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27942
2025-10-08 13:57:44 +08:00
parent 288552bcce
commit 26bc1ed715
1 changed files with 71 additions and 35 deletions
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106
回测数据/推测策略，回测.py
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@@ -24,7 +24,7 @@ headers = {
def fetch_kline(day: int):
"""获取某一天的分钟级 K线数据"""
# 构造该日的起止时间戳
time_ser = datetime.datetime(2025, 9, day) # 修正为2024年9月
time_ser = datetime.datetime(2025, 10, day) # 修正为2024年9月
start_of_day = time_ser.replace(hour=0, minute=0, second=0, microsecond=0)
end_of_day = time_ser.replace(hour=23, minute=59, second=59, microsecond=0)
params = {
@@ -43,38 +43,50 @@ def fetch_kline(day: int):
# ================= 辅助函数 =================
def is_bullish(candle):
"""判断是否是阳线（收盘价 > 开盘价）"""
return float(candle['close']) > float(candle['open'])
"""判断是否是阳线（开盘价 < 收盘价，即涨）"""
return float(candle['open']) < float(candle['close'])
def is_bearish(candle):
"""判断是否是阴线（收盘价 < 开盘价）"""
return float(candle['close']) < float(candle['open'])
"""判断是否是阴线（开盘价 > 收盘价，即跌）"""
return float(candle['open']) > float(candle['close'])
def check_signal(prev, curr):
"""
判断是否出现反包形态：
1. 前一根阴线，后一根阳线，并且阳线包住前一根阴线 -> 做多信号
2. 前一根阳线，后一根阴线，并且阴线包住前一根阳线 -> 做空信号
判断是否出现包住形态，返回信号类型和方向：
1. 前跌后涨包住 -> 做多信号 (bear_bull_engulf)
2. 前涨后跌包住 -> 做空信号 (bull_bear_engulf)
3. 前涨后涨包住 -> 做多信号 (bull_bull_engulf)
4. 前跌后跌包住 -> 做空信号 (bear_bear_engulf)
"""
p_open, p_close = float(prev['open']), float(prev['close'])
c_open, c_close = float(curr['open']), float(curr['close'])
# 情况1：前阴后阳，且阳线包住前阴
# 情况1：前跌后涨，且涨线包住前跌线 -> 做多信号
if is_bullish(curr) and is_bearish(prev):
if c_open < p_close and c_close > p_open:
return "long"
return "long", "bear_bull_engulf"
# 情况2：前阳后阴，且阴线包住前阳
# 情况2：前涨后跌，且跌线包住前涨线 -> 做空信号
if is_bearish(curr) and is_bullish(prev):
if c_open > p_close and c_close < p_open:
return "short"
return "short", "bull_bear_engulf"
return None
# 情况3：前涨后涨，且后涨线包住前涨线 -> 做多信号
if is_bullish(curr) and is_bullish(prev):
if c_open < p_open and c_close > p_close:
return "long", "bull_bull_engulf"
# 情况4：前跌后跌，且后跌线包住前跌线 -> 做空信号
if is_bearish(curr) and is_bearish(prev):
if c_open > p_open and c_close < p_close:
return "short", "bear_bear_engulf"
return None, None
def simulate_trade(direction, entry_price, future_candles, take_profit_diff=5, stop_loss_diff=-2):
def simulate_trade(direction, entry_price, future_candles, take_profit_diff=10, stop_loss_diff=-2):
"""
模拟交易（逐根K线回测）
使用价差来控制止盈止损：
@@ -114,12 +126,21 @@ if __name__ == '__main__':
zh_project = 0 # 累计盈亏
all_trades = [] # 保存所有交易明细
# 四种信号类型的统计
signal_stats = {
"bear_bull_engulf": {"count": 0, "wins": 0, "total_profit": 0, "name": "跌包涨"},
"bull_bear_engulf": {"count": 0, "wins": 0, "total_profit": 0, "name": "涨包跌"},
"bull_bull_engulf": {"count": 0, "wins": 0, "total_profit": 0, "name": "涨包涨"},
"bear_bear_engulf": {"count": 0, "wins": 0, "total_profit": 0, "name": "跌包跌"}
}
# 遍历 9月1日 ~ 9月27日
for i in range(1, 30):
for i in range(1, 9):
sorted_data = fetch_kline(i) # 获取数据
signals = wins = 0
lig_price = low_price = 0 # 分别记录多/空的净收益
daily_signals = 0
daily_wins = 0
daily_profit = 0
# 遍历每根K线，寻找信号
for idx in range(1, len(sorted_data) - 2): # 留出未来K线
@@ -128,47 +149,61 @@ if __name__ == '__main__':
future_candles = sorted_data[idx + 2:] # 未来行情
entry_open = float(entry_candle['open']) # 开仓价格
direction = check_signal(prev, curr) # 判断开仓方向
direction, signal_type = check_signal(prev, curr) # 判断开仓方向和信号类型
if direction:
signals += 1 # 总共信号数
if direction and signal_type:
daily_signals += 1
exit_price, diff, exit_time = simulate_trade(direction, entry_open, future_candles)
# 统计多单/空单盈亏情况
if direction == "long":
lig_price += diff
if diff > 0: wins += 1
else:
low_price += diff
if diff > 0: wins += 1
# 统计该信号类型的表现
signal_stats[signal_type]["count"] += 1
signal_stats[signal_type]["total_profit"] += diff
if diff > 0:
signal_stats[signal_type]["wins"] += 1
daily_wins += 1
daily_profit += diff
# 保存交易详情
all_trades.append((f"{i}号", entry_candle["id"], "做多" if direction == "long" else "做空",
entry_open, exit_price, diff, exit_time))
signal_stats[signal_type]["name"], entry_open, exit_price, diff, exit_time))
# 输出每日统计结果
if signals > 0:
if daily_signals > 0:
win_rate = daily_wins / daily_signals * 100
logger.info(
f"日期：{i}号，信号数={signals}, 胜率={wins / signals * 100:.2f}%，"
f"上涨方向={lig_price:.2f}，下跌方向={low_price:.2f}，综合={lig_price + low_price:.2f}"
f"日期：{i}号，信号数={daily_signals}, 胜率={win_rate:.2f}%，"
f"当日盈亏={daily_profit:.2f}"
)
else:
logger.info(f"日期：{i}号，没有信号")
# 累计盈亏
zh_project += (lig_price + low_price)
zh_project += daily_profit
logger.success(f"综合价格：{zh_project:.2f}")
logger.success(f"综合盈亏：{zh_project:.2f}")
# 输出四种信号类型的统计结果
logger.info("===== 四种信号类型统计 =====")
for signal_type, stats in signal_stats.items():
if stats["count"] > 0:
win_rate = stats["wins"] / stats["count"] * 100
logger.info(
f"{stats['name']}: 信号数={stats['count']}, 胜率={win_rate:.2f}%, "
f"总盈亏={stats['total_profit']:.2f}, 平均盈亏={stats['total_profit'] / stats['count']:.2f}"
)
else:
logger.info(f"{stats['name']}: 无信号")
# ===== 输出每笔交易详情 =====
logger.info("===== 每笔交易详情 =====")
n = n1 = 0 # n = 总盈利，n1 = 总手续费
for date, time_str, direction, entry, exit, diff, end_time in all_trades:
for date, time_str, direction, signal_name, entry, exit, diff, end_time in all_trades:
profit_amount = diff / entry * 10000 # 计算盈利金额
close_fee = 10000 / entry * exit * 0.0005 # 平仓手续费
logger.info(
f"{date} {time_str} {direction} 入场={entry:.2f} 出场={exit:.2f} 出场时间={end_time} "
f"{date} {time_str} {direction}({signal_name}) 入场={entry:.2f} 出场={exit:.2f} 出场时间={end_time} "
f"差价={diff:.2f} 盈利={profit_amount:.2f} "
f"开仓手续费=5u 平仓手续费={close_fee:.2f}"
)
@@ -178,3 +213,4 @@ if __name__ == '__main__':
print(f'一共笔数：{len(all_trades)}')
print(f"一共盈利：{n:.2f}")
print(f'一共手续费：{n1:.2f}')