fewfef
This commit is contained in:
27942
418
bitmart/回测数据-30分钟版.py
Normal file
418
bitmart/回测数据-30分钟版.py
Normal file
@@ -0,0 +1,418 @@
|
||||
"""
|
||||
量化交易回测系统 - 30分钟K线策略回测（BitMart数据源）
|
||||
|
||||
========== 策略规则 ==========
|
||||
重要：所有开仓和平仓操作都在下一根K线的开盘价执行
|
||||
|
||||
1. 开仓条件（信号出现时，下一根K线开盘价开仓）：
|
||||
- 阳包阴（涨包跌）：前一根是跌（阴线），后一根是涨（阳线），且涨的收盘价 > 跌的开盘价
|
||||
-> 下一根K线开盘价开多
|
||||
- 阴包阳（跌包涨）：前一根是涨（阳线），后一根是跌（阴线），且跌的收盘价 < 涨的开盘价
|
||||
-> 下一根K线开盘价开空
|
||||
|
||||
2. 平仓条件（所有平仓都在下一根K线开盘价执行）：
|
||||
- 持有多单时：遇到两根连续的阴线 -> 下一根K线开盘价平仓
|
||||
- 持有空单时：遇到两根连续的阳线 -> 下一根K线开盘价平仓
|
||||
- 遇到反向信号：下一根K线开盘价平仓并反手开仓
|
||||
|
||||
3. 续持条件：
|
||||
- 遇到同向信号：续持
|
||||
- 未满足平仓条件：续持
|
||||
"""
|
||||
|
||||
import datetime
|
||||
import calendar
|
||||
from dataclasses import dataclass
|
||||
from typing import List, Dict, Optional
|
||||
from loguru import logger
|
||||
from models.bitmart import BitMart30
|
||||
|
||||
|
||||
# ========================= 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（优化版）：
|
||||
只看两种信号，严格按照收盘价与开盘价的比较：
|
||||
|
||||
1. 跌包涨（前涨后跌）-> 做空：
|
||||
- 前一根是涨（阳线：close > open）
|
||||
- 后一根是跌（阴线：close < open）
|
||||
- 且：跌的收盘价 < 涨的开盘价（curr['close'] < prev['open']）
|
||||
|
||||
2. 涨包跌（前跌后涨）-> 做多：
|
||||
- 前一根是跌（阴线：close < open）
|
||||
- 后一根是涨（阳线：close > open）
|
||||
- 且：涨的收盘价 > 跌的开盘价（curr['close'] > prev['open']）
|
||||
"""
|
||||
p_open = float(prev['open'])
|
||||
c_close = float(curr['close'])
|
||||
|
||||
# 跌包涨（前涨后跌） -> 做空：跌的收盘价 < 涨的开盘价
|
||||
if is_bullish(prev) and is_bearish(curr) and c_close < p_open:
|
||||
return "short", "bull_bear_engulf"
|
||||
|
||||
# 涨包跌（前跌后涨） -> 做多：涨的收盘价 > 跌的开盘价
|
||||
if is_bearish(prev) and is_bullish(curr) and c_close > p_open:
|
||||
return "long", "bear_bull_engulf"
|
||||
|
||||
return None, None
|
||||
|
||||
|
||||
def get_data_by_date(model, date_str: str):
|
||||
"""
|
||||
按天获取指定表的数据（30分钟K线）
|
||||
数据格式：时间戳(毫秒级) 开盘价 最高价 最低价 收盘价
|
||||
例如：1767461400000 3106.68 3109.1 3106.22 3107.22
|
||||
|
||||
注意：返回的数据已按时间戳（id）升序排序
|
||||
"""
|
||||
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 []
|
||||
|
||||
# 将日期转换为毫秒级时间戳进行查询
|
||||
start_ts = int(target_date.timestamp() * 1000)
|
||||
end_ts = int((target_date + datetime.timedelta(days=1)).timestamp() * 1000) - 1
|
||||
|
||||
# 查询时按时间戳升序排序
|
||||
query = model.select().where(model.id.between(start_ts, end_ts)).order_by(model.id.asc())
|
||||
data = [{'id': i.id, 'open': i.open, 'high': i.high, 'low': i.low, 'close': i.close} for i in query]
|
||||
|
||||
# 确保数据已排序
|
||||
if data:
|
||||
data.sort(key=lambda x: x['id'])
|
||||
|
||||
return data
|
||||
|
||||
|
||||
# ========================= 回测逻辑 =========================
|
||||
|
||||
def backtest_15m_trend_optimized(dates: List[str]):
|
||||
all_data: List[Dict] = []
|
||||
total_queried = 0
|
||||
for d in dates:
|
||||
day_data = get_data_by_date(BitMart30, d)
|
||||
all_data.extend(day_data)
|
||||
if day_data:
|
||||
total_queried += len(day_data)
|
||||
|
||||
logger.info(f"总共查询了 {len(dates)} 天，获取到 {total_queried} 条K线数据")
|
||||
|
||||
if not all_data:
|
||||
logger.warning("未获取到任何数据，请检查：")
|
||||
logger.warning("1. 数据库连接是否正常")
|
||||
logger.warning("2. 查询的日期范围是否在数据范围内")
|
||||
logger.warning("3. 时间戳格式是否正确（毫秒级）")
|
||||
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'},
|
||||
}
|
||||
|
||||
# 重要：合并所有数据后，必须先按时间戳（id）排序
|
||||
all_data.sort(key=lambda x: x['id'])
|
||||
|
||||
# 验证排序结果
|
||||
if len(all_data) > 1:
|
||||
first_ts = all_data[0]['id']
|
||||
last_ts = all_data[-1]['id']
|
||||
first_time = datetime.datetime.fromtimestamp(first_ts / 1000)
|
||||
last_time = datetime.datetime.fromtimestamp(last_ts / 1000)
|
||||
logger.info(f"数据已按时间排序：{first_time.strftime('%Y-%m-%d %H:%M:%S')} 到 {last_time.strftime('%Y-%m-%d %H:%M:%S')}")
|
||||
|
||||
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 # 开仓信息
|
||||
consecutive_opposite_count = 0 # 连续反色K线计数
|
||||
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 -> 碰到信号则开仓（下一根K线开盘价）
|
||||
if current_position is None:
|
||||
if direction:
|
||||
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']
|
||||
}
|
||||
consecutive_opposite_count = 0 # 重置连续反色计数
|
||||
stats[signal_key]['count'] += 1
|
||||
idx += 1
|
||||
continue
|
||||
|
||||
# 有仓位状态：检查平仓条件
|
||||
pos_dir = current_position['direction']
|
||||
pos_sig_key = current_position['signal_key']
|
||||
|
||||
# 1. 反向信号 -> 下一根K线开盘价平仓并反手开仓
|
||||
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
|
||||
current_position = {
|
||||
'direction': direction,
|
||||
'signal': stats[signal_key]['name'],
|
||||
'signal_key': signal_key,
|
||||
'entry_price': exit_price,
|
||||
'entry_time': next_bar['id']
|
||||
}
|
||||
consecutive_opposite_count = 0 # 重置连续反色计数
|
||||
stats[signal_key]['count'] += 1
|
||||
idx += 1
|
||||
continue
|
||||
|
||||
# 2. 检查连续反色K线平仓条件（下一根K线开盘价平仓）
|
||||
# 持有多单：检查是否连续两根阴线
|
||||
if pos_dir == 'long' and is_bearish(curr):
|
||||
consecutive_opposite_count += 1
|
||||
# 如果已经连续两根阴线，下一根K线开盘价平仓
|
||||
if consecutive_opposite_count >= 2:
|
||||
exit_price = float(next_bar['open'])
|
||||
diff = exit_price - current_position['entry_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',
|
||||
'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
|
||||
consecutive_opposite_count = 0
|
||||
idx += 1
|
||||
continue
|
||||
else:
|
||||
# 只有一根阴线，续持
|
||||
idx += 1
|
||||
continue
|
||||
|
||||
# 持有空单：检查是否连续两根阳线
|
||||
elif pos_dir == 'short' and is_bullish(curr):
|
||||
consecutive_opposite_count += 1
|
||||
# 如果已经连续两根阳线，下一根K线开盘价平仓
|
||||
if consecutive_opposite_count >= 2:
|
||||
exit_price = float(next_bar['open'])
|
||||
diff = 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
|
||||
consecutive_opposite_count = 0
|
||||
idx += 1
|
||||
continue
|
||||
else:
|
||||
# 只有一根阳线，续持
|
||||
idx += 1
|
||||
continue
|
||||
|
||||
# 3. 同向K线或同向信号 -> 续持，重置连续反色计数
|
||||
if (pos_dir == 'long' and is_bullish(curr)) or (pos_dir == 'short' and is_bearish(curr)):
|
||||
consecutive_opposite_count = 0 # 重置连续反色计数
|
||||
|
||||
# 同向信号 -> 续持
|
||||
if direction and direction == pos_dir:
|
||||
consecutive_opposite_count = 0 # 重置连续反色计数
|
||||
idx += 1
|
||||
continue
|
||||
|
||||
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（优化版盈利计算） =========================
|
||||
if __name__ == '__main__':
|
||||
# ==================== 配置参数：指定查询时间范围 ====================
|
||||
# 方式1：指定开始和结束日期（推荐）
|
||||
START_DATE = "2025-01-01" # 开始日期，格式：YYYY-MM-DD
|
||||
END_DATE = "2025-12-31" # 结束日期，格式：YYYY-MM-DD
|
||||
|
||||
# 方式2：如果上面两个为空，则使用年份和月份范围
|
||||
START_YEAR = None # 开始年份，例如：2025
|
||||
START_MONTH = None # 开始月份，例如：1
|
||||
END_YEAR = None # 结束年份，例如：2025
|
||||
END_MONTH = None # 结束月份，例如：12
|
||||
|
||||
# ==================== 生成查询日期列表 ====================
|
||||
dates = []
|
||||
|
||||
# 优先使用指定的日期范围
|
||||
if START_DATE and END_DATE:
|
||||
try:
|
||||
start_dt = datetime.datetime.strptime(START_DATE, '%Y-%m-%d')
|
||||
end_dt = datetime.datetime.strptime(END_DATE, '%Y-%m-%d')
|
||||
|
||||
if start_dt > end_dt:
|
||||
logger.error(f"开始日期 {START_DATE} 不能晚于结束日期 {END_DATE}")
|
||||
exit(1)
|
||||
|
||||
current_dt = start_dt
|
||||
while current_dt <= end_dt:
|
||||
dates.append(current_dt.strftime('%Y-%m-%d'))
|
||||
current_dt += datetime.timedelta(days=1)
|
||||
|
||||
logger.info(f"使用指定日期范围：{START_DATE} 到 {END_DATE}，共 {len(dates)} 天")
|
||||
except ValueError as e:
|
||||
logger.error(f"日期格式错误：{e}，请使用 YYYY-MM-DD 格式")
|
||||
exit(1)
|
||||
|
||||
# 如果未指定日期范围，使用年份和月份范围
|
||||
elif START_YEAR and END_YEAR:
|
||||
start_m = START_MONTH if START_MONTH else 1
|
||||
end_m = END_MONTH if END_MONTH else 12
|
||||
|
||||
for year in range(START_YEAR, END_YEAR + 1):
|
||||
month_start = start_m if year == START_YEAR else 1
|
||||
month_end = end_m if year == END_YEAR else 12
|
||||
|
||||
for month in range(month_start, month_end + 1):
|
||||
days_in_month = calendar.monthrange(year, month)[1]
|
||||
for day in range(1, days_in_month + 1):
|
||||
dates.append(f"{year}-{month:02d}-{day:02d}")
|
||||
|
||||
logger.info(f"使用年份月份范围：{START_YEAR}年{start_m}月 到 {END_YEAR}年{end_m}月，共 {len(dates)} 天")
|
||||
|
||||
# 如果都没有指定，使用默认范围
|
||||
else:
|
||||
logger.warning("未指定日期范围，使用默认：2025年1-12月")
|
||||
for month in range(1, 13):
|
||||
days_in_month = calendar.monthrange(2025, month)[1]
|
||||
for day in range(1, days_in_month + 1):
|
||||
dates.append(f"2025-{month:02d}-{day:02d}")
|
||||
|
||||
if dates:
|
||||
logger.info(f"准备查询 {len(dates)} 天的数据，日期范围：{dates[0]} 到 {dates[-1]}")
|
||||
else:
|
||||
logger.error("未生成任何查询日期，请检查配置参数")
|
||||
exit(1)
|
||||
|
||||
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 # 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 ===
|
||||
# 开仓 + 平仓手续费（按比例计算 + 固定）
|
||||
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 net_profit < -400:
|
||||
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']}"
|
||||
)
|
||||
|
||||
# === 汇总统计 ===
|
||||
total_net_profit = total_money_profit - total_fee
|
||||
print(f"\n【BitMart 回测结果】")
|
||||
print(f"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(total_money_profit - total_fee * 0.1)
|
||||
|
||||
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}")
|
||||
@@ -144,7 +144,7 @@ if __name__ == '__main__':
|
||||
collector = BitMartDataCollector()
|
||||
|
||||
# 抓取最近30天的历史数据
|
||||
collector.collect_historical_data(days=30)
|
||||
collector.collect_historical_data(days=365)
|
||||
|
||||
# 如果需要实时抓取，可以取消下面的注释
|
||||
# collector.collect_realtime_data()
|
||||
|
||||
Binary file not shown.
@@ -4,20 +4,30 @@
|
||||
========== 策略规则 ==========
|
||||
重要：所有开仓和平仓操作都在下一根K线的开盘价执行
|
||||
|
||||
【策略流程】
|
||||
1. 开仓条件（信号出现时，下一根K线开盘价开仓）：
|
||||
- 阳包阴（涨包跌）：前一根是跌（阴线），后一根是涨（阳线），且涨的收盘价 > 跌的开盘价
|
||||
-> 下一根K线开盘价开多
|
||||
- 阴包阳（跌包涨）：前一根是涨（阳线），后一根是跌（阴线），且跌的收盘价 < 涨的开盘价
|
||||
-> 下一根K线开盘价开空
|
||||
- 阳包阴（涨包跌）信号 -> 开多
|
||||
* 前一根是跌（阴线），后一根是涨（阳线）
|
||||
* 且：涨的收盘价 > 跌的开盘价
|
||||
|
||||
- 阴包阳（跌包涨）信号 -> 开空
|
||||
* 前一根是涨（阳线），后一根是跌（阴线）
|
||||
* 且：跌的收盘价 < 涨的开盘价
|
||||
|
||||
2. 平仓条件（所有平仓都在下一根K线开盘价执行）：
|
||||
- 持有多单时：遇到两根连续的阴线 -> 下一根K线开盘价平仓
|
||||
- 持有空单时：遇到两根连续的阳线 -> 下一根K线开盘价平仓
|
||||
- 遇到反向信号：下一根K线开盘价平仓并反手开仓
|
||||
* 例如：持有多单时遇到阴包阳信号 -> 平多开空
|
||||
|
||||
3. 续持条件：
|
||||
- 遇到同向信号：续持
|
||||
- 未满足平仓条件：续持
|
||||
|
||||
【数据处理流程】
|
||||
1. 从数据库读取数据
|
||||
2. 数据排序（按时间戳升序）
|
||||
3. 开始回测
|
||||
"""
|
||||
|
||||
import datetime
|
||||
@@ -43,27 +53,27 @@ def check_signal(prev, curr):
|
||||
包住形态信号判定（优化版）：
|
||||
只看两种信号，严格按照收盘价与开盘价的比较：
|
||||
|
||||
1. 跌包涨（前涨后跌）-> 做空：
|
||||
- 前一根是涨（阳线：close > open）
|
||||
- 后一根是跌（阴线：close < open）
|
||||
- 且：跌的收盘价 < 涨的开盘价（curr['close'] < prev['open']）
|
||||
|
||||
2. 涨包跌（前跌后涨）-> 做多：
|
||||
1. 阳包阴（涨包跌，前跌后涨）-> 做多：
|
||||
- 前一根是跌（阴线：close < open）
|
||||
- 后一根是涨（阳线：close > open）
|
||||
- 且：涨的收盘价 > 跌的开盘价（curr['close'] > prev['open']）
|
||||
|
||||
2. 阴包阳（跌包涨，前涨后跌）-> 做空：
|
||||
- 前一根是涨（阳线：close > open）
|
||||
- 后一根是跌（阴线：close < open）
|
||||
- 且：跌的收盘价 < 涨的开盘价（curr['close'] < prev['open']）
|
||||
"""
|
||||
p_open = float(prev['open'])
|
||||
c_close = float(curr['close'])
|
||||
|
||||
# 跌包涨（前涨后跌） -> 做空：跌的收盘价 < 涨的开盘价
|
||||
if is_bullish(prev) and is_bearish(curr) and c_close < p_open:
|
||||
return "short", "bull_bear_engulf"
|
||||
|
||||
# 涨包跌（前跌后涨） -> 做多：涨的收盘价 > 跌的开盘价
|
||||
# 阳包阴（涨包跌，前跌后涨） -> 做多：涨的收盘价 > 跌的开盘价
|
||||
if is_bearish(prev) and is_bullish(curr) and c_close > p_open:
|
||||
return "long", "bear_bull_engulf"
|
||||
|
||||
# 阴包阳（跌包涨，前涨后跌） -> 做空：跌的收盘价 < 涨的开盘价
|
||||
if is_bullish(prev) and is_bearish(curr) and c_close < p_open:
|
||||
return "short", "bull_bear_engulf"
|
||||
|
||||
return None, None
|
||||
|
||||
|
||||
@@ -99,16 +109,52 @@ def get_data_by_date(model, date_str: str):
|
||||
# ========================= 回测逻辑 =========================
|
||||
|
||||
def backtest_15m_trend_optimized(dates: List[str]):
|
||||
"""
|
||||
回测策略逻辑：
|
||||
1. 开仓条件（信号出现时，下一根K线开盘价开仓）：
|
||||
- 阳包阴（涨包跌）信号 -> 开多
|
||||
- 阴包阳（跌包涨）信号 -> 开空
|
||||
|
||||
2. 平仓条件（所有平仓都在下一根K线开盘价执行）：
|
||||
- 持有多单时：遇到两根连续的阴线 -> 下一根K线开盘价平仓
|
||||
- 持有空单时：遇到两根连续的阳线 -> 下一根K线开盘价平仓
|
||||
- 遇到反向信号：下一根K线开盘价平仓并反手开仓
|
||||
（例如：持有多单时遇到阴包阳信号 -> 平多开空）
|
||||
|
||||
3. 续持条件：
|
||||
- 遇到同向信号：续持
|
||||
- 未满足平仓条件：续持
|
||||
"""
|
||||
# ==================== 步骤1：从数据库读取数据 ====================
|
||||
all_data: List[Dict] = []
|
||||
total_queried = 0
|
||||
for d in dates:
|
||||
all_data.extend(get_data_by_date(Weex30, d))
|
||||
day_data = get_data_by_date(Weex30, d)
|
||||
all_data.extend(day_data)
|
||||
if day_data:
|
||||
total_queried += len(day_data)
|
||||
|
||||
logger.info(f"总共查询了 {len(dates)} 天，获取到 {total_queried} 条K线数据")
|
||||
|
||||
if not all_data:
|
||||
logger.warning("未获取到任何数据，请检查数据库连接和日期范围")
|
||||
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'},
|
||||
}
|
||||
|
||||
# ==================== 步骤2：数据排序（重要！必须先排序再回测） ====================
|
||||
all_data.sort(key=lambda x: x['id'])
|
||||
|
||||
# 验证排序结果
|
||||
if len(all_data) > 1:
|
||||
first_ts = all_data[0]['id']
|
||||
last_ts = all_data[-1]['id']
|
||||
first_time = datetime.datetime.fromtimestamp(first_ts / 1000)
|
||||
last_time = datetime.datetime.fromtimestamp(last_ts / 1000)
|
||||
logger.info(f"数据已按时间排序：{first_time.strftime('%Y-%m-%d %H:%M:%S')} 到 {last_time.strftime('%Y-%m-%d %H:%M:%S')}")
|
||||
|
||||
# ==================== 步骤3：开始回测 ====================
|
||||
|
||||
stats = {
|
||||
'bear_bull_engulf': {'count': 0, 'wins': 0, 'total_profit': 0.0, 'name': '涨包跌'},
|
||||
@@ -124,9 +170,11 @@ def backtest_15m_trend_optimized(dates: List[str]):
|
||||
prev, curr, next_bar = all_data[idx - 1], all_data[idx], all_data[idx + 1]
|
||||
direction, signal_key = check_signal(prev, curr)
|
||||
|
||||
# 空仓 -> 碰到信号则开仓（下一根K线开盘价）
|
||||
# ==================== 空仓状态：遇到信号则开仓 ====================
|
||||
# 策略：阳包阴信号 -> 开多，阴包阳信号 -> 开空
|
||||
if current_position is None:
|
||||
if direction:
|
||||
# 信号出现（prev和curr形成信号），在下一根K线（next_bar）的开盘价开仓
|
||||
entry_price = float(next_bar['open'])
|
||||
current_position = {
|
||||
'direction': direction,
|
||||
@@ -137,14 +185,16 @@ def backtest_15m_trend_optimized(dates: List[str]):
|
||||
}
|
||||
consecutive_opposite_count = 0 # 重置连续反色计数
|
||||
stats[signal_key]['count'] += 1
|
||||
logger.debug(f"开仓: {stats[signal_key]['name']} {'做多' if direction == 'long' else '做空'} @ {entry_price:.2f}")
|
||||
idx += 1
|
||||
continue
|
||||
|
||||
# 有仓位状态：检查平仓条件
|
||||
# ==================== 有仓位状态：检查平仓条件 ====================
|
||||
pos_dir = current_position['direction']
|
||||
pos_sig_key = current_position['signal_key']
|
||||
|
||||
# 1. 反向信号 -> 下一根K线开盘价平仓并反手开仓
|
||||
# 策略：遇到反向信号（如持有多单时遇到阴包阳），平仓并反手开仓
|
||||
if direction and direction != pos_dir:
|
||||
exit_price = float(next_bar['open'])
|
||||
diff = (exit_price - current_position['entry_price']) if pos_dir == 'long' else (
|
||||
@@ -161,7 +211,7 @@ def backtest_15m_trend_optimized(dates: List[str]):
|
||||
stats[pos_sig_key]['total_profit'] += diff
|
||||
if diff > 0: stats[pos_sig_key]['wins'] += 1
|
||||
|
||||
# 反手开仓
|
||||
# 反手开仓（下一根K线开盘价）
|
||||
current_position = {
|
||||
'direction': direction,
|
||||
'signal': stats[signal_key]['name'],
|
||||
@@ -171,15 +221,18 @@ def backtest_15m_trend_optimized(dates: List[str]):
|
||||
}
|
||||
consecutive_opposite_count = 0 # 重置连续反色计数
|
||||
stats[signal_key]['count'] += 1
|
||||
logger.debug(f"反向信号反手: 平{'做多' if pos_dir == 'long' else '做空'} @ {exit_price:.2f}, 开{'做多' if direction == 'long' else '做空'}")
|
||||
idx += 1
|
||||
continue
|
||||
|
||||
# 2. 检查连续反色K线平仓条件（下一根K线开盘价平仓）
|
||||
# 持有多单：检查是否连续两根阴线
|
||||
# 策略：持有多单时，遇到两根连续的阴线 -> 平仓
|
||||
# 持有空单时，遇到两根连续的阳线 -> 平仓
|
||||
if pos_dir == 'long' and is_bearish(curr):
|
||||
consecutive_opposite_count += 1
|
||||
# 如果已经连续两根阴线，下一根K线开盘价平仓
|
||||
if consecutive_opposite_count >= 2:
|
||||
logger.debug(f"平仓: 做多遇到连续两根阴线")
|
||||
exit_price = float(next_bar['open'])
|
||||
diff = exit_price - current_position['entry_price']
|
||||
trades.append({
|
||||
@@ -207,6 +260,7 @@ def backtest_15m_trend_optimized(dates: List[str]):
|
||||
consecutive_opposite_count += 1
|
||||
# 如果已经连续两根阳线，下一根K线开盘价平仓
|
||||
if consecutive_opposite_count >= 2:
|
||||
logger.debug(f"平仓: 做空遇到连续两根阳线")
|
||||
exit_price = float(next_bar['open'])
|
||||
diff = current_position['entry_price'] - exit_price
|
||||
trades.append({
|
||||
|
||||
Reference in New Issue
Block a user