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NewQuant/futures_trading_strategies/SA/TrendlineBreakoutStrategy/AtrVol/DualModeTrendlineHawkesStrategy.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": "2025-09-28T13:54:02.704361Z",
"start_time": "2025-09-28T13:54:02.537880Z"
}
},
"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": [],
"execution_count": 1
},
{
"cell_type": "code",
"id": "4f7e4b438cea750e",
"metadata": {
"ExecuteTime": {
"end_time": "2025-09-28T13:54:02.957623Z",
"start_time": "2025-09-28T13:54:02.709714Z"
}
},
"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.AtrVol.DualModeTrendlineHawkesStrategy import \\\n",
" DualModeTrendlineHawkesStrategy\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@CZCE_SA/KQ_m@CZCE_SA_min15.csv'\n"
],
"outputs": [],
"execution_count": 2
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-09-28T13:54:03.006778Z",
"start_time": "2025-09-28T13:54:02.962199Z"
}
},
"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@CZCE_SA', # 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",
"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": 3
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-09-28T13:54:12.757390Z",
"start_time": "2025-09-28T13:54:03.011272Z"
}
},
"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': 'SA', # <-- 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",
" # 'indicators': [RateOfChange(10, -2.1, -0.5), ROC_MA(10, 10, -2.7, -0.4)],\n",
" 'enable_log': False,\n",
" 'trend_params': {\n",
" \"trendline_n\": 70,\n",
" \"hawkes_kappa\": 0.3,\n",
" 'trade_volume': 1,\n",
" },\n",
" 'reversion_params': {\n",
" \"trendline_n\": 10,\n",
" \"hawkes_kappa\": 0.1,\n",
" 'trade_volume': 1,\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=DualModeTrendlineHawkesStrategy, # <--- 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@CZCE_SA/KQ_m@CZCE_SA_min15.csv\n",
"数据范围从 2020-12-31 14:45:00 到 2025-08-26 13:45:00\n",
"总计 25662 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: DualModeTrendlineHawkesStrategy\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",
"DualModeTrendlineHawkesStrategy 策略初始化回调被调用。\n",
"开始将 DataFrame 转换为 Bar 对象流...\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 194 笔交易。\n",
"最终总净值: 99867.00\n",
"总收益率: -0.13%\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",
" 2024-01-09 21:15:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1896.00 | Comm: 0.00\n",
" 2024-01-10 11:00:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1873.00 | Comm: 0.00 | PnL: 23.00\n",
" 2024-01-15 09:15:00 | BUY | CZCE.SA405 | Vol: 1 | Price: 1852.00 | Comm: 0.00\n",
" 2024-01-15 10:45:00 | CLOSE_LONG | CZCE.SA405 | Vol: 1 | Price: 1840.00 | Comm: 0.00 | PnL: -12.00\n",
" 2024-01-15 21:15:00 | BUY | CZCE.SA405 | Vol: 1 | Price: 1873.00 | Comm: 0.00\n",
" 2024-01-16 22:30:00 | CLOSE_LONG | CZCE.SA405 | Vol: 1 | Price: 1939.00 | Comm: 0.00 | PnL: 66.00\n",
" 2024-01-22 09:00:00 | BUY | CZCE.SA405 | Vol: 1 | Price: 1965.00 | Comm: 0.00\n",
" 2024-01-22 22:30:00 | CLOSE_LONG | CZCE.SA405 | Vol: 1 | Price: 2066.00 | Comm: 0.00 | PnL: 101.00\n",
" 2024-01-25 21:15:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 2035.00 | Comm: 0.00\n",
" 2024-01-26 09:45:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 2030.00 | Comm: 0.00 | PnL: 5.00\n",
" 2024-01-30 14:00:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1954.00 | Comm: 0.00\n",
" 2024-01-30 22:30:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1944.00 | Comm: 0.00 | PnL: 10.00\n",
" 2024-02-02 14:30:00 | BUY | CZCE.SA405 | Vol: 1 | Price: 1984.00 | Comm: 0.00\n",
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" 2024-02-19 09:15:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1866.00 | Comm: 0.00\n",
" 2024-02-19 13:30:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1847.00 | Comm: 0.00 | PnL: 19.00\n",
" 2024-02-29 13:30:00 | BUY | CZCE.SA405 | Vol: 1 | Price: 1794.00 | Comm: 0.00\n",
" 2024-02-29 21:45:00 | CLOSE_LONG | CZCE.SA405 | Vol: 1 | Price: 1790.00 | Comm: 0.00 | PnL: -4.00\n",
" 2024-03-11 09:30:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1884.00 | Comm: 0.00\n",
" 2024-03-11 11:15:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1893.00 | Comm: 0.00 | PnL: -9.00\n",
" 2024-03-13 21:30:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1849.00 | Comm: 0.00\n",
" 2024-03-14 10:00:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1841.00 | Comm: 0.00 | PnL: 8.00\n",
" 2024-03-18 09:45:00 | BUY | CZCE.SA405 | Vol: 1 | Price: 1809.00 | Comm: 0.00\n",
" 2024-03-18 11:00:00 | CLOSE_LONG | CZCE.SA405 | Vol: 1 | Price: 1803.00 | Comm: 0.00 | PnL: -6.00\n",
" 2024-03-25 21:45:00 | BUY | CZCE.SA409 | Vol: 1 | Price: 1772.00 | Comm: 0.00\n",
" 2024-03-25 22:45:00 | CLOSE_LONG | CZCE.SA409 | Vol: 1 | Price: 1775.00 | Comm: 0.00 | PnL: 3.00\n",
" 2024-03-29 21:00:00 | BUY | CZCE.SA409 | Vol: 1 | Price: 1784.00 | Comm: 0.00\n",
" 2024-04-01 09:45:00 | CLOSE_LONG | CZCE.SA409 | Vol: 1 | Price: 1751.00 | Comm: 0.00 | PnL: -33.00\n",
" 2024-04-12 21:30:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1932.00 | Comm: 0.00\n",
" 2024-04-15 11:00:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1924.00 | Comm: 0.00 | PnL: 8.00\n",
" 2024-04-17 13:45:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1907.00 | Comm: 0.00\n",
" 2024-04-17 21:00:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1937.00 | Comm: 0.00 | PnL: -30.00\n",
" 2024-04-24 21:15:00 | BUY | CZCE.SA409 | Vol: 1 | Price: 2184.00 | Comm: 0.00\n",
" 2024-04-25 14:00:00 | CLOSE_LONG | CZCE.SA409 | Vol: 1 | Price: 2262.00 | Comm: 0.00 | PnL: 78.00\n",
" 2024-05-06 09:15:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2206.00 | Comm: 0.00\n",
" 2024-05-06 14:45:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2240.00 | Comm: 0.00 | PnL: -34.00\n",
" 2024-05-14 14:45:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2136.00 | Comm: 0.00\n",
" 2024-05-15 09:00:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2115.00 | Comm: 0.00 | PnL: 21.00\n",
" 2024-05-22 21:15:00 | BUY | CZCE.SA409 | Vol: 1 | Price: 2408.00 | Comm: 0.00\n",
" 2024-05-23 09:15:00 | CLOSE_LONG | CZCE.SA409 | Vol: 1 | Price: 2369.00 | Comm: 0.00 | PnL: -39.00\n",
" 2024-05-28 22:00:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2341.00 | Comm: 0.00\n",
" 2024-05-29 09:15:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2352.00 | Comm: 0.00 | PnL: -11.00\n",
" 2024-05-29 21:30:00 | BUY | CZCE.SA409 | Vol: 1 | Price: 2438.00 | Comm: 0.00\n",
" 2024-05-29 22:45:00 | CLOSE_LONG | CZCE.SA409 | Vol: 1 | Price: 2426.00 | Comm: 0.00 | PnL: -12.00\n",
" 2024-06-04 21:15:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2185.00 | Comm: 0.00\n",
" 2024-06-05 09:15:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2227.00 | Comm: 0.00 | PnL: -42.00\n",
" 2024-06-06 22:30:00 | BUY | CZCE.SA409 | Vol: 1 | Price: 2260.00 | Comm: 0.00\n",
" 2024-06-07 14:00:00 | CLOSE_LONG | CZCE.SA409 | Vol: 1 | Price: 2244.00 | Comm: 0.00 | PnL: -16.00\n",
" 2024-06-12 21:45:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2144.00 | Comm: 0.00\n",
" 2024-06-13 10:45:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2143.00 | Comm: 0.00 | PnL: 1.00\n",
" 2024-06-14 13:45:00 | BUY | CZCE.SA409 | Vol: 1 | Price: 2154.00 | Comm: 0.00\n",
" 2024-06-17 10:30:00 | CLOSE_LONG | CZCE.SA409 | Vol: 1 | Price: 2142.00 | Comm: 0.00 | PnL: -12.00\n",
" 2024-07-01 09:15:00 | BUY | CZCE.SA409 | Vol: 1 | Price: 2105.00 | Comm: 0.00\n",
" 2024-07-01 14:30:00 | CLOSE_LONG | CZCE.SA409 | Vol: 1 | Price: 2119.00 | Comm: 0.00 | PnL: 14.00\n",
" 2024-07-03 21:00:00 | BUY | CZCE.SA409 | Vol: 1 | Price: 2219.00 | Comm: 0.00\n",
" 2024-07-03 22:30:00 | CLOSE_LONG | CZCE.SA409 | Vol: 1 | Price: 2218.00 | Comm: 0.00 | PnL: -1.00\n",
" 2024-07-04 14:45:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2209.00 | Comm: 0.00\n",
" 2024-07-05 14:15:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2134.00 | Comm: 0.00 | PnL: 75.00\n",
" 2024-07-08 09:00:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2111.00 | Comm: 0.00\n",
" 2024-07-08 11:15:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2081.00 | Comm: 0.00 | PnL: 30.00\n",
" 2024-07-10 11:15:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1989.00 | Comm: 0.00\n",
" 2024-07-10 22:30:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1954.00 | Comm: 0.00 | PnL: 35.00\n",
" 2024-07-12 22:45:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1955.00 | Comm: 0.00\n",
" 2024-07-15 09:45:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1989.00 | Comm: 0.00 | PnL: -34.00\n",
" 2024-07-17 14:30:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1908.00 | Comm: 0.00\n",
" 2024-07-17 22:30:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1928.00 | Comm: 0.00 | PnL: -20.00\n",
" 2024-07-18 21:30:00 | BUY | CZCE.SA409 | Vol: 1 | Price: 1964.00 | Comm: 0.00\n",
" 2024-07-19 09:45:00 | CLOSE_LONG | CZCE.SA409 | Vol: 1 | Price: 1944.00 | Comm: 0.00 | PnL: -20.00\n",
" 2024-07-25 21:15:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1874.00 | Comm: 0.00\n",
" 2024-07-26 10:45:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1876.00 | Comm: 0.00 | PnL: -2.00\n",
" 2024-08-02 21:00:00 | BUY | CZCE.SA409 | Vol: 1 | Price: 1808.00 | Comm: 0.00\n",
" 2024-08-02 22:15:00 | CLOSE_LONG | CZCE.SA409 | Vol: 1 | Price: 1807.00 | Comm: 0.00 | PnL: -1.00\n",
" 2024-08-14 10:00:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1587.00 | Comm: 0.00\n",
" 2024-08-14 14:45:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1556.00 | Comm: 0.00 | PnL: 31.00\n",
" 2024-08-15 21:30:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1592.00 | Comm: 0.00\n",
" 2024-08-15 22:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1586.00 | Comm: 0.00 | PnL: 6.00\n",
" 2024-08-27 21:15:00 | BUY | CZCE.SA501 | Vol: 1 | Price: 1625.00 | Comm: 0.00\n",
" 2024-08-27 22:00:00 | CLOSE_LONG | CZCE.SA501 | Vol: 1 | Price: 1619.00 | Comm: 0.00 | PnL: -6.00\n",
" 2024-09-05 09:15:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1464.00 | Comm: 0.00\n",
" 2024-09-05 11:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1454.00 | Comm: 0.00 | PnL: 10.00\n",
" 2024-09-23 22:45:00 | BUY | CZCE.SA501 | Vol: 1 | Price: 1379.00 | Comm: 0.00\n",
" 2024-09-25 13:30:00 | CLOSE_LONG | CZCE.SA501 | Vol: 1 | Price: 1519.00 | Comm: 0.00 | PnL: 140.00\n",
" 2024-10-08 09:15:00 | BUY | CZCE.SA501 | Vol: 1 | Price: 1683.00 | Comm: 0.00\n",
" 2024-10-08 10:30:00 | CLOSE_LONG | CZCE.SA501 | Vol: 1 | Price: 1590.00 | Comm: 0.00 | PnL: -93.00\n",
" 2024-10-08 11:00:00 | BUY | CZCE.SA501 | Vol: 1 | Price: 1580.00 | Comm: 0.00\n",
" 2024-10-08 14:45:00 | CLOSE_LONG | CZCE.SA501 | Vol: 1 | Price: 1505.00 | Comm: 0.00 | PnL: -75.00\n",
" 2024-10-11 21:30:00 | BUY | CZCE.SA501 | Vol: 1 | Price: 1524.00 | Comm: 0.00\n",
" 2024-10-14 14:30:00 | CLOSE_LONG | CZCE.SA501 | Vol: 1 | Price: 1533.00 | Comm: 0.00 | PnL: 9.00\n",
" 2024-10-21 22:45:00 | BUY | CZCE.SA501 | Vol: 1 | Price: 1514.00 | Comm: 0.00\n",
" 2024-10-22 22:30:00 | CLOSE_LONG | CZCE.SA501 | Vol: 1 | Price: 1528.00 | Comm: 0.00 | PnL: 14.00\n",
" 2024-10-25 21:45:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1510.00 | Comm: 0.00\n",
" 2024-10-28 10:00:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1539.00 | Comm: 0.00 | PnL: -29.00\n",
" 2024-11-08 09:00:00 | BUY | CZCE.SA501 | Vol: 1 | Price: 1561.00 | Comm: 0.00\n",
" 2024-11-08 10:45:00 | CLOSE_LONG | CZCE.SA501 | Vol: 1 | Price: 1536.00 | Comm: 0.00 | PnL: -25.00\n",
" 2024-11-11 10:00:00 | BUY | CZCE.SA501 | Vol: 1 | Price: 1463.00 | Comm: 0.00\n",
" 2024-11-11 13:30:00 | CLOSE_LONG | CZCE.SA501 | Vol: 1 | Price: 1471.00 | Comm: 0.00 | PnL: 8.00\n",
" 2024-11-15 09:00:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1500.00 | Comm: 0.00\n",
" 2024-11-15 10:30:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1500.00 | Comm: 0.00 | PnL: 0.00\n",
" 2024-11-15 21:00:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1469.00 | Comm: 0.00\n",
" 2024-11-15 22:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1473.00 | Comm: 0.00 | PnL: -4.00\n",
" 2024-11-21 09:30:00 | BUY | CZCE.SA501 | Vol: 1 | Price: 1485.00 | Comm: 0.00\n",
" 2024-11-21 22:00:00 | CLOSE_LONG | CZCE.SA501 | Vol: 1 | Price: 1495.00 | Comm: 0.00 | PnL: 10.00\n",
" 2024-11-22 22:15:00 | BUY | CZCE.SA501 | Vol: 1 | Price: 1521.00 | Comm: 0.00\n",
" 2024-11-25 09:45:00 | CLOSE_LONG | CZCE.SA501 | Vol: 1 | Price: 1502.00 | Comm: 0.00 | PnL: -19.00\n",
" 2024-11-27 21:15:00 | BUY | CZCE.SA501 | Vol: 1 | Price: 1491.00 | Comm: 0.00\n",
" 2024-11-28 10:45:00 | CLOSE_LONG | CZCE.SA501 | Vol: 1 | Price: 1485.00 | Comm: 0.00 | PnL: -6.00\n",
" 2024-12-04 21:15:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1426.00 | Comm: 0.00\n",
" 2024-12-04 22:30:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1423.00 | Comm: 0.00 | PnL: 3.00\n",
" 2024-12-09 21:15:00 | BUY | CZCE.SA501 | Vol: 1 | Price: 1464.00 | Comm: 0.00\n",
" 2024-12-10 10:00:00 | CLOSE_LONG | CZCE.SA501 | Vol: 1 | Price: 1449.00 | Comm: 0.00 | PnL: -15.00\n",
" 2024-12-12 21:15:00 | BUY | CZCE.SA505 | Vol: 1 | Price: 1509.00 | Comm: 0.00\n",
" 2024-12-13 11:15:00 | CLOSE_LONG | CZCE.SA505 | Vol: 1 | Price: 1492.00 | Comm: 0.00 | PnL: -17.00\n",
" 2024-12-13 21:15:00 | BUY | CZCE.SA505 | Vol: 1 | Price: 1478.00 | Comm: 0.00\n",
" 2024-12-16 09:00:00 | CLOSE_LONG | CZCE.SA505 | Vol: 1 | Price: 1462.00 | Comm: 0.00 | PnL: -16.00\n",
" 2024-12-24 09:15:00 | BUY | CZCE.SA505 | Vol: 1 | Price: 1458.00 | Comm: 0.00\n",
" 2024-12-24 13:30:00 | CLOSE_LONG | CZCE.SA505 | Vol: 1 | Price: 1463.00 | Comm: 0.00 | PnL: 5.00\n",
" 2024-12-27 21:30:00 | BUY | CZCE.SA505 | Vol: 1 | Price: 1449.00 | Comm: 0.00\n",
" 2024-12-27 22:45:00 | CLOSE_LONG | CZCE.SA505 | Vol: 1 | Price: 1446.00 | Comm: 0.00 | PnL: -3.00\n",
" 2024-12-30 21:15:00 | BUY | CZCE.SA505 | Vol: 1 | Price: 1440.00 | Comm: 0.00\n",
" 2024-12-30 22:30:00 | CLOSE_LONG | CZCE.SA505 | Vol: 1 | Price: 1444.00 | Comm: 0.00 | PnL: 4.00\n",
" 2024-12-31 13:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1439.00 | Comm: 0.00\n",
" 2025-01-02 11:00:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1454.00 | Comm: 0.00 | PnL: -15.00\n",
" 2025-01-08 14:45:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1391.00 | Comm: 0.00\n",
" 2025-01-09 09:45:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1391.00 | Comm: 0.00 | PnL: 0.00\n",
" 2025-01-10 22:00:00 | BUY | CZCE.SA505 | Vol: 1 | Price: 1419.00 | Comm: 0.00\n",
" 2025-01-13 11:15:00 | CLOSE_LONG | CZCE.SA505 | Vol: 1 | Price: 1424.00 | Comm: 0.00 | PnL: 5.00\n",
" 2025-01-22 21:15:00 | BUY | CZCE.SA505 | Vol: 1 | Price: 1498.00 | Comm: 0.00\n",
" 2025-01-23 11:15:00 | CLOSE_LONG | CZCE.SA505 | Vol: 1 | Price: 1490.00 | Comm: 0.00 | PnL: -8.00\n",
" 2025-02-13 09:30:00 | BUY | CZCE.SA505 | Vol: 1 | Price: 1459.00 | Comm: 0.00\n",
" 2025-02-13 14:15:00 | CLOSE_LONG | CZCE.SA505 | Vol: 1 | Price: 1442.00 | Comm: 0.00 | PnL: -17.00\n",
" 2025-02-24 22:15:00 | BUY | CZCE.SA505 | Vol: 1 | Price: 1518.00 | Comm: 0.00\n",
" 2025-02-25 11:15:00 | CLOSE_LONG | CZCE.SA505 | Vol: 1 | Price: 1512.00 | Comm: 0.00 | PnL: -6.00\n",
" 2025-02-25 21:15:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1513.00 | Comm: 0.00\n",
" 2025-02-26 14:00:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1513.00 | Comm: 0.00 | PnL: 0.00\n",
" 2025-02-27 21:00:00 | BUY | CZCE.SA505 | Vol: 1 | Price: 1568.00 | Comm: 0.00\n",
" 2025-02-28 09:45:00 | CLOSE_LONG | CZCE.SA505 | Vol: 1 | Price: 1555.00 | Comm: 0.00 | PnL: -13.00\n",
" 2025-03-05 09:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1482.00 | Comm: 0.00\n",
" 2025-03-05 14:30:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1470.00 | Comm: 0.00 | PnL: 12.00\n",
" 2025-03-07 14:00:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1443.00 | Comm: 0.00\n",
" 2025-03-07 22:30:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1443.00 | Comm: 0.00 | PnL: 0.00\n",
" 2025-03-13 14:00:00 | BUY | CZCE.SA505 | Vol: 1 | Price: 1436.00 | Comm: 0.00\n",
" 2025-03-13 22:15:00 | CLOSE_LONG | CZCE.SA505 | Vol: 1 | Price: 1433.00 | Comm: 0.00 | PnL: -3.00\n",
" 2025-03-14 21:45:00 | BUY | CZCE.SA505 | Vol: 1 | Price: 1438.00 | Comm: 0.00\n",
" 2025-03-17 09:00:00 | CLOSE_LONG | CZCE.SA505 | Vol: 1 | Price: 1436.00 | Comm: 0.00 | PnL: -2.00\n",
" 2025-03-21 10:00:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1406.00 | Comm: 0.00\n",
" 2025-03-21 21:45:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1404.00 | Comm: 0.00 | PnL: 2.00\n",
" 2025-03-28 10:45:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1401.00 | Comm: 0.00\n",
" 2025-03-28 22:00:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1389.00 | Comm: 0.00 | PnL: 12.00\n",
" 2025-04-07 09:15:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1366.00 | Comm: 0.00\n",
" 2025-04-07 21:00:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1362.00 | Comm: 0.00 | PnL: 4.00\n",
" 2025-04-15 21:15:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1361.00 | Comm: 0.00\n",
" 2025-04-16 14:45:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1353.00 | Comm: 0.00 | PnL: -8.00\n",
" 2025-04-22 21:45:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1334.00 | Comm: 0.00\n",
" 2025-04-22 22:45:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1355.00 | Comm: 0.00 | PnL: -21.00\n",
" 2025-04-23 09:15:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1367.00 | Comm: 0.00\n",
" 2025-04-23 14:45:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1368.00 | Comm: 0.00 | PnL: 1.00\n",
" 2025-05-12 21:15:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1335.00 | Comm: 0.00\n",
" 2025-05-12 22:00:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1316.00 | Comm: 0.00 | PnL: -19.00\n",
" 2025-05-14 21:15:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1336.00 | Comm: 0.00\n",
" 2025-05-14 22:45:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1335.00 | Comm: 0.00 | PnL: -1.00\n",
" 2025-05-19 09:15:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1278.00 | Comm: 0.00\n",
" 2025-05-19 10:45:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1275.00 | Comm: 0.00 | PnL: 3.00\n",
" 2025-05-21 14:45:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1288.00 | Comm: 0.00\n",
" 2025-05-22 10:00:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1283.00 | Comm: 0.00 | PnL: -5.00\n",
" 2025-05-23 10:45:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1267.00 | Comm: 0.00\n",
" 2025-05-23 21:00:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1252.00 | Comm: 0.00 | PnL: -15.00\n",
" 2025-05-29 10:45:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1204.00 | Comm: 0.00\n",
" 2025-05-29 13:30:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1187.00 | Comm: 0.00 | PnL: -17.00\n",
" 2025-05-29 14:00:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1204.00 | Comm: 0.00\n",
" 2025-05-30 10:00:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1191.00 | Comm: 0.00 | PnL: 13.00\n",
" 2025-06-04 14:45:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1225.00 | Comm: 0.00\n",
" 2025-06-04 21:30:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1205.00 | Comm: 0.00 | PnL: -20.00\n",
" 2025-06-11 21:15:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1193.00 | Comm: 0.00\n",
" 2025-06-12 10:00:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1189.00 | Comm: 0.00 | PnL: -4.00\n",
" 2025-06-12 21:45:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1158.00 | Comm: 0.00\n",
" 2025-06-13 10:00:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1163.00 | Comm: 0.00 | PnL: -5.00\n",
" 2025-06-18 10:00:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1170.00 | Comm: 0.00\n",
" 2025-06-18 14:15:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1168.00 | Comm: 0.00 | PnL: -2.00\n",
" 2025-06-24 14:15:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1161.00 | Comm: 0.00\n",
" 2025-06-24 22:45:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1156.00 | Comm: 0.00 | PnL: 5.00\n",
" 2025-06-26 21:45:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1190.00 | Comm: 0.00\n",
" 2025-06-27 11:15:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1196.00 | Comm: 0.00 | PnL: 6.00\n",
" 2025-07-02 11:00:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1188.00 | Comm: 0.00\n",
" 2025-07-03 10:45:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1179.00 | Comm: 0.00 | PnL: -9.00\n",
" 2025-07-08 13:45:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1186.00 | Comm: 0.00\n",
" 2025-07-09 21:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1199.00 | Comm: 0.00 | PnL: -13.00\n",
" 2025-07-09 21:45:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1206.00 | Comm: 0.00\n",
" 2025-07-10 11:15:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1210.00 | Comm: 0.00 | PnL: 4.00\n",
" 2025-07-10 21:15:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1236.00 | Comm: 0.00\n",
" 2025-07-10 22:30:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1222.00 | Comm: 0.00 | PnL: -14.00\n",
" 2025-07-17 21:30:00 | BUY | CZCE.SA509 | Vol: 1 | Price: 1227.00 | Comm: 0.00\n",
" 2025-07-18 14:00:00 | CLOSE_LONG | CZCE.SA509 | Vol: 1 | Price: 1213.00 | Comm: 0.00 | PnL: -14.00\n",
"正在计算绩效指标...\n",
"total_return: -0.0013300000000000534, annualized_return:-0.0005820928085190635, 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 : 99867.00\n",
"总收益率 : -0.13%\n",
"年化收益率 : -0.06%\n",
"最大回撤 : 0.42%\n",
"夏普比率 : -0.08\n",
"卡玛比率 : -0.14\n",
"总交易次数 : 194\n",
"总实现盈亏 : -133.00\n",
"交易成本 : 0.00\n",
"\n",
"--- 交易详情 ---\n",
"盈利交易次数 : 38\n",
"亏损交易次数 : 55\n",
"胜率 : 40.86%\n",
"盈亏比 : 1.24\n",
"平均每次盈利 : 21.16\n",
"平均每次亏损 : -17.04\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": {
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}
},
{
"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(99867.0), '总收益率': np.float64(-0.0013300000000000534), '年化收益率': np.float64(-0.0005820928085190635), '最大回撤': np.float64(0.004227697400564358), '夏普比率': np.float64(-0.08332819256299388), '卡玛比率': np.float64(-0.1376855421207203), '总交易次数': 194, '交易成本': 0.0, '总实现盈亏': -133.0, '胜率': 0.40860215053763443, '盈亏比': 1.2419255181710949, '盈利交易次数': 38, '亏损交易次数': 55, '平均每次盈利': 21.157894736842106, '平均每次亏损': -17.036363636363635, 'initial_capital': 100000.0, 'final_capital': np.float64(99867.0), 'total_return': np.float64(-0.0013300000000000534), 'annualized_return': np.float64(-0.0005820928085190635), 'max_drawdown': np.float64(0.004227697400564358), 'sharpe_ratio': np.float64(-0.08332819256299388), 'calmar_ratio': np.float64(-0.1376855421207203), 'sortino_ratio': np.float64(-0.03684786198981132), 'total_trades': 194, 'transaction_costs': 0.0, 'total_realized_pnl': -133.0, 'win_rate': 0.40860215053763443, 'profit_loss_ratio': 1.2419255181710949, 'winning_trades_count': 38, 'losing_trades_count': 55, 'avg_profit_per_trade': 21.157894736842106, 'avg_loss_per_trade': -17.036363636363635}\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": 4
}
],
"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
}
Reference in New Issue Copy Permalink