674 lines
24 KiB
Python
674 lines
24 KiB
Python
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"""
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BitMart 返佣策略回测 — 双策略对比
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策略A: 网格交易 (Grid Trading)
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- 围绕EMA中轨设定网格，价格触及网格线时开仓
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- 固定止盈(1格)、固定止损(3格)
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- 趋势过滤：只在趋势方向开仓
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策略B: EMA趋势跟随 (EMA Trend Following)
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- 快慢EMA金叉做多、死叉做空
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- 始终持仓，信号反转时反手
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- 大级别趋势过滤避免逆势
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两个策略都：
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- 严格执行 >3分钟最低持仓
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- 计算90%返佣收益
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- 输出详细对比报告
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"""
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import time
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import datetime
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import statistics
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import sqlite3
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from pathlib import Path
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from dataclasses import dataclass
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from typing import List
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# ========================= 简易 Logger =========================
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class _L:
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@staticmethod
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def info(m): print(f"[INFO] {m}")
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@staticmethod
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def ok(m): print(f"[ OK ] {m}")
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@staticmethod
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def warn(m): print(f"[WARN] {m}")
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@staticmethod
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def err(m): print(f"[ERR ] {m}")
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log = _L()
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# ========================= 交易记录 =========================
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@dataclass
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class Trade:
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open_time: datetime.datetime
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close_time: datetime.datetime
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direction: str
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open_price: float
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close_price: float
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size: float
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pnl: float
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pnl_pct: float
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fee: float
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rebate: float
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hold_seconds: float
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close_reason: str
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# ========================= 数据加载 =========================
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def load_1m_klines(start_date='2025-01-01', end_date='2025-12-31'):
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db_path = Path(__file__).parent.parent / 'models' / 'database.db'
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start_dt = datetime.datetime.strptime(start_date, '%Y-%m-%d')
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end_dt = datetime.datetime.strptime(end_date, '%Y-%m-%d') + datetime.timedelta(days=1)
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start_ms = int(start_dt.timestamp()) * 1000
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end_ms = int(end_dt.timestamp()) * 1000
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conn = sqlite3.connect(str(db_path))
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cursor = conn.cursor()
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cursor.execute(
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"SELECT id, open, high, low, close FROM bitmart_eth_1m "
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"WHERE id >= ? AND id < ? ORDER BY id",
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(start_ms, end_ms)
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)
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rows = cursor.fetchall()
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conn.close()
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data = []
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for r in rows:
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dt = datetime.datetime.fromtimestamp(r[0] / 1000.0)
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data.append({
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'datetime': dt,
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'open': r[1], 'high': r[2], 'low': r[3], 'close': r[4],
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})
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log.info(f"Loaded {len(data)} bars ({start_date} ~ {end_date})")
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return data
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# ========================= EMA 工具 =========================
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class EMA:
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def __init__(self, period):
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self.period = period
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self.k = 2.0 / (period + 1)
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self.value = None
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def update(self, price):
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if self.value is None:
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self.value = price
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else:
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self.value = price * self.k + self.value * (1 - self.k)
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return self.value
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# ========================= 基础回测引擎 =========================
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class BaseBacktest:
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def __init__(self, name, initial_balance=1000.0, leverage=50,
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risk_pct=0.005, taker_fee=0.0006, rebate_rate=0.90,
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min_hold_sec=200, max_hold_sec=1800):
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self.name = name
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self.initial_balance = initial_balance
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self.balance = initial_balance
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self.leverage = leverage
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self.risk_pct = risk_pct
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self.taker_fee = taker_fee
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self.rebate_rate = rebate_rate
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self.min_hold_sec = min_hold_sec
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self.max_hold_sec = max_hold_sec
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self.position = 0
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self.open_price = 0.0
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self.open_time = None
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self.pos_size = 0.0
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self.trades: List[Trade] = []
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self.equity_curve = []
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self.peak_equity = initial_balance
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self.max_dd_pct = 0.0
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def _open(self, direction, price, dt):
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self.pos_size = self.balance * self.risk_pct * self.leverage
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if self.pos_size < 1:
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return False
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fee = self.pos_size * self.taker_fee
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self.balance -= fee
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self.position = 1 if direction == 'long' else -1
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self.open_price = price
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self.open_time = dt
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return True
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def _close(self, price, dt, reason):
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if self.position == 0:
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return None
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if self.position == 1:
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pnl_pct = (price - self.open_price) / self.open_price
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else:
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pnl_pct = (self.open_price - price) / self.open_price
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pnl = self.pos_size * pnl_pct
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close_val = self.pos_size * (1 + pnl_pct)
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close_fee = close_val * self.taker_fee
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open_fee = self.pos_size * self.taker_fee
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total_fee = open_fee + close_fee
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rebate = total_fee * self.rebate_rate
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self.balance += pnl - close_fee + rebate
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hold_sec = (dt - self.open_time).total_seconds()
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trade = Trade(
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open_time=self.open_time, close_time=dt,
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direction='long' if self.position == 1 else 'short',
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open_price=self.open_price, close_price=price,
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size=self.pos_size, pnl=pnl, pnl_pct=pnl_pct,
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fee=total_fee, rebate=rebate,
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hold_seconds=hold_sec, close_reason=reason,
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)
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self.trades.append(trade)
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self.position = 0
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self.open_price = 0.0
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self.open_time = None
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self.pos_size = 0.0
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return trade
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def hold_seconds(self, dt):
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if self.open_time is None:
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return 0
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return (dt - self.open_time).total_seconds()
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def can_close(self, dt):
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return self.hold_seconds(dt) >= self.min_hold_sec
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def cur_pnl_pct(self, price):
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if self.position == 1:
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return (price - self.open_price) / self.open_price
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elif self.position == -1:
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return (self.open_price - price) / self.open_price
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return 0
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def track_equity(self, dt, price, every_n=60, bar_idx=0):
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if bar_idx % every_n != 0:
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return
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eq = self.balance
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if self.position != 0 and self.open_price > 0:
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eq += self.pos_size * self.cur_pnl_pct(price)
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self.equity_curve.append({'datetime': dt, 'equity': eq})
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if eq > self.peak_equity:
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self.peak_equity = eq
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dd = (self.peak_equity - eq) / self.peak_equity if self.peak_equity > 0 else 0
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if dd > self.max_dd_pct:
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self.max_dd_pct = dd
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# ========================= 策略A: 网格交易 =========================
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class GridStrategy(BaseBacktest):
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"""
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网格交易 + 趋势过滤
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- 用 EMA(120) 判断趋势方向
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- 网格间距 = grid_pct (如 0.20%)
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- 顺势开仓：上涨趋势中价格回落到网格线做多，下跌趋势中价格反弹到网格线做空
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- TP: tp_grids 格 (如 1格 = 0.20%)
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- SL: sl_grids 格 (如 3格 = 0.60%)
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- 最低持仓 200 秒
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"""
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def __init__(self, grid_pct=0.0020, tp_grids=1, sl_grids=3,
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trend_ema_period=120, **kwargs):
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super().__init__(name="Grid+Trend", **kwargs)
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self.grid_pct = grid_pct
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self.tp_pct = grid_pct * tp_grids
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self.sl_pct = grid_pct * sl_grids
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self.hard_sl_pct = grid_pct * (sl_grids + 1)
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self.trend_ema = EMA(trend_ema_period)
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self.last_grid_cross = None # 上一次穿越的网格线价格
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self.cooldown_until = None # 冷却期
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def get_grid_level(self, price, direction='below'):
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"""获取价格最近的网格线"""
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grid_size = price * self.grid_pct
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if grid_size == 0:
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return price
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if direction == 'below':
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return price - (price % grid_size)
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else:
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return price - (price % grid_size) + grid_size
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def run(self, data):
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log.info(f"[{self.name}] Starting... grid={self.grid_pct*100:.2f}% TP={self.tp_pct*100:.2f}% SL={self.sl_pct*100:.2f}%")
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t0 = time.time()
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prev_close = None
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for i, bar in enumerate(data):
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price = bar['close']
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high = bar['high']
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low = bar['low']
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dt = bar['datetime']
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ema_val = self.trend_ema.update(price)
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# 冷却期检查
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if self.cooldown_until and dt < self.cooldown_until:
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self.track_equity(dt, price, bar_idx=i)
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prev_close = price
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continue
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self.cooldown_until = None
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# === 有持仓：检查平仓 ===
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if self.position != 0:
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p = self.cur_pnl_pct(price)
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hs = self.hold_seconds(dt)
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# 硬止损（不受时间限制）
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if -p >= self.hard_sl_pct:
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self._close(price, dt, f"hard_SL ({p*100:+.3f}%)")
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self.cooldown_until = dt + datetime.timedelta(seconds=120)
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self.track_equity(dt, price, bar_idx=i)
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prev_close = price
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continue
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# 满足最低持仓后
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if self.can_close(dt):
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# 止盈
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if p >= self.tp_pct:
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self._close(price, dt, f"TP ({p*100:+.3f}%)")
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prev_close = price
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self.track_equity(dt, price, bar_idx=i)
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continue
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# 止损
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if -p >= self.sl_pct:
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self._close(price, dt, f"SL ({p*100:+.3f}%)")
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self.cooldown_until = dt + datetime.timedelta(seconds=120)
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prev_close = price
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self.track_equity(dt, price, bar_idx=i)
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continue
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# 超时
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if hs >= self.max_hold_sec:
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self._close(price, dt, f"timeout ({hs:.0f}s)")
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prev_close = price
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self.track_equity(dt, price, bar_idx=i)
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continue
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# === 无持仓：检查开仓 ===
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if self.position == 0 and prev_close is not None:
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grid_below = self.get_grid_level(prev_close, 'below')
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grid_above = self.get_grid_level(prev_close, 'above')
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# 上涨趋势：价格回落到下方网格线 → 做多
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if price > ema_val and low <= grid_below and prev_close > grid_below:
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self._open('long', price, dt)
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# 下跌趋势：价格反弹到上方网格线 → 做空
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elif price < ema_val and high >= grid_above and prev_close < grid_above:
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self._open('short', price, dt)
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self.track_equity(dt, price, bar_idx=i)
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prev_close = price
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if i > 0 and i % (len(data) // 10) == 0:
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log.info(f" [{self.name}] {i/len(data)*100:.0f}% | bal={self.balance:.2f} | trades={len(self.trades)}")
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# 强制平仓
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if self.position != 0:
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self._close(data[-1]['close'], data[-1]['datetime'], "backtest_end")
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log.ok(f"[{self.name}] Done in {time.time()-t0:.1f}s | {len(self.trades)} trades")
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return self.trades
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# ========================= 策略B: EMA趋势跟随 =========================
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class EMATrendStrategy(BaseBacktest):
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"""
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EMA 趋势跟随
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|
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- 快线 EMA(8)，慢线 EMA(21)
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- 大级别过滤 EMA(120)
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- 金叉且价格在大EMA上方 → 做多
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- 死叉且价格在大EMA下方 → 做空
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- 反向交叉时反手（满足持仓时间后）
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- 加入 ATR 波动率过滤，低波动时不交易
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|||
|
|
"""
|
|||
|
|
|
|||
|
|
def __init__(self, fast_period=8, slow_period=21, big_period=120,
|
|||
|
|
atr_period=14, atr_min_pct=0.0003, **kwargs):
|
|||
|
|
super().__init__(name="EMA-Trend", **kwargs)
|
|||
|
|
self.ema_fast = EMA(fast_period)
|
|||
|
|
self.ema_slow = EMA(slow_period)
|
|||
|
|
self.ema_big = EMA(big_period)
|
|||
|
|
self.atr_period = atr_period
|
|||
|
|
self.atr_min_pct = atr_min_pct # 最低波动率过滤
|
|||
|
|
self.highs = []
|
|||
|
|
self.lows = []
|
|||
|
|
self.closes = []
|
|||
|
|
self.prev_fast = None
|
|||
|
|
self.prev_slow = None
|
|||
|
|
self.pending_signal = None # 等待持仓时间满足后执行的信号
|
|||
|
|
|
|||
|
|
def calc_atr(self):
|
|||
|
|
if len(self.highs) < self.atr_period + 1:
|
|||
|
|
return None
|
|||
|
|
trs = []
|
|||
|
|
for i in range(-self.atr_period, 0):
|
|||
|
|
h = self.highs[i]
|
|||
|
|
l = self.lows[i]
|
|||
|
|
pc = self.closes[i - 1]
|
|||
|
|
tr = max(h - l, abs(h - pc), abs(l - pc))
|
|||
|
|
trs.append(tr)
|
|||
|
|
return sum(trs) / len(trs)
|
|||
|
|
|
|||
|
|
def run(self, data):
|
|||
|
|
log.info(f"[{self.name}] Starting... fast=EMA8 slow=EMA21 big=EMA120")
|
|||
|
|
t0 = time.time()
|
|||
|
|
stop_loss_pct = 0.004 # 0.4% 止损
|
|||
|
|
hard_sl_pct = 0.006 # 0.6% 硬止损
|
|||
|
|
|
|||
|
|
for i, bar in enumerate(data):
|
|||
|
|
price = bar['close']
|
|||
|
|
dt = bar['datetime']
|
|||
|
|
|
|||
|
|
self.highs.append(bar['high'])
|
|||
|
|
self.lows.append(bar['low'])
|
|||
|
|
self.closes.append(price)
|
|||
|
|
|
|||
|
|
fast = self.ema_fast.update(price)
|
|||
|
|
slow = self.ema_slow.update(price)
|
|||
|
|
big = self.ema_big.update(price)
|
|||
|
|
|
|||
|
|
# ATR 波动率过滤
|
|||
|
|
atr = self.calc_atr()
|
|||
|
|
if atr is not None and price > 0:
|
|||
|
|
atr_pct = atr / price
|
|||
|
|
else:
|
|||
|
|
atr_pct = 0
|
|||
|
|
|
|||
|
|
# 检测交叉
|
|||
|
|
cross_up = (self.prev_fast is not None and
|
|||
|
|
self.prev_fast <= self.prev_slow and fast > slow)
|
|||
|
|
cross_down = (self.prev_fast is not None and
|
|||
|
|
self.prev_fast >= self.prev_slow and fast < slow)
|
|||
|
|
|
|||
|
|
self.prev_fast = fast
|
|||
|
|
self.prev_slow = slow
|
|||
|
|
|
|||
|
|
# === 有持仓 ===
|
|||
|
|
if self.position != 0:
|
|||
|
|
p = self.cur_pnl_pct(price)
|
|||
|
|
|
|||
|
|
# 硬止损
|
|||
|
|
if -p >= hard_sl_pct:
|
|||
|
|
self._close(price, dt, f"hard_SL ({p*100:+.3f}%)")
|
|||
|
|
self.track_equity(dt, price, bar_idx=i)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
if self.can_close(dt):
|
|||
|
|
# 止损
|
|||
|
|
if -p >= stop_loss_pct:
|
|||
|
|
self._close(price, dt, f"SL ({p*100:+.3f}%)")
|
|||
|
|
self.track_equity(dt, price, bar_idx=i)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# 超时
|
|||
|
|
hs = self.hold_seconds(dt)
|
|||
|
|
if hs >= self.max_hold_sec:
|
|||
|
|
self._close(price, dt, f"timeout ({hs:.0f}s)")
|
|||
|
|
self.track_equity(dt, price, bar_idx=i)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# 反手信号：持多遇到死叉 → 平多
|
|||
|
|
if self.position == 1 and cross_down:
|
|||
|
|
self._close(price, dt, "cross_reverse")
|
|||
|
|
if price < big and atr_pct >= self.atr_min_pct:
|
|||
|
|
self._open('short', price, dt)
|
|||
|
|
self.track_equity(dt, price, bar_idx=i)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
# 反手信号：持空遇到金叉 → 平空
|
|||
|
|
if self.position == -1 and cross_up:
|
|||
|
|
self._close(price, dt, "cross_reverse")
|
|||
|
|
if price > big and atr_pct >= self.atr_min_pct:
|
|||
|
|
self._open('long', price, dt)
|
|||
|
|
self.track_equity(dt, price, bar_idx=i)
|
|||
|
|
continue
|
|||
|
|
|
|||
|
|
else:
|
|||
|
|
# 未满最低持仓时间，记录待处理信号
|
|||
|
|
if self.position == 1 and cross_down:
|
|||
|
|
self.pending_signal = 'close_long'
|
|||
|
|
elif self.position == -1 and cross_up:
|
|||
|
|
self.pending_signal = 'close_short'
|
|||
|
|
|
|||
|
|
# 处理待处理信号（持仓时间刚好满足）
|
|||
|
|
if self.pending_signal and self.can_close(dt):
|
|||
|
|
if self.pending_signal == 'close_long' and self.position == 1:
|
|||
|
|
self._close(price, dt, "delayed_cross")
|
|||
|
|
if fast < slow and price < big and atr_pct >= self.atr_min_pct:
|
|||
|
|
self._open('short', price, dt)
|
|||
|
|
elif self.pending_signal == 'close_short' and self.position == -1:
|
|||
|
|
self._close(price, dt, "delayed_cross")
|
|||
|
|
if fast > slow and price > big and atr_pct >= self.atr_min_pct:
|
|||
|
|
self._open('long', price, dt)
|
|||
|
|
self.pending_signal = None
|
|||
|
|
|
|||
|
|
# === 无持仓：检查开仓 ===
|
|||
|
|
if self.position == 0 and atr_pct >= self.atr_min_pct:
|
|||
|
|
if cross_up and price > big:
|
|||
|
|
self._open('long', price, dt)
|
|||
|
|
elif cross_down and price < big:
|
|||
|
|
self._open('short', price, dt)
|
|||
|
|
|
|||
|
|
self.track_equity(dt, price, bar_idx=i)
|
|||
|
|
|
|||
|
|
if i > 0 and i % (len(data) // 10) == 0:
|
|||
|
|
log.info(f" [{self.name}] {i/len(data)*100:.0f}% | bal={self.balance:.2f} | trades={len(self.trades)}")
|
|||
|
|
|
|||
|
|
if self.position != 0:
|
|||
|
|
self._close(data[-1]['close'], data[-1]['datetime'], "backtest_end")
|
|||
|
|
|
|||
|
|
log.ok(f"[{self.name}] Done in {time.time()-t0:.1f}s | {len(self.trades)} trades")
|
|||
|
|
return self.trades
|
|||
|
|
|
|||
|
|
|
|||
|
|
# ========================= 报告生成 =========================
|
|||
|
|
def print_report(strategy: BaseBacktest):
|
|||
|
|
trades = strategy.trades
|
|||
|
|
if not trades:
|
|||
|
|
print(f"\n[{strategy.name}] No trades.")
|
|||
|
|
return
|
|||
|
|
|
|||
|
|
n = len(trades)
|
|||
|
|
wins = [t for t in trades if t.pnl > 0]
|
|||
|
|
losses = [t for t in trades if t.pnl <= 0]
|
|||
|
|
wr = len(wins) / n * 100
|
|||
|
|
|
|||
|
|
total_pnl = sum(t.pnl for t in trades)
|
|||
|
|
total_fee = sum(t.fee for t in trades)
|
|||
|
|
total_rebate = sum(t.rebate for t in trades)
|
|||
|
|
net = strategy.balance - strategy.initial_balance
|
|||
|
|
total_vol = sum(t.size for t in trades) * 2
|
|||
|
|
|
|||
|
|
avg_pnl = total_pnl / n
|
|||
|
|
avg_win = statistics.mean([t.pnl for t in wins]) if wins else 0
|
|||
|
|
avg_loss = statistics.mean([t.pnl for t in losses]) if losses else 0
|
|||
|
|
avg_hold = statistics.mean([t.hold_seconds for t in trades])
|
|||
|
|
|
|||
|
|
pf_num = sum(t.pnl for t in wins)
|
|||
|
|
pf_den = abs(sum(t.pnl for t in losses))
|
|||
|
|
pf = pf_num / pf_den if pf_den > 0 else float('inf')
|
|||
|
|
|
|||
|
|
# 连续亏损
|
|||
|
|
max_streak = 0
|
|||
|
|
cur = 0
|
|||
|
|
for t in trades:
|
|||
|
|
if t.pnl <= 0:
|
|||
|
|
cur += 1
|
|||
|
|
max_streak = max(max_streak, cur)
|
|||
|
|
else:
|
|||
|
|
cur = 0
|
|||
|
|
|
|||
|
|
long_t = [t for t in trades if t.direction == 'long']
|
|||
|
|
short_t = [t for t in trades if t.direction == 'short']
|
|||
|
|
long_wr = len([t for t in long_t if t.pnl > 0]) / len(long_t) * 100 if long_t else 0
|
|||
|
|
short_wr = len([t for t in short_t if t.pnl > 0]) / len(short_t) * 100 if short_t else 0
|
|||
|
|
|
|||
|
|
# 平仓原因
|
|||
|
|
reasons = {}
|
|||
|
|
for t in trades:
|
|||
|
|
r = t.close_reason.split(' (')[0]
|
|||
|
|
reasons[r] = reasons.get(r, 0) + 1
|
|||
|
|
|
|||
|
|
under_3m = len([t for t in trades if t.hold_seconds < 180])
|
|||
|
|
|
|||
|
|
w = 65
|
|||
|
|
print(f"\n{'='*w}")
|
|||
|
|
print(f" [{strategy.name}] Backtest Report")
|
|||
|
|
print(f"{'='*w}")
|
|||
|
|
|
|||
|
|
print(f"\n--- Account ---")
|
|||
|
|
print(f" Initial: {strategy.initial_balance:>12.2f} USDT")
|
|||
|
|
print(f" Final: {strategy.balance:>12.2f} USDT")
|
|||
|
|
print(f" Net P&L: {net:>+12.2f} USDT ({net/strategy.initial_balance*100:+.2f}%)")
|
|||
|
|
print(f" Max Drawdown: {strategy.max_dd_pct*100:>11.2f}%")
|
|||
|
|
|
|||
|
|
print(f"\n--- Trades ---")
|
|||
|
|
print(f" Total: {n:>8}")
|
|||
|
|
print(f" Wins: {len(wins):>8} ({wr:.1f}%)")
|
|||
|
|
print(f" Losses: {len(losses):>8} ({100-wr:.1f}%)")
|
|||
|
|
print(f" Long: {len(long_t):>8} (WR {long_wr:.1f}%)")
|
|||
|
|
print(f" Short: {len(short_t):>8} (WR {short_wr:.1f}%)")
|
|||
|
|
print(f" Profit Factor: {pf:>8.2f}")
|
|||
|
|
print(f" Max Loss Streak:{max_streak:>8}")
|
|||
|
|
|
|||
|
|
print(f"\n--- P&L ---")
|
|||
|
|
print(f" Direction P&L: {total_pnl:>+12.4f} USDT")
|
|||
|
|
print(f" Avg per trade: {avg_pnl:>+12.4f} USDT")
|
|||
|
|
print(f" Avg win: {avg_win:>+12.4f} USDT")
|
|||
|
|
print(f" Avg loss: {avg_loss:>+12.4f} USDT")
|
|||
|
|
print(f" Best trade: {max(t.pnl for t in trades):>+12.4f} USDT")
|
|||
|
|
print(f" Worst trade: {min(t.pnl for t in trades):>+12.4f} USDT")
|
|||
|
|
|
|||
|
|
print(f"\n--- Fees & Rebate ---")
|
|||
|
|
print(f" Volume: {total_vol:>12.2f} USDT")
|
|||
|
|
print(f" Total Fees: {total_fee:>12.4f} USDT")
|
|||
|
|
print(f" Rebate (90%): {total_rebate:>+12.4f} USDT")
|
|||
|
|
print(f" Net Fee Cost: {total_fee - total_rebate:>12.4f} USDT")
|
|||
|
|
|
|||
|
|
print(f"\n--- Hold Time ---")
|
|||
|
|
print(f" Average: {avg_hold:>8.0f}s ({avg_hold/60:.1f}min)")
|
|||
|
|
print(f" Shortest: {min(t.hold_seconds for t in trades):>8.0f}s")
|
|||
|
|
print(f" Longest: {max(t.hold_seconds for t in trades):>8.0f}s")
|
|||
|
|
print(f" Under 3min: {under_3m:>8} (hard SL only)")
|
|||
|
|
|
|||
|
|
print(f"\n--- Close Reasons ---")
|
|||
|
|
for r, c in sorted(reasons.items(), key=lambda x: -x[1]):
|
|||
|
|
print(f" {r:<22} {c:>6} ({c/n*100:.1f}%)")
|
|||
|
|
|
|||
|
|
# 月度统计
|
|||
|
|
print(f"\n--- Monthly ---")
|
|||
|
|
print(f" {'Month':<10} {'Trades':>6} {'Dir PnL':>10} {'Rebate':>10} {'Net':>10} {'WR':>6}")
|
|||
|
|
print(f" {'-'*54}")
|
|||
|
|
|
|||
|
|
monthly = {}
|
|||
|
|
for t in trades:
|
|||
|
|
k = t.close_time.strftime('%Y-%m')
|
|||
|
|
if k not in monthly:
|
|||
|
|
monthly[k] = {'n': 0, 'pnl': 0, 'rebate': 0, 'fee': 0, 'wins': 0}
|
|||
|
|
monthly[k]['n'] += 1
|
|||
|
|
monthly[k]['pnl'] += t.pnl
|
|||
|
|
monthly[k]['rebate'] += t.rebate
|
|||
|
|
monthly[k]['fee'] += t.fee
|
|||
|
|
if t.pnl > 0:
|
|||
|
|
monthly[k]['wins'] += 1
|
|||
|
|
|
|||
|
|
for month in sorted(monthly.keys()):
|
|||
|
|
m = monthly[month]
|
|||
|
|
net_m = m['pnl'] - m['fee'] + m['rebate'] # 正确的月度净收益
|
|||
|
|
wr_m = m['wins'] / m['n'] * 100 if m['n'] > 0 else 0
|
|||
|
|
print(f" {month:<10} {m['n']:>6} {m['pnl']:>+10.2f} {m['rebate']:>10.2f} {net_m:>+10.2f} {wr_m:>5.1f}%")
|
|||
|
|
|
|||
|
|
print(f"{'='*w}")
|
|||
|
|
|
|||
|
|
# 保存CSV
|
|||
|
|
csv_path = Path(__file__).parent.parent / f'{strategy.name}_trades.csv'
|
|||
|
|
with open(csv_path, 'w', encoding='utf-8-sig') as f:
|
|||
|
|
f.write("open_time,close_time,dir,open_px,close_px,size,pnl,pnl_pct,fee,rebate,hold_sec,reason\n")
|
|||
|
|
for t in trades:
|
|||
|
|
f.write(f"{t.open_time},{t.close_time},{t.direction},"
|
|||
|
|
f"{t.open_price:.2f},{t.close_price:.2f},{t.size:.2f},"
|
|||
|
|
f"{t.pnl:.4f},{t.pnl_pct*100:.4f}%,{t.fee:.4f},{t.rebate:.4f},"
|
|||
|
|
f"{t.hold_seconds:.0f},{t.close_reason}\n")
|
|||
|
|
log.ok(f"Trades saved: {csv_path}")
|
|||
|
|
|
|||
|
|
|
|||
|
|
# ========================= 主函数 =========================
|
|||
|
|
def main():
|
|||
|
|
data = load_1m_klines('2025-01-01', '2025-12-31')
|
|||
|
|
if not data:
|
|||
|
|
log.err("No data!")
|
|||
|
|
return
|
|||
|
|
|
|||
|
|
common = dict(
|
|||
|
|
initial_balance=1000.0,
|
|||
|
|
leverage=50,
|
|||
|
|
risk_pct=0.005,
|
|||
|
|
taker_fee=0.0006,
|
|||
|
|
rebate_rate=0.90,
|
|||
|
|
min_hold_sec=200,
|
|||
|
|
max_hold_sec=1800,
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
# === 策略A: 网格交易 ===
|
|||
|
|
grid = GridStrategy(
|
|||
|
|
grid_pct=0.0020, # 0.20% 网格间距
|
|||
|
|
tp_grids=1, # 止盈1格 (0.20%)
|
|||
|
|
sl_grids=3, # 止损3格 (0.60%)
|
|||
|
|
trend_ema_period=120, # 2小时EMA趋势过滤
|
|||
|
|
**common,
|
|||
|
|
)
|
|||
|
|
grid.run(data)
|
|||
|
|
print_report(grid)
|
|||
|
|
|
|||
|
|
# === 策略B: EMA趋势跟随 ===
|
|||
|
|
ema = EMATrendStrategy(
|
|||
|
|
fast_period=8,
|
|||
|
|
slow_period=21,
|
|||
|
|
big_period=120,
|
|||
|
|
atr_period=14,
|
|||
|
|
atr_min_pct=0.0003, # 最低波动率过滤
|
|||
|
|
**common,
|
|||
|
|
)
|
|||
|
|
ema.run(data)
|
|||
|
|
print_report(ema)
|
|||
|
|
|
|||
|
|
# === 对比摘要 ===
|
|||
|
|
print(f"\n{'='*65}")
|
|||
|
|
print(f" COMPARISON SUMMARY")
|
|||
|
|
print(f"{'='*65}")
|
|||
|
|
print(f" {'Metric':<25} {'Grid+Trend':>18} {'EMA-Trend':>18}")
|
|||
|
|
print(f" {'-'*61}")
|
|||
|
|
|
|||
|
|
for s in [grid, ema]:
|
|||
|
|
s._net = s.balance - s.initial_balance
|
|||
|
|
s._trades_n = len(s.trades)
|
|||
|
|
s._wr = len([t for t in s.trades if t.pnl > 0]) / len(s.trades) * 100 if s.trades else 0
|
|||
|
|
s._dir_pnl = sum(t.pnl for t in s.trades)
|
|||
|
|
s._rebate = sum(t.rebate for t in s.trades)
|
|||
|
|
s._fee = sum(t.fee for t in s.trades)
|
|||
|
|
s._vol = sum(t.size for t in s.trades) * 2
|
|||
|
|
|
|||
|
|
rows = [
|
|||
|
|
("Net P&L (USDT)", f"{grid._net:+.2f}", f"{ema._net:+.2f}"),
|
|||
|
|
("Net P&L (%)", f"{grid._net/grid.initial_balance*100:+.2f}%", f"{ema._net/ema.initial_balance*100:+.2f}%"),
|
|||
|
|
("Max Drawdown", f"{grid.max_dd_pct*100:.2f}%", f"{ema.max_dd_pct*100:.2f}%"),
|
|||
|
|
("Total Trades", f"{grid._trades_n}", f"{ema._trades_n}"),
|
|||
|
|
("Win Rate", f"{grid._wr:.1f}%", f"{ema._wr:.1f}%"),
|
|||
|
|
("Direction P&L", f"{grid._dir_pnl:+.2f}", f"{ema._dir_pnl:+.2f}"),
|
|||
|
|
("Total Volume", f"{grid._vol:,.0f}", f"{ema._vol:,.0f}"),
|
|||
|
|
("Total Fees", f"{grid._fee:.2f}", f"{ema._fee:.2f}"),
|
|||
|
|
("Rebate Income", f"{grid._rebate:+.2f}", f"{ema._rebate:+.2f}"),
|
|||
|
|
]
|
|||
|
|
for label, v1, v2 in rows:
|
|||
|
|
print(f" {label:<25} {v1:>18} {v2:>18}")
|
|||
|
|
print(f"{'='*65}")
|
|||
|
|
|
|||
|
|
|
|||
|
|
if __name__ == '__main__':
|
|||
|
|
main()
|