gfrdegdergr

回测数据/test.py

@@ -1 +1,5 @@
-print(10000 * 0.001)
+print(4000 * 1.001)
+print(3954.11 * 1.002)
+print(4000 * 0.998)
+print(4000 * 0.998)
+print(4000 * 0.998)

回测数据/通过止盈止损策略.py

@@ -2,6 +2,7 @@ import datetime
 import requests
 from loguru import logger
 
+# 请求头（模拟浏览器请求，避免被拒绝）
 headers = {
     'accept': 'application/json, text/plain, */*',
     'accept-language': 'zh,zh-CN;q=0.9,zh-HK;q=0.8,en;q=0.7',
@@ -21,67 +22,133 @@ headers = {
 
 
 def fetch_kline(day: int):
-    """获取某一天的分钟K线数据"""
+    """
+    获取某一天的分钟K线数据
+    :param day: 日期中的“日”，比如27表示2025-09-27
+    :return: 按时间顺序排序后的K线数据
+    """
     time_ser = datetime.datetime(2025, 9, day)
+
+    # 当天 0点
     start_of_day = time_ser.replace(hour=0, minute=0, second=0, microsecond=0)
+    # 当天 23:59:59
     end_of_day = time_ser.replace(hour=23, minute=59, second=59, microsecond=0)
+
+    # API 参数
     params = {
-        'symbol': 'ETH-USDT',
+        'symbol': 'ETH-USDT',  # 交易对
-        'period': '1min',
+        'period': '1min',  # 1分钟K线
-        'start': int(start_of_day.timestamp()),
+        'start': int(start_of_day.timestamp()),  # 开始时间戳
-        'end': int(end_of_day.timestamp()),
+        'end': int(end_of_day.timestamp()),  # 结束时间戳
     }
+
+    # 请求接口
     response = requests.get('https://capi.websea.com/webApi/market/getKline', params=params, headers=headers)
     data = response.json()['result']['data']
+
+    # 返回按 id(时间) 排序的列表
     return sorted(data, key=lambda x: x['id'])
 
 
 def backtest_kline(sorted_data, day):
-    """执行回测逻辑"""
+    """
-    signals = wins = 0
+    回测策略逻辑
-    lig_price = low_price = 0
+    规则：
-    all_trades = []
+    - 做多：连续两根阳线，第二根包住第一根
+    - 做空：连续两根阴线，第二根包住第一根
+    止盈止损：
+    - 多单：止盈+0.15%，止损-0.2%
+    - 空单：止盈-0.15%，止损+0.2%
+    """
 
+    signals = wins = 0  # 统计信号总数、胜率
+    lig_price = low_price = 0  # 多单收益、空单收益
+    all_trades = []  # 存储所有交易详情
+
+    # 遍历 K 线，至少需要 3 根（前一根+当前+下一根开仓）
     for idx in range(1, len(sorted_data) - 2):
-        prev = sorted_data[idx - 1]
+        prev = sorted_data[idx - 1]  # 前一根K线
-        curr = sorted_data[idx]
+        curr = sorted_data[idx]  # 当前K线
-        entry_candle = sorted_data[idx + 1]  # ✅ 下一根开仓
+        entry_candle = sorted_data[idx + 1]  # 下一根K线，用于入场
 
         prev_open, prev_close = float(prev['open']), float(prev['close'])
         curr_open, curr_close = float(curr['open']), float(curr['close'])
-        entry_open = float(entry_candle['open'])
+        entry_open = float(entry_candle['open'])  # 入场价
 
-        # 当前为涨，前一笔涨 + 包裹 => 做多信号
+        trade_signal = None  # 信号类型：long / short
-        if curr_close > curr_open and prev_close > prev_open and curr_open < prev_open and curr_close > prev_close:
+
+        # ======================== 做多条件 ========================
+        if (
+                curr_close > curr_open and prev_close > prev_open and  # 连续两根阳线
+                curr_open < prev_open and curr_close > prev_close  # 当前包住前一根
+        ):
+            trade_signal = "long"
+
+        # ======================== 做空条件 ========================
+        elif (
+                curr_close < curr_open and prev_close < prev_open and  # 连续两根阴线
+                curr_open > prev_open and curr_close < prev_close  # 当前包住前一根
+        ):
+            trade_signal = "short"
+
+        # ======================== 执行交易 ========================
+        if trade_signal:
             signals += 1
-            take_profit = entry_open * 1.10  # 止盈 10%
-            stop_loss = entry_open * 0.95    # 止损 5%
-            exit_price = None
-            exit_time = None
 
-            # ✅ 往后遍历直到触发止盈 / 止损
+            # 设定止盈止损
+            if trade_signal == "long":
+                take_profit = entry_open * 1.002
+                stop_loss = entry_open * 0.998
+            else:
+                take_profit = entry_open * 0.9985
+                stop_loss = entry_open * 1.001
+
+            exit_price = None  # 出场价格
+            exit_time = None  # 出场时间
+
+            # 遍历后续K线，寻找止盈/止损
             for future in sorted_data[idx + 2:]:
                 high, low, close = float(future['high']), float(future['low']), float(future['close'])
-                # 先判断是否触发止盈
+
-                if high >= take_profit:
+                if trade_signal == "long":
-                    exit_price = take_profit
+                    if high >= take_profit:  # 触发止盈
-                    exit_time = future["id"]
+                        exit_price = take_profit
-                    break
+                        exit_time = future["id"]
-                # 判断是否触发止损
+                        break
-                if low <= stop_loss:
+                    if low <= stop_loss:  # 触发止损
-                    exit_price = stop_loss
+                        exit_price = stop_loss
-                    exit_time = future["id"]
+                        exit_time = future["id"]
-                    break
+                        break
+                else:  # short
+                    if low <= take_profit:  # 触发止盈
+                        exit_price = take_profit
+                        exit_time = future["id"]
+                        break
+                    if high >= stop_loss:  # 触发止损
+                        exit_price = stop_loss
+                        exit_time = future["id"]
+                        break
 
             # 如果没触发止盈止损，用最后一根收盘价离场
             if exit_price is None:
                 exit_price = float(sorted_data[-1]['close'])
                 exit_time = sorted_data[-1]["id"]
 
-            diff = exit_price - entry_open
+            # ======================== 盈亏计算 ========================
-            lig_price += diff
+            if trade_signal == "long":
-            all_trades.append((f"{day}号", entry_candle["id"], "做多", entry_open, exit_price, diff, exit_time))
+                diff = exit_price - entry_open  # 多单盈亏
+                lig_price += diff
+            else:
+                diff = entry_open - exit_price  # 空单盈亏
+                low_price += diff
 
+            # 保存交易详情
+            all_trades.append(
+                (f"{day}号", entry_candle["id"], "做多" if trade_signal == "long" else "做空",
+                 entry_open, exit_price, diff, exit_time)
+            )
+
+            # 统计胜率
             if diff > 0:
                 wins += 1
 
@@ -92,13 +159,17 @@ if __name__ == '__main__':
     zh_project = 0
     all_trades = []
 
+    # 回测 9月27日的数据
     for i in range(27, 28):
         sorted_data = fetch_kline(i)
         signals, wins, lig_price, low_price, trades = backtest_kline(sorted_data, i)
 
+        # 输出当天结果
         if signals > 0:
             logger.info(
-                f"日期：{i}号，信号数={signals}, 胜率={wins / signals * 100:.2f}%，上涨方向：{lig_price:.2f}，下跌方向：{low_price:.2f}，综合价格：{(lig_price + low_price):.2f}"
+                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}，"
+                f"综合价格：{(lig_price + low_price):.2f}"
             )
         else:
             logger.info(f"日期：{i}号，没有信号")
@@ -106,22 +177,27 @@ if __name__ == '__main__':
         zh_project += (lig_price + low_price)
         all_trades.extend(trades)
 
+    # ======================== 汇总输出 ========================
     logger.success(f"综合价格：{zh_project:.2f}")
 
-    # 输出每笔交易
     logger.info("===== 每笔交易详情 =====")
-    n = n1 = 0
+    n = n1 = 0  # n: 总盈利, n1: 总手续费
     for trade in all_trades:
         date, time_str, direction, entry, exit, diff, end_time = trade
-        fee_open = 5
+
-        fee_close = 10000 / entry * exit * 0.0005
+        fee_open = 5  # 固定开仓手续费
+        fee_close = 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} 差价={diff:.2f} 盈利：{diff / entry * 10000:.2f} "
+            f"{date} {time_str} {direction} 入场={entry:.2f} 出场={exit:.2f} 出场时间：{end_time} "
+            f"差价={diff:.2f} 盈利：{diff / entry * 10000:.2f} "
             f"开仓手续费：{fee_open:.2f} 平仓手续费：{fee_close:.2f}"
         )
+
         n1 += fee_open + fee_close
         n += (diff / entry) * 10000
 
+    # 输出汇总结果
     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}')