第一版策略

quick_single_test.py

@@ -0,0 +1,70 @@
+"""快速单结果测试：运行第一个参数组合查看回测结果"""
+import time
+from pathlib import Path
+from strategy.bb_midline_backtest import BBMidlineConfig, run_bb_midline_backtest
+from strategy.data_loader import load_klines, get_1m_touch_direction
+
+# 加载数据
+print("加载数据中...")
+t0 = time.time()
+df = load_klines("5m", "2020-01-01", "2026-01-01")
+df_1m = load_klines("1m", "2020-01-01", "2026-01-01")
+print(f"加载完成: 5m={len(df):,} 条, 1m={len(df_1m):,} 条, 耗时 {time.time()-t0:.1f}s\n")
+
+# 测试第一个参数：period=20, std=2.0（布林带默认参数）
+# 或者你想测试 (0.5, 0.5)，但实际上period和std都至少是1和0.5
+cfg = BBMidlineConfig(
+    bb_period=20,        # 第一个有意义的period
+    bb_std=2.0,          # 第一个有意义的std
+    initial_capital=200.0,
+    margin_pct=0.01,
+    use_1m_touch_filter=True,
+    kline_step_min=5,
+)
+
+print(f"运行回测: period={cfg.bb_period}, std={cfg.bb_std}")
+t0 = time.time()
+result = run_bb_midline_backtest(df, cfg, df_1m)
+print(f"回测完成，耗时 {time.time()-t0:.1f}s\n")
+
+# 显示结果
+print("=" * 80)
+print(f"参数: period={cfg.bb_period}, std={cfg.bb_std}")
+print(f"初始本金: {cfg.initial_capital} U")
+print(f"\n交易统计:")
+print(f"  总交易数: {len(result.trades)}")
+if result.trades:
+    winners = sum(1 for t in result.trades if t.net_pnl > 0)
+    losers = sum(1 for t in result.trades if t.net_pnl < 0)
+    win_rate = winners / len(result.trades) * 100 if result.trades else 0
+    print(f"  胜交易: {winners}, 负交易: {losers}, 胜率: {win_rate:.2f}%")
+
+print(f"\n收益统计:")
+equity_curve = result.equity_curve
+final_eq = equity_curve["equity"].iloc[-1]
+ret_pct = (final_eq - cfg.initial_capital) / cfg.initial_capital * 100
+max_eq = equity_curve["equity"].max()
+max_dd = (max_eq - equity_curve["equity"].min()) / max_eq * 100
+
+print(f"  最终权益: {final_eq:.2f} U")
+print(f"  总收益: {ret_pct:+.2f}%")
+print(f"  最大回撤: {max_dd:.2f}%")
+
+if len(result.daily_stats) > 0:
+    daily_pnl = result.daily_stats["pnl"].sum()
+    if len(result.daily_stats) > 0:
+        print(f"  日均PnL: {daily_pnl / len(result.daily_stats):.2f} U")
+    
+    # 计算夏普比率 (假设年化)
+    if len(result.daily_stats) > 1 and "equity" in result.daily_stats.columns:
+        daily_returns = result.daily_stats["pnl"] / cfg.initial_capital
+        daily_returns = daily_returns.dropna()
+        if len(daily_returns) > 1 and daily_returns.std() > 0:
+            sharpe = daily_returns.mean() / daily_returns.std() * (252 ** 0.5)
+            print(f"  夏普比率: {sharpe:.3f}")
+
+print(f"\n手续费统计:")
+print(f"  总手续费: {result.total_fee:.2f} U")
+print(f"  总返佣: {result.total_rebate:.2f} U")
+
+print("=" * 80)