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NewQuant/futures_trading_strategies/fu/TrendlineBreakoutStrategy/TrendlineHawkesStrategy.ipynb

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1、vp策略
2025-10-05 00:09:59 +08:00
{
"cells": [
{
"cell_type": "code",
"id": "522f09ca7b3fe929",
"metadata": {
"ExecuteTime": {
"end_time": "2025-09-28T08:05:18.621198Z",
"start_time": "2025-09-28T08:05:18.604793Z"
}
},
"source": [
"from datetime import datetime\n",
"\n",
"from src.data_processing import load_raw_data\n",
"%load_ext autoreload\n",
"%autoreload 2\n",
"\n",
"import sys\n",
"\n",
"if '/mnt/d/PyProject/NewQuant/' not in sys.path:\n",
" sys.path.append('/mnt/d/PyProject/NewQuant/')"
],
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"The autoreload extension is already loaded. To reload it, use:\n",
" %reload_ext autoreload\n"
]
}
],
"execution_count": 13
},
{
"cell_type": "code",
"id": "4f7e4b438cea750e",
"metadata": {
"ExecuteTime": {
"end_time": "2025-09-28T08:05:18.641528Z",
"start_time": "2025-09-28T08:05:18.627650Z"
}
},
"source": [
"from turtle import down\n",
"from src.analysis.result_analyzer import ResultAnalyzer\n",
"# 导入所有必要的模块\n",
"from src.data_manager import DataManager\n",
"from src.backtest_engine import BacktestEngine\n",
"from src.indicators.indicator_list import INDICATOR_LIST\n",
"from src.indicators.indicators import *\n",
"\n",
"# 导入您自己的 SMC 策略\n",
"from src.strategies.TrendlineBreakoutStrategy.TrendlineHawkesStrategyFast import TrendlineHawkesStrategy\n",
"\n",
"# --- 配置参数 ---\n",
"# 获取当前脚本所在目录，假设数据文件在项目根目录下的 data 文件夹内\n",
"data_file_path = '/mnt/d/PyProject/NewQuant/data/data/KQ_m@SHFE_fu/KQ_m@SHFE_fu_min15.csv'\n"
],
"outputs": [],
"execution_count": 14
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-09-28T08:05:18.659347Z",
"start_time": "2025-09-28T08:05:18.645701Z"
}
},
"cell_type": "code",
"source": [
"\n",
"initial_capital = 100000.0\n",
"slippage_rate = 0.000 # 假设每笔交易0.1%的滑点\n",
"commission_rate = 0.0000 # 假设每笔交易0.02%的佣金\n",
"\n",
"global_config = {\n",
" 'symbol': 'KQ_m@SHFE_fu', # 确保与数据文件中的 symbol 匹配\n",
"}\n",
"\n",
"# 回测时间范围\n",
"start_time = datetime(2021, 1, 1)\n",
"end_time = datetime(2024, 6, 1)\n",
"\n",
"start_time = datetime(2024, 1, 1)\n",
"end_time = datetime(2025, 8, 1)\n",
"\n",
"\n",
"indicators = INDICATOR_LIST\n",
"indicators = []\n",
"\n",
"# 确保 DataManager 能够重置以进行多次回测\n",
"# data_manager.reset() # 首次运行不需要重置"
],
"id": "9ee53c41eaaefabb",
"outputs": [],
"execution_count": 15
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-09-28T08:05:25.547251Z",
"start_time": "2025-09-28T08:05:18.665766Z"
}
},
"cell_type": "code",
"source": [
"from src.indicators.indicators import ROC_MA\n",
"\n",
"# --- 1. 初始化数据管理器 ---\n",
"print(\"初始化数据管理器...\")\n",
"data_manager = DataManager(file_path=data_file_path, symbol=global_config['symbol'], start_time=start_time,\n",
" end_time=end_time)\n",
"\n",
"strategy_parameters = {\n",
" 'main_symbol': 'fu', # <-- 替换为你的交易品种代码，例如 'GC=F' (黄金期货), 'ZC=F' (玉米期货)\n",
" 'trade_volume': 1,\n",
" 'trendline_n': 20,\n",
" 'hawkes_kappa': 0.1,\n",
" 'hawkes_entry_percent': 0.9,\n",
" 'order_direction': ['SELL', 'BUY'],\n",
" 'reverse_logic': True,\n",
" # 'indicators': [RateOfChange(10, -2.1, -0.5), ROC_MA(10, 10, -2.7, -0.4)],\n",
" 'enable_log': False\n",
"}\n",
"\n",
"\n",
"\n",
"# --- 2. 初始化回测引擎并运行 ---\n",
"print(\"\\n初始化回测引擎...\")\n",
"engine = BacktestEngine(\n",
" data_manager=data_manager,\n",
" strategy_class=TrendlineHawkesStrategy, # <--- 更改为您的 SMC 策略类\n",
" # current_segment_symbol 参数已从 SMCPureH1LongStrategy 中移除，不需要设置\n",
" strategy_params=strategy_parameters,\n",
" initial_capital=initial_capital,\n",
" slippage_rate=slippage_rate,\n",
" commission_rate=commission_rate,\n",
" roll_over_mode=True,\n",
" start_time=start_time,\n",
" end_time=end_time,\n",
" indicators=indicators # 如果您的 SMC 策略不使用这些指标，也可以考虑移除\n",
")\n",
"\n",
"print(\"\\n开始运行回测...\")\n",
"engine.run_backtest()\n",
"print(\"\\n回测运行完毕。\")\n",
"\n",
"# --- 3. 获取回测结果 ---\n",
"results = engine.get_backtest_results()\n",
"portfolio_snapshots = results[\"portfolio_snapshots\"]\n",
"trade_history = results[\"trade_history\"]\n",
"initial_capital_result = results[\"initial_capital\"]\n",
"bars = results[\"all_bars\"]\n",
"\n",
"# --- 4. 结果分析与可视化 ---\n",
"if portfolio_snapshots:\n",
" analyzer = ResultAnalyzer(portfolio_snapshots, trade_history, bars, initial_capital_result, INDICATOR_LIST)\n",
"\n",
" analyzer.generate_report()\n",
" analyzer.plot_performance()\n",
" metrics = analyzer.calculate_all_metrics()\n",
" print(metrics)\n",
"\n",
" analyzer.analyze_indicators()\n",
"else:\n",
" print(\"\\n没有生成投资组合快照，无法进行结果分析。\")"
],
"id": "f903fd2761d446cd",
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"初始化数据管理器...\n",
"数据加载成功: /mnt/d/PyProject/NewQuant/data/data/KQ_m@SHFE_fu/KQ_m@SHFE_fu_min15.csv\n",
"数据范围从 2020-12-31 14:45:00 到 2025-09-19 22:30:00\n",
"总计 26087 条记录。\n",
"\n",
"初始化回测引擎...\n",
"模拟器初始化：初始资金=100000.00, 滑点率=0.0, 佣金率=0.0\n",
"\n",
"--- 回测引擎初始化完成 ---\n",
" 策略: TrendlineHawkesStrategy\n",
" 初始资金: 100000.00\n",
" 换月模式: 启用\n",
"\n",
"开始运行回测...\n",
"\n",
"--- 回测开始 ---\n",
"TrendlineHawkesStrategy 策略初始化回调被调用。\n",
"开始将 DataFrame 转换为 Bar 对象流...\n",
"首次运行，正在初始化霍克斯状态和滚动窗口...\n",
"状态初始化完成。\n",
"Bar 对象流生成完毕。\n",
"\n",
"--- 回测结束，检查并平仓所有剩余持仓 ---\n",
"--- 回测结束 ---\n",
"总计处理了 8698 根K线。\n",
"总计发生了 214 笔交易。\n",
"最终总净值: 100446.00\n",
"总收益率: 0.45%\n",
"\n",
"回测运行完毕。\n",
"\n",
"--- 结果分析器初始化完成 ---\n",
"\n",
"--- 交易明细 ---\n",
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" 2024-05-06 09:15:00 | BUY | SHFE.fu2409 | Vol: 1 | Price: 3369.00 | Comm: 0.00\n",
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" 2024-05-10 09:15:00 | SELL | SHFE.fu2409 | Vol: 1 | Price: 3419.00 | Comm: 0.00\n",
" 2024-05-10 11:00:00 | CLOSE_SHORT | SHFE.fu2409 | Vol: 1 | Price: 3419.00 | Comm: 0.00 | PnL: 0.00\n",
" 2024-05-16 09:15:00 | SELL | SHFE.fu2409 | Vol: 1 | Price: 3353.00 | Comm: 0.00\n",
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" 2024-06-03 22:30:00 | BUY | SHFE.fu2409 | Vol: 1 | Price: 3364.00 | Comm: 0.00\n",
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" 2024-06-11 09:15:00 | SELL | SHFE.fu2409 | Vol: 1 | Price: 3414.00 | Comm: 0.00\n",
" 2024-06-11 14:15:00 | CLOSE_SHORT | SHFE.fu2409 | Vol: 1 | Price: 3390.00 | Comm: 0.00 | PnL: 24.00\n",
" 2024-06-14 09:15:00 | BUY | SHFE.fu2409 | Vol: 1 | Price: 3414.00 | Comm: 0.00\n",
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" 2024-06-14 21:45:00 | SELL | SHFE.fu2409 | Vol: 1 | Price: 3437.00 | Comm: 0.00\n",
" 2024-06-17 13:30:00 | CLOSE_SHORT | SHFE.fu2409 | Vol: 1 | Price: 3390.00 | Comm: 0.00 | PnL: 47.00\n",
" 2024-06-18 09:15:00 | SELL | SHFE.fu2409 | Vol: 1 | Price: 3451.00 | Comm: 0.00\n",
" 2024-06-18 11:00:00 | CLOSE_SHORT | SHFE.fu2409 | Vol: 1 | Price: 3447.00 | Comm: 0.00 | PnL: 4.00\n",
" 2024-06-18 22:00:00 | SELL | SHFE.fu2409 | Vol: 1 | Price: 3500.00 | Comm: 0.00\n",
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" 2024-06-26 22:45:00 | BUY | SHFE.fu2409 | Vol: 1 | Price: 3511.00 | Comm: 0.00\n",
" 2024-06-27 11:15:00 | CLOSE_LONG | SHFE.fu2409 | Vol: 1 | Price: 3530.00 | Comm: 0.00 | PnL: 19.00\n",
" 2024-07-02 09:15:00 | SELL | SHFE.fu2409 | Vol: 1 | Price: 3598.00 | Comm: 0.00\n",
" 2024-07-02 11:00:00 | CLOSE_SHORT | SHFE.fu2409 | Vol: 1 | Price: 3593.00 | Comm: 0.00 | PnL: 5.00\n",
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" 2024-07-11 09:15:00 | SELL | SHFE.fu2409 | Vol: 1 | Price: 3566.00 | Comm: 0.00\n",
" 2024-07-11 13:30:00 | CLOSE_SHORT | SHFE.fu2409 | Vol: 1 | Price: 3566.00 | Comm: 0.00 | PnL: 0.00\n",
" 2024-07-16 22:45:00 | SELL | SHFE.fu2409 | Vol: 1 | Price: 3504.00 | Comm: 0.00\n",
" 2024-07-17 14:15:00 | CLOSE_SHORT | SHFE.fu2409 | Vol: 1 | Price: 3486.00 | Comm: 0.00 | PnL: 18.00\n",
" 2024-07-18 09:15:00 | SELL | SHFE.fu2409 | Vol: 1 | Price: 3535.00 | Comm: 0.00\n",
" 2024-07-18 11:00:00 | CLOSE_SHORT | SHFE.fu2409 | Vol: 1 | Price: 3540.00 | Comm: 0.00 | PnL: -5.00\n",
" 2024-07-18 21:15:00 | BUY | SHFE.fu2409 | Vol: 1 | Price: 3541.00 | Comm: 0.00\n",
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" 2024-08-09 09:15:00 | SELL | SHFE.fu2409 | Vol: 1 | Price: 3279.00 | Comm: 0.00\n",
" 2024-08-09 10:45:00 | CLOSE_SHORT | SHFE.fu2409 | Vol: 1 | Price: 3293.00 | Comm: 0.00 | PnL: -14.00\n",
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" 2024-08-15 22:45:00 | SELL | SHFE.fu2411 | Vol: 1 | Price: 3165.00 | Comm: 0.00\n",
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" 2024-08-26 21:45:00 | SELL | SHFE.fu2411 | Vol: 1 | Price: 3131.00 | Comm: 0.00\n",
" 2024-08-27 10:30:00 | CLOSE_SHORT | SHFE.fu2411 | Vol: 1 | Price: 3101.00 | Comm: 0.00 | PnL: 30.00\n",
" 2024-08-29 22:00:00 | SELL | SHFE.fu2411 | Vol: 1 | Price: 3045.00 | Comm: 0.00\n",
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" 2024-08-30 21:15:00 | BUY | SHFE.fu2411 | Vol: 1 | Price: 2945.00 | Comm: 0.00\n",
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" 2024-09-10 22:15:00 | BUY | SHFE.fu2411 | Vol: 1 | Price: 2665.00 | Comm: 0.00\n",
" 2024-09-11 14:15:00 | CLOSE_LONG | SHFE.fu2411 | Vol: 1 | Price: 2718.00 | Comm: 0.00 | PnL: 53.00\n",
" 2024-09-20 10:00:00 | SELL | SHFE.fu2411 | Vol: 1 | Price: 2922.00 | Comm: 0.00\n",
" 2024-09-20 11:00:00 | CLOSE_SHORT | SHFE.fu2411 | Vol: 1 | Price: 2925.00 | Comm: 0.00 | PnL: -3.00\n",
" 2024-09-20 22:00:00 | BUY | SHFE.fu2411 | Vol: 1 | Price: 2911.00 | Comm: 0.00\n",
" 2024-09-20 22:45:00 | CLOSE_LONG | SHFE.fu2411 | Vol: 1 | Price: 2924.00 | Comm: 0.00 | PnL: 13.00\n",
" 2024-09-24 22:45:00 | BUY | SHFE.fu2411 | Vol: 1 | Price: 2883.00 | Comm: 0.00\n",
" 2024-09-26 13:30:00 | CLOSE_LONG | SHFE.fu2411 | Vol: 1 | Price: 2802.00 | Comm: 0.00 | PnL: -81.00\n",
" 2024-09-26 21:45:00 | BUY | SHFE.fu2411 | Vol: 1 | Price: 2711.00 | Comm: 0.00\n",
" 2024-09-27 09:45:00 | CLOSE_LONG | SHFE.fu2411 | Vol: 1 | Price: 2715.00 | Comm: 0.00 | PnL: 4.00\n",
" 2024-10-16 09:15:00 | SELL | SHFE.fu2501 | Vol: 1 | Price: 2984.00 | Comm: 0.00\n",
" 2024-10-16 11:00:00 | CLOSE_SHORT | SHFE.fu2501 | Vol: 1 | Price: 2981.00 | Comm: 0.00 | PnL: 3.00\n",
" 2024-10-17 22:00:00 | SELL | SHFE.fu2501 | Vol: 1 | Price: 3012.00 | Comm: 0.00\n",
" 2024-10-18 14:00:00 | CLOSE_SHORT | SHFE.fu2501 | Vol: 1 | Price: 3009.00 | Comm: 0.00 | PnL: 3.00\n",
" 2024-10-18 22:15:00 | BUY | SHFE.fu2501 | Vol: 1 | Price: 2959.00 | Comm: 0.00\n",
" 2024-10-21 11:15:00 | CLOSE_LONG | SHFE.fu2501 | Vol: 1 | Price: 2959.00 | Comm: 0.00 | PnL: 0.00\n",
" 2024-11-01 09:15:00 | SELL | SHFE.fu2501 | Vol: 1 | Price: 3039.00 | Comm: 0.00\n",
" 2024-11-01 13:45:00 | CLOSE_SHORT | SHFE.fu2501 | Vol: 1 | Price: 3040.00 | Comm: 0.00 | PnL: -1.00\n",
" 2024-11-05 21:15:00 | SELL | SHFE.fu2501 | Vol: 1 | Price: 3094.00 | Comm: 0.00\n",
" 2024-11-07 13:30:00 | CLOSE_SHORT | SHFE.fu2501 | Vol: 1 | Price: 3113.00 | Comm: 0.00 | PnL: -19.00\n",
" 2024-11-14 09:15:00 | SELL | SHFE.fu2501 | Vol: 1 | Price: 3113.00 | Comm: 0.00\n",
" 2024-11-14 11:15:00 | CLOSE_SHORT | SHFE.fu2501 | Vol: 1 | Price: 3117.00 | Comm: 0.00 | PnL: -4.00\n",
" 2024-11-14 21:15:00 | SELL | SHFE.fu2501 | Vol: 1 | Price: 3161.00 | Comm: 0.00\n",
" 2024-11-15 14:45:00 | CLOSE_SHORT | SHFE.fu2501 | Vol: 1 | Price: 3035.00 | Comm: 0.00 | PnL: 126.00\n",
" 2024-11-22 09:15:00 | SELL | SHFE.fu2501 | Vol: 1 | Price: 3156.00 | Comm: 0.00\n",
" 2024-11-22 11:00:00 | CLOSE_SHORT | SHFE.fu2501 | Vol: 1 | Price: 3156.00 | Comm: 0.00 | PnL: 0.00\n",
" 2024-11-22 22:15:00 | SELL | SHFE.fu2501 | Vol: 1 | Price: 3133.00 | Comm: 0.00\n",
" 2024-11-25 10:30:00 | CLOSE_SHORT | SHFE.fu2501 | Vol: 1 | Price: 3144.00 | Comm: 0.00 | PnL: -11.00\n",
" 2024-11-26 09:15:00 | BUY | SHFE.fu2501 | Vol: 1 | Price: 3089.00 | Comm: 0.00\n",
" 2024-11-26 11:15:00 | CLOSE_LONG | SHFE.fu2501 | Vol: 1 | Price: 3115.00 | Comm: 0.00 | PnL: 26.00\n",
" 2024-12-03 21:15:00 | SELL | SHFE.fu2503 | Vol: 1 | Price: 3140.00 | Comm: 0.00\n",
" 2024-12-04 13:30:00 | CLOSE_SHORT | SHFE.fu2503 | Vol: 1 | Price: 3149.00 | Comm: 0.00 | PnL: -9.00\n",
" 2024-12-05 09:15:00 | BUY | SHFE.fu2503 | Vol: 1 | Price: 3058.00 | Comm: 0.00\n",
" 2024-12-06 11:00:00 | CLOSE_LONG | SHFE.fu2503 | Vol: 1 | Price: 3056.00 | Comm: 0.00 | PnL: -2.00\n",
" 2024-12-12 09:15:00 | SELL | SHFE.fu2503 | Vol: 1 | Price: 3136.00 | Comm: 0.00\n",
" 2024-12-13 13:30:00 | CLOSE_SHORT | SHFE.fu2503 | Vol: 1 | Price: 3191.00 | Comm: 0.00 | PnL: -55.00\n",
" 2024-12-18 22:45:00 | SELL | SHFE.fu2503 | Vol: 1 | Price: 3245.00 | Comm: 0.00\n",
" 2024-12-19 11:15:00 | CLOSE_SHORT | SHFE.fu2503 | Vol: 1 | Price: 3230.00 | Comm: 0.00 | PnL: 15.00\n",
" 2024-12-20 09:15:00 | BUY | SHFE.fu2503 | Vol: 1 | Price: 3243.00 | Comm: 0.00\n",
" 2024-12-20 14:30:00 | CLOSE_LONG | SHFE.fu2503 | Vol: 1 | Price: 3238.00 | Comm: 0.00 | PnL: -5.00\n",
" 2024-12-26 21:15:00 | SELL | SHFE.fu2503 | Vol: 1 | Price: 3290.00 | Comm: 0.00\n",
" 2024-12-30 09:00:00 | CLOSE_SHORT | SHFE.fu2503 | Vol: 1 | Price: 3273.00 | Comm: 0.00 | PnL: 17.00\n",
" 2025-01-02 09:15:00 | SELL | SHFE.fu2503 | Vol: 1 | Price: 3337.00 | Comm: 0.00\n",
" 2025-01-02 10:45:00 | CLOSE_SHORT | SHFE.fu2503 | Vol: 1 | Price: 3333.00 | Comm: 0.00 | PnL: 4.00\n",
" 2025-01-08 21:45:00 | SELL | SHFE.fu2503 | Vol: 1 | Price: 3365.00 | Comm: 0.00\n",
" 2025-01-09 14:30:00 | CLOSE_SHORT | SHFE.fu2503 | Vol: 1 | Price: 3334.00 | Comm: 0.00 | PnL: 31.00\n",
" 2025-01-13 09:15:00 | SELL | SHFE.fu2503 | Vol: 1 | Price: 3624.00 | Comm: 0.00\n",
" 2025-01-13 11:00:00 | CLOSE_SHORT | SHFE.fu2503 | Vol: 1 | Price: 3625.00 | Comm: 0.00 | PnL: -1.00\n",
" 2025-01-20 09:15:00 | BUY | SHFE.fu2503 | Vol: 1 | Price: 3662.00 | Comm: 0.00\n",
" 2025-01-20 11:00:00 | CLOSE_LONG | SHFE.fu2503 | Vol: 1 | Price: 3641.00 | Comm: 0.00 | PnL: -21.00\n",
" 2025-01-24 09:15:00 | BUY | SHFE.fu2503 | Vol: 1 | Price: 3579.00 | Comm: 0.00\n",
" 2025-01-24 13:30:00 | CLOSE_LONG | SHFE.fu2503 | Vol: 1 | Price: 3594.00 | Comm: 0.00 | PnL: 15.00\n",
" 2025-02-10 09:15:00 | SELL | SHFE.fu2503 | Vol: 1 | Price: 3742.00 | Comm: 0.00\n",
" 2025-02-10 21:00:00 | CLOSE_SHORT | SHFE.fu2503 | Vol: 1 | Price: 3759.00 | Comm: 0.00 | PnL: -17.00\n",
" 2025-02-13 10:30:00 | BUY | SHFE.fu2505 | Vol: 1 | Price: 3466.00 | Comm: 0.00\n",
" 2025-02-14 11:00:00 | CLOSE_LONG | SHFE.fu2505 | Vol: 1 | Price: 3437.00 | Comm: 0.00 | PnL: -29.00\n",
" 2025-02-17 09:15:00 | BUY | SHFE.fu2505 | Vol: 1 | Price: 3386.00 | Comm: 0.00\n",
" 2025-02-17 10:45:00 | CLOSE_LONG | SHFE.fu2505 | Vol: 1 | Price: 3404.00 | Comm: 0.00 | PnL: 18.00\n",
" 2025-02-21 21:15:00 | SELL | SHFE.fu2505 | Vol: 1 | Price: 3426.00 | Comm: 0.00\n",
" 2025-02-25 11:00:00 | CLOSE_SHORT | SHFE.fu2505 | Vol: 1 | Price: 3339.00 | Comm: 0.00 | PnL: 87.00\n",
" 2025-03-03 09:15:00 | SELL | SHFE.fu2505 | Vol: 1 | Price: 3297.00 | Comm: 0.00\n",
" 2025-03-03 13:30:00 | CLOSE_SHORT | SHFE.fu2505 | Vol: 1 | Price: 3278.00 | Comm: 0.00 | PnL: 19.00\n",
" 2025-03-03 22:30:00 | BUY | SHFE.fu2505 | Vol: 1 | Price: 3240.00 | Comm: 0.00\n",
" 2025-03-05 11:00:00 | CLOSE_LONG | SHFE.fu2505 | Vol: 1 | Price: 3075.00 | Comm: 0.00 | PnL: -165.00\n",
" 2025-03-17 09:15:00 | SELL | SHFE.fu2505 | Vol: 1 | Price: 3157.00 | Comm: 0.00\n",
" 2025-03-18 09:45:00 | CLOSE_SHORT | SHFE.fu2505 | Vol: 1 | Price: 3151.00 | Comm: 0.00 | PnL: 6.00\n",
" 2025-03-21 09:15:00 | SELL | SHFE.fu2505 | Vol: 1 | Price: 3174.00 | Comm: 0.00\n",
" 2025-03-21 11:15:00 | CLOSE_SHORT | SHFE.fu2505 | Vol: 1 | Price: 3165.00 | Comm: 0.00 | PnL: 9.00\n",
" 2025-03-31 09:15:00 | BUY | SHFE.fu2505 | Vol: 1 | Price: 3191.00 | Comm: 0.00\n",
" 2025-03-31 11:15:00 | CLOSE_LONG | SHFE.fu2505 | Vol: 1 | Price: 3193.00 | Comm: 0.00 | PnL: 2.00\n",
" 2025-04-07 22:15:00 | SELL | SHFE.fu2505 | Vol: 1 | Price: 2999.00 | Comm: 0.00\n",
" 2025-04-08 14:15:00 | CLOSE_SHORT | SHFE.fu2505 | Vol: 1 | Price: 2958.00 | Comm: 0.00 | PnL: 41.00\n",
" 2025-04-09 21:15:00 | BUY | SHFE.fu2507 | Vol: 1 | Price: 2744.00 | Comm: 0.00\n",
" 2025-04-10 14:30:00 | CLOSE_LONG | SHFE.fu2507 | Vol: 1 | Price: 2895.00 | Comm: 0.00 | PnL: 151.00\n",
" 2025-04-16 21:15:00 | SELL | SHFE.fu2507 | Vol: 1 | Price: 2927.00 | Comm: 0.00\n",
" 2025-04-17 11:00:00 | CLOSE_SHORT | SHFE.fu2507 | Vol: 1 | Price: 2970.00 | Comm: 0.00 | PnL: -43.00\n",
" 2025-04-22 22:15:00 | SELL | SHFE.fu2507 | Vol: 1 | Price: 3017.00 | Comm: 0.00\n",
" 2025-04-23 11:00:00 | CLOSE_SHORT | SHFE.fu2507 | Vol: 1 | Price: 3041.00 | Comm: 0.00 | PnL: -24.00\n",
" 2025-04-23 22:15:00 | BUY | SHFE.fu2507 | Vol: 1 | Price: 2980.00 | Comm: 0.00\n",
" 2025-04-24 11:15:00 | CLOSE_LONG | SHFE.fu2507 | Vol: 1 | Price: 2978.00 | Comm: 0.00 | PnL: -2.00\n",
" 2025-04-29 09:00:00 | BUY | SHFE.fu2507 | Vol: 1 | Price: 2969.00 | Comm: 0.00\n",
" 2025-04-29 10:00:00 | CLOSE_LONG | SHFE.fu2507 | Vol: 1 | Price: 2977.00 | Comm: 0.00 | PnL: 8.00\n",
" 2025-05-16 09:15:00 | SELL | SHFE.fu2507 | Vol: 1 | Price: 3010.00 | Comm: 0.00\n",
" 2025-05-16 13:45:00 | CLOSE_SHORT | SHFE.fu2507 | Vol: 1 | Price: 3006.00 | Comm: 0.00 | PnL: 4.00\n",
" 2025-05-21 09:15:00 | SELL | SHFE.fu2507 | Vol: 1 | Price: 3084.00 | Comm: 0.00\n",
" 2025-05-22 11:00:00 | CLOSE_SHORT | SHFE.fu2507 | Vol: 1 | Price: 3036.00 | Comm: 0.00 | PnL: 48.00\n",
" 2025-05-28 09:15:00 | SELL | SHFE.fu2507 | Vol: 1 | Price: 3009.00 | Comm: 0.00\n",
" 2025-05-28 13:30:00 | CLOSE_SHORT | SHFE.fu2507 | Vol: 1 | Price: 2994.00 | Comm: 0.00 | PnL: 15.00\n",
" 2025-05-29 09:15:00 | SELL | SHFE.fu2507 | Vol: 1 | Price: 3077.00 | Comm: 0.00\n",
" 2025-05-29 13:30:00 | CLOSE_SHORT | SHFE.fu2507 | Vol: 1 | Price: 3060.00 | Comm: 0.00 | PnL: 17.00\n",
" 2025-05-29 21:15:00 | BUY | SHFE.fu2507 | Vol: 1 | Price: 2971.00 | Comm: 0.00\n",
" 2025-05-30 10:45:00 | CLOSE_LONG | SHFE.fu2507 | Vol: 1 | Price: 2925.00 | Comm: 0.00 | PnL: -46.00\n",
" 2025-06-11 09:15:00 | BUY | SHFE.fu2509 | Vol: 1 | Price: 2905.00 | Comm: 0.00\n",
" 2025-06-16 11:15:00 | CLOSE_LONG | SHFE.fu2509 | Vol: 1 | Price: 3271.00 | Comm: 0.00 | PnL: 366.00\n",
" 2025-06-16 22:00:00 | BUY | SHFE.fu2509 | Vol: 1 | Price: 3216.00 | Comm: 0.00\n",
" 2025-06-17 14:15:00 | CLOSE_LONG | SHFE.fu2509 | Vol: 1 | Price: 3262.00 | Comm: 0.00 | PnL: 46.00\n",
" 2025-06-18 22:30:00 | BUY | SHFE.fu2509 | Vol: 1 | Price: 3312.00 | Comm: 0.00\n",
" 2025-06-19 10:45:00 | CLOSE_LONG | SHFE.fu2509 | Vol: 1 | Price: 3337.00 | Comm: 0.00 | PnL: 25.00\n",
" 2025-06-24 09:15:00 | BUY | SHFE.fu2509 | Vol: 1 | Price: 3100.00 | Comm: 0.00\n",
" 2025-06-24 14:30:00 | CLOSE_LONG | SHFE.fu2509 | Vol: 1 | Price: 3065.00 | Comm: 0.00 | PnL: -35.00\n",
" 2025-07-01 22:15:00 | BUY | SHFE.fu2509 | Vol: 1 | Price: 2946.00 | Comm: 0.00\n",
" 2025-07-02 10:45:00 | CLOSE_LONG | SHFE.fu2509 | Vol: 1 | Price: 2959.00 | Comm: 0.00 | PnL: 13.00\n",
" 2025-07-02 21:15:00 | SELL | SHFE.fu2509 | Vol: 1 | Price: 2975.00 | Comm: 0.00\n",
" 2025-07-03 11:00:00 | CLOSE_SHORT | SHFE.fu2509 | Vol: 1 | Price: 2978.00 | Comm: 0.00 | PnL: -3.00\n",
" 2025-07-10 21:15:00 | BUY | SHFE.fu2509 | Vol: 1 | Price: 2917.00 | Comm: 0.00\n",
" 2025-07-11 21:00:00 | CLOSE_LONG | SHFE.fu2509 | Vol: 1 | Price: 2911.00 | Comm: 0.00 | PnL: -6.00\n",
" 2025-07-15 21:15:00 | SELL | SHFE.fu2509 | Vol: 1 | Price: 2873.00 | Comm: 0.00\n",
" 2025-07-16 10:00:00 | CLOSE_SHORT | SHFE.fu2509 | Vol: 1 | Price: 2880.00 | Comm: 0.00 | PnL: -7.00\n",
" 2025-07-18 09:45:00 | SELL | SHFE.fu2509 | Vol: 1 | Price: 2908.00 | Comm: 0.00\n",
" 2025-07-21 10:30:00 | CLOSE_SHORT | SHFE.fu2509 | Vol: 1 | Price: 2918.00 | Comm: 0.00 | PnL: -10.00\n",
" 2025-07-22 21:15:00 | BUY | SHFE.fu2509 | Vol: 1 | Price: 2872.00 | Comm: 0.00\n",
" 2025-07-23 14:30:00 | CLOSE_LONG | SHFE.fu2509 | Vol: 1 | Price: 2868.00 | Comm: 0.00 | PnL: -4.00\n",
" 2025-07-25 21:15:00 | BUY | SHFE.fu2509 | Vol: 1 | Price: 2893.00 | Comm: 0.00\n",
" 2025-07-28 13:30:00 | CLOSE_LONG | SHFE.fu2509 | Vol: 1 | Price: 2856.00 | Comm: 0.00 | PnL: -37.00\n",
"正在计算绩效指标...\n",
"total_return: 0.0044599999999999085, annualized_return:0.0019488080701568489, 252 / total_days:0.4375\n",
"绩效指标计算完成。\n",
"\n",
"--- 回测绩效报告 ---\n",
"初始资金 : 100000.00\n",
"最终资金 : 100446.00\n",
"总收益率 : 0.45%\n",
"年化收益率 : 0.19%\n",
"最大回撤 : 0.23%\n",
"夏普比率 : 0.16\n",
"卡玛比率 : 0.83\n",
"总交易次数 : 214\n",
"总实现盈亏 : 446.00\n",
"交易成本 : 0.00\n",
"\n",
"--- 交易详情 ---\n",
"盈利交易次数 : 53\n",
"亏损交易次数 : 48\n",
"胜率 : 52.48%\n",
"盈亏比 : 1.23\n",
"平均每次盈利 : 32.25\n",
"平均每次亏损 : -26.31\n",
"正在绘制绩效图表...\n"
]
},
{
"data": {
"text/plain": [
"<Figure size 1400x1000 with 2 Axes>"
],
"image/png": "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
},
"metadata": {},
"output_type": "display_data",
"jetTransient": {
"display_id": null
}
},
{
"data": {
"text/plain": [
"<Figure size 1400x700 with 1 Axes>"
],
"image/png": "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
},
"metadata": {},
"output_type": "display_data",
"jetTransient": {
"display_id": null
}
},
{
"name": "stdout",
"output_type": "stream",
"text": [
"图表绘制完成。\n",
"{'初始资金': 100000.0, '最终资金': np.float64(100446.0), '总收益率': np.float64(0.0044599999999999085), '年化收益率': np.float64(0.0019488080701568489), '最大回撤': np.float64(0.00234), '夏普比率': np.float64(0.16031741377507766), '卡玛比率': np.float64(0.832823961605491), '总交易次数': 214, '交易成本': 0.0, '总实现盈亏': 446.0, '胜率': 0.5247524752475248, '盈亏比': 1.225473938959351, '盈利交易次数': 53, '亏损交易次数': 48, '平均每次盈利': 32.24528301886792, '平均每次亏损': -26.3125, 'initial_capital': 100000.0, 'final_capital': np.float64(100446.0), 'total_return': np.float64(0.0044599999999999085), 'annualized_return': np.float64(0.0019488080701568489), 'max_drawdown': np.float64(0.00234), 'sharpe_ratio': np.float64(0.16031741377507766), 'calmar_ratio': np.float64(0.832823961605491), 'sortino_ratio': np.float64(0.10839128635753237), 'total_trades': 214, 'transaction_costs': 0.0, 'total_realized_pnl': 446.0, 'win_rate': 0.5247524752475248, 'profit_loss_ratio': 1.225473938959351, 'winning_trades_count': 53, 'losing_trades_count': 48, 'avg_profit_per_trade': 32.24528301886792, 'avg_loss_per_trade': -26.3125}\n",
"指标 'rsi_5' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'rsi_7' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'rsi_10' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'rsi_14' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'rsi_15' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'rsi_20' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'rsi_25' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'rsi_30' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'rsi_35' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'rsi_40' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'range_0' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'range_1' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'range_6' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'range_13' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'range_20' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'stoch_k_14_3' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'stoch_k_5_3' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'stoch_k_21_5' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'roc_5' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'roc_10' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'roc_15' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'roc_20' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'roc_ma_5_5' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'roc_ma_5_10' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'roc_ma_10_10' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'roc_ma_10_20' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'roc_ma_20_20' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'roc_ma_20_40' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'natr_5' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'natr_14' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'natr_21' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'adx_7' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'adx_14' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'adx_30' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'adx_60' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'adx_120' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'adx_240' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'bbw_10_15' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'bbw_20_20' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'bbw_50_25' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'price_range_to_vol_ratio_n3_atr5' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'price_range_to_vol_ratio_n3_atr14' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'price_range_to_vol_ratio_n3_atr21' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'price_range_to_vol_ratio_n7_atr5' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'price_range_to_vol_ratio_n7_atr14' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'price_range_to_vol_ratio_n7_atr21' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'price_range_to_vol_ratio_n21_atr5' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'price_range_to_vol_ratio_n21_atr14' 没有对应的有效平仓交易数据。跳过绘图。\n",
"指标 'price_range_to_vol_ratio_n21_atr21' 没有对应的有效平仓交易数据。跳过绘图。\n",
"\n",
"所有指标的分析图表已生成。\n"
]
}
],
"execution_count": 16
}
],
"metadata": {
"kernelspec": {
"display_name": "quant",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.12.11"
}
},
"nbformat": 4,
"nbformat_minor": 5
}
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