diff --git a/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 b/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 new file mode 100644 index 0000000..2ab4485 --- /dev/null +++ b/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}") 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 8ecc0ee..4f101f4 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 @@ -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 =====")