260 lines
10 KiB
Python
260 lines
10 KiB
Python
"""
|
||
量化交易回测系统 - 仅15分钟K线 & 信号续持/反手/单根反色平仓逻辑（完整版）
|
||
"""
|
||
|
||
import datetime
|
||
from dataclasses import dataclass
|
||
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): # 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（仅15分钟K线）：
|
||
- 前跌后涨包住 -> 做多
|
||
- 前涨后跌包住 -> 做空
|
||
"""
|
||
p_open, p_close = float(prev['open']), float(prev['close'])
|
||
c_open, c_close = float(curr['open']), float(curr['close'])
|
||
|
||
# 前跌后涨包住 -> 做多
|
||
if is_bullish(curr) and is_bearish(prev) and c_open <= p_close and c_close >= p_open:
|
||
return "long", "bear_bull_engulf"
|
||
|
||
# 前涨后跌包住 -> 做空
|
||
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 # 开仓信息
|
||
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
|
||
if current_position is None and 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']
|
||
}
|
||
stats[signal_key]['count'] += 1
|
||
idx += 1
|
||
continue
|
||
|
||
if current_position:
|
||
pos_dir = current_position['direction']
|
||
pos_sig_key = current_position['signal_key']
|
||
|
||
# 反向信号 -> 下一根开盘平仓 + 同价反手
|
||
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
|
||
|
||
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
|
||
idx += 1
|
||
continue
|
||
|
||
# 同向信号 -> 续持
|
||
if direction and direction == pos_dir:
|
||
idx += 1
|
||
continue
|
||
|
||
# 单根反色K线 -> 判断后续是否能组成信号
|
||
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 # 后续可组成信号，等待信号处理
|
||
|
||
# 否则按收盘价平仓
|
||
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（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}")
|
||
#
|
||
# print(dates)
|
||
|
||
dates = [f"2025-07-{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 # 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}")
|