_time, entry_margin, entry_qty
         nonlocal total_fee, total_rebate, day_pnl, today_fees
+        nonlocal pyramid_count, last_add_margin
 
         if position == 0:
             return
@@ -174,12 +185,23 @@ def run_bb_backtest(df: pd.DataFrame, cfg: BBConfig) -> BBResult:
         entry_time = None
         entry_margin = 0.0
         entry_qty = 0.0
+        pyramid_count = 0
+        last_add_margin = 0.0
 
-    def open_position(side, price, idx):
+    def open_position(side, price, idx, is_add=False):
         nonlocal position, entry_price, entry_time, entry_margin, entry_qty
         nonlocal balance, total_fee, day_pnl, today_fees
+        nonlocal pyramid_count, last_add_margin
 
-        if cfg.margin_pct > 0:
+        if is_add and cfg.pyramid_step > 0:
+            # 递增加仓: margin = equity * (margin_pct + step * (count+1))
+            equity = balance + unrealised(price)
+            pct = cfg.margin_pct + cfg.pyramid_step * (pyramid_count + 1)
+            margin = equity * pct
+        elif is_add:
+            # 衰减加仓: margin = last_add_margin * decay
+            margin = last_add_margin * cfg.pyramid_decay
+        elif cfg.margin_pct > 0:
             equity = balance + unrealised(price) if position != 0 else balance
             margin = equity * cfg.margin_pct
         else:
@@ -196,11 +218,24 @@ def run_bb_backtest(df: pd.DataFrame, cfg: BBConfig) -> BBResult:
         today_fees += fee
         day_pnl -= fee
 
-        position = 1 if side == "long" else -1
-        entry_price = price
-        entry_time = ts_index[idx]
-        entry_margin = margin
-        entry_qty = qty
+        if is_add and position != 0:
+            # 加仓: weighted average entry price
+            old_notional = entry_qty * entry_price
+            new_notional = qty * price
+            entry_qty += qty
+            entry_price = (old_notional + new_notional) / entry_qty
+            entry_margin += margin
+            pyramid_count += 1
+            last_add_margin = margin
+        else:
+            # 新开仓
+            position = 1 if side == "long" else -1
+            entry_price = price
+            entry_time = ts_index[idx]
+            entry_margin = margin
+            entry_qty = qty
+            pyramid_count = 0
+            last_add_margin = margin
 
     # Main loop
     for i in range(n):
@@ -268,17 +303,27 @@ def run_bb_backtest(df: pd.DataFrame, cfg: BBConfig) -> BBResult:
             if position == 1:
                 # Close long at upper BB price
                 close_position(arr_upper[i], i)
-            if position != -1:
+            if position == 0:
                 # Open short
                 open_position("short", arr_upper[i], i)
+            elif position == -1 and cfg.pyramid_enabled:
+                # Already short → add to short (pyramid)
+                can_add = cfg.pyramid_max <= 0 or pyramid_count < cfg.pyramid_max
+                if can_add:
+                    open_position("short", arr_upper[i], i, is_add=True)
         elif touched_lower:
             # Price touched lower BB → go long
             if position == -1:
                 # Close short at lower BB price
                 close_position(arr_lower[i], i)
-            if position != 1:
+            if position == 0:
                 # Open long
                 open_position("long", arr_lower[i], i)
+            elif position == 1 and cfg.pyramid_enabled:
+                # Already long → add to long (pyramid)
+                can_add = cfg.pyramid_max <= 0 or pyramid_count < cfg.pyramid_max
+                if can_add:
+                    open_position("long", arr_lower[i], i, is_add=True)
 
         # Record equity
         out_equity[i] = balance + unrealised(arr_close[i])