ddrwode/codex_jxs_code
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

加入一个回测，

Browse Source
This commit is contained in:
ddrwode
2026-03-04 16:48:24 +08:00
parent 2a98d431a9
commit de22d1f3ae
5 changed files with 23473 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files

523
generate_backtest_chart.py Normal file
View File

@@ -0,0 +1,523 @@
"""
生成回测可视化图表
显示K线、布林带、开仓/平仓位置
"""
import pandas as pd
import json
from pathlib import Path
from peewee import *
import time
from loguru import logger
# 数据库配置
DB_PATH = Path(__file__).parent / 'models' / 'database.db'
db = SqliteDatabase(str(DB_PATH))
class BitMartETH5M(Model):
"""5分钟K线模型"""
id = BigIntegerField(primary_key=True)
open = FloatField(null=True)
high = FloatField(null=True)
low = FloatField(null=True)
close = FloatField(null=True)
class Meta:
database = db
table_name = 'bitmart_eth_5m'
def calculate_bollinger_bands(df, period=10, std_dev=2.5):
"""计算布林带"""
df['sma'] = df['close'].rolling(window=period).mean()
df['std'] = df['close'].rolling(window=period).std()
df['bb_upper'] = df['sma'] + std_dev * df['std']
df['bb_mid'] = df['sma']
df['bb_lower'] = df['sma'] - std_dev * df['std']
return df
def generate_chart_data(start_date, end_date, trades_file):
"""生成图表数据"""
# 1. 加载K线数据
start_ts = int(pd.Timestamp(start_date).timestamp() * 1000)
end_ts = int(pd.Timestamp(end_date).timestamp() * 1000) + 86400000 # 加一天确保包含end_date当天的数据
query = BitMartETH5M.select().where(
(BitMartETH5M.id >= start_ts) & (BitMartETH5M.id <= end_ts)
).order_by(BitMartETH5M.id)
data = []
for row in query:
data.append({
'timestamp': row.id,
'open': row.open,
'high': row.high,
'low': row.low,
'close': row.close
})
df = pd.DataFrame(data)
df['datetime'] = pd.to_datetime(df['timestamp'], unit='ms')
# 2. 计算布林带
df = calculate_bollinger_bands(df)
# 3. 加载交易记录
trades_df = pd.read_csv(trades_file)
trades_df['datetime'] = pd.to_datetime(trades_df['timestamp'])
# 4. 准备图表数据
chart_data = []
for idx, row in df.iterrows():
chart_data.append({
'timestamp': int(row['timestamp']),
'datetime': row['datetime'].strftime('%Y-%m-%d %H:%M'),
'open': float(row['open']) if pd.notna(row['open']) else None,
'high': float(row['high']) if pd.notna(row['high']) else None,
'low': float(row['low']) if pd.notna(row['low']) else None,
'close': float(row['close']) if pd.notna(row['close']) else None,
'bb_upper': float(row['bb_upper']) if pd.notna(row['bb_upper']) else None,
'bb_mid': float(row['bb_mid']) if pd.notna(row['bb_mid']) else None,
'bb_lower': float(row['bb_lower']) if pd.notna(row['bb_lower']) else None,
})
# 5. 准备交易标记数据
trades_markers = []
for idx, trade in trades_df.iterrows():
action = trade['action']
price = trade['price']
timestamp = trade['datetime']
reason = trade['reason']
# 找到对应的K线索引（使用最近的K线）
kline_idx = df[df['datetime'] == timestamp].index
if len(kline_idx) == 0:
# 如果找不到完全匹配的，找最近的K线
time_diff = abs(df['datetime'] - timestamp)
min_diff = time_diff.min()
# 如果时间差超过10分钟，跳过这个标记
if min_diff > pd.Timedelta(minutes=10):
print(f"跳过标记 {timestamp}，找不到匹配的K线（最小时间差: {min_diff}）")
continue
kline_idx = time_diff.idxmin()
else:
kline_idx = kline_idx[0]
# 图上显示真实成交价，避免“总在最高/最低点成交”的错觉
kline = df.loc[kline_idx]
if pd.notna(price):
display_price = float(price)
else:
display_price = float(kline['close'])
marker = {
'timestamp': timestamp.strftime('%Y-%m-%d %H:%M'),
'price': display_price, # 使用K线实际价格
'action': action,
'reason': reason,
'index': int(kline_idx)
}
# 关键操作直接显示在图上，便于快速理解“为什么做这笔交易”
# 新增：开仓/加仓也展示标签
marker['show_reason_label'] = (
('延迟反转' in reason)
or ('止损' in reason)
or ('开long' in action)
or ('开short' in action)
or ('加long' in action)
or ('加short' in action)
)
if '止损' in reason:
marker['short_reason'] = '止损'
elif '延迟反转' in reason:
marker['short_reason'] = '延迟反转'
elif '触中轨平50%' in reason:
marker['short_reason'] = '中轨平半'
elif '回开仓价全平' in reason:
marker['short_reason'] = '回本全平'
elif '触上轨开空' in reason:
marker['short_reason'] = '上轨开空'
elif '触下轨开多' in reason:
marker['short_reason'] = '下轨开多'
elif '触上轨加空' in reason:
marker['short_reason'] = '上轨加空'
elif '触下轨加多' in reason:
marker['short_reason'] = '下轨加多'
else:
marker['short_reason'] = reason
# 分类标记
if '开long' in action or '加long' in action:
marker['type'] = 'open_long'
marker['color'] = '#00ff00'
marker['symbol'] = 'triangle'
elif '开short' in action or '加short' in action:
marker['type'] = 'open_short'
marker['color'] = '#ff0000'
marker['symbol'] = 'triangle'
elif '平仓' in action:
if '50%' in action:
marker['type'] = 'close_half'
marker['color'] = '#ffff00'
marker['symbol'] = 'diamond'
else:
marker['type'] = 'close_all'
marker['color'] = '#ff00ff'
marker['symbol'] = 'circle'
else:
marker['type'] = 'other'
marker['color'] = '#ffffff'
marker['symbol'] = 'circle'
trades_markers.append(marker)
return chart_data, trades_markers
def generate_html(chart_data, trades_markers, output_file):
"""生成HTML文件"""
html_content = f"""<!DOCTYPE html>
<html lang="zh-CN">
<head>
<meta charset="UTF-8" />
<title>布林带策略回测可视化 - 2026年3月</title>
<style>
html,
body {{
margin: 0;
padding: 0;
width: 100%;
height: 100%;
background: #0a0e27;
color: #e0e6ed;
font-family: 'SF Mono', Monaco, 'Cascadia Code', 'Roboto Mono', Consolas, 'Courier New', monospace;
}}
#chart {{
width: 100%;
height: 100%;
}}
.legend {{
position: fixed;
top: 20px;
right: 20px;
background: rgba(15, 23, 42, 0.95);
padding: 20px;
border-radius: 12px;
border: 1px solid #334155;
font-size: 13px;
line-height: 1.8;
box-shadow: 0 8px 32px rgba(0, 0, 0, 0.4);
backdrop-filter: blur(10px);
z-index: 1000;
}}
.legend-title {{
font-weight: 600;
margin-bottom: 12px;
color: #f1f5f9;
font-size: 14px;
letter-spacing: 0.5px;
}}
.legend-item {{
display: flex;
align-items: center;
margin: 8px 0;
}}
.legend-marker {{
width: 14px;
height: 14px;
margin-right: 10px;
border-radius: 2px;
}}
</style>
<script src="https://cdn.jsdelivr.net/npm/echarts@5/dist/echarts.min.js"></script>
</head>
<body>
<div id="chart"></div>
<div class="legend">
<div class="legend-title">📊 交易标记说明</div>
<div class="legend-item">
<div class="legend-marker" style="background: #00ff00;">▲</div>
<span>开多/加多</span>
</div>
<div class="legend-item">
<div class="legend-marker" style="background: #ff0000;">▼</div>
<span>开空/加空</span>
</div>
<div class="legend-item">
<div class="legend-marker" style="background: #ffff00;">◆</div>
<span>平仓50%</span>
</div>
<div class="legend-item">
<div class="legend-marker" style="background: #ff00ff;">●</div>
<span>平仓100%</span>
</div>
</div>
<script>
const chartData = {json.dumps(chart_data, ensure_ascii=False)};
const tradesMarkers = {json.dumps(trades_markers, ensure_ascii=False)};
function main() {{
const categoryData = [];
const klineData = [];
const upper = [];
const mid = [];
const lower = [];
for (const k of chartData) {{
const d = new Date(k.timestamp);
const label = `${{d.getMonth()+1}}/${{d.getDate()}} ${{d.getHours().toString().padStart(2, "0")}}:${{d
.getMinutes()
.toString()
.padStart(2, "0")}}`;
categoryData.push(label);
klineData.push([k.open, k.close, k.low, k.high]);
upper.push(k.bb_upper);
mid.push(k.bb_mid);
lower.push(k.bb_lower);
}}
// 准备交易标记数据
const openLongData = [];
const openShortData = [];
const closeHalfData = [];
const closeAllData = [];
for (const marker of tradesMarkers) {{
const point = {{
value: [marker.index, marker.price],
reason: marker.reason,
action: marker.action,
shortReason: marker.short_reason,
label: marker.show_reason_label
? {{
show: true,
formatter: marker.short_reason,
color: "#f8fafc",
backgroundColor: "rgba(15,23,42,0.85)",
borderColor: "#475569",
borderWidth: 1,
borderRadius: 4,
padding: [2, 4],
fontSize: 10,
}}
: {{ show: false }},
itemStyle: {{ color: marker.color }},
}};
if (marker.type === 'open_long') {{
openLongData.push(point);
}} else if (marker.type === 'open_short') {{
openShortData.push(point);
}} else if (marker.type === 'close_half') {{
closeHalfData.push(point);
}} else if (marker.type === 'close_all') {{
closeAllData.push(point);
}}
}}
const chartDom = document.getElementById("chart");
const chart = echarts.init(chartDom, null, {{ renderer: "canvas" }});
const option = {{
backgroundColor: "#0a0e27",
tooltip: {{
trigger: "axis",
axisPointer: {{ type: "cross" }},
backgroundColor: "rgba(15, 23, 42, 0.95)",
borderColor: "#334155",
textStyle: {{ color: "#e0e6ed" }},
}},
axisPointer: {{
link: [{{ xAxisIndex: "all" }}],
}},
grid: {{
left: "3%",
right: "200px",
top: "6%",
bottom: "8%",
containLabel: true,
}},
xAxis: {{
type: "category",
data: categoryData,
scale: true,
boundaryGap: true,
axisLine: {{ lineStyle: {{ color: "#475569" }} }},
axisLabel: {{
color: "#94a3b8",
rotate: 45,
fontSize: 11
}},
}},
yAxis: {{
scale: true,
axisLine: {{ lineStyle: {{ color: "#475569" }} }},
splitLine: {{ lineStyle: {{ color: "#1e293b" }} }},
axisLabel: {{ color: "#94a3b8" }},
}},
dataZoom: [
{{
type: "inside",
start: 0,
end: 100,
}},
{{
type: "slider",
start: 0,
end: 100,
height: 30,
backgroundColor: "#1e293b",
fillerColor: "rgba(100, 116, 139, 0.3)",
borderColor: "#334155",
handleStyle: {{
color: "#64748b",
borderColor: "#94a3b8"
}},
textStyle: {{ color: "#94a3b8" }},
}},
],
series: [
{{
name: "K线",
type: "candlestick",
data: klineData,
itemStyle: {{
color: "#10b981",
color0: "#ef4444",
borderColor: "#10b981",
borderColor0: "#ef4444",
}},
}},
{{
name: "BB上轨",
type: "line",
data: upper,
symbol: "none",
lineStyle: {{ color: "#f59e0b", width: 2 }},
z: 1,
}},
{{
name: "BB中轨",
type: "line",
data: mid,
symbol: "none",
lineStyle: {{ color: "#8b5cf6", width: 2, type: "dashed" }},
z: 1,
}},
{{
name: "BB下轨",
type: "line",
data: lower,
symbol: "none",
lineStyle: {{ color: "#f59e0b", width: 2 }},
z: 1,
}},
{{
name: "开多/加多",
type: "scatter",
symbol: "triangle",
symbolSize: 12,
symbolOffset: [0, 8], // 向下偏移，使三角形底部对齐价格
data: openLongData,
itemStyle: {{ color: "#00ff00" }},
z: 10,
tooltip: {{
formatter: (params) => {{
const marker = params.data;
return `开多/加多<br/>价格: ${{marker.value[1].toFixed(2)}}<br/>原因: ${{marker.reason}}`;
}}
}}
}},
{{
name: "开空/加空",
type: "scatter",
symbol: "triangle",
symbolSize: 12,
symbolRotate: 180,
symbolOffset: [0, -8], // 向上偏移，使三角形底部对齐价格
data: openShortData,
itemStyle: {{ color: "#ff0000" }},
z: 10,
tooltip: {{
formatter: (params) => {{
const marker = params.data;
return `开空/加空<br/>价格: ${{marker.value[1].toFixed(2)}}<br/>原因: ${{marker.reason}}`;
}}
}}
}},
{{
name: "平仓50%",
type: "scatter",
symbol: "diamond",
symbolSize: 10,
data: closeHalfData,
itemStyle: {{ color: "#ffff00" }},
z: 10,
tooltip: {{
formatter: (params) => {{
const marker = params.data;
return `平仓50%<br/>价格: ${{marker.value[1].toFixed(2)}}<br/>原因: ${{marker.reason}}`;
}}
}}
}},
{{
name: "平仓100%",
type: "scatter",
symbol: "circle",
symbolSize: 10,
data: closeAllData,
itemStyle: {{ color: "#ff00ff" }},
z: 10,
tooltip: {{
formatter: (params) => {{
const marker = params.data;
return `平仓100%<br/>价格: ${{marker.value[1].toFixed(2)}}<br/>原因: ${{marker.reason}}`;
}}
}}
}},
],
}};
chart.setOption(option);
window.addEventListener("resize", () => chart.resize());
}}
main();
</script>
</body>
</html>
"""
with open(output_file, 'w', encoding='utf-8') as f:
f.write(html_content)
print(f"✅ 图表已生成: {output_file}")
if __name__ == '__main__':
db.connect(reuse_if_open=True)
try:
print("正在生成回测可视化图表...")
# 生成图表数据
chart_data, trades_markers = generate_chart_data(
start_date='2026-03-01',
end_date='2026-03-03',
trades_file='bb_backtest_march_2026_trades.csv'
)
print(f"📊 K线数据: {len(chart_data)} 根")
print(f"📍 交易标记: {len(trades_markers)} 个")
# 生成HTML
generate_html(chart_data, trades_markers, 'bb_backtest_visualization.html')
print("\n🎉 完成！请在浏览器中打开 bb_backtest_visualization.html 查看图表")
finally:
db.close()