528 lines
17 KiB
Python
528 lines
17 KiB
Python
"""
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生成回测可视化图表
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显示K线、布林带、开仓/平仓位置
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"""
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import pandas as pd
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import json
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from pathlib import Path
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from peewee import *
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import time
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from loguru import logger
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# 数据库配置
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DB_PATH = Path(__file__).parent / 'models' / 'database.db'
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db = SqliteDatabase(str(DB_PATH))
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class BitMartETH5M(Model):
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"""5分钟K线模型"""
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id = BigIntegerField(primary_key=True)
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open = FloatField(null=True)
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high = FloatField(null=True)
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low = FloatField(null=True)
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close = FloatField(null=True)
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class Meta:
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database = db
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table_name = 'bitmart_eth_5m'
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def calculate_bollinger_bands(df, period=10, std_dev=2.5):
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"""计算布林带（右移1根，与回测口径一致）"""
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df['sma'] = df['close'].rolling(window=period).mean()
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df['std'] = df['close'].rolling(window=period).std()
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df['bb_upper'] = (df['sma'] + std_dev * df['std']).shift(1)
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df['bb_mid'] = df['sma'].shift(1)
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df['bb_lower'] = (df['sma'] - std_dev * df['std']).shift(1)
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return df
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def generate_chart_data(start_date, end_date, trades_file):
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"""生成图表数据"""
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# 1. 加载K线数据
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start_ts = int(pd.Timestamp(start_date).timestamp() * 1000)
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end_ts = int(pd.Timestamp(end_date).timestamp() * 1000) + 86400000 # 加一天确保包含end_date当天的数据
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query = BitMartETH5M.select().where(
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(BitMartETH5M.id >= start_ts) & (BitMartETH5M.id <= end_ts)
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).order_by(BitMartETH5M.id)
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data = []
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for row in query:
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data.append({
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'timestamp': row.id,
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'open': row.open,
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'high': row.high,
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'low': row.low,
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'close': row.close
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})
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df = pd.DataFrame(data)
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df['datetime'] = pd.to_datetime(df['timestamp'], unit='ms')
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# 2. 计算布林带
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df = calculate_bollinger_bands(df)
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# 3. 加载交易记录
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trades_df = pd.read_csv(trades_file)
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trades_df['datetime'] = pd.to_datetime(trades_df['timestamp'])
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# 4. 准备图表数据
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chart_data = []
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for idx, row in df.iterrows():
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chart_data.append({
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'timestamp': int(row['timestamp']),
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'datetime': row['datetime'].strftime('%Y-%m-%d %H:%M'),
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'open': float(row['open']) if pd.notna(row['open']) else None,
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'high': float(row['high']) if pd.notna(row['high']) else None,
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'low': float(row['low']) if pd.notna(row['low']) else None,
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'close': float(row['close']) if pd.notna(row['close']) else None,
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'bb_upper': float(row['bb_upper']) if pd.notna(row['bb_upper']) else None,
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'bb_mid': float(row['bb_mid']) if pd.notna(row['bb_mid']) else None,
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'bb_lower': float(row['bb_lower']) if pd.notna(row['bb_lower']) else None,
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})
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# 5. 准备交易标记数据
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trades_markers = []
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for idx, trade in trades_df.iterrows():
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action = trade['action']
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price = trade['price']
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timestamp = trade['datetime']
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reason = trade['reason']
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# 找到对应的K线索引（使用最近的K线）
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kline_idx = df[df['datetime'] == timestamp].index
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if len(kline_idx) == 0:
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# 如果找不到完全匹配的，找最近的K线
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time_diff = abs(df['datetime'] - timestamp)
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min_diff = time_diff.min()
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# 如果时间差超过10分钟，跳过这个标记
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if min_diff > pd.Timedelta(minutes=10):
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print(f"跳过标记 {timestamp}，找不到匹配的K线（最小时间差: {min_diff}）")
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continue
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kline_idx = time_diff.idxmin()
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else:
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kline_idx = kline_idx[0]
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# 图上显示真实成交价，避免“总在最高/最低点成交”的错觉
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kline = df.loc[kline_idx]
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if pd.notna(price):
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display_price = float(price)
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else:
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display_price = float(kline['close'])
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marker = {
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'timestamp': timestamp.strftime('%Y-%m-%d %H:%M'),
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'price': display_price, # 使用K线实际价格
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'action': action,
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'reason': reason,
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'index': int(kline_idx)
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}
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# 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”
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# 新增：开仓/加仓也展示标签
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marker['show_reason_label'] = (
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('延迟反转' in reason)
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or ('止损' in reason)
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or ('开long' in action)
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or ('开short' in action)
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or ('加long' in action)
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or ('加short' in action)
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)
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if '止损' in reason:
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marker['short_reason'] = '止损'
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elif '延迟反转' in reason:
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marker['short_reason'] = '延迟反转'
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elif '触中轨平50%' in reason:
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marker['short_reason'] = '中轨平半'
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elif '回开仓价全平' in reason:
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marker['short_reason'] = '回本全平'
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elif '触上轨开空' in reason:
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marker['short_reason'] = '上轨开空'
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elif '触下轨开多' in reason:
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marker['short_reason'] = '下轨开多'
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elif '触上轨加空' in reason:
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marker['short_reason'] = '上轨加空'
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elif '触下轨加多' in reason:
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marker['short_reason'] = '下轨加多'
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else:
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marker['short_reason'] = reason
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# 分类标记
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if '开long' in action or '加long' in action:
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marker['type'] = 'open_long'
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marker['color'] = '#00ff00'
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marker['symbol'] = 'triangle'
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elif '开short' in action or '加short' in action:
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marker['type'] = 'open_short'
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marker['color'] = '#ff0000'
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marker['symbol'] = 'triangle'
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elif '平仓' in action:
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if '50%' in action:
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marker['type'] = 'close_half'
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marker['color'] = '#ffff00'
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marker['symbol'] = 'diamond'
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else:
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marker['type'] = 'close_all'
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marker['color'] = '#ff00ff'
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marker['symbol'] = 'circle'
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else:
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marker['type'] = 'other'
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marker['color'] = '#ffffff'
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marker['symbol'] = 'circle'
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trades_markers.append(marker)
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return chart_data, trades_markers
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def generate_html(chart_data, trades_markers, output_file):
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"""生成HTML文件"""
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html_content = f"""<!DOCTYPE html>
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<html lang="zh-CN">
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<head>
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<meta charset="UTF-8" />
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<title>布林带策略回测可视化 - 2026年3月</title>
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<style>
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html,
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body {{
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margin: 0;
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padding: 0;
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width: 100%;
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height: 100%;
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background: #0a0e27;
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color: #e0e6ed;
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font-family: 'SF Mono', Monaco, 'Cascadia Code', 'Roboto Mono', Consolas, 'Courier New', monospace;
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}}
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#chart {{
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width: 100%;
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height: 100%;
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}}
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.legend {{
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position: fixed;
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top: 20px;
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right: 20px;
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background: rgba(15, 23, 42, 0.95);
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padding: 20px;
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border-radius: 12px;
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border: 1px solid #334155;
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font-size: 13px;
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line-height: 1.8;
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box-shadow: 0 8px 32px rgba(0, 0, 0, 0.4);
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backdrop-filter: blur(10px);
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z-index: 1000;
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}}
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.legend-title {{
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font-weight: 600;
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margin-bottom: 12px;
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color: #f1f5f9;
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font-size: 14px;
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letter-spacing: 0.5px;
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}}
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.legend-item {{
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display: flex;
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align-items: center;
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margin: 8px 0;
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}}
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.legend-marker {{
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width: 14px;
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height: 14px;
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margin-right: 10px;
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border-radius: 2px;
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}}
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</style>
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<script src="https://cdn.jsdelivr.net/npm/echarts@5/dist/echarts.min.js"></script>
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</head>
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<body>
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<div id="chart"></div>
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<div class="legend">
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<div class="legend-title">📊 交易标记说明</div>
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<div class="legend-item">
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<div class="legend-marker" style="background: #00ff00;">▲</div>
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<span>开多/加多</span>
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</div>
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<div class="legend-item">
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<div class="legend-marker" style="background: #ff0000;">▼</div>
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<span>开空/加空</span>
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</div>
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<div class="legend-item">
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<div class="legend-marker" style="background: #ffff00;">◆</div>
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<span>平仓50%</span>
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</div>
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<div class="legend-item">
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<div class="legend-marker" style="background: #ff00ff;">●</div>
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<span>平仓100%</span>
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</div>
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</div>
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<script>
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const chartData = {json.dumps(chart_data, ensure_ascii=False)};
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const tradesMarkers = {json.dumps(trades_markers, ensure_ascii=False)};
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function main() {{
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const categoryData = [];
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const klineData = [];
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const upper = [];
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const mid = [];
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const lower = [];
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for (const k of chartData) {{
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const d = new Date(k.timestamp);
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const label = `${{d.getMonth()+1}}/${{d.getDate()}} ${{d.getHours().toString().padStart(2, "0")}}:${{d
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.getMinutes()
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.toString()
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.padStart(2, "0")}}`;
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categoryData.push(label);
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klineData.push([k.open, k.close, k.low, k.high]);
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upper.push(k.bb_upper);
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mid.push(k.bb_mid);
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lower.push(k.bb_lower);
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}}
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// 准备交易标记数据
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const openLongData = [];
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const openShortData = [];
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const closeHalfData = [];
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const closeAllData = [];
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for (const marker of tradesMarkers) {{
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const point = {{
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value: [marker.index, marker.price],
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reason: marker.reason,
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action: marker.action,
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shortReason: marker.short_reason,
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label: marker.show_reason_label
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? {{
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show: true,
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formatter: marker.short_reason,
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color: "#f8fafc",
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backgroundColor: "rgba(15,23,42,0.85)",
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borderColor: "#475569",
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borderWidth: 1,
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borderRadius: 4,
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padding: [2, 4],
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fontSize: 10,
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}}
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: {{ show: false }},
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itemStyle: {{ color: marker.color }},
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}};
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if (marker.type === 'open_long') {{
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openLongData.push(point);
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}} else if (marker.type === 'open_short') {{
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openShortData.push(point);
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}} else if (marker.type === 'close_half') {{
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closeHalfData.push(point);
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}} else if (marker.type === 'close_all') {{
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closeAllData.push(point);
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}}
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}}
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const chartDom = document.getElementById("chart");
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const chart = echarts.init(chartDom, null, {{ renderer: "canvas" }});
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const option = {{
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backgroundColor: "#0a0e27",
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tooltip: {{
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trigger: "axis",
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axisPointer: {{ type: "cross" }},
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backgroundColor: "rgba(15, 23, 42, 0.95)",
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borderColor: "#334155",
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textStyle: {{ color: "#e0e6ed" }},
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}},
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axisPointer: {{
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link: [{{ xAxisIndex: "all" }}],
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}},
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grid: {{
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left: "3%",
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right: "200px",
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top: "6%",
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bottom: "8%",
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containLabel: true,
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}},
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xAxis: {{
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type: "category",
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data: categoryData,
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scale: true,
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boundaryGap: true,
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axisLine: {{ lineStyle: {{ color: "#475569" }} }},
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axisLabel: {{
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color: "#94a3b8",
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rotate: 45,
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fontSize: 11
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}},
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}},
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yAxis: {{
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scale: true,
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axisLine: {{ lineStyle: {{ color: "#475569" }} }},
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splitLine: {{ lineStyle: {{ color: "#1e293b" }} }},
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axisLabel: {{ color: "#94a3b8" }},
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}},
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dataZoom: [
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{{
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type: "inside",
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start: 0,
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end: 100,
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}},
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{{
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type: "slider",
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start: 0,
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end: 100,
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height: 30,
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backgroundColor: "#1e293b",
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fillerColor: "rgba(100, 116, 139, 0.3)",
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borderColor: "#334155",
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handleStyle: {{
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color: "#64748b",
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borderColor: "#94a3b8"
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}},
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textStyle: {{ color: "#94a3b8" }},
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}},
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],
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series: [
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{{
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name: "K线",
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type: "candlestick",
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data: klineData,
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itemStyle: {{
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color: "#10b981",
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color0: "#ef4444",
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borderColor: "#10b981",
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borderColor0: "#ef4444",
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}},
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}},
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{{
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name: "BB上轨",
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type: "line",
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data: upper,
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symbol: "none",
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lineStyle: {{ color: "#f59e0b", width: 2 }},
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z: 1,
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}},
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{{
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name: "BB中轨",
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type: "line",
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data: mid,
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symbol: "none",
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lineStyle: {{ color: "#8b5cf6", width: 2, type: "dashed" }},
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z: 1,
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}},
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{{
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name: "BB下轨",
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type: "line",
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data: lower,
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symbol: "none",
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lineStyle: {{ color: "#f59e0b", width: 2 }},
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z: 1,
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}},
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{{
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name: "开多/加多",
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type: "scatter",
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symbol: "triangle",
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symbolSize: 12,
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symbolOffset: [0, 8], // 向下偏移，使三角形底部对齐价格
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data: openLongData,
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itemStyle: {{ color: "#00ff00" }},
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z: 10,
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tooltip: {{
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formatter: (params) => {{
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const marker = params.data;
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return `开多/加多<br/>价格: ${{marker.value[1].toFixed(2)}}<br/>原因: ${{marker.reason}}`;
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}}
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}}
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}},
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{{
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name: "开空/加空",
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type: "scatter",
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symbol: "triangle",
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symbolSize: 12,
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symbolRotate: 180,
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symbolOffset: [0, -8], // 向上偏移，使三角形底部对齐价格
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data: openShortData,
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itemStyle: {{ color: "#ff0000" }},
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z: 10,
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tooltip: {{
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formatter: (params) => {{
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const marker = params.data;
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return `开空/加空<br/>价格: ${{marker.value[1].toFixed(2)}}<br/>原因: ${{marker.reason}}`;
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}}
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}}
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}},
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{{
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name: "平仓50%",
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type: "scatter",
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symbol: "diamond",
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symbolSize: 10,
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data: closeHalfData,
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itemStyle: {{ color: "#ffff00" }},
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z: 10,
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tooltip: {{
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formatter: (params) => {{
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const marker = params.data;
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return `平仓50%<br/>价格: ${{marker.value[1].toFixed(2)}}<br/>原因: ${{marker.reason}}`;
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}}
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}}
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}},
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{{
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name: "平仓100%",
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type: "scatter",
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symbol: "circle",
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symbolSize: 10,
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data: closeAllData,
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itemStyle: {{ color: "#ff00ff" }},
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z: 10,
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tooltip: {{
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formatter: (params) => {{
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const marker = params.data;
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return `平仓100%<br/>价格: ${{marker.value[1].toFixed(2)}}<br/>原因: ${{marker.reason}}`;
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}}
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}}
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}},
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],
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}};
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chart.setOption(option);
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window.addEventListener("resize", () => chart.resize());
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}}
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main();
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</script>
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</body>
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</html>
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"""
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with open(output_file, 'w', encoding='utf-8') as f:
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f.write(html_content)
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print(f"✅ 图表已生成: {output_file}")
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if __name__ == '__main__':
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db.connect(reuse_if_open=True)
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try:
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print("正在生成回测可视化图表...")
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output_dir = Path(__file__).parent / 'backtest_outputs' / 'charts'
|
||
output_dir.mkdir(parents=True, exist_ok=True)
|
||
|
||
# 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=str(Path(__file__).parent / 'backtest_outputs' / 'trades' / '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
|
||
output_file = output_dir / 'bb_backtest_visualization.html'
|
||
generate_html(chart_data, trades_markers, str(output_file))
|
||
|
||
print(f"\n🎉 完成！请在浏览器中打开 {output_file} 查看图表")
|
||
|
||
finally:
|
||
db.close()
|