254 lines
9.9 KiB
Python
254 lines
9.9 KiB
Python
import datetime
|
||
|
||
import pandas as pd
|
||
import requests
|
||
from loguru import logger
|
||
|
||
|
||
# ================= 辅助函数 =================
|
||
|
||
def is_bullish(candle):
|
||
"""判断是否是阳线（开盘价 < 收盘价，即涨）"""
|
||
return float(candle['open']) < float(candle['close'])
|
||
|
||
|
||
def is_bearish(candle):
|
||
"""判断是否是阴线（开盘价 > 收盘价，即跌）"""
|
||
return float(candle['open']) > float(candle['close'])
|
||
|
||
|
||
def check_signal(prev, curr):
|
||
"""
|
||
判断是否出现包住形态，返回信号类型和方向：
|
||
1. 前跌后涨包住 -> 做多信号 (bear_bull_engulf)
|
||
2. 前涨后跌包住 -> 做空信号 (bull_bear_engulf)
|
||
3. 前涨后涨包住 -> 做多信号 (bull_bull_engulf)
|
||
4. 前跌后跌包住 -> 做空信号 (bear_bear_engulf)
|
||
"""
|
||
p_open, p_close = float(prev['open']), float(prev['close']) # 前一笔
|
||
c_open, c_close = float(curr['open']), float(curr['close']) # 当前一笔
|
||
|
||
# 情况1：前跌后涨，且涨线包住前跌线 -> 做多信号
|
||
if is_bullish(curr) and is_bearish(prev):
|
||
if c_open <= p_close and c_close >= p_open:
|
||
return "long", "bear_bull_engulf"
|
||
|
||
# 情况2：前涨后跌，且跌线包住前涨线 -> 做空信号
|
||
if is_bearish(curr) and is_bullish(prev):
|
||
if c_open >= p_close and c_close <= p_open:
|
||
return "short", "bull_bear_engulf"
|
||
|
||
# # 情况3：前涨后涨，且后涨线包住前涨线 -> 做多信号
|
||
# if is_bullish(curr) and is_bullish(prev):
|
||
# if c_open < p_open and c_close > p_close:
|
||
# return "long", "bull_bull_engulf"
|
||
|
||
# # 情况4：前跌后跌，且后跌线包住前跌线 -> 做空信号
|
||
# if is_bearish(curr) and is_bearish(prev):
|
||
# if c_open > p_open and c_close < p_close:
|
||
# return "short", "bear_bear_engulf"
|
||
|
||
return None, None
|
||
|
||
|
||
def simulate_trade(direction, entry_price, future_candles, take_profit_diff=30, stop_loss_diff=-10):
|
||
"""
|
||
模拟交易（逐根K线回测）
|
||
使用价差来控制止盈止损：
|
||
- 盈利达到 take_profit_diff 就止盈
|
||
- 亏损达到 stop_loss_diff 就止损
|
||
|
||
direction：信号类型
|
||
entry_price：开盘价格
|
||
future_candles：未来的行情数据
|
||
|
||
"""
|
||
|
||
for candle in future_candles:
|
||
high, low, close = float(candle['high']), float(candle['low']), float(candle['close'])
|
||
|
||
if direction == "long":
|
||
# 做多：检查最高价是否达到止盈，最低价是否触及止损
|
||
if high >= entry_price + take_profit_diff:
|
||
return entry_price + take_profit_diff, take_profit_diff, candle['id'] # 止盈
|
||
if low <= entry_price + stop_loss_diff:
|
||
return entry_price + stop_loss_diff, stop_loss_diff, candle['id'] # 止损
|
||
|
||
elif direction == "short":
|
||
# 做空：检查最低价是否达到止盈，最高价是否触及止损
|
||
if low <= entry_price - take_profit_diff:
|
||
return entry_price - take_profit_diff, take_profit_diff, candle['id'] # 止盈
|
||
if high >= entry_price - stop_loss_diff:
|
||
return entry_price - stop_loss_diff, stop_loss_diff, candle['id'] # 止损
|
||
|
||
# 如果未来都没触发，最后一根收盘平仓
|
||
final_price = float(future_candles[-1]['close'])
|
||
if direction == "long":
|
||
diff_money = final_price - entry_price
|
||
else:
|
||
diff_money = entry_price - final_price
|
||
|
||
return final_price, diff_money, future_candles[-1]['id']
|
||
|
||
|
||
if __name__ == '__main__':
|
||
|
||
zh_project = 0 # 累计盈亏
|
||
all_trades = [] # 保存所有交易明细
|
||
|
||
# 四种信号类型的统计
|
||
signal_stats = {
|
||
"bear_bull_engulf": {"count": 0, "wins": 0, "total_profit": 0, "name": "涨包跌"},
|
||
"bull_bear_engulf": {"count": 0, "wins": 0, "total_profit": 0, "name": "跌包涨"},
|
||
# "bull_bull_engulf": {"count": 0, "wins": 0, "total_profit": 0, "name": "涨包涨"},
|
||
# "bear_bear_engulf": {"count": 0, "wins": 0, "total_profit": 0, "name": "跌包跌"}
|
||
}
|
||
|
||
headers = {
|
||
'accept': 'application/json, text/plain, */*',
|
||
'accept-language': 'zh-CN,zh;q=0.9',
|
||
'appversion': '2.0.0',
|
||
'bundleid': '',
|
||
'cache-control': 'no-cache',
|
||
'language': 'zh_CN',
|
||
'origin': 'https://www.weeaxs.site',
|
||
'pragma': 'no-cache',
|
||
'priority': 'u=1, i',
|
||
'referer': 'https://www.weeaxs.site/',
|
||
'sec-ch-ua': '"Google Chrome";v="141", "Not?A_Brand";v="8", "Chromium";v="141"',
|
||
'sec-ch-ua-mobile': '?0',
|
||
'sec-ch-ua-platform': '"Windows"',
|
||
'sec-fetch-dest': 'empty',
|
||
'sec-fetch-mode': 'cors',
|
||
'sec-fetch-site': 'cross-site',
|
||
'sidecar': '0148e5be00be63a67540447fd47c4d0977aeb6aa56c3fde73f5841b534db3bf815',
|
||
'terminalcode': '4a2cc45598d8543222359a255cdbef17',
|
||
'terminaltype': '1',
|
||
'traceid': 'mgkm2gayjxzpnfjpuv',
|
||
'u-token': 'eyJhbGciOiJSUzI1NiJ9.eyJqdGkiOiI1NjBlNDg4Yy1jYzYxLTQzNTUtOTRjOC0yYWYwNTdkMGIyMzkxNDIyODc0MDY0IiwidWlkIjoidEQzQ1FIaFJUblVYcm5MNFNwckw3UT09Iiwic3ViIjoieXgyMDI1KioqKkBnbWFpbC5jb20iLCJpcCI6ImcwRzMydVRYUDF1ZGt3MjVFanZQenc9PSIsImRpZCI6Ii9DckplOTBGbURHREFCTnVzY0N5V0x0Nkk3R04yemRJS3RxZ0VPeU9HRk9nMk12cVptaUhFNmJ0YSt0OUgrcUEiLCJzdHMiOjAsImlhdCI6MTc2MDA4MDk5OSwiZXhwIjoxNzY3ODU2OTk5LCJwdXNoaWQiOiJvTmpMNm1ab2h4T203V3ZyZlIvcWdBPT0iLCJhdGwiOiIwIiwiaXNzIjoidXBleCJ9.64PHFr48cwtphejC-bFw8aLu9lx5jP81GBvrb0IHwBYM8EaWrcMU9VGT7zLL1mFYYUpedmTlS7EHzNvjuHNb8cUEEZGpAXKIGgQkyE48LrzhlQVASn3h0P7Wd9hWlLwcu1bOswo4Xgocecl0tpXaZVwAZccq4n13bqkEAouZLFM',
|
||
'user-agent': 'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/141.0.0.0 Safari/537.36',
|
||
'vs': 'v5b7p4i8zCMwEj9kSmzH7KMajbx3b6cS',
|
||
'x-sig': 'e178e9659b38b516ed81ad87a8c5e741',
|
||
'x-timestamp': '1760086517003',
|
||
}
|
||
|
||
datas = []
|
||
|
||
klineId = None
|
||
klineTime = None
|
||
for i in range(500):
|
||
|
||
print(i)
|
||
|
||
params = {
|
||
'languageType': '1',
|
||
'sign': 'SIGN',
|
||
'timeZone': 'string',
|
||
'contractId': '10000002',
|
||
'productCode': 'ethusdt',
|
||
'priceType': 'LAST_PRICE',
|
||
'klineType': 'MINUTE_15',
|
||
'limit': '200',
|
||
'nextKey.contractId': '10000002',
|
||
'nextKey.klineId': klineId if klineId else '6593862509827714',
|
||
'nextKey.klineTime': klineTime if klineTime else '1759851900000',
|
||
}
|
||
|
||
response = requests.get(
|
||
'https://http-gateway2.janapw.com/api/v1/public/quote/v1/getKlineV2',
|
||
params=params,
|
||
headers=headers
|
||
)
|
||
|
||
klineId = response.json()["data"]["nextKey"]["klineId"]
|
||
klineTime = response.json()["data"]["nextKey"]["klineTime"]
|
||
|
||
for data in response.json()["data"]["dataList"]:
|
||
# print(data)
|
||
|
||
datas.append(
|
||
{
|
||
"open": data[3],
|
||
"high": data[1],
|
||
"low": data[2],
|
||
"close": data[0],
|
||
"id": data[4],
|
||
}
|
||
)
|
||
# {'open': '4514.40', 'high': '4533.91', 'low': '4513.51', 'close': '4532.93', 'id': '1758003300000'}
|
||
datas = sorted(datas, key=lambda x: x["id"])
|
||
for data in datas:
|
||
print(data)
|
||
|
||
# 将列表转换为 DataFrame
|
||
df = pd.DataFrame(datas)
|
||
|
||
# 将 DataFrame 保存为 Excel 文件
|
||
df.to_excel('stock_data.xlsx', index=False)
|
||
|
||
print("数据已成功保存到 stock_data.xlsx 文件中。")
|
||
|
||
daily_signals = 0 # 信号总数
|
||
daily_wins = 0
|
||
daily_profit = 0 # 价差总和
|
||
|
||
# 遍历每根K线，寻找信号
|
||
for idx in range(1, len(datas) - 2): # 留出未来K线
|
||
prev, curr = datas[idx - 1], datas[idx] # 前一笔，当前一笔
|
||
entry_candle = datas[idx + 1] # 下一根开盘价作为入场价
|
||
future_candles = datas[idx + 2:] # 未来行情
|
||
|
||
entry_open = float(entry_candle['open']) # 开仓价格
|
||
direction, signal_type = check_signal(prev, curr) # 判断开仓方向和信号类型
|
||
|
||
if direction and signal_type:
|
||
daily_signals += 1
|
||
|
||
exit_price, diff, exit_time = simulate_trade(direction, entry_open, future_candles, take_profit_diff=30,
|
||
stop_loss_diff=-2)
|
||
|
||
# 统计该信号类型的表现
|
||
signal_stats[signal_type]["count"] += 1
|
||
signal_stats[signal_type]["total_profit"] += diff
|
||
if diff > 0:
|
||
signal_stats[signal_type]["wins"] += 1
|
||
daily_wins += 1
|
||
|
||
daily_profit += diff
|
||
|
||
# 将时间戳转换为本地时间
|
||
local_time = datetime.datetime.fromtimestamp(int(entry_candle['id']) / 1000)
|
||
formatted_time = local_time.strftime("%Y-%m-%d %H:%M:%S")
|
||
|
||
# 保存交易详情
|
||
all_trades.append(
|
||
(
|
||
f"{formatted_time}号",
|
||
"做多" if direction == "long" else "做空",
|
||
signal_stats[signal_type]["name"],
|
||
entry_open,
|
||
exit_price,
|
||
diff,
|
||
exit_time
|
||
)
|
||
)
|
||
|
||
# ===== 输出每笔交易详情 =====
|
||
logger.info("===== 每笔交易详情 =====")
|
||
n = n1 = 0 # n = 总盈利，n1 = 总手续费
|
||
for date, direction, signal_name, entry, exit, diff, end_time in all_trades:
|
||
profit_amount = diff / entry * 10000 # 计算盈利金额
|
||
close_fee = 10000 / entry * exit * 0.0005 # 平仓手续费
|
||
|
||
logger.info(
|
||
f"{date} {direction}({signal_name}) 入场={entry:.2f} 出场={exit:.2f} 出场时间={end_time} "
|
||
f"差价={diff:.2f} 盈利={profit_amount:.2f} "
|
||
f"开仓手续费=5u 平仓手续费={close_fee:.2f}"
|
||
)
|
||
n1 += 5 + close_fee
|
||
n += profit_amount
|
||
|
||
print(f'一共笔数：{len(all_trades)}')
|
||
print(f"一共盈利：{n:.2f}")
|
||
print(f'一共手续费：{n1:.2f}')
|