465 lines
19 KiB
Python
465 lines
19 KiB
Python
# -*- coding: utf-8 -*-
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"""
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自适应三分位趋势策略 - 回测引擎
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使用 Bitmart 方式获取数据（API 或 CSV），含硬止损、分批止盈、移动止损、时间止损
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"""
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import os
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import sys
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import csv
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import datetime
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from typing import List, Dict, Optional, Tuple
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# 使用 UTC 时区，避免 utcfromtimestamp 弃用警告
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def _utc_dt(ts):
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if hasattr(datetime, "timezone") and hasattr(datetime.timezone, "utc"):
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return datetime.datetime.fromtimestamp(ts, tz=datetime.timezone.utc)
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return datetime.datetime.utcfromtimestamp(ts)
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try:
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from loguru import logger
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except ImportError:
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import logging
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logger = logging.getLogger(__name__)
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ROOT_DIR = os.path.dirname(os.path.dirname(os.path.abspath(__file__)))
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if ROOT_DIR not in sys.path:
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sys.path.insert(0, ROOT_DIR)
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from adaptive_third_strategy.config import (
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STEP_5M,
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STEP_15M,
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STEP_60M,
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ATR_PERIOD,
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EMA_SHORT,
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EMA_MID_FAST,
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EMA_MID_SLOW,
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EMA_LONG_FAST,
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EMA_LONG_SLOW,
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STOP_LOSS_ATR_MULT,
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TIME_STOP_BARS,
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TRAIL_START_ATR,
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TRAIL_ATR_MULT,
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TP1_ATR,
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TP2_ATR,
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TP3_ATR,
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TP1_RATIO,
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TP2_RATIO,
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TP3_RATIO,
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MIN_BARS_SINCE_ENTRY,
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SAME_KLINE_NO_REVERSE,
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REVERSE_BREAK_MULT,
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REVERSE_LOSS_ATR,
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MAX_POSITION_PERCENT,
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BASE_POSITION_PERCENT,
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CONTRACT_SIZE,
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FEE_RATE,
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FEE_FIXED,
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FEE_FIXED_BACKTEST,
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MIN_BARS_BETWEEN_TRADES,
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SLIPPAGE_POINTS,
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)
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from adaptive_third_strategy.indicators import get_ema_atr_from_klines, align_higher_tf_ema
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from adaptive_third_strategy.strategy_core import (
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check_trigger,
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get_body_size,
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build_volume_ma,
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)
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from adaptive_third_strategy.data_fetcher import (
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fetch_multi_timeframe,
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load_klines_csv,
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save_klines_csv,
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)
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SCRIPT_DIR = os.path.dirname(os.path.abspath(__file__))
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def ensure_data(
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start_time: int,
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end_time: int,
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data_dir: str,
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use_api: bool = True,
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api_key: str = "",
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secret_key: str = "",
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) -> Tuple[List[Dict], List[Dict], List[Dict]]:
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"""
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确保有 5/15/60 分钟数据。若 data_dir 下已有 CSV 则加载，否则用 API 拉取并保存。
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use_api=False 时仅从 CSV 加载（需事先抓取）。
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"""
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data_dir = data_dir or os.path.join(SCRIPT_DIR, "data")
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os.makedirs(data_dir, exist_ok=True)
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paths = {
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5: os.path.join(data_dir, "kline_5m.csv"),
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15: os.path.join(data_dir, "kline_15m.csv"),
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60: os.path.join(data_dir, "kline_60m.csv"),
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}
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k5 = load_klines_csv(paths[5])
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k15 = load_klines_csv(paths[15])
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k60 = load_klines_csv(paths[60])
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need_fetch = not k5 or not k15 or not k60
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if need_fetch and use_api:
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from adaptive_third_strategy.data_fetcher import DEFAULT_API_KEY, DEFAULT_SECRET_KEY, DEFAULT_MEMO
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key = api_key or DEFAULT_API_KEY
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sec = secret_key or DEFAULT_SECRET_KEY
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data = fetch_multi_timeframe(start_time, end_time, [5, 15, 60], key, sec, DEFAULT_MEMO)
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k5, k15, k60 = data[5], data[15], data[60]
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for step, kl in [(5, k5), (15, k15), (60, k60)]:
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save_klines_csv(kl, paths[step])
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# 按时间范围过滤（end_time 若为次日 0 点则用 < 以只含 end 日及之前）
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k5 = [x for x in k5 if start_time <= x["id"] < end_time]
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k15 = [x for x in k15 if start_time <= x["id"] < end_time]
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k60 = [x for x in k60 if start_time <= x["id"] < end_time]
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k5.sort(key=lambda x: x["id"])
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k15.sort(key=lambda x: x["id"])
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k60.sort(key=lambda x: x["id"])
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return k5, k15, k60
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def run_backtest(
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klines_5m: List[Dict],
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klines_15m: List[Dict],
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klines_60m: List[Dict],
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initial_capital: float = 10000.0,
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use_stop_loss: bool = True,
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use_take_profit: bool = True,
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use_trailing_stop: bool = True,
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use_time_stop: bool = True,
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fixed_margin_usdt: Optional[float] = None,
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leverage: Optional[float] = None,
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deduct_fee: bool = True,
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) -> Tuple[List[Dict], Dict, List[Dict]]:
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"""
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回测主循环。
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- 若指定 fixed_margin_usdt 与 leverage，则每笔开仓名义价值 = fixed_margin_usdt * leverage（如 50U 一百倍 = 5000U）。
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- deduct_fee=False 时不扣手续费，总盈利 = 所有 money_pnl 之和。
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"""
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if len(klines_5m) < ATR_PERIOD + 50:
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logger.warning("5分钟K线数量不足")
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return [], {}, klines_5m
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ema_5m, atr_5m = get_ema_atr_from_klines(klines_5m, EMA_SHORT, ATR_PERIOD)
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ema_15m_align = align_higher_tf_ema(klines_5m, klines_15m, EMA_MID_FAST, EMA_MID_SLOW)
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ema_60m_align = align_higher_tf_ema(klines_5m, klines_60m, EMA_LONG_FAST, EMA_LONG_SLOW)
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volume_ma = build_volume_ma(klines_5m)
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trades: List[Dict] = []
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position: Optional[Dict] = None
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last_trade_bar_idx: Optional[int] = None
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last_close_bar_idx: Optional[int] = None
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equity_curve: List[float] = [initial_capital]
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capital = initial_capital
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# 每笔固定名义价值（USDT）：50U 一百倍 = 5000
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fixed_notional = (fixed_margin_usdt * leverage) if (fixed_margin_usdt is not None and leverage is not None) else None
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use_fee = deduct_fee
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fee_fixed = 0 if not use_fee else (FEE_FIXED_BACKTEST if FEE_FIXED_BACKTEST is not None else FEE_FIXED)
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def _size_usdt(cap: float) -> float:
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if fixed_notional is not None:
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return fixed_notional
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return min(cap * MAX_POSITION_PERCENT, cap * BASE_POSITION_PERCENT)
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def _fee(sz: float) -> float:
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return 0 if not use_fee else (fee_fixed + sz * FEE_RATE * 2)
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for idx in range(ATR_PERIOD, len(klines_5m)):
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just_reversed = False
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curr = klines_5m[idx]
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bar_id = curr["id"]
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high, low, close = float(curr["high"]), float(curr["low"]), float(curr["close"])
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atr_val = atr_5m[idx]
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if atr_val is None or atr_val <= 0:
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equity_curve.append(capital)
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continue
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# ---------- 持仓管理：止损 / 止盈 / 移动止损 / 时间止损 ----------
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if position is not None:
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pos_dir = position["direction"]
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entry_price = position["entry_price"]
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entry_idx = position["entry_bar_idx"]
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entry_atr = position["entry_atr"]
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stop_price = position.get("stop_price")
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trail_activated = position.get("trail_activated", False)
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exit_reason = None
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exit_price = close
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if pos_dir == "long":
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# 硬止损
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if use_stop_loss and stop_price is not None and low <= stop_price:
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exit_price = min(stop_price, high)
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exit_reason = "stop_loss"
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# 止盈（简化：首次触及任一目标即全平）
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elif use_take_profit:
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tp1 = entry_price + entry_atr * TP1_ATR
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tp2 = entry_price + entry_atr * TP2_ATR
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tp3 = entry_price + entry_atr * TP3_ATR
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if high >= tp3:
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exit_price = tp3
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exit_reason = "tp3"
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elif high >= tp2:
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exit_price = tp2
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exit_reason = "tp2"
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elif high >= tp1:
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exit_price = tp1
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exit_reason = "tp1"
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# 移动止损
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if use_trailing_stop and not exit_reason:
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if close >= entry_price + entry_atr * TRAIL_START_ATR:
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trail_activated = True
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position["trail_activated"] = True
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trail_stop = close - entry_atr * TRAIL_ATR_MULT
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if low <= trail_stop:
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exit_price = trail_stop
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exit_reason = "trail_stop"
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# 时间止损
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if use_time_stop and not exit_reason and (idx - entry_idx) >= TIME_STOP_BARS:
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if close <= entry_price:
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exit_price = close
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exit_reason = "time_stop"
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else:
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if use_stop_loss and stop_price is not None and high >= stop_price:
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exit_price = max(stop_price, low)
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exit_reason = "stop_loss"
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elif use_take_profit:
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tp1 = entry_price - entry_atr * TP1_ATR
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tp2 = entry_price - entry_atr * TP2_ATR
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tp3 = entry_price - entry_atr * TP3_ATR
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if low <= tp3:
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exit_price = tp3
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exit_reason = "tp3"
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elif low <= tp2:
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exit_price = tp2
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exit_reason = "tp2"
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elif low <= tp1:
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exit_price = tp1
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exit_reason = "tp1"
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if use_trailing_stop and not exit_reason:
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if close <= entry_price - entry_atr * TRAIL_START_ATR:
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trail_activated = True
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position["trail_activated"] = True
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trail_stop = close + entry_atr * TRAIL_ATR_MULT
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if high >= trail_stop:
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exit_price = trail_stop
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exit_reason = "trail_stop"
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if use_time_stop and not exit_reason and (idx - entry_idx) >= TIME_STOP_BARS:
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if close >= entry_price:
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exit_price = close
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exit_reason = "time_stop"
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if exit_reason:
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# 平仓
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if pos_dir == "long":
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point_pnl = exit_price - entry_price
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else:
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point_pnl = entry_price - exit_price
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size_usdt = position.get("size_usdt", _size_usdt(capital))
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contract_val = CONTRACT_SIZE / entry_price
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money_pnl = point_pnl / entry_price * size_usdt
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fee = _fee(size_usdt)
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net = money_pnl - fee
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capital += net
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trades.append({
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"direction": "做多" if pos_dir == "long" else "做空",
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"entry_time": _utc_dt(position["entry_time"]),
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"exit_time": _utc_dt(bar_id),
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"entry_price": entry_price,
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"exit_price": exit_price,
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"point_pnl": point_pnl,
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"money_pnl": money_pnl,
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"fee": fee,
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"net_profit": net,
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"exit_reason": exit_reason,
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"hold_bars": idx - entry_idx,
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})
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position = None
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last_close_bar_idx = idx
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equity_curve.append(capital)
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continue
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# ---------- 信号检测 ----------
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direction, trigger_price, valid_prev_idx, valid_prev = check_trigger(
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klines_5m, idx, atr_5m, ema_5m, ema_15m_align, ema_60m_align, volume_ma, use_confirm=True
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)
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if direction is None:
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equity_curve.append(capital)
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continue
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if SAME_KLINE_NO_REVERSE and last_trade_bar_idx == idx:
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equity_curve.append(capital)
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continue
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if position is not None:
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if direction == position["direction"]:
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equity_curve.append(capital)
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continue
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# 反手条件
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bars_since = idx - position["entry_bar_idx"]
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if bars_since < MIN_BARS_SINCE_ENTRY:
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equity_curve.append(capital)
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continue
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entry_atr_pos = position.get("entry_atr") or atr_val
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pos_loss_atr = (position["entry_price"] - close) / entry_atr_pos if position["direction"] == "long" else (close - position["entry_price"]) / entry_atr_pos
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if pos_loss_atr < REVERSE_LOSS_ATR:
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# 可选：反向突破幅度 > 实体/2 才反手
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equity_curve.append(capital)
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continue
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# 先平仓再开仓（下面统一开仓）
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# 简化：这里直接平仓记一笔，再开新仓
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exit_price = close
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if position["direction"] == "long":
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point_pnl = exit_price - position["entry_price"]
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else:
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point_pnl = position["entry_price"] - exit_price
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size_usdt = position.get("size_usdt", _size_usdt(capital))
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money_pnl = point_pnl / position["entry_price"] * size_usdt
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fee = _fee(size_usdt)
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net = money_pnl - fee
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capital += net
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trades.append({
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"direction": "做多" if position["direction"] == "long" else "做空",
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"entry_time": _utc_dt(position["entry_time"]),
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"exit_time": _utc_dt(bar_id),
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"entry_price": position["entry_price"],
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"exit_price": exit_price,
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"point_pnl": point_pnl,
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"money_pnl": money_pnl,
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"fee": fee,
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"net_profit": net,
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"exit_reason": "reverse",
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"hold_bars": idx - position["entry_bar_idx"],
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})
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position = None
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last_close_bar_idx = idx
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just_reversed = True
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# ---------- 开仓 ----------
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# 反手后本 K 线允许开仓；否则需间隔 MIN_BARS_BETWEEN_TRADES 根
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if not just_reversed and last_close_bar_idx is not None and (idx - last_close_bar_idx) < MIN_BARS_BETWEEN_TRADES:
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equity_curve.append(capital)
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continue
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just_reversed = False
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size_usdt = _size_usdt(capital)
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if size_usdt <= 0:
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equity_curve.append(capital)
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continue
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stop_price = None
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if direction == "long":
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stop_price = trigger_price - atr_val * STOP_LOSS_ATR_MULT
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else:
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stop_price = trigger_price + atr_val * STOP_LOSS_ATR_MULT
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position = {
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"direction": direction,
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"entry_price": trigger_price,
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"entry_time": bar_id,
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"entry_bar_idx": idx,
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"entry_atr": atr_val,
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"stop_price": stop_price,
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"size_usdt": size_usdt,
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"closed_ratio": 0,
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"trail_activated": False,
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}
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last_trade_bar_idx = idx
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equity_curve.append(capital)
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# 尾仓
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if position is not None:
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last_bar = klines_5m[-1]
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exit_price = float(last_bar["close"])
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pos_dir = position["direction"]
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entry_price = position["entry_price"]
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if pos_dir == "long":
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point_pnl = exit_price - entry_price
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else:
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point_pnl = entry_price - exit_price
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size_usdt = position.get("size_usdt", _size_usdt(capital))
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money_pnl = point_pnl / entry_price * size_usdt
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fee = _fee(size_usdt)
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net = money_pnl - fee
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capital += net
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trades.append({
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"direction": "做多" if pos_dir == "long" else "做空",
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"entry_time": _utc_dt(position["entry_time"]),
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"exit_time": _utc_dt(last_bar["id"]),
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"entry_price": entry_price,
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"exit_price": exit_price,
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"point_pnl": point_pnl,
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"money_pnl": money_pnl,
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"fee": fee,
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"net_profit": net,
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"exit_reason": "tail",
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"hold_bars": len(klines_5m) - 1 - position["entry_bar_idx"],
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})
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# 统计
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total_net = sum(t["net_profit"] for t in trades)
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total_gross = sum(t["money_pnl"] for t in trades)
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total_fee = sum(t["fee"] for t in trades)
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win_count = len([t for t in trades if t["net_profit"] > 0])
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stats = {
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"total_trades": len(trades),
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"win_count": win_count,
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"win_rate": (win_count / len(trades) * 100) if trades else 0,
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"total_gross_profit": total_gross,
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"total_fee": total_fee,
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"total_net_profit": total_net,
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"final_capital": capital,
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"max_drawdown": 0,
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"max_drawdown_pct": 0,
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}
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peak = initial_capital
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for eq in equity_curve:
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peak = max(peak, eq)
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dd = peak - eq
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if peak > 0:
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stats["max_drawdown"] = max(stats["max_drawdown"], dd)
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stats["max_drawdown_pct"] = max(stats["max_drawdown_pct"], dd / peak * 100)
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return trades, stats, klines_5m
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def main():
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import argparse
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parser = argparse.ArgumentParser(description="自适应三分位趋势策略回测")
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parser.add_argument("--start", default="2025-01-01", help="开始日期 YYYY-MM-DD")
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parser.add_argument("--end", default="2025-12-31", help="结束日期，默认 2025-12-31")
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parser.add_argument("--data-dir", default=None, help="数据目录，默认 adaptive_third_strategy/data")
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parser.add_argument("--no-api", action="store_true", help="不从 API 拉取，仅用本地 CSV")
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parser.add_argument("--capital", type=float, default=10000, help="初始资金（按比例开仓时用）")
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parser.add_argument("--fixed-margin", type=float, default=None, help="每笔固定保证金 USDT，如 50")
|
||
parser.add_argument("--leverage", type=float, default=None, help="杠杆倍数，如 100")
|
||
parser.add_argument("--no-fee", action="store_true", help="不扣手续费，只算总盈利")
|
||
args = parser.parse_args()
|
||
start_dt = datetime.datetime.strptime(args.start, "%Y-%m-%d")
|
||
if args.end:
|
||
end_dt = datetime.datetime.strptime(args.end, "%Y-%m-%d")
|
||
# 包含 end 日全天：取次日 0 点前一刻，这样 id < end_ts 的 K 线都含在内
|
||
end_ts = int((end_dt + datetime.timedelta(days=1)).timestamp())
|
||
else:
|
||
end_ts = int(datetime.datetime.utcnow().timestamp())
|
||
start_ts = int(start_dt.timestamp())
|
||
data_dir = args.data_dir or os.path.join(SCRIPT_DIR, "data")
|
||
k5, k15, k60 = ensure_data(start_ts, end_ts, data_dir, use_api=not args.no_api)
|
||
if not k5:
|
||
logger.error("无 5 分钟数据，请先抓取或开启 --api")
|
||
return
|
||
logger.info(f"5m={len(k5)} 15m={len(k15)} 60m={len(k60)}")
|
||
trades, stats, _ = run_backtest(
|
||
k5, k15, k60,
|
||
initial_capital=args.capital,
|
||
fixed_margin_usdt=args.fixed_margin,
|
||
leverage=args.leverage,
|
||
deduct_fee=not args.no_fee,
|
||
)
|
||
logger.info(f"交易笔数: {stats['total_trades']} 胜率: {stats['win_rate']:.2f}% "
|
||
f"总盈利(未扣费): {stats['total_gross_profit']:.2f} USDT "
|
||
f"总手续费: {stats['total_fee']:.2f} 总净利润: {stats['total_net_profit']:.2f} "
|
||
f"最大回撤: {stats['max_drawdown']:.2f} ({stats['max_drawdown_pct']:.2f}%)")
|
||
out_csv = os.path.join(SCRIPT_DIR, "backtest_trades.csv")
|
||
if trades:
|
||
with open(out_csv, "w", newline="", encoding="utf-8") as f:
|
||
w = csv.DictWriter(f, fieldnames=["direction", "entry_time", "exit_time", "entry_price", "exit_price", "point_pnl", "money_pnl", "fee", "net_profit", "exit_reason", "hold_bars"])
|
||
w.writeheader()
|
||
for t in trades:
|
||
w.writerow({k: str(v) if isinstance(v, datetime.datetime) else v for k, v in t.items()})
|
||
logger.info(f"交易记录已保存: {out_csv}")
|
||
|
||
|
||
if __name__ == "__main__":
|
||
main()
|