93 lines
3.6 KiB
Python
93 lines
3.6 KiB
Python
import csv
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from datetime import datetime, timezone
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import matplotlib.pyplot as plt
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# ---------------- 配置 ----------------
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CSV_FILE = "bitmart/kline_3.csv" # 你的 CSV 文件路径
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LEVERAGE = 100
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CAPITAL = 10000
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POSITION_RATIO = 0.01
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FEE_RATE = 0.00015
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# ---------------- 读取 CSV ----------------
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data = []
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with open(CSV_FILE, 'r') as f:
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reader = csv.DictReader(f)
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for row in reader:
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ts = int(row['id'])
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dt = datetime.fromtimestamp(ts, tz=timezone.utc)
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if dt.year == 2025 and dt.month == 1:
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data.append({
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'time': dt,
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'open': float(row['open']),
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'high': float(row['high']),
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'low': float(row['low']),
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'close': float(row['close']),
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})
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# ---------------- 识别交易信号 ----------------
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trades = []
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position_usdt = CAPITAL * POSITION_RATIO
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leveraged_position = position_usdt * LEVERAGE
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for i in range(len(data)-1):
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k1 = data[i]
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k2 = data[i+1]
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# 刺透形态（Piercing Line，多头）
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if k1['close'] < k1['open'] and k2['close'] > k2['open']:
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midpoint = (k1['open'] + k1['close']) / 2
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if k2['open'] < k1['close'] and k2['close'] > midpoint:
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trades.append({
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'方向': '多',
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'开仓时间': k2['time'],
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'开仓价格': k2['open'],
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'平仓时间': k2['time'],
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'平仓价格': k2['close']
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})
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# 乌云盖顶（Dark Cloud Cover，空头）
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elif k1['close'] > k1['open'] and k2['close'] < k2['open']:
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midpoint = (k1['open'] + k1['close']) / 2
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if k2['open'] > k1['close'] and k2['close'] < midpoint:
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trades.append({
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'方向': '空',
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'开仓时间': k2['time'],
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'开仓价格': k2['open'],
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'平仓时间': k2['time'],
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'平仓价格': k2['close']
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})
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# ---------------- 绘制 K 线图 ----------------
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plt.figure(figsize=(16,6))
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times = [k['time'] for k in data]
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opens = [k['open'] for k in data]
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closes = [k['close'] for k in data]
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highs = [k['high'] for k in data]
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lows = [k['low'] for k in data]
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# 绘制 K 线（用竖线表示最高最低价，用矩形表示开收盘价）
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for i in range(len(data)):
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color = 'green' if closes[i] >= opens[i] else 'red'
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plt.plot([times[i], times[i]], [lows[i], highs[i]], color='black') # 高低价
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plt.plot([times[i]-0.0005, times[i]+0.0005], [opens[i], opens[i]], color=color, linewidth=5) # 开盘价
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plt.plot([times[i]-0.0005, times[i]+0.0005], [closes[i], closes[i]], color=color, linewidth=5) # 收盘价
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# ---------------- 标注交易信号 ----------------
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for t in trades:
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if t['方向'] == '多':
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plt.scatter(t['开仓时间'], t['开仓价格'], color='green', marker='^', s=100, label='多开' if '多开' not in plt.gca().get_legend_handles_labels()[1] else "")
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plt.scatter(t['平仓时间'], t['平仓价格'], color='red', marker='v', s=100, label='多平' if '多平' not in plt.gca().get_legend_handles_labels()[1] else "")
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else:
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plt.scatter(t['开仓时间'], t['开仓价格'], color='red', marker='v', s=100, label='空开' if '空开' not in plt.gca().get_legend_handles_labels()[1] else "")
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plt.scatter(t['平仓时间'], t['平仓价格'], color='green', marker='^', s=100, label='空平' if '空平' not in plt.gca().get_legend_handles_labels()[1] else "")
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plt.xlabel('时间')
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plt.ylabel('价格(USDT)')
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plt.title('ETH 永续合约 1 月交易回测（刺透 & 乌云形态）')
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plt.legend()
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plt.grid(True)
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plt.gcf().autofmt_xdate()
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plt.show()
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