From 07d38f2ea9809db5353802daaa4640be692ef114 Mon Sep 17 00:00:00 2001
From: 27942 <2794236280@qq.com>
Date: Wed, 22 Oct 2025 16:22:36 +0800
Subject: [PATCH] dededdew

---
 weex/长期持有信号/30分钟，加入爆仓条件.py    | 343 +++++++++++++++++++
 weex/长期持有信号/读取数据库数据-30分钟版.py |  16 +-
 2 files changed, 351 insertions(+), 8 deletions(-)
 create mode 100644 weex/长期持有信号/30分钟，加入爆仓条件.py

diff --git a/weex/长期持有信号/30分钟，加入爆仓条件.py b/weex/长期持有信号/30分钟，加入爆仓条件.py
new file mode 100644
index 0000000..20cd8c6
--- /dev/null
+++ b/weex/长期持有信号/30分钟，加入爆仓条件.py
@@ -0,0 +1,343 @@
+"""
+量化交易回测系统 - 仅15分钟K线 & 信号续持/反手/单根反色平仓逻辑（包含逐仓爆仓逻辑）
+"""
+
+import datetime
+from dataclasses import dataclass
+from typing import List, Dict, Optional
+from loguru import logger
+from models.weex import Weex30  # 替换为你的15分钟K线模型
+
+
+# ========================= 工具函数 =========================
+
+def is_bullish(c):  # 阳线
+    return float(c['close']) > float(c['open'])
+
+
+def is_bearish(c):  # 阴线
+    return float(c['close']) < float(c['open'])
+
+
+def check_signal(prev, curr):
+    """
+    包住形态信号判定（仅15分钟K线）：
+    - 前跌后涨包住 -> 做多
+    - 前涨后跌包住 -> 做空
+    """
+    p_open, p_close = float(prev['open']), float(prev['close'])
+    c_open, c_close = float(curr['open']), float(curr['close'])
+
+    # 前跌后涨包住 -> 做多
+    if is_bullish(curr) and is_bearish(prev) and c_open <= p_close and c_close >= p_open:
+        return "long", "bear_bull_engulf"
+
+    # 前涨后跌包住 -> 做空
+    if is_bearish(curr) and is_bullish(prev) and c_open >= p_close and c_close <= p_open:
+        return "short", "bull_bear_engulf"
+
+    return None, None
+
+
+def get_data_by_date(model, date_str: str):
+    """按天获取指定表的数据（15分钟）"""
+    try:
+        target_date = datetime.datetime.strptime(date_str, '%Y-%m-%d')
+    except ValueError:
+        logger.error("日期格式不正确，请使用 YYYY-MM-DD 格式。")
+        return []
+
+    start_ts = int(target_date.timestamp() * 1000)
+    end_ts = int((target_date + datetime.timedelta(days=1)).timestamp() * 1000) - 1
+
+    query = model.select().where(model.id.between(start_ts, end_ts)).order_by(model.id.asc())
+    return [{'id': i.id, 'open': i.open, 'high': i.high, 'low': i.low, 'close': i.close} for i in query]
+
+
+# ========================= 回测逻辑（加入逐仓爆仓） =========================
+
+def backtest_15m_trend_optimized(dates: List[str], initial_margin=100.0, leverage=100.0):
+    """
+    initial_margin: 每笔开仓的保证金（USD），例如 100
+    leverage: 杠杆倍数，例如 100 -> notional = initial_margin * leverage
+    说明：
+      - 逐仓：每笔保证金单独计，若该仓爆仓只损失该笔保证金（不影响其它仓位/账户余额）
+      - 爆仓判断：当价格触及爆仓价（entry_price +/- entry_price/leverage）视为爆仓
+      - 爆仓后：设置 waiting_for_next_signal 标记，消费下一个信号但不在该信号开仓（满足“等下一个信号来了再开仓”）
+    """
+
+    notional_per_trade = initial_margin * leverage  # 合约名义价值
+    # 统计结构（保留你原来的字段语义：total_profit 仍记录价差（price units））
+    stats = {
+        'bear_bull_engulf': {'count': 0, 'wins': 0, 'total_profit': 0.0, 'name': '涨包跌'},
+        'bull_bear_engulf': {'count': 0, 'wins': 0, 'total_profit': 0.0, 'name': '跌包涨'},
+    }
+
+    all_data: List[Dict] = []
+    for d in dates:
+        all_data.extend(get_data_by_date(Weex30, d))
+    if not all_data:
+        return [], stats
+
+    all_data.sort(key=lambda x: x['id'])
+
+    trades: List[Dict] = []
+    current_position: Optional[Dict] = None  # 开仓信息
+    waiting_for_next_signal = False  # 爆仓后等待“下一个信号”才可重新开仓
+    idx = 1
+
+    while idx < len(all_data) - 1:
+        prev, curr, next_bar = all_data[idx - 1], all_data[idx], all_data[idx + 1]
+        direction, signal_key = check_signal(prev, curr)
+
+        # ========== 空仓逻辑 ==========
+        if current_position is None and direction:
+            # 如果之前发生过爆仓，按照需求：爆仓后“等下一个信号来了再开仓”。
+            # 实现策略：爆仓后第一个出现的 signal 会被消费（不打开仓），真正开仓需要后续的信号。
+            if waiting_for_next_signal:
+                # consume this signal but do not open; reset flag and continue
+                waiting_for_next_signal = False
+                idx += 1
+                continue
+
+            # 正常开仓：使用 next_bar 的开盘价作为入场价（保持和原逻辑一致）
+            entry_price = float(next_bar['open'])
+            # 计算该仓的爆仓价（逐仓，简化模型）
+            # delta_price = initial_margin * entry_price / notional_per_trade = entry_price / leverage
+            delta_price = entry_price / leverage
+            if direction == 'long':
+                liq_price = entry_price - delta_price
+            else:  # short
+                liq_price = entry_price + delta_price
+
+            current_position = {
+                'direction': direction,
+                'signal': stats[signal_key]['name'],
+                'signal_key': signal_key,
+                'entry_price': entry_price,
+                'entry_time': next_bar['id'],
+                'liq_price': liq_price,
+                'initial_margin': initial_margin,
+                'leverage': leverage,
+                'notional': notional_per_trade
+            }
+            stats[signal_key]['count'] += 1
+            idx += 1
+            continue
+
+        # ========== 有仓位时的处理 ==========
+        if current_position:
+            pos_dir = current_position['direction']
+            pos_sig_key = current_position['signal_key']
+
+            # 1) 检查在当前（curr）K是否触及爆仓价（使用当根的 high/low 判断）
+            liq_price = current_position['liq_price']
+            was_liquidated = False
+            liquidated_at_price = None
+            # 对多仓：若当根 low <= liq_price -> 爆仓
+            if pos_dir == 'long' and float(curr['low']) <= liq_price:
+                was_liquidated = True
+                liquidated_at_price = liq_price
+            # 对空仓：若当根 high >= liq_price -> 爆仓
+            if pos_dir == 'short' and float(curr['high']) >= liq_price:
+                was_liquidated = True
+                liquidated_at_price = liq_price
+
+            if was_liquidated:
+                # 记录一笔爆仓交易：损失等于 initial_margin 对应的价差（price units）
+                # 计算价差（price units），注意方向：对多仓是 exit - entry（通常为负）
+                entry_price = current_position['entry_price']
+                exit_price = liquidated_at_price
+                if pos_dir == 'long':
+                    diff = exit_price - entry_price
+                else:
+                    diff = entry_price - exit_price
+
+                trades.append({
+                    'entry_time': datetime.datetime.fromtimestamp(current_position['entry_time'] / 1000),
+                    'exit_time': datetime.datetime.fromtimestamp(curr['id'] / 1000),
+                    'signal': current_position['signal'],
+                    'direction': '做多' if pos_dir == 'long' else '做空',
+                    'entry': entry_price,
+                    'exit': exit_price,
+                    'diff': diff,
+                    'liquidated': True
+                })
+
+                stats[pos_sig_key]['total_profit'] += diff
+                if diff > 0:
+                    stats[pos_sig_key]['wins'] += 1
+
+                # 爆仓后按需求：不立即再开仓，等下一个信号才可开
+                current_position = None
+                waiting_for_next_signal = True
+                idx += 1
+                continue
+
+            # 2) 反向信号 -> 下一根开盘平仓 + 同价反手（保持原逻辑）
+            if direction and direction != pos_dir:
+                # 用 next_bar 的开盘价作为出场价（与你原逻辑保持一致）
+                exit_price = float(next_bar['open'])
+                diff = (exit_price - current_position['entry_price']) if pos_dir == 'long' else (
+                        current_position['entry_price'] - exit_price)
+                trades.append({
+                    'entry_time': datetime.datetime.fromtimestamp(current_position['entry_time'] / 1000),
+                    'exit_time': datetime.datetime.fromtimestamp(next_bar['id'] / 1000),
+                    'signal': current_position['signal'],
+                    'direction': '做多' if pos_dir == 'long' else '做空',
+                    'entry': current_position['entry_price'],
+                    'exit': exit_price,
+                    'diff': diff,
+                    'liquidated': False
+                })
+                stats[pos_sig_key]['total_profit'] += diff
+                if diff > 0: stats[pos_sig_key]['wins'] += 1
+
+                # 同价反手开仓（保持原逻辑）
+                current_position = {
+                    'direction': direction,
+                    'signal': stats[signal_key]['name'],
+                    'signal_key': signal_key,
+                    'entry_price': exit_price,
+                    'entry_time': next_bar['id'],
+                    # recompute liq_price for new position
+                    'liq_price': (exit_price - exit_price / leverage) if direction == 'long' else (
+                                exit_price + exit_price / leverage),
+                    'initial_margin': initial_margin,
+                    'leverage': leverage,
+                    'notional': notional_per_trade
+                }
+                stats[signal_key]['count'] += 1
+                idx += 1
+                continue
+
+            # 3) 同向信号 -> 续持（不做任何改动）
+            if direction and direction == pos_dir:
+                idx += 1
+                continue
+
+            # 4) 单根反色K线 -> 判断后续是否能组成信号（保留原逻辑）
+            curr_is_opposite = (pos_dir == 'long' and is_bearish(curr)) or (pos_dir == 'short' and is_bullish(curr))
+            if curr_is_opposite:
+                can_peek = idx + 1 < len(all_data)
+                if can_peek:
+                    lookahead_dir, _ = check_signal(curr, all_data[idx + 1])
+                    if lookahead_dir is not None:
+                        idx += 1
+                        continue  # 后续可组成信号，等待信号处理
+
+                # 否则按收盘价平仓（与原逻辑一致）
+                exit_price = float(next_bar['close'])
+                diff = (exit_price - current_position['entry_price']) if pos_dir == 'long' else (
+                        current_position['entry_price'] - exit_price)
+                trades.append({
+                    'entry_time': datetime.datetime.fromtimestamp(current_position['entry_time'] / 1000),
+                    'exit_time': datetime.datetime.fromtimestamp(all_data[idx + 1]['id'] / 1000),
+                    'signal': current_position['signal'],
+                    'direction': '做多' if pos_dir == 'long' else '做空',
+                    'entry': current_position['entry_price'],
+                    'exit': exit_price,
+                    'diff': diff,
+                    'liquidated': False
+                })
+                stats[pos_sig_key]['total_profit'] += diff
+                if diff > 0: stats[pos_sig_key]['wins'] += 1
+                current_position = None
+
+        idx += 1
+
+    # ========== 尾仓：最后一根收盘价平仓（如仍有仓位） ==========
+    if current_position:
+        last = all_data[-1]
+        exit_price = float(last['close'])
+        pos_dir = current_position['direction']
+        diff = (exit_price - current_position['entry_price']) if pos_dir == 'long' else (
+                current_position['entry_price'] - exit_price)
+        trades.append({
+            'entry_time': datetime.datetime.fromtimestamp(current_position['entry_time'] / 1000),
+            'exit_time': datetime.datetime.fromtimestamp(last['id'] / 1000),
+            'signal': current_position['signal'],
+            'direction': '做多' if pos_dir == 'long' else '做空',
+            'entry': current_position['entry_price'],
+            'exit': exit_price,
+            'diff': diff,
+            'liquidated': False
+        })
+        stats[current_position['signal_key']]['total_profit'] += diff
+        if diff > 0: stats[current_position['signal_key']]['wins'] += 1
+
+    return trades, stats
+
+
+# ========================= 运行示例（包含爆仓） =========================
+if __name__ == '__main__':
+    dates = []
+    for m in range(1, 11):
+        for d in range(1, 31):
+            dates.append(f"2025-{f'0{m}' if len(str(m)) < 2 else m}-{d}")
+
+    # 参数：初始保证金 100 USD，100 倍
+    trades, stats = backtest_15m_trend_optimized(dates, initial_margin=100.0, leverage=100.0)
+
+    logger.info("===== 每笔交易详情 =====")
+
+    # === 手续费/合约规模设定（沿用你原有实现） ===
+    contract_size = 10000  # 合约规模（1手对应多少基础货币），你原来这里等于 notional_per_trade（100*100）
+    open_fee_fixed = 5  # 固定开仓手续费
+    close_fee_rate = 0.0005  # 按成交额比例的平仓手续费率
+
+    total_points_profit = 0  # 累计点差
+    total_money_profit = 0  # 累计金额盈利
+    total_fee = 0  # 累计手续费
+
+    for t in trades:
+        entry = t['entry']
+        exit = t['exit']
+        direction = t['direction']
+
+        # === 1️⃣ 原始价差（点差） ===
+        point_diff = (exit - entry) if direction == '做多' else (entry - exit)
+
+        # === 2️⃣ 金额盈利（考虑合约规模） ===
+        money_profit = point_diff / entry * contract_size  # 利润以基础货币计（例如USD）
+
+        # === 3️⃣ 手续费计算 ===
+        fee = open_fee_fixed + (contract_size / entry * exit * close_fee_rate)
+
+        # === 4️⃣ 净利润 ===
+        net_profit = money_profit - fee
+
+        # 保存计算结果
+        t.update({
+            'point_diff': point_diff,
+            'raw_profit': money_profit,
+            'fee': fee,
+            'net_profit': net_profit
+        })
+
+        total_points_profit += point_diff
+        total_money_profit += money_profit
+        total_fee += fee
+
+        if point_diff < -50:
+            logger.info(
+                f"{t['entry_time']} {direction}({t['signal']}) "
+                f"入={entry:.6f} 出={exit:.6f} 差价={point_diff:.6f} "
+                f"原始盈利={money_profit:.2f} 手续费={fee:.2f} 净利润={net_profit:.2f} "
+                f"{'(LIQ)' if t.get('liquidated') else ''} {t['exit_time']}"
+            )
+
+    # === 汇总统计 ===
+    total_net_profit = total_money_profit - total_fee
+    print(f"\n一共交易笔数：{len(trades)}")
+    print(f"总点差：{total_points_profit:.6f}")
+    print(f"总原始盈利（未扣费）：{total_money_profit:.2f}")
+    print(f"总手续费：{total_fee:.2f}")
+    print(f"总净利润：{total_net_profit:.2f}\n")
+
+    print("===== 信号统计 =====")
+    for k, v in stats.items():
+        name, count, wins, total_p = v['name'], v['count'], v['wins'], v['total_profit']
+        win_rate = (wins / count * 100) if count > 0 else 0.0
+        avg_p = (total_p / count) if count > 0 else 0.0
+        print(f"{name}: 次数={count} 胜率={win_rate:.2f}% 总价差={total_p:.6f} 平均价差={avg_p:.6f}")
diff --git a/weex/长期持有信号/读取数据库数据-30分钟版.py b/weex/长期持有信号/读取数据库数据-30分钟版.py
index 109eb63..5a27786 100644
--- a/weex/长期持有信号/读取数据库数据-30分钟版.py
+++ b/weex/长期持有信号/读取数据库数据-30分钟版.py
@@ -185,14 +185,14 @@ def backtest_15m_trend_optimized(dates: List[str]):
 
 # ========================= 运行示例（优化版盈利计算） =========================
 if __name__ == '__main__':
-    dates = []
-    for i in range(1, 11):
-        for i1 in range(1, 31):
-            dates.append(f"2025-{f'0{i}' if len(str(i)) < 2 else i}-{i1}")
+    # dates = []
+    # for i in range(1, 11):
+    #     for i1 in range(1, 31):
+    #         dates.append(f"2025-{f'0{i}' if len(str(i)) < 2 else i}-{i1}")
+    #
+    # print(dates)
 
-    print(dates)
-
-    # dates = [f"2025-10-{i}" for i in range(1, 31)]
+    dates = [f"2025-07-{i}" for i in range(1, 31)]
     trades, stats = backtest_15m_trend_optimized(dates)
 
     logger.info("===== 每笔交易详情 =====")
@@ -236,7 +236,7 @@ if __name__ == '__main__':
         total_money_profit += money_profit
         total_fee += fee
 
-        # if net_profit > 500 or net_profit < -500:
+        # if net_profit < -400:
         logger.info(
             f"{t['entry_time']} {direction}({t['signal']}) "
             f"入={entry:.2f} 出={exit:.2f} 差价={point_diff:.2f} "