dededdew

weex/长期持有信号/读取数据库数据-30分钟版-优化版，开仓的那根线也要去判断.py

@@ -0,0 +1,319 @@
+"""
+量化交易回测系统 - 15分钟K线包住信号回测（最终版）
+实现：
+- prev(curr) -> 信号（在 next_bar.open 开仓）
+- 若 (curr, next_bar) 构成反手包住信号，则：
+  1) 在 next_bar.open 仍然开仓（原方向）
+  2) 在开仓后的下一根 K 线的 open（即 next_bar 后一根的 open）以该 open 平仓并反手开新仓
+- 其它逻辑：常规反手（下一根开盘平仓并反手开新仓）、续持、单根反色按收盘平仓、尾仓按最后收盘平仓
+"""
+
+import datetime
+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):
+    return float(c['close']) > float(c['open'])
+
+
+def is_bearish(c):
+    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 ("long", "bear_bull_engulf")
+    - 前涨后跌包住 -> 做空 ("short", "bull_bear_engulf")
+    """
+    p_open, p_close = float(prev['open']), float(prev['close'])
+    c_open, c_close = float(curr['open']), float(curr['close'])
+
+    if is_bullish(curr) and is_bearish(prev) and c_open <= p_close and c_close >= p_open:
+        return "long", "bear_bull_engulf"
+
+    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 =========================
+
+def backtest_15m_trend_optimized(dates: List[str]):
+    all_data: List[Dict] = []
+    for d in dates:
+        all_data.extend(get_data_by_date(Weex30, d))
+    if not all_data:
+        return [], {
+            '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.sort(key=lambda x: x['id'])
+
+    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'},
+    }
+
+    trades: List[Dict] = []
+    current_position: Optional[Dict] = None  # 若有仓，包含 entry_price, direction, signal_key, entry_time
+    idx = 1  # 从第二根开始（确保 prev 存在）
+
+    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)
+
+        # =========================
+        # 如果当前持仓且标记为 "开仓后下一根需在开盘平仓并反手"（pending_reverse）
+        # 规则：该 pending_reverse 在我们“开仓”时设置（表示 curr 与 next_bar 构成反手包住）
+        # 执行：在当前循环中用 next_bar.open（即开仓后的下一根 open）平仓并反手开新仓
+        # =========================
+        if current_position and current_position.get('pending_reverse'):
+            # 确保存在下一根可作为平仓/反手的开盘（当前循环里的 next_bar 是正好那根）
+            # 因为我们在开仓时已把 pending_reverse 标记在仓里，所以到这里直接使用 next_bar.open
+            reverse_to = current_position.get('reverse_to')  # 反手方向，比如 "short"
+            reverse_key = current_position.get('reverse_key')
+            # 平仓价为 next_bar.open（开仓后的下一根开盘）
+            exit_price = float(next_bar['open'])
+            pos_dir = current_position['direction']
+            pos_sig_key = current_position['signal_key']
+
+            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
+            })
+            stats[pos_sig_key]['total_profit'] += diff
+            if diff > 0:
+                stats[pos_sig_key]['wins'] += 1
+
+            # 反手：以相同价格（next_bar.open）开新仓（reverse_to）
+            current_position = {
+                'direction': reverse_to,
+                'signal': stats[reverse_key]['name'],
+                'signal_key': reverse_key,
+                'entry_price': exit_price,
+                'entry_time': next_bar['id']
+            }
+            stats[reverse_key]['count'] += 1
+
+            logger.debug(
+                f"开仓后被判定为反手模式 -> 在 {next_bar['id']} 的 open {exit_price:.4f} 平旧仓并反手开 {reverse_to}"
+            )
+
+            # 清除 pending_reverse（已经应用）
+            # （注意：我们重新赋值 current_position，上面没有再设置 pending_reverse）
+            idx += 1
+            continue
+
+        # =========================
+        # 空仓：发现包住信号 -> 在 next_bar.open 开仓（并可能设置 pending_reverse）
+        # =========================
+        if current_position is None and direction:
+            # 检查 (curr, next_bar) 是否构成反手包住信号
+            potential_reverse, reverse_key = check_signal(curr, next_bar)
+
+            # 开仓：按照 prev,curr 的方向在 next_bar.open 开仓（用户明确希望 "应该是开涨/开空"）
+            entry_price = float(next_bar['open'])
+            current_position = {
+                'direction': direction,
+                'signal': stats[signal_key]['name'],
+                'signal_key': signal_key,
+                'entry_price': entry_price,
+                'entry_time': next_bar['id']
+            }
+            stats[signal_key]['count'] += 1
+
+            # 如果 curr 与 next_bar 构成反手（即 potential_reverse 非空 且 与原 direction 相反）
+            # 则我们 **标记 pending_reverse**，在下一根的 open 实际执行平仓并反手开仓
+            if potential_reverse and potential_reverse != direction:
+                current_position['pending_reverse'] = True
+                current_position['reverse_to'] = potential_reverse
+                current_position['reverse_key'] = reverse_key
+                logger.debug(
+                    f"在 {next_bar['id']} 开仓（{direction}）并标记 pending_reverse -> "
+                    f"{curr['id']} 与 {next_bar['id']} 构成反手 {potential_reverse}"
+                )
+
+            idx += 1
+            continue
+
+        # =========================
+        # 有仓：处理常规反向信号（prev,curr） -> 下一根 open 平仓并反手开新仓
+        # =========================
+        if current_position:
+            pos_dir = current_position['direction']
+            pos_sig_key = current_position['signal_key']
+
+            # 正常检测到 (prev,curr) 形成反向包住信号 -> 在 next_bar.open 平仓并反手开新仓
+            if direction and direction != pos_dir:
+                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
+                })
+                stats[pos_sig_key]['total_profit'] += diff
+                if diff > 0:
+                    stats[pos_sig_key]['wins'] += 1
+
+                # 反手开仓（新的方向为 direction）
+                current_position = {
+                    'direction': direction,
+                    'signal': stats[signal_key]['name'],
+                    'signal_key': signal_key,
+                    'entry_price': exit_price,
+                    'entry_time': next_bar['id']
+                }
+                stats[signal_key]['count'] += 1
+
+                logger.debug(f"检测到常规反向信号({signal_key}) -> 在 {next_bar['id']} open {exit_price} 平仓并反手开 {direction}")
+                idx += 1
+                continue
+
+            # 同向信号 -> 续持
+            if direction and direction == pos_dir:
+                idx += 1
+                continue
+
+            # 单根反色 -> 如果后续不能组成信号，在下一根收盘价平仓（保持你原来的行为）
+            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
+
+                # 否则按 next_bar 的 close 平仓（即 idx+1 的 close）
+                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
+                })
+                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
+    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
+        })
+        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（计算手续费/净利润等） =========================
+if __name__ == '__main__':
+    dates = [f"2025-10-{i}" for i in range(1, 31)]
+    trades, stats = backtest_15m_trend_optimized(dates)
+
+    logger.info("===== 每笔交易详情 =====")
+
+    # === 参数设定 ===
+    contract_size = 10000  # 合约规模（1手对应多少基础货币）
+    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
+    total_money_profit = 0
+    total_fee = 0
+
+    for t in trades:
+        entry = t['entry']
+        exit = t['exit']
+        direction = t['direction']
+
+        point_diff = (exit - entry) if direction == '做多' else (entry - exit)
+        money_profit = point_diff / entry * contract_size
+        fee = open_fee_fixed + (contract_size / entry * exit * close_fee_rate)
+        net_profit = money_profit - fee
+        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
+
+        logger.info(
+            f"{t['entry_time']} {direction}({t['signal']}) "
+            f"入={entry:.2f} 出={exit:.2f} 差价={point_diff:.2f} "
+            f"原始盈利={money_profit:.2f} 手续费={fee:.2f} 净利润={net_profit:.2f} {t['exit_time']}"
+        )
+
+    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:.2f}")
+    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:.2f} 平均价差={avg_p:.2f}")

weex/长期持有信号/读取数据库数据-30分钟版.py

@@ -74,7 +74,7 @@ def backtest_15m_trend_optimized(dates: List[str]):
     }
 
     trades: List[Dict] = []
-    current_position: Optional[Dict] = None
+    current_position: Optional[Dict] = None  # 开仓信息
     idx = 1
 
     while idx < len(all_data) - 1:
@@ -148,7 +148,7 @@ def backtest_15m_trend_optimized(dates: List[str]):
                         current_position['entry_price'] - exit_price)
                 trades.append({
                     'entry_time': datetime.datetime.fromtimestamp(current_position['entry_time'] / 1000),
-                    'exit_time': datetime.datetime.fromtimestamp(curr['id'] / 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'],
@@ -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)
 
-    # dates = [f"2025-10-{i}" for i in range(1, 31)]
+    dates = [f"2025-10-{i}" for i in range(1, 31)]
     trades, stats = backtest_15m_trend_optimized(dates)
 
     logger.info("===== 每笔交易详情 =====")