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bitmart/回测-三分之一策略.py

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+"""
+量化交易回测系统 - 三分之一回归策略（优化版）
+
+========== 策略规则 ==========
+
+1. 开多条件：
+   - 找到实体>=0.1的前一根K线（如果前一根实体<0.1，继续往前找）
+   - 前一根是阴线（close < open）
+   - 当前K线的最高价（包括影线）涨到前一根阴线实体的 1/3 处
+   - 即：当前high >= prev_close + (prev_open - prev_close) / 3
+
+2. 平多/开空条件：
+   - 找到实体>=0.1的前一根K线（如果前一根实体<0.1，继续往前找）
+   - 前一根是阳线（close > open）
+   - 当前K线的最低价（包括影线）跌到前一根阳线实体的 1/3 处
+   - 即：当前low <= prev_close - (prev_close - prev_open) / 3
+
+3. 执行逻辑：
+   - 做多时遇到开空信号 -> 平多并反手开空
+   - 做空时遇到开多信号 -> 平空并反手开多
+
+4. 实体过滤：
+   - 如果前一根K线的实体部分（|open - close|）< 0.1，继续往前查找
+   - 直到找到实体>=0.1的K线，再用那根K线来判断1/3位置
+"""
+
+import datetime
+import calendar
+import os
+from typing import List, Dict, Optional
+from loguru import logger
+import pandas as pd
+import mplfinance as mpf
+import matplotlib.pyplot as plt
+import matplotlib
+try:
+    import plotly.graph_objects as go
+except Exception:
+    go = None
+from models.bitmart_klines import BitMartETH5M
+
+# 配置中文字体
+import matplotlib.font_manager as fm
+import warnings
+
+# 忽略matplotlib的字体警告
+warnings.filterwarnings('ignore', category=UserWarning, module='matplotlib.font_manager')
+warnings.filterwarnings('ignore', message='.*Glyph.*missing.*', category=UserWarning)
+
+# 尝试设置中文字体，按优先级尝试
+chinese_fonts = ['SimHei', 'Microsoft YaHei', 'SimSun', 'KaiTi', 'FangSong', 'STSong', 'STHeiti']
+available_fonts = [f.name for f in fm.fontManager.ttflist]
+
+# 找到第一个可用的中文字体
+font_found = None
+for font_name in chinese_fonts:
+    if font_name in available_fonts:
+        font_found = font_name
+        break
+
+if font_found:
+    plt.rcParams['font.sans-serif'] = [font_found] + ['DejaVu Sans']
+    logger.info(f"使用中文字体: {font_found}")
+else:
+    # 如果没有找到中文字体，尝试使用系统默认字体
+    plt.rcParams['font.sans-serif'] = ['SimHei', 'Microsoft YaHei', 'SimSun', 'Arial Unicode MS', 'DejaVu Sans']
+    logger.warning("未找到中文字体，使用默认配置")
+
+plt.rcParams['axes.unicode_minus'] = False  # 解决负号显示问题
+plt.rcParams['font.size'] = 10  # 设置默认字体大小
+
+# 尝试清除字体缓存（如果可能）
+try:
+    # 不强制重建，避免性能问题
+    pass
+except:
+    pass
+
+# 获取当前脚本所在目录
+SCRIPT_DIR = os.path.dirname(os.path.abspath(__file__))
+
+# ========================= 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 get_body_size(candle):
+    """计算K线实体大小（绝对值）"""
+    return abs(float(candle['open']) - float(candle['close']))
+
+
+def find_valid_prev_bar(all_data: List[Dict], current_idx: int, min_body_size: float = 0.1):
+    """
+    从当前索引往前查找，直到找到实体>=min_body_size的K线
+    返回：(有效K线的索引, K线数据) 或 (None, None)
+    """
+    if current_idx <= 0:
+        return None, None
+    
+    for i in range(current_idx - 1, -1, -1):
+        prev = all_data[i]
+        body_size = get_body_size(prev)
+        if body_size >= min_body_size:
+            return i, prev
+    
+    return None, None
+
+
+def get_one_third_level(prev):
+    """
+    计算前一根K线实体的 1/3 回归位置
+    返回：(触发价格, 方向)
+    - 如果前一根是阴线：返回向上1/3价格，方向为 'long'
+    - 如果前一根是阳线：返回向下1/3价格，方向为 'short'
+    """
+    p_open = float(prev['open'])
+    p_close = float(prev['close'])
+    
+    if is_bearish(prev):  # 阴线，向上回归
+        # 阴线实体 = open - close
+        body = p_open - p_close
+        trigger_price = p_close + body / 3  # 从低点涨 1/3
+        return trigger_price, 'long'
+    
+    elif is_bullish(prev):  # 阳线，向下回归
+        # 阳线实体 = close - open
+        body = p_close - p_open
+        trigger_price = p_close - body / 3  # 从高点跌 1/3
+        return trigger_price, 'short'
+    
+    return None, None
+
+
+def check_trigger(all_data: List[Dict], current_idx: int, min_body_size: float = 0.1):
+    """
+    检查当前K线是否触发了交易信号
+    返回：(方向, 触发价格, 有效前一根K线索引) 或 (None, None, None)
+    规则：考虑影线部分（high/low），因为实际交易中价格会到达影线位置
+    """
+    if current_idx <= 0:
+        return None, None, None
+    
+    curr = all_data[current_idx]
+    
+    # 查找实体>=0.1的前一根K线
+    valid_prev_idx, prev = find_valid_prev_bar(all_data, current_idx, min_body_size)
+    
+    if prev is None:
+        return None, None, None
+    
+    trigger_price, direction = get_one_third_level(prev)
+    
+    if trigger_price is None:
+        return None, None, None
+    
+    # 使用影线部分（high/low）来判断，因为实际交易中价格会到达这些位置
+    c_high = float(curr['high'])
+    c_low = float(curr['low'])
+    
+    # 做多：前一根阴线，当前K线的最高价（包括影线）达到触发价格
+    if direction == 'long' and c_high >= trigger_price:
+        return 'long', trigger_price, valid_prev_idx
+    
+    # 做空：前一根阳线，当前K线的最低价（包括影线）达到触发价格
+    if direction == 'short' and c_low <= trigger_price:
+        return 'short', trigger_price, valid_prev_idx
+    
+    return None, None, None
+
+
+def get_data_by_date(model, date_str: str):
+    """按天获取指定表的数据"""
+    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())
+    data = [{'id': i.id, 'open': i.open, 'high': i.high, 'low': i.low, 'close': i.close} for i in query]
+    
+    if data:
+        data.sort(key=lambda x: x['id'])
+    
+    return data
+
+
+# ========================= 回测逻辑 =========================
+
+def backtest_one_third_strategy(dates: List[str]):
+    """三分之一回归策略回测"""
+    all_data: List[Dict] = []
+    
+    for d in dates:
+        day_data = get_data_by_date(BitMartETH5M, d)
+        all_data.extend(day_data)
+    
+    logger.info(f"总共查询了 {len(dates)} 天，获取到 {len(all_data)} 条K线数据")
+    
+    if not all_data:
+        logger.warning("未获取到任何数据")
+        return [], {'long': {'count': 0, 'wins': 0, 'total_profit': 0.0},
+                   'short': {'count': 0, 'wins': 0, 'total_profit': 0.0}}
+
+    all_data.sort(key=lambda x: x['id'])
+    
+    if len(all_data) > 1:
+        first_time = datetime.datetime.fromtimestamp(all_data[0]['id'] / 1000)
+        last_time = datetime.datetime.fromtimestamp(all_data[-1]['id'] / 1000)
+        logger.info(f"数据范围：{first_time.strftime('%Y-%m-%d %H:%M')} 到 {last_time.strftime('%Y-%m-%d %H:%M')}")
+        
+        # 验证排序：打印前5条数据
+        logger.info("===== 前5条数据（验证排序）=====")
+        for i in range(min(5, len(all_data))):
+            d = all_data[i]
+            t = datetime.datetime.fromtimestamp(d['id'] / 1000).strftime('%Y-%m-%d %H:%M:%S')
+            k_type = "阳线" if is_bullish(d) else ("阴线" if is_bearish(d) else "十字星")
+            logger.info(f"  [{i}] {t} | {k_type} | O={d['open']:.2f} H={d['high']:.2f} L={d['low']:.2f} C={d['close']:.2f}")
+
+    stats = {
+        'long': {'count': 0, 'wins': 0, 'total_profit': 0.0, 'name': '做多'},
+        'short': {'count': 0, 'wins': 0, 'total_profit': 0.0, 'name': '做空'},
+    }
+
+    trades: List[Dict] = []
+    current_position: Optional[Dict] = None
+    
+    for idx in range(1, len(all_data)):
+        curr = all_data[idx]
+        
+        # 使用新的check_trigger函数，它会自动查找实体>=0.1的前一根K线
+        direction, trigger_price, valid_prev_idx = check_trigger(all_data, idx, min_body_size=0.1)
+        
+        # 获取有效的前一根K线用于日志输出
+        valid_prev = all_data[valid_prev_idx] if valid_prev_idx is not None else None
+        
+        # 空仓时，有信号就开仓
+        if current_position is None:
+            if direction and valid_prev is not None:
+                # 调试：打印开仓时的K线信息
+                prev_time = datetime.datetime.fromtimestamp(valid_prev['id'] / 1000).strftime('%Y-%m-%d %H:%M')
+                curr_time = datetime.datetime.fromtimestamp(curr['id'] / 1000).strftime('%Y-%m-%d %H:%M')
+                prev_type = "阳线" if is_bullish(valid_prev) else ("阴线" if is_bearish(valid_prev) else "十字星")
+                curr_type = "阳线" if is_bullish(curr) else ("阴线" if is_bearish(curr) else "十字星")
+                prev_body = get_body_size(valid_prev)
+                logger.info(f"【开仓】{direction} @ {trigger_price:.2f}")
+                logger.info(f"  有效前一根[{prev_time}]: {prev_type} 实体={prev_body:.2f} O={valid_prev['open']:.2f} H={valid_prev['high']:.2f} L={valid_prev['low']:.2f} C={valid_prev['close']:.2f}")
+                logger.info(f"  当前根[{curr_time}]: {curr_type} O={curr['open']:.2f} H={curr['high']:.2f} L={curr['low']:.2f} C={curr['close']:.2f}")
+                
+                current_position = {
+                    'direction': direction,
+                    'entry_price': trigger_price,
+                    'entry_time': curr['id'],
+                    'entry_bar': idx
+                }
+                stats[direction]['count'] += 1
+            continue
+        
+        # 有仓位时，检查是否有反向信号
+        pos_dir = current_position['direction']
+        
+        if direction and direction != pos_dir and valid_prev is not None:
+            # 平仓
+            exit_price = trigger_price
+            
+            if pos_dir == 'long':
+                diff = exit_price - current_position['entry_price']
+            else:
+                diff = current_position['entry_price'] - exit_price
+            
+            # 调试：打印平仓时的K线信息
+            prev_time = datetime.datetime.fromtimestamp(valid_prev['id'] / 1000).strftime('%Y-%m-%d %H:%M')
+            curr_time = datetime.datetime.fromtimestamp(curr['id'] / 1000).strftime('%Y-%m-%d %H:%M')
+            prev_type = "阳线" if is_bullish(valid_prev) else ("阴线" if is_bearish(valid_prev) else "十字星")
+            curr_type = "阳线" if is_bullish(curr) else ("阴线" if is_bearish(curr) else "十字星")
+            prev_body = get_body_size(valid_prev)
+            logger.info(f"【平仓反手】{pos_dir} -> {direction} @ {exit_price:.2f}, 盈亏: {diff:.2f}")
+            logger.info(f"  有效前一根[{prev_time}]: {prev_type} 实体={prev_body:.2f} O={valid_prev['open']:.2f} H={valid_prev['high']:.2f} L={valid_prev['low']:.2f} C={valid_prev['close']:.2f}")
+            logger.info(f"  当前根[{curr_time}]: {curr_type} O={curr['open']:.2f} H={curr['high']:.2f} L={curr['low']:.2f} C={curr['close']:.2f}")
+            
+            trades.append({
+                'entry_time': datetime.datetime.fromtimestamp(current_position['entry_time'] / 1000),
+                'exit_time': datetime.datetime.fromtimestamp(curr['id'] / 1000),
+                'entry_time_ms': current_position['entry_time'],
+                'exit_time_ms': curr['id'],
+                'direction': '做多' if pos_dir == 'long' else '做空',
+                'entry': current_position['entry_price'],
+                'exit': exit_price,
+                'diff': diff
+            })
+            
+            stats[pos_dir]['total_profit'] += diff
+            if diff > 0:
+                stats[pos_dir]['wins'] += 1
+            
+            # 反手开仓
+            current_position = {
+                'direction': direction,
+                'entry_price': trigger_price,
+                'entry_time': curr['id'],
+                'entry_bar': idx
+            }
+            stats[direction]['count'] += 1
+
+    # 尾仓处理
+    if current_position:
+        last = all_data[-1]
+        exit_price = float(last['close'])
+        pos_dir = current_position['direction']
+        
+        if pos_dir == 'long':
+            diff = exit_price - current_position['entry_price']
+        else:
+            diff = 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),
+            'entry_time_ms': current_position['entry_time'],
+            'exit_time_ms': last['id'],
+            'direction': '做多' if pos_dir == 'long' else '做空',
+            'entry': current_position['entry_price'],
+            'exit': exit_price,
+            'diff': diff
+        })
+        stats[pos_dir]['total_profit'] += diff
+        if diff > 0:
+            stats[pos_dir]['wins'] += 1
+
+    return trades, stats, all_data
+
+
+# ========================= 绘图函数 =========================
+def plot_trades(all_data: List[Dict], trades: List[Dict], save_path: str = None):
+    """
+    绘制K线图并标注交易点位
+    """
+    if not all_data:
+        logger.warning("没有数据可绘制")
+        return
+    
+    # 转换为 DataFrame
+    df = pd.DataFrame(all_data)
+    df['datetime'] = pd.to_datetime(df['id'], unit='ms')
+    df.set_index('datetime', inplace=True)
+    df = df.rename(columns={'open': 'Open', 'high': 'High', 'low': 'Low', 'close': 'Close'})
+    df = df[['Open', 'High', 'Low', 'Close']]
+    
+    # 准备标记点
+    buy_signals = []  # 做多开仓
+    sell_signals = []  # 做空开仓
+    buy_exits = []  # 做多平仓
+    sell_exits = []  # 做空平仓
+    
+    for trade in trades:
+        entry_time = pd.to_datetime(trade['entry_time_ms'], unit='ms')
+        exit_time = pd.to_datetime(trade['exit_time_ms'], unit='ms')
+        direction = trade['direction']
+        entry_price = trade['entry']
+        exit_price = trade['exit']
+        
+        if direction == '做多':
+            buy_signals.append((entry_time, entry_price))
+            buy_exits.append((exit_time, exit_price))
+        else:
+            sell_signals.append((entry_time, entry_price))
+            sell_exits.append((exit_time, exit_price))
+    
+    # 创建标记序列
+    buy_markers = pd.Series(index=df.index, dtype=float)
+    sell_markers = pd.Series(index=df.index, dtype=float)
+    buy_exit_markers = pd.Series(index=df.index, dtype=float)
+    sell_exit_markers = pd.Series(index=df.index, dtype=float)
+    
+    for t, p in buy_signals:
+        if t in buy_markers.index:
+            buy_markers[t] = p
+    for t, p in sell_signals:
+        if t in sell_markers.index:
+            sell_markers[t] = p
+    for t, p in buy_exits:
+        if t in buy_exit_markers.index:
+            buy_exit_markers[t] = p
+    for t, p in sell_exits:
+        if t in sell_exit_markers.index:
+            sell_exit_markers[t] = p
+    
+    # 添加标记
+    add_plots = []
+    
+    if buy_markers.notna().any():
+        add_plots.append(mpf.make_addplot(buy_markers, type='scatter', markersize=100, 
+                                          marker='^', color='green', label='做多开仓'))
+    if sell_markers.notna().any():
+        add_plots.append(mpf.make_addplot(sell_markers, type='scatter', markersize=100, 
+                                          marker='v', color='red', label='做空开仓'))
+    if buy_exit_markers.notna().any():
+        add_plots.append(mpf.make_addplot(buy_exit_markers, type='scatter', markersize=80, 
+                                          marker='x', color='darkgreen', label='做多平仓'))
+    if sell_exit_markers.notna().any():
+        add_plots.append(mpf.make_addplot(sell_exit_markers, type='scatter', markersize=80, 
+                                          marker='x', color='darkred', label='做空平仓'))
+    
+    # 绘制K线图（更接近交易所风格）
+    market_colors = mpf.make_marketcolors(
+        up='#26a69a',       # 常见交易所绿色
+        down='#ef5350',     # 常见交易所红色
+        edge='inherit',
+        wick='inherit',
+        volume='inherit'
+    )
+    style = mpf.make_mpf_style(
+        base_mpf_style='binance',
+        marketcolors=market_colors,
+        gridstyle='-',
+        gridcolor='#e6e6e6'
+    )
+    
+    fig, axes = mpf.plot(
+        df,
+        type='candle',
+        style=style,
+        title='三分之一回归策略回测',
+        ylabel='价格',
+        addplot=add_plots if add_plots else None,
+        figsize=(16, 9),
+        returnfig=True
+    )
+    
+    # 添加图例
+    axes[0].legend(['做多开仓 ▲', '做空开仓 ▼', '做多平仓 ✕', '做空平仓 ✕'], loc='upper left')
+    
+    # 标注开仓细节（方向、价格、时间）
+    if trades:
+        ax = axes[0]
+        max_annotate = 60  # 过多会拥挤，可按需调大/调小
+        annotated = 0
+        for i, trade in enumerate(trades):
+            if annotated >= max_annotate:
+                break
+            entry_time = pd.to_datetime(trade['entry_time_ms'], unit='ms')
+            if entry_time not in df.index:
+                continue
+            entry_price = trade['entry']
+            direction = trade['direction']
+            color = 'green' if direction == '做多' else 'red'
+            text = f"{direction} @ {entry_price:.2f}\n{entry_time.strftime('%m-%d %H:%M')}"
+            y_offset = 20 if (i % 2 == 0) else -30
+            ax.annotate(
+                text,
+                xy=(entry_time, entry_price),
+                xytext=(0, y_offset),
+                textcoords='offset points',
+                ha='center',
+                va='bottom' if y_offset > 0 else 'top',
+                fontsize=8,
+                color=color,
+                arrowprops=dict(arrowstyle='->', color=color, lw=0.6, alpha=0.6)
+            )
+            annotated += 1
+    
+    if save_path:
+        plt.savefig(save_path, dpi=150, bbox_inches='tight')
+        logger.info(f"图表已保存到: {save_path}")
+    
+    plt.show()
+
+
+def plot_trades_interactive(all_data: List[Dict], trades: List[Dict], html_path: str = None):
+    """
+    交互式K线图（TradingView风格：支持缩放、时间区间/价格区间平移缩放）
+    """
+    if not all_data:
+        logger.warning("没有数据可绘制")
+        return
+    if go is None:
+        logger.warning("未安装 plotly，无法绘制交互式图。请先安装：pip install plotly")
+        return
+
+    df = pd.DataFrame(all_data)
+    df['datetime'] = pd.to_datetime(df['id'], unit='ms')
+    df.sort_values('datetime', inplace=True)
+
+    fig = go.Figure(
+        data=[
+            go.Candlestick(
+                x=df['datetime'],
+                open=df['open'],
+                high=df['high'],
+                low=df['low'],
+                close=df['close'],
+                increasing_line_color='#26a69a',
+                decreasing_line_color='#ef5350',
+                name='K线'
+            )
+        ]
+    )
+
+    # 标注开仓点
+    if trades:
+        entry_x = []
+        entry_y = []
+        entry_text = []
+        entry_color = []
+        for t in trades:
+            entry_x.append(pd.to_datetime(t['entry_time_ms'], unit='ms'))
+            entry_y.append(t['entry'])
+            entry_text.append(f"{t['direction']} @ {t['entry']:.2f}<br>{t['entry_time']}")
+            entry_color.append('#26a69a' if t['direction'] == '做多' else '#ef5350')
+
+        fig.add_trace(
+            go.Scatter(
+                x=entry_x,
+                y=entry_y,
+                mode='markers',
+                marker=dict(size=8, color=entry_color),
+                name='开仓',
+                text=entry_text,
+                hoverinfo='text'
+            )
+        )
+
+    # TradingView风格：深色背景 + 交互缩放
+    fig.update_layout(
+        title='三分之一回归策略回测（交互式）',
+        xaxis=dict(
+            rangeslider=dict(visible=True),
+            type='date',
+            showgrid=False
+        ),
+        yaxis=dict(
+            showgrid=False,
+            fixedrange=False
+        ),
+        plot_bgcolor='#0b0e11',
+        paper_bgcolor='#0b0e11',
+        font=dict(color='#d1d4dc'),
+        hovermode='x unified',
+        dragmode='zoom'
+    )
+
+    fig.show()
+    if html_path:
+        fig.write_html(html_path)
+        logger.info(f"交互图已保存到: {html_path}")
+
+
+# ========================= 主程序 =========================
+if __name__ == '__main__':
+    # ==================== 配置参数 ====================
+    START_DATE = "2025-01-01"
+    END_DATE = "2025-12-31"
+    
+    # ==================== 生成日期列表 ====================
+    dates = []
+    if START_DATE and END_DATE:
+        start_dt = datetime.datetime.strptime(START_DATE, '%Y-%m-%d')
+        end_dt = datetime.datetime.strptime(END_DATE, '%Y-%m-%d')
+        
+        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"查询日期范围：{START_DATE} 到 {END_DATE}，共 {len(dates)} 天")
+
+    # ==================== 执行回测 ====================
+    trades, stats, all_data = backtest_one_third_strategy(dates)
+
+    # ==================== 输出结果 ====================
+    logger.info("===== 每笔交易详情 =====")
+
+    contract_size = 10000
+    open_fee_fixed = 5
+    close_fee_rate = 0.0005
+
+    total_points_profit = 0
+    total_money_profit = 0
+    total_fee = 0
+
+    for t in trades:
+        entry = t['entry']
+        exit_p = t['exit']
+        direction = t['direction']
+
+        point_diff = t['diff']
+        money_profit = point_diff / entry * contract_size
+        fee = open_fee_fixed + (contract_size / entry * exit_p * 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} "
+            f"入={entry:.2f} 出={exit_p:.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}"
+        )
+
+    # ==================== 汇总统计 ====================
+    total_net_profit = total_money_profit - total_fee
+    
+    print(f"\n{'='*60}")
+    print(f"【三分之一回归策略 回测结果】")
+    print(f"{'='*60}")
+    print(f"交易笔数：{len(trades)}")
+    print(f"总点差：{total_points_profit:.2f}")
+    print(f"总原始盈利：{total_money_profit:.2f}")
+    print(f"总手续费：{total_fee:.2f}")
+    print(f"总净利润：{total_net_profit:.2f}")
+    print(f"{'='*60}")
+
+    print("\n===== 方向统计 =====")
+    for k, v in stats.items():
+        count = v['count']
+        wins = v['wins']
+        total_p = 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"{v['name']}: 次数={count} 胜率={win_rate:.2f}% 总价差={total_p:.2f} 平均价差={avg_p:.2f}")
+
+    # ==================== 绘制图表 ====================
+    if trades and all_data:
+        # 如果数据太多，只绘制最近一部分（比如最近500根K线）
+        max_bars = 500
+        if len(all_data) > max_bars:
+            logger.info(f"数据量较大({len(all_data)}条)，只绘制最近 {max_bars} 根K线")
+            plot_data = all_data[-max_bars:]
+            # 过滤出在这个时间范围内的交易
+            min_time = datetime.datetime.fromtimestamp(plot_data[0]['id'] / 1000)
+            plot_trades_filtered = [t for t in trades if t['entry_time'] >= min_time]
+        else:
+            plot_data = all_data
+            plot_trades_filtered = trades
+        
+        save_path = os.path.join(SCRIPT_DIR, '回测图表.png')
+        plot_trades(plot_data, plot_trades_filtered, save_path=save_path)
+        # 交互式版本（TradingView风格）：支持时间区间/价格缩放
+        html_path = os.path.join(SCRIPT_DIR, '回测图表_交互式.html')
+        plot_trades_interactive(plot_data, plot_trades_filtered, html_path=html_path)