2025-06-18 10:25:05 +08:00
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{
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"cells": [
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{
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"cell_type": "code",
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2025-06-19 15:28:26 +08:00
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"execution_count": 3,
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2025-06-18 10:25:05 +08:00
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"id": "initial_id",
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-06-16T15:44:31.286901Z",
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"start_time": "2025-06-16T15:44:31.187446Z"
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},
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"collapsed": true
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},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"The autoreload extension is already loaded. To reload it, use:\n",
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" %reload_ext autoreload\n",
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"初始化数据管理器...\n",
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2025-06-19 15:28:26 +08:00
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"数据加载成功: /mnt/d/PyProject/NewQuant/data/data/SHFE_rb2501/SHFE_rb2501_min60.csv\n",
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2025-06-18 10:25:05 +08:00
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"数据范围从 2024-08-30 14:00:00 到 2024-11-29 21:00:00\n",
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"总计 404 条记录。\n",
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"\n",
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"初始化回测引擎...\n",
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"模拟器初始化：初始资金=100000.00, 滑点率=0.001, 佣金率=0.0002\n",
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"策略初始化: SimpleLimitBuyStrategy，参数: {'symbol': 'SHFE_rb2501', 'trade_volume': 1, 'limit_price_factor': 0.995, 'max_position': 10}\n",
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"\n",
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"--- 回测引擎初始化完成 ---\n",
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" 策略: SimpleLimitBuyStrategy\n",
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" 初始资金: 100000.00\n",
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"\n",
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"开始运行回测...\n",
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"\n",
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"--- 回测开始 ---\n",
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"SimpleLimitBuyStrategy 策略初始化回调被调用。\n",
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"开始将 DataFrame 转换为 Bar 对象流...\n",
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"[2024-08-30 14:00:00] Strategy processing Bar. Current close price: 3287.00. Current Portfolio Value: 100000.00\n",
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"[2024-08-30 14:00:00] 策略: 发送限价买单 1 股 @ 3300.41 (未成交，订单ID: SHFE_rb2501_BUY_20240830140000_0 已挂单)\n",
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"[2024-08-30 21:00:00] Strategy processing Bar. Current close price: 3295.00. Current Portfolio Value: 100000.00\n",
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"[2024-08-30 21:00:00] 策略: 尝试撤销订单 SHFE_rb2501_BUY_20240830140000_0 失败（可能已成交或不存在）\n",
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"[2024-08-30 21:00:00] 策略: 发送并立即成交限价买单 1 股 @ 3291.70 (订单ID: SHFE_rb2501_BUY_20240830210000_1)\n",
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"[2024-08-30 22:00:00] Strategy processing Bar. Current close price: 3279.00. Current Portfolio Value: 100012.05\n",
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"[2024-09-02 09:00:00] Strategy processing Bar. Current close price: 3245.00. Current Portfolio Value: 100046.05\n",
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"[2024-09-02 10:00:00] Strategy processing Bar. Current close price: 3226.00. Current Portfolio Value: 100065.05\n",
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"[2024-09-02 11:00:00] Strategy processing Bar. Current close price: 3236.00. Current Portfolio Value: 100055.05\n",
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"[2024-09-02 13:00:00] Strategy processing Bar. Current close price: 3228.00. Current Portfolio Value: 100063.05\n",
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"[2024-09-02 14:00:00] Strategy processing Bar. Current close price: 3223.00. Current Portfolio Value: 100068.05\n",
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"[2024-09-02 21:00:00] Strategy processing Bar. Current close price: 3232.00. Current Portfolio Value: 100059.05\n",
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"[2024-09-02 22:00:00] Strategy processing Bar. Current close price: 3230.00. Current Portfolio Value: 100061.05\n",
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"[2024-09-03 09:00:00] Strategy processing Bar. Current close price: 3222.00. Current Portfolio Value: 100069.05\n",
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"[2024-09-03 10:00:00] Strategy processing Bar. Current close price: 3208.00. Current Portfolio Value: 100083.05\n",
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"[2024-09-03 11:00:00] Strategy processing Bar. Current close price: 3179.00. Current Portfolio Value: 100112.05\n",
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"[2024-09-03 13:00:00] Strategy processing Bar. Current close price: 3174.00. Current Portfolio Value: 100117.05\n",
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"[2024-09-03 14:00:00] Strategy processing Bar. Current close price: 3149.00. Current Portfolio Value: 100142.05\n",
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"[2024-09-03 21:00:00] Strategy processing Bar. Current close price: 3129.00. Current Portfolio Value: 100162.05\n",
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"[2024-09-03 22:00:00] Strategy processing Bar. Current close price: 3137.00. Current Portfolio Value: 100154.05\n",
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"[2024-09-04 09:00:00] Strategy processing Bar. Current close price: 3138.00. Current Portfolio Value: 100153.05\n",
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"[2024-09-04 10:00:00] Strategy processing Bar. Current close price: 3143.00. Current Portfolio Value: 100148.05\n",
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"[2024-09-04 11:00:00] Strategy processing Bar. Current close price: 3135.00. Current Portfolio Value: 100156.05\n",
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"[2024-09-04 13:00:00] Strategy processing Bar. Current close price: 3115.00. Current Portfolio Value: 100176.05\n",
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"[2024-09-04 14:00:00] Strategy processing Bar. Current close price: 3109.00. Current Portfolio Value: 100182.05\n",
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"[2024-09-04 21:00:00] Strategy processing Bar. Current close price: 3126.00. Current Portfolio Value: 100165.05\n",
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"[2024-09-04 22:00:00] Strategy processing Bar. Current close price: 3127.00. Current Portfolio Value: 100164.05\n",
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"[2024-09-05 09:00:00] Strategy processing Bar. Current close price: 3097.00. Current Portfolio Value: 100194.05\n",
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"[2024-09-05 10:00:00] Strategy processing Bar. Current close price: 3115.00. Current Portfolio Value: 100176.05\n",
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"[2024-09-05 11:00:00] Strategy processing Bar. Current close price: 3101.00. Current Portfolio Value: 100190.05\n",
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"[2024-09-05 13:00:00] Strategy processing Bar. Current close price: 3091.00. Current Portfolio Value: 100200.05\n",
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"[2024-09-05 14:00:00] Strategy processing Bar. Current close price: 3083.00. Current Portfolio Value: 100208.05\n",
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"[2024-09-05 21:00:00] Strategy processing Bar. Current close price: 3104.00. Current Portfolio Value: 100187.05\n",
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"[2024-09-05 22:00:00] Strategy processing Bar. Current close price: 3099.00. Current Portfolio Value: 100192.05\n",
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"[2024-09-06 09:00:00] Strategy processing Bar. Current close price: 3069.00. Current Portfolio Value: 100222.05\n",
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"[2024-09-06 10:00:00] Strategy processing Bar. Current close price: 3040.00. Current Portfolio Value: 100251.05\n",
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"[2024-09-06 11:00:00] Strategy processing Bar. Current close price: 3025.00. Current Portfolio Value: 100266.05\n",
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"[2024-09-06 13:00:00] Strategy processing Bar. Current close price: 3046.00. Current Portfolio Value: 100245.05\n",
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"[2024-09-06 14:00:00] Strategy processing Bar. Current close price: 3051.00. Current Portfolio Value: 100240.05\n",
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"[2024-09-06 21:00:00] Strategy processing Bar. Current close price: 3025.00. Current Portfolio Value: 100266.05\n",
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"[2024-09-06 22:00:00] Strategy processing Bar. Current close price: 3011.00. Current Portfolio Value: 100280.05\n",
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"[2024-09-09 09:00:00] Strategy processing Bar. Current close price: 3014.00. Current Portfolio Value: 100277.05\n",
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"[2024-09-09 10:00:00] Strategy processing Bar. Current close price: 3029.00. Current Portfolio Value: 100262.05\n",
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"[2024-09-09 11:00:00] Strategy processing Bar. Current close price: 3029.00. Current Portfolio Value: 100262.05\n",
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"[2024-09-09 13:00:00] Strategy processing Bar. Current close price: 3042.00. Current Portfolio Value: 100249.05\n",
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"[2024-09-09 14:00:00] Strategy processing Bar. Current close price: 3078.00. Current Portfolio Value: 100213.05\n",
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"[2024-09-09 21:00:00] Strategy processing Bar. Current close price: 3086.00. Current Portfolio Value: 100205.05\n",
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"[2024-09-09 22:00:00] Strategy processing Bar. Current close price: 3088.00. Current Portfolio Value: 100203.05\n",
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"[2024-09-10 09:00:00] Strategy processing Bar. Current close price: 3077.00. Current Portfolio Value: 100214.05\n",
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"[2024-09-10 10:00:00] Strategy processing Bar. Current close price: 3077.00. Current Portfolio Value: 100214.05\n",
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"[2024-09-10 11:00:00] Strategy processing Bar. Current close price: 3081.00. Current Portfolio Value: 100210.05\n",
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"[2024-09-10 13:00:00] Strategy processing Bar. Current close price: 3088.00. Current Portfolio Value: 100203.05\n",
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"[2024-09-10 14:00:00] Strategy processing Bar. Current close price: 3080.00. Current Portfolio Value: 100211.05\n",
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"[2024-09-10 21:00:00] Strategy processing Bar. Current close price: 3045.00. Current Portfolio Value: 100246.05\n",
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"[2024-09-10 22:00:00] Strategy processing Bar. Current close price: 3079.00. Current Portfolio Value: 100212.05\n",
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"[2024-09-11 09:00:00] Strategy processing Bar. Current close price: 3101.00. Current Portfolio Value: 100190.05\n",
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"[2024-09-11 10:00:00] Strategy processing Bar. Current close price: 3094.00. Current Portfolio Value: 100197.05\n",
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"[2024-09-11 11:00:00] Strategy processing Bar. Current close price: 3110.00. Current Portfolio Value: 100181.05\n",
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"[2024-09-11 13:00:00] Strategy processing Bar. Current close price: 3118.00. Current Portfolio Value: 100173.05\n",
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"[2024-09-11 14:00:00] Strategy processing Bar. Current close price: 3137.00. Current Portfolio Value: 100154.05\n",
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"[2024-09-11 21:00:00] Strategy processing Bar. Current close price: 3142.00. Current Portfolio Value: 100149.05\n",
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"[2024-09-11 22:00:00] Strategy processing Bar. Current close price: 3133.00. Current Portfolio Value: 100158.05\n",
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"[2024-09-12 09:00:00] Strategy processing Bar. Current close price: 3152.00. Current Portfolio Value: 100139.05\n",
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"[2024-09-12 10:00:00] Strategy processing Bar. Current close price: 3150.00. Current Portfolio Value: 100141.05\n",
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"[2024-09-12 11:00:00] Strategy processing Bar. Current close price: 3174.00. Current Portfolio Value: 100117.05\n",
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"[2024-09-12 13:00:00] Strategy processing Bar. Current close price: 3190.00. Current Portfolio Value: 100101.05\n",
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"[2024-09-12 14:00:00] Strategy processing Bar. Current close price: 3185.00. Current Portfolio Value: 100106.05\n",
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"[2024-09-12 21:00:00] Strategy processing Bar. Current close price: 3188.00. Current Portfolio Value: 100103.05\n",
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"[2024-09-12 22:00:00] Strategy processing Bar. Current close price: 3196.00. Current Portfolio Value: 100095.05\n",
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"[2024-09-13 09:00:00] Strategy processing Bar. Current close price: 3212.00. Current Portfolio Value: 100079.05\n",
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"[2024-09-13 10:00:00] Strategy processing Bar. Current close price: 3210.00. Current Portfolio Value: 100081.05\n",
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"[2024-09-13 11:00:00] Strategy processing Bar. Current close price: 3193.00. Current Portfolio Value: 100098.05\n",
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"[2024-09-13 13:00:00] Strategy processing Bar. Current close price: 3190.00. Current Portfolio Value: 100101.05\n",
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"[2024-09-13 14:00:00] Strategy processing Bar. Current close price: 3190.00. Current Portfolio Value: 100101.05\n",
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"[2024-09-18 09:00:00] Strategy processing Bar. Current close price: 3177.00. Current Portfolio Value: 100114.05\n",
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"[2024-09-18 10:00:00] Strategy processing Bar. Current close price: 3172.00. Current Portfolio Value: 100119.05\n",
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"[2024-09-18 11:00:00] Strategy processing Bar. Current close price: 3157.00. Current Portfolio Value: 100134.05\n",
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"[2024-09-18 13:00:00] Strategy processing Bar. Current close price: 3151.00. Current Portfolio Value: 100140.05\n",
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"[2024-09-18 14:00:00] Strategy processing Bar. Current close price: 3150.00. Current Portfolio Value: 100141.05\n",
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"[2024-09-18 21:00:00] Strategy processing Bar. Current close price: 3163.00. Current Portfolio Value: 100128.05\n",
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"[2024-09-18 22:00:00] Strategy processing Bar. Current close price: 3169.00. Current Portfolio Value: 100122.05\n",
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"[2024-09-19 09:00:00] Strategy processing Bar. Current close price: 3162.00. Current Portfolio Value: 100129.05\n",
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"[2024-09-19 10:00:00] Strategy processing Bar. Current close price: 3192.00. Current Portfolio Value: 100099.05\n",
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"[2024-09-19 11:00:00] Strategy processing Bar. Current close price: 3195.00. Current Portfolio Value: 100096.05\n",
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"[2024-09-19 13:00:00] Strategy processing Bar. Current close price: 3194.00. Current Portfolio Value: 100097.05\n",
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"[2024-09-19 14:00:00] Strategy processing Bar. Current close price: 3206.00. Current Portfolio Value: 100085.05\n",
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"[2024-09-19 21:00:00] Strategy processing Bar. Current close price: 3220.00. Current Portfolio Value: 100071.05\n",
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"[2024-09-19 22:00:00] Strategy processing Bar. Current close price: 3230.00. Current Portfolio Value: 100061.05\n",
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"[2024-09-20 09:00:00] Strategy processing Bar. Current close price: 3191.00. Current Portfolio Value: 100100.05\n",
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"[2024-09-20 10:00:00] Strategy processing Bar. Current close price: 3190.00. Current Portfolio Value: 100101.05\n",
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"[2024-09-20 11:00:00] Strategy processing Bar. Current close price: 3183.00. Current Portfolio Value: 100108.05\n",
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"[2024-09-20 13:00:00] Strategy processing Bar. Current close price: 3171.00. Current Portfolio Value: 100120.05\n",
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"[2024-09-20 14:00:00] Strategy processing Bar. Current close price: 3165.00. Current Portfolio Value: 100126.05\n",
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"[2024-09-20 21:00:00] Strategy processing Bar. Current close price: 3150.00. Current Portfolio Value: 100141.05\n",
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"[2024-09-20 22:00:00] Strategy processing Bar. Current close price: 3109.00. Current Portfolio Value: 100182.05\n",
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"[2024-09-23 09:00:00] Strategy processing Bar. Current close price: 3114.00. Current Portfolio Value: 100177.05\n",
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"[2024-09-23 10:00:00] Strategy processing Bar. Current close price: 3106.00. Current Portfolio Value: 100185.05\n",
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"[2024-09-23 11:00:00] Strategy processing Bar. Current close price: 3108.00. Current Portfolio Value: 100183.05\n",
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"[2024-09-23 13:00:00] Strategy processing Bar. Current close price: 3096.00. Current Portfolio Value: 100195.05\n",
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"[2024-09-23 14:00:00] Strategy processing Bar. Current close price: 3087.00. Current Portfolio Value: 100204.05\n",
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"[2024-09-23 21:00:00] Strategy processing Bar. Current close price: 3104.00. Current Portfolio Value: 100187.05\n",
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"[2024-09-23 22:00:00] Strategy processing Bar. Current close price: 3098.00. Current Portfolio Value: 100193.05\n",
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"[2024-09-24 09:00:00] Strategy processing Bar. Current close price: 3136.00. Current Portfolio Value: 100155.05\n",
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"[2024-09-24 10:00:00] Strategy processing Bar. Current close price: 3155.00. Current Portfolio Value: 100136.05\n",
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"[2024-09-24 11:00:00] Strategy processing Bar. Current close price: 3171.00. Current Portfolio Value: 100120.05\n",
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"[2024-09-24 13:00:00] Strategy processing Bar. Current close price: 3181.00. Current Portfolio Value: 100110.05\n",
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"[2024-09-24 14:00:00] Strategy processing Bar. Current close price: 3217.00. Current Portfolio Value: 100074.05\n",
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"[2024-09-24 21:00:00] Strategy processing Bar. Current close price: 3246.00. Current Portfolio Value: 100045.05\n",
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"[2024-09-24 22:00:00] Strategy processing Bar. Current close price: 3250.00. Current Portfolio Value: 100041.05\n",
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"[2024-09-25 09:00:00] Strategy processing Bar. Current close price: 3266.00. Current Portfolio Value: 100025.05\n",
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"[2024-09-25 10:00:00] Strategy processing Bar. Current close price: 3267.00. Current Portfolio Value: 100024.05\n",
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"[2024-09-25 11:00:00] Strategy processing Bar. Current close price: 3258.00. Current Portfolio Value: 100033.05\n",
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"[2024-09-25 13:00:00] Strategy processing Bar. Current close price: 3231.00. Current Portfolio Value: 100060.05\n",
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"[2024-09-25 14:00:00] Strategy processing Bar. Current close price: 3225.00. Current Portfolio Value: 100066.05\n",
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"[2024-09-25 21:00:00] Strategy processing Bar. Current close price: 3250.00. Current Portfolio Value: 100041.05\n",
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"[2024-09-25 22:00:00] Strategy processing Bar. Current close price: 3247.00. Current Portfolio Value: 100044.05\n",
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"[2024-09-26 09:00:00] Strategy processing Bar. Current close price: 3255.00. Current Portfolio Value: 100036.05\n",
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"[2024-09-26 10:00:00] Strategy processing Bar. Current close price: 3249.00. Current Portfolio Value: 100042.05\n",
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"[2024-09-26 11:00:00] Strategy processing Bar. Current close price: 3254.00. Current Portfolio Value: 100037.05\n",
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"[2024-09-26 13:00:00] Strategy processing Bar. Current close price: 3277.00. Current Portfolio Value: 100014.05\n",
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"[2024-09-26 14:00:00] Strategy processing Bar. Current close price: 3281.00. Current Portfolio Value: 100010.05\n",
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"[2024-09-26 21:00:00] Strategy processing Bar. Current close price: 3307.00. Current Portfolio Value: 99984.05\n",
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"[2024-09-26 22:00:00] Strategy processing Bar. Current close price: 3319.00. Current Portfolio Value: 99972.05\n",
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"[2024-09-27 09:00:00] Strategy processing Bar. Current close price: 3319.00. Current Portfolio Value: 99972.05\n",
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"[2024-09-27 10:00:00] Strategy processing Bar. Current close price: 3328.00. Current Portfolio Value: 99963.05\n",
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"[2024-09-27 11:00:00] Strategy processing Bar. Current close price: 3345.00. Current Portfolio Value: 99946.05\n",
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"[2024-09-27 13:00:00] Strategy processing Bar. Current close price: 3314.00. Current Portfolio Value: 99977.05\n",
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"[2024-09-27 14:00:00] Strategy processing Bar. Current close price: 3341.00. Current Portfolio Value: 99950.05\n",
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"[2024-09-27 21:00:00] Strategy processing Bar. Current close price: 3373.00. Current Portfolio Value: 99918.05\n",
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"[2024-09-27 22:00:00] Strategy processing Bar. Current close price: 3401.00. Current Portfolio Value: 99890.05\n",
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"[2024-09-30 09:00:00] Strategy processing Bar. Current close price: 3535.00. Current Portfolio Value: 99756.05\n",
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"[2024-09-30 10:00:00] Strategy processing Bar. Current close price: 3546.00. Current Portfolio Value: 99745.05\n",
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"[2024-09-30 11:00:00] Strategy processing Bar. Current close price: 3551.00. Current Portfolio Value: 99740.05\n",
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"[2024-09-30 13:00:00] Strategy processing Bar. Current close price: 3551.00. Current Portfolio Value: 99740.05\n",
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"[2024-09-30 14:00:00] Strategy processing Bar. Current close price: 3551.00. Current Portfolio Value: 99740.05\n",
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"[2024-10-08 09:00:00] Strategy processing Bar. Current close price: 3642.00. Current Portfolio Value: 99649.05\n",
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"[2024-10-08 10:00:00] Strategy processing Bar. Current close price: 3541.00. Current Portfolio Value: 99750.05\n",
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"[2024-10-08 11:00:00] Strategy processing Bar. Current close price: 3529.00. Current Portfolio Value: 99762.05\n",
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"[2024-10-08 13:00:00] Strategy processing Bar. Current close price: 3479.00. Current Portfolio Value: 99812.05\n",
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"[2024-10-08 14:00:00] Strategy processing Bar. Current close price: 3486.00. Current Portfolio Value: 99805.05\n",
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"[2024-10-08 21:00:00] Strategy processing Bar. Current close price: 3498.00. Current Portfolio Value: 99793.05\n",
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"[2024-10-08 22:00:00] Strategy processing Bar. Current close price: 3497.00. Current Portfolio Value: 99794.05\n",
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"[2024-10-09 09:00:00] Strategy processing Bar. Current close price: 3502.00. Current Portfolio Value: 99789.05\n",
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"[2024-10-09 10:00:00] Strategy processing Bar. Current close price: 3495.00. Current Portfolio Value: 99796.05\n",
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"[2024-10-09 11:00:00] Strategy processing Bar. Current close price: 3493.00. Current Portfolio Value: 99798.05\n",
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"[2024-10-09 13:00:00] Strategy processing Bar. Current close price: 3521.00. Current Portfolio Value: 99770.05\n",
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"[2024-10-09 14:00:00] Strategy processing Bar. Current close price: 3466.00. Current Portfolio Value: 99825.05\n",
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"[2024-10-09 21:00:00] Strategy processing Bar. Current close price: 3444.00. Current Portfolio Value: 99847.05\n",
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"[2024-10-09 22:00:00] Strategy processing Bar. Current close price: 3469.00. Current Portfolio Value: 99822.05\n",
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"[2024-10-10 09:00:00] Strategy processing Bar. Current close price: 3465.00. Current Portfolio Value: 99826.05\n",
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"[2024-10-10 10:00:00] Strategy processing Bar. Current close price: 3485.00. Current Portfolio Value: 99806.05\n",
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"[2024-10-10 11:00:00] Strategy processing Bar. Current close price: 3505.00. Current Portfolio Value: 99786.05\n",
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"[2024-10-10 13:00:00] Strategy processing Bar. Current close price: 3480.00. Current Portfolio Value: 99811.05\n",
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"[2024-10-10 14:00:00] Strategy processing Bar. Current close price: 3442.00. Current Portfolio Value: 99849.05\n",
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"[2024-10-10 21:00:00] Strategy processing Bar. Current close price: 3471.00. Current Portfolio Value: 99820.05\n",
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"[2024-10-10 22:00:00] Strategy processing Bar. Current close price: 3472.00. Current Portfolio Value: 99819.05\n",
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"[2024-10-11 09:00:00] Strategy processing Bar. Current close price: 3469.00. Current Portfolio Value: 99822.05\n",
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"[2024-10-11 10:00:00] Strategy processing Bar. Current close price: 3456.00. Current Portfolio Value: 99835.05\n",
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"[2024-10-11 11:00:00] Strategy processing Bar. Current close price: 3450.00. Current Portfolio Value: 99841.05\n",
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"[2024-10-11 13:00:00] Strategy processing Bar. Current close price: 3437.00. Current Portfolio Value: 99854.05\n",
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"[2024-10-11 14:00:00] Strategy processing Bar. Current close price: 3468.00. Current Portfolio Value: 99823.05\n",
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"[2024-10-11 21:00:00] Strategy processing Bar. Current close price: 3472.00. Current Portfolio Value: 99819.05\n",
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"[2024-10-11 22:00:00] Strategy processing Bar. Current close price: 3520.00. Current Portfolio Value: 99771.05\n",
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"[2024-10-14 09:00:00] Strategy processing Bar. Current close price: 3493.00. Current Portfolio Value: 99798.05\n",
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"[2024-10-14 10:00:00] Strategy processing Bar. Current close price: 3502.00. Current Portfolio Value: 99789.05\n",
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"[2024-10-14 11:00:00] Strategy processing Bar. Current close price: 3517.00. Current Portfolio Value: 99774.05\n",
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"[2024-10-14 13:00:00] Strategy processing Bar. Current close price: 3517.00. Current Portfolio Value: 99774.05\n",
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"[2024-10-14 14:00:00] Strategy processing Bar. Current close price: 3502.00. Current Portfolio Value: 99789.05\n",
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"[2024-10-14 21:00:00] Strategy processing Bar. Current close price: 3503.00. Current Portfolio Value: 99788.05\n",
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"[2024-10-14 22:00:00] Strategy processing Bar. Current close price: 3484.00. Current Portfolio Value: 99807.05\n",
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"[2024-10-15 09:00:00] Strategy processing Bar. Current close price: 3484.00. Current Portfolio Value: 99807.05\n",
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"[2024-10-15 10:00:00] Strategy processing Bar. Current close price: 3488.00. Current Portfolio Value: 99803.05\n",
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"[2024-10-15 11:00:00] Strategy processing Bar. Current close price: 3507.00. Current Portfolio Value: 99784.05\n",
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"[2024-10-15 13:00:00] Strategy processing Bar. Current close price: 3491.00. Current Portfolio Value: 99800.05\n",
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"[2024-10-15 14:00:00] Strategy processing Bar. Current close price: 3467.00. Current Portfolio Value: 99824.05\n",
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"[2024-10-15 21:00:00] Strategy processing Bar. Current close price: 3489.00. Current Portfolio Value: 99802.05\n",
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"[2024-10-15 22:00:00] Strategy processing Bar. Current close price: 3481.00. Current Portfolio Value: 99810.05\n",
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"[2024-10-16 09:00:00] Strategy processing Bar. Current close price: 3477.00. Current Portfolio Value: 99814.05\n",
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"[2024-10-16 10:00:00] Strategy processing Bar. Current close price: 3475.00. Current Portfolio Value: 99816.05\n",
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"[2024-10-16 11:00:00] Strategy processing Bar. Current close price: 3471.00. Current Portfolio Value: 99820.05\n",
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"[2024-10-16 13:00:00] Strategy processing Bar. Current close price: 3468.00. Current Portfolio Value: 99823.05\n",
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"[2024-10-16 14:00:00] Strategy processing Bar. Current close price: 3447.00. Current Portfolio Value: 99844.05\n",
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"[2024-10-16 21:00:00] Strategy processing Bar. Current close price: 3459.00. Current Portfolio Value: 99832.05\n",
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"[2024-10-16 22:00:00] Strategy processing Bar. Current close price: 3471.00. Current Portfolio Value: 99820.05\n",
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"[2024-10-17 09:00:00] Strategy processing Bar. Current close price: 3463.00. Current Portfolio Value: 99828.05\n",
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"[2024-10-17 10:00:00] Strategy processing Bar. Current close price: 3383.00. Current Portfolio Value: 99908.05\n",
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"[2024-10-17 11:00:00] Strategy processing Bar. Current close price: 3354.00. Current Portfolio Value: 99937.05\n",
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"[2024-10-17 13:00:00] Strategy processing Bar. Current close price: 3343.00. Current Portfolio Value: 99948.05\n",
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"[2024-10-17 14:00:00] Strategy processing Bar. Current close price: 3300.00. Current Portfolio Value: 99991.05\n",
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"[2024-10-17 21:00:00] Strategy processing Bar. Current close price: 3321.00. Current Portfolio Value: 99970.05\n",
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"[2024-10-17 22:00:00] Strategy processing Bar. Current close price: 3291.00. Current Portfolio Value: 100000.05\n",
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"[2024-10-18 09:00:00] Strategy processing Bar. Current close price: 3291.00. Current Portfolio Value: 100000.05\n",
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"[2024-10-18 10:00:00] Strategy processing Bar. Current close price: 3309.00. Current Portfolio Value: 99982.05\n",
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"[2024-10-18 11:00:00] Strategy processing Bar. Current close price: 3296.00. Current Portfolio Value: 99995.05\n",
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"[2024-10-18 13:00:00] Strategy processing Bar. Current close price: 3344.00. Current Portfolio Value: 99947.05\n",
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"[2024-10-18 14:00:00] Strategy processing Bar. Current close price: 3336.00. Current Portfolio Value: 99955.05\n",
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"[2024-10-18 21:00:00] Strategy processing Bar. Current close price: 3358.00. Current Portfolio Value: 99933.05\n",
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"[2024-10-18 22:00:00] Strategy processing Bar. Current close price: 3348.00. Current Portfolio Value: 99943.05\n",
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"[2024-10-21 09:00:00] Strategy processing Bar. Current close price: 3348.00. Current Portfolio Value: 99943.05\n",
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"[2024-10-21 10:00:00] Strategy processing Bar. Current close price: 3362.00. Current Portfolio Value: 99929.05\n",
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"[2024-10-21 11:00:00] Strategy processing Bar. Current close price: 3366.00. Current Portfolio Value: 99925.05\n",
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"[2024-10-21 13:00:00] Strategy processing Bar. Current close price: 3349.00. Current Portfolio Value: 99942.05\n",
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"[2024-10-21 14:00:00] Strategy processing Bar. Current close price: 3358.00. Current Portfolio Value: 99933.05\n",
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"[2024-10-21 21:00:00] Strategy processing Bar. Current close price: 3358.00. Current Portfolio Value: 99933.05\n",
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"[2024-10-21 22:00:00] Strategy processing Bar. Current close price: 3326.00. Current Portfolio Value: 99965.05\n",
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"[2024-10-22 09:00:00] Strategy processing Bar. Current close price: 3323.00. Current Portfolio Value: 99968.05\n",
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"[2024-10-22 10:00:00] Strategy processing Bar. Current close price: 3308.00. Current Portfolio Value: 99983.05\n",
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"[2024-10-22 11:00:00] Strategy processing Bar. Current close price: 3332.00. Current Portfolio Value: 99959.05\n",
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"[2024-10-22 13:00:00] Strategy processing Bar. Current close price: 3327.00. Current Portfolio Value: 99964.05\n",
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"[2024-10-22 14:00:00] Strategy processing Bar. Current close price: 3349.00. Current Portfolio Value: 99942.05\n",
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"[2024-10-22 21:00:00] Strategy processing Bar. Current close price: 3339.00. Current Portfolio Value: 99952.05\n",
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"[2024-10-22 22:00:00] Strategy processing Bar. Current close price: 3347.00. Current Portfolio Value: 99944.05\n",
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"[2024-10-23 09:00:00] Strategy processing Bar. Current close price: 3338.00. Current Portfolio Value: 99953.05\n",
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"[2024-10-23 10:00:00] Strategy processing Bar. Current close price: 3322.00. Current Portfolio Value: 99969.05\n",
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"[2024-10-23 11:00:00] Strategy processing Bar. Current close price: 3334.00. Current Portfolio Value: 99957.05\n",
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"[2024-10-23 13:00:00] Strategy processing Bar. Current close price: 3346.00. Current Portfolio Value: 99945.05\n",
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"[2024-10-23 14:00:00] Strategy processing Bar. Current close price: 3316.00. Current Portfolio Value: 99975.05\n",
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"[2024-10-23 21:00:00] Strategy processing Bar. Current close price: 3317.00. Current Portfolio Value: 99974.05\n",
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"[2024-10-23 22:00:00] Strategy processing Bar. Current close price: 3321.00. Current Portfolio Value: 99970.05\n",
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"[2024-10-24 09:00:00] Strategy processing Bar. Current close price: 3309.00. Current Portfolio Value: 99982.05\n",
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"[2024-10-24 10:00:00] Strategy processing Bar. Current close price: 3309.00. Current Portfolio Value: 99982.05\n",
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"[2024-10-24 11:00:00] Strategy processing Bar. Current close price: 3315.00. Current Portfolio Value: 99976.05\n",
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"[2024-10-24 13:00:00] Strategy processing Bar. Current close price: 3296.00. Current Portfolio Value: 99995.05\n",
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"[2024-10-24 14:00:00] Strategy processing Bar. Current close price: 3330.00. Current Portfolio Value: 99961.05\n",
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"[2024-10-24 21:00:00] Strategy processing Bar. Current close price: 3364.00. Current Portfolio Value: 99927.05\n",
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"[2024-10-24 22:00:00] Strategy processing Bar. Current close price: 3365.00. Current Portfolio Value: 99926.05\n",
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"[2024-10-25 09:00:00] Strategy processing Bar. Current close price: 3350.00. Current Portfolio Value: 99941.05\n",
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"[2024-10-25 10:00:00] Strategy processing Bar. Current close price: 3369.00. Current Portfolio Value: 99922.05\n",
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"[2024-10-25 11:00:00] Strategy processing Bar. Current close price: 3373.00. Current Portfolio Value: 99918.05\n",
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"[2024-10-25 13:00:00] Strategy processing Bar. Current close price: 3378.00. Current Portfolio Value: 99913.05\n",
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"[2024-10-25 14:00:00] Strategy processing Bar. Current close price: 3376.00. Current Portfolio Value: 99915.05\n",
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"[2024-10-25 21:00:00] Strategy processing Bar. Current close price: 3425.00. Current Portfolio Value: 99866.05\n",
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"[2024-10-25 22:00:00] Strategy processing Bar. Current close price: 3442.00. Current Portfolio Value: 99849.05\n",
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"[2024-10-28 09:00:00] Strategy processing Bar. Current close price: 3438.00. Current Portfolio Value: 99853.05\n",
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"[2024-10-28 10:00:00] Strategy processing Bar. Current close price: 3466.00. Current Portfolio Value: 99825.05\n",
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"[2024-10-28 11:00:00] Strategy processing Bar. Current close price: 3469.00. Current Portfolio Value: 99822.05\n",
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"[2024-10-28 13:00:00] Strategy processing Bar. Current close price: 3467.00. Current Portfolio Value: 99824.05\n",
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"[2024-10-28 14:00:00] Strategy processing Bar. Current close price: 3451.00. Current Portfolio Value: 99840.05\n",
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"[2024-10-28 21:00:00] Strategy processing Bar. Current close price: 3458.00. Current Portfolio Value: 99833.05\n",
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"[2024-10-28 22:00:00] Strategy processing Bar. Current close price: 3449.00. Current Portfolio Value: 99842.05\n",
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"[2024-10-29 09:00:00] Strategy processing Bar. Current close price: 3440.00. Current Portfolio Value: 99851.05\n",
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"[2024-10-29 10:00:00] Strategy processing Bar. Current close price: 3432.00. Current Portfolio Value: 99859.05\n",
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"[2024-10-29 11:00:00] Strategy processing Bar. Current close price: 3416.00. Current Portfolio Value: 99875.05\n",
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"[2024-10-29 13:00:00] Strategy processing Bar. Current close price: 3418.00. Current Portfolio Value: 99873.05\n",
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"[2024-10-29 14:00:00] Strategy processing Bar. Current close price: 3422.00. Current Portfolio Value: 99869.05\n",
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"[2024-10-29 21:00:00] Strategy processing Bar. Current close price: 3439.00. Current Portfolio Value: 99852.05\n",
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"[2024-10-29 22:00:00] Strategy processing Bar. Current close price: 3448.00. Current Portfolio Value: 99843.05\n",
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"[2024-10-30 09:00:00] Strategy processing Bar. Current close price: 3442.00. Current Portfolio Value: 99849.05\n",
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"[2024-10-30 10:00:00] Strategy processing Bar. Current close price: 3435.00. Current Portfolio Value: 99856.05\n",
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"[2024-10-30 11:00:00] Strategy processing Bar. Current close price: 3418.00. Current Portfolio Value: 99873.05\n",
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"[2024-10-30 13:00:00] Strategy processing Bar. Current close price: 3421.00. Current Portfolio Value: 99870.05\n",
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"[2024-10-30 14:00:00] Strategy processing Bar. Current close price: 3442.00. Current Portfolio Value: 99849.05\n",
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"[2024-10-30 21:00:00] Strategy processing Bar. Current close price: 3434.00. Current Portfolio Value: 99857.05\n",
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"[2024-10-30 22:00:00] Strategy processing Bar. Current close price: 3438.00. Current Portfolio Value: 99853.05\n",
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"[2024-10-31 09:00:00] Strategy processing Bar. Current close price: 3435.00. Current Portfolio Value: 99856.05\n",
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"[2024-10-31 10:00:00] Strategy processing Bar. Current close price: 3440.00. Current Portfolio Value: 99851.05\n",
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"[2024-10-31 11:00:00] Strategy processing Bar. Current close price: 3432.00. Current Portfolio Value: 99859.05\n",
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"[2024-10-31 13:00:00] Strategy processing Bar. Current close price: 3435.00. Current Portfolio Value: 99856.05\n",
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"[2024-10-31 14:00:00] Strategy processing Bar. Current close price: 3427.00. Current Portfolio Value: 99864.05\n",
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"[2024-10-31 21:00:00] Strategy processing Bar. Current close price: 3411.00. Current Portfolio Value: 99880.05\n",
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"[2024-10-31 22:00:00] Strategy processing Bar. Current close price: 3378.00. Current Portfolio Value: 99913.05\n",
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"[2024-11-01 09:00:00] Strategy processing Bar. Current close price: 3406.00. Current Portfolio Value: 99885.05\n",
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"[2024-11-01 10:00:00] Strategy processing Bar. Current close price: 3395.00. Current Portfolio Value: 99896.05\n",
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"[2024-11-01 11:00:00] Strategy processing Bar. Current close price: 3414.00. Current Portfolio Value: 99877.05\n",
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"[2024-11-01 13:00:00] Strategy processing Bar. Current close price: 3405.00. Current Portfolio Value: 99886.05\n",
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"[2024-11-01 14:00:00] Strategy processing Bar. Current close price: 3393.00. Current Portfolio Value: 99898.05\n",
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"[2024-11-01 21:00:00] Strategy processing Bar. Current close price: 3399.00. Current Portfolio Value: 99892.05\n",
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"[2024-11-01 22:00:00] Strategy processing Bar. Current close price: 3364.00. Current Portfolio Value: 99927.05\n",
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"[2024-11-04 09:00:00] Strategy processing Bar. Current close price: 3361.00. Current Portfolio Value: 99930.05\n",
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"[2024-11-04 10:00:00] Strategy processing Bar. Current close price: 3375.00. Current Portfolio Value: 99916.05\n",
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"[2024-11-04 11:00:00] Strategy processing Bar. Current close price: 3403.00. Current Portfolio Value: 99888.05\n",
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"[2024-11-04 13:00:00] Strategy processing Bar. Current close price: 3401.00. Current Portfolio Value: 99890.05\n",
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"[2024-11-04 14:00:00] Strategy processing Bar. Current close price: 3425.00. Current Portfolio Value: 99866.05\n",
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"[2024-11-04 21:00:00] Strategy processing Bar. Current close price: 3421.00. Current Portfolio Value: 99870.05\n",
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"[2024-11-04 22:00:00] Strategy processing Bar. Current close price: 3420.00. Current Portfolio Value: 99871.05\n",
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"[2024-11-05 09:00:00] Strategy processing Bar. Current close price: 3429.00. Current Portfolio Value: 99862.05\n",
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"[2024-11-05 10:00:00] Strategy processing Bar. Current close price: 3439.00. Current Portfolio Value: 99852.05\n",
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"[2024-11-05 11:00:00] Strategy processing Bar. Current close price: 3449.00. Current Portfolio Value: 99842.05\n",
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"[2024-11-05 13:00:00] Strategy processing Bar. Current close price: 3445.00. Current Portfolio Value: 99846.05\n",
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"[2024-11-05 14:00:00] Strategy processing Bar. Current close price: 3433.00. Current Portfolio Value: 99858.05\n",
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"[2024-11-05 21:00:00] Strategy processing Bar. Current close price: 3426.00. Current Portfolio Value: 99865.05\n",
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"[2024-11-05 22:00:00] Strategy processing Bar. Current close price: 3430.00. Current Portfolio Value: 99861.05\n",
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"[2024-11-06 09:00:00] Strategy processing Bar. Current close price: 3417.00. Current Portfolio Value: 99874.05\n",
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"[2024-11-06 10:00:00] Strategy processing Bar. Current close price: 3389.00. Current Portfolio Value: 99902.05\n",
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"[2024-11-06 11:00:00] Strategy processing Bar. Current close price: 3380.00. Current Portfolio Value: 99911.05\n",
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"[2024-11-06 13:00:00] Strategy processing Bar. Current close price: 3406.00. Current Portfolio Value: 99885.05\n",
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"[2024-11-06 14:00:00] Strategy processing Bar. Current close price: 3392.00. Current Portfolio Value: 99899.05\n",
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"[2024-11-06 21:00:00] Strategy processing Bar. Current close price: 3372.00. Current Portfolio Value: 99919.05\n",
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"[2024-11-06 22:00:00] Strategy processing Bar. Current close price: 3379.00. Current Portfolio Value: 99912.05\n",
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"[2024-11-07 09:00:00] Strategy processing Bar. Current close price: 3404.00. Current Portfolio Value: 99887.05\n",
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"[2024-11-07 10:00:00] Strategy processing Bar. Current close price: 3411.00. Current Portfolio Value: 99880.05\n",
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"[2024-11-07 11:00:00] Strategy processing Bar. Current close price: 3406.00. Current Portfolio Value: 99885.05\n",
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"[2024-11-07 13:00:00] Strategy processing Bar. Current close price: 3417.00. Current Portfolio Value: 99874.05\n",
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"[2024-11-07 14:00:00] Strategy processing Bar. Current close price: 3436.00. Current Portfolio Value: 99855.05\n",
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"[2024-11-07 21:00:00] Strategy processing Bar. Current close price: 3436.00. Current Portfolio Value: 99855.05\n",
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"[2024-11-07 22:00:00] Strategy processing Bar. Current close price: 3437.00. Current Portfolio Value: 99854.05\n",
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"[2024-11-08 09:00:00] Strategy processing Bar. Current close price: 3436.00. Current Portfolio Value: 99855.05\n",
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"[2024-11-08 10:00:00] Strategy processing Bar. Current close price: 3396.00. Current Portfolio Value: 99895.05\n",
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"[2024-11-08 11:00:00] Strategy processing Bar. Current close price: 3374.00. Current Portfolio Value: 99917.05\n",
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"[2024-11-08 13:00:00] Strategy processing Bar. Current close price: 3375.00. Current Portfolio Value: 99916.05\n",
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"[2024-11-08 14:00:00] Strategy processing Bar. Current close price: 3367.00. Current Portfolio Value: 99924.05\n",
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"[2024-11-08 21:00:00] Strategy processing Bar. Current close price: 3368.00. Current Portfolio Value: 99923.05\n",
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"[2024-11-08 22:00:00] Strategy processing Bar. Current close price: 3343.00. Current Portfolio Value: 99948.05\n",
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"[2024-11-11 09:00:00] Strategy processing Bar. Current close price: 3319.00. Current Portfolio Value: 99972.05\n",
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"[2024-11-11 10:00:00] Strategy processing Bar. Current close price: 3330.00. Current Portfolio Value: 99961.05\n",
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"[2024-11-11 11:00:00] Strategy processing Bar. Current close price: 3333.00. Current Portfolio Value: 99958.05\n",
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"[2024-11-11 13:00:00] Strategy processing Bar. Current close price: 3312.00. Current Portfolio Value: 99979.05\n",
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"[2024-11-11 14:00:00] Strategy processing Bar. Current close price: 3331.00. Current Portfolio Value: 99960.05\n",
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"[2024-11-11 21:00:00] Strategy processing Bar. Current close price: 3334.00. Current Portfolio Value: 99957.05\n",
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"[2024-11-11 22:00:00] Strategy processing Bar. Current close price: 3331.00. Current Portfolio Value: 99960.05\n",
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"[2024-11-12 09:00:00] Strategy processing Bar. Current close price: 3331.00. Current Portfolio Value: 99960.05\n",
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"[2024-11-12 10:00:00] Strategy processing Bar. Current close price: 3321.00. Current Portfolio Value: 99970.05\n",
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"[2024-11-12 11:00:00] Strategy processing Bar. Current close price: 3325.00. Current Portfolio Value: 99966.05\n",
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"[2024-11-12 13:00:00] Strategy processing Bar. Current close price: 3320.00. Current Portfolio Value: 99971.05\n",
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"[2024-11-12 14:00:00] Strategy processing Bar. Current close price: 3344.00. Current Portfolio Value: 99947.05\n",
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"[2024-11-12 21:00:00] Strategy processing Bar. Current close price: 3333.00. Current Portfolio Value: 99958.05\n",
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"[2024-11-12 22:00:00] Strategy processing Bar. Current close price: 3333.00. Current Portfolio Value: 99958.05\n",
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"[2024-11-13 09:00:00] Strategy processing Bar. Current close price: 3344.00. Current Portfolio Value: 99947.05\n",
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"[2024-11-13 10:00:00] Strategy processing Bar. Current close price: 3350.00. Current Portfolio Value: 99941.05\n",
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"[2024-11-13 11:00:00] Strategy processing Bar. Current close price: 3353.00. Current Portfolio Value: 99938.05\n",
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"[2024-11-13 13:00:00] Strategy processing Bar. Current close price: 3361.00. Current Portfolio Value: 99930.05\n",
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"[2024-11-13 14:00:00] Strategy processing Bar. Current close price: 3337.00. Current Portfolio Value: 99954.05\n",
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"[2024-11-13 21:00:00] Strategy processing Bar. Current close price: 3341.00. Current Portfolio Value: 99950.05\n",
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"[2024-11-13 22:00:00] Strategy processing Bar. Current close price: 3342.00. Current Portfolio Value: 99949.05\n",
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"[2024-11-14 09:00:00] Strategy processing Bar. Current close price: 3331.00. Current Portfolio Value: 99960.05\n",
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"[2024-11-14 10:00:00] Strategy processing Bar. Current close price: 3322.00. Current Portfolio Value: 99969.05\n",
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"[2024-11-14 11:00:00] Strategy processing Bar. Current close price: 3312.00. Current Portfolio Value: 99979.05\n",
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"[2024-11-14 13:00:00] Strategy processing Bar. Current close price: 3316.00. Current Portfolio Value: 99975.05\n",
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"[2024-11-14 14:00:00] Strategy processing Bar. Current close price: 3313.00. Current Portfolio Value: 99978.05\n",
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"[2024-11-14 21:00:00] Strategy processing Bar. Current close price: 3310.00. Current Portfolio Value: 99981.05\n",
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"[2024-11-14 22:00:00] Strategy processing Bar. Current close price: 3295.00. Current Portfolio Value: 99996.05\n",
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"[2024-11-15 09:00:00] Strategy processing Bar. Current close price: 3263.00. Current Portfolio Value: 100028.05\n",
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"[2024-11-15 10:00:00] Strategy processing Bar. Current close price: 3274.00. Current Portfolio Value: 100017.05\n",
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"[2024-11-15 11:00:00] Strategy processing Bar. Current close price: 3268.00. Current Portfolio Value: 100023.05\n",
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"[2024-11-15 13:00:00] Strategy processing Bar. Current close price: 3267.00. Current Portfolio Value: 100024.05\n",
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"[2024-11-15 14:00:00] Strategy processing Bar. Current close price: 3232.00. Current Portfolio Value: 100059.05\n",
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"[2024-11-15 21:00:00] Strategy processing Bar. Current close price: 3245.00. Current Portfolio Value: 100046.05\n",
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"[2024-11-15 22:00:00] Strategy processing Bar. Current close price: 3238.00. Current Portfolio Value: 100053.05\n",
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"[2024-11-18 09:00:00] Strategy processing Bar. Current close price: 3268.00. Current Portfolio Value: 100023.05\n",
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"[2024-11-18 10:00:00] Strategy processing Bar. Current close price: 3282.00. Current Portfolio Value: 100009.05\n",
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"[2024-11-18 11:00:00] Strategy processing Bar. Current close price: 3290.00. Current Portfolio Value: 100001.05\n",
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"[2024-11-18 13:00:00] Strategy processing Bar. Current close price: 3268.00. Current Portfolio Value: 100023.05\n",
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"[2024-11-18 14:00:00] Strategy processing Bar. Current close price: 3279.00. Current Portfolio Value: 100012.05\n",
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"[2024-11-18 21:00:00] Strategy processing Bar. Current close price: 3276.00. Current Portfolio Value: 100015.05\n",
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"[2024-11-18 22:00:00] Strategy processing Bar. Current close price: 3283.00. Current Portfolio Value: 100008.05\n",
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"[2024-11-19 09:00:00] Strategy processing Bar. Current close price: 3274.00. Current Portfolio Value: 100017.05\n",
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"[2024-11-19 10:00:00] Strategy processing Bar. Current close price: 3271.00. Current Portfolio Value: 100020.05\n",
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"[2024-11-19 11:00:00] Strategy processing Bar. Current close price: 3288.00. Current Portfolio Value: 100003.05\n",
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"[2024-11-19 13:00:00] Strategy processing Bar. Current close price: 3289.00. Current Portfolio Value: 100002.05\n",
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"[2024-11-19 14:00:00] Strategy processing Bar. Current close price: 3322.00. Current Portfolio Value: 99969.05\n",
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"[2024-11-19 21:00:00] Strategy processing Bar. Current close price: 3315.00. Current Portfolio Value: 99976.05\n",
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"[2024-11-19 22:00:00] Strategy processing Bar. Current close price: 3311.00. Current Portfolio Value: 99980.05\n",
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"[2024-11-20 09:00:00] Strategy processing Bar. Current close price: 3307.00. Current Portfolio Value: 99984.05\n",
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"[2024-11-20 10:00:00] Strategy processing Bar. Current close price: 3325.00. Current Portfolio Value: 99966.05\n",
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"[2024-11-20 11:00:00] Strategy processing Bar. Current close price: 3319.00. Current Portfolio Value: 99972.05\n",
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"[2024-11-20 13:00:00] Strategy processing Bar. Current close price: 3314.00. Current Portfolio Value: 99977.05\n",
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"[2024-11-20 14:00:00] Strategy processing Bar. Current close price: 3319.00. Current Portfolio Value: 99972.05\n",
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"[2024-11-20 21:00:00] Strategy processing Bar. Current close price: 3328.00. Current Portfolio Value: 99963.05\n",
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"[2024-11-20 22:00:00] Strategy processing Bar. Current close price: 3316.00. Current Portfolio Value: 99975.05\n",
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"[2024-11-21 09:00:00] Strategy processing Bar. Current close price: 3319.00. Current Portfolio Value: 99972.05\n",
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"[2024-11-21 10:00:00] Strategy processing Bar. Current close price: 3333.00. Current Portfolio Value: 99958.05\n",
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"[2024-11-21 11:00:00] Strategy processing Bar. Current close price: 3334.00. Current Portfolio Value: 99957.05\n",
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"[2024-11-21 13:00:00] Strategy processing Bar. Current close price: 3334.00. Current Portfolio Value: 99957.05\n",
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"[2024-11-21 14:00:00] Strategy processing Bar. Current close price: 3332.00. Current Portfolio Value: 99959.05\n",
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"[2024-11-21 21:00:00] Strategy processing Bar. Current close price: 3334.00. Current Portfolio Value: 99957.05\n",
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"[2024-11-21 22:00:00] Strategy processing Bar. Current close price: 3332.00. Current Portfolio Value: 99959.05\n",
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"[2024-11-22 09:00:00] Strategy processing Bar. Current close price: 3320.00. Current Portfolio Value: 99971.05\n",
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"[2024-11-22 10:00:00] Strategy processing Bar. Current close price: 3293.00. Current Portfolio Value: 99998.05\n",
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"[2024-11-22 11:00:00] Strategy processing Bar. Current close price: 3279.00. Current Portfolio Value: 100012.05\n",
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"[2024-11-22 13:00:00] Strategy processing Bar. Current close price: 3279.00. Current Portfolio Value: 100012.05\n",
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"[2024-11-22 14:00:00] Strategy processing Bar. Current close price: 3277.00. Current Portfolio Value: 100014.05\n",
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"[2024-11-22 21:00:00] Strategy processing Bar. Current close price: 3295.00. Current Portfolio Value: 99996.05\n",
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"[2024-11-22 22:00:00] Strategy processing Bar. Current close price: 3320.00. Current Portfolio Value: 99971.05\n",
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"[2024-11-25 09:00:00] Strategy processing Bar. Current close price: 3309.00. Current Portfolio Value: 99982.05\n",
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"[2024-11-25 10:00:00] Strategy processing Bar. Current close price: 3307.00. Current Portfolio Value: 99984.05\n",
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"[2024-11-25 11:00:00] Strategy processing Bar. Current close price: 3288.00. Current Portfolio Value: 100003.05\n",
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"[2024-11-25 13:00:00] Strategy processing Bar. Current close price: 3287.00. Current Portfolio Value: 100004.05\n",
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"[2024-11-25 14:00:00] Strategy processing Bar. Current close price: 3297.00. Current Portfolio Value: 99994.05\n",
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"[2024-11-25 21:00:00] Strategy processing Bar. Current close price: 3303.00. Current Portfolio Value: 99988.05\n",
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"[2024-11-25 22:00:00] Strategy processing Bar. Current close price: 3311.00. Current Portfolio Value: 99980.05\n",
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"[2024-11-26 09:00:00] Strategy processing Bar. Current close price: 3323.00. Current Portfolio Value: 99968.05\n",
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"[2024-11-26 10:00:00] Strategy processing Bar. Current close price: 3319.00. Current Portfolio Value: 99972.05\n",
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"[2024-11-26 11:00:00] Strategy processing Bar. Current close price: 3320.00. Current Portfolio Value: 99971.05\n",
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"[2024-11-26 13:00:00] Strategy processing Bar. Current close price: 3303.00. Current Portfolio Value: 99988.05\n",
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"[2024-11-26 14:00:00] Strategy processing Bar. Current close price: 3303.00. Current Portfolio Value: 99988.05\n",
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"[2024-11-26 21:00:00] Strategy processing Bar. Current close price: 3298.00. Current Portfolio Value: 99993.05\n",
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"[2024-11-26 22:00:00] Strategy processing Bar. Current close price: 3293.00. Current Portfolio Value: 99998.05\n",
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"[2024-11-27 09:00:00] Strategy processing Bar. Current close price: 3283.00. Current Portfolio Value: 100008.05\n",
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"[2024-11-27 10:00:00] Strategy processing Bar. Current close price: 3311.00. Current Portfolio Value: 99980.05\n",
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"[2024-11-27 11:00:00] Strategy processing Bar. Current close price: 3310.00. Current Portfolio Value: 99981.05\n",
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"[2024-11-27 13:00:00] Strategy processing Bar. Current close price: 3309.00. Current Portfolio Value: 99982.05\n",
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"[2024-11-27 14:00:00] Strategy processing Bar. Current close price: 3309.00. Current Portfolio Value: 99982.05\n",
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"[2024-11-27 21:00:00] Strategy processing Bar. Current close price: 3306.00. Current Portfolio Value: 99985.05\n",
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"[2024-11-27 22:00:00] Strategy processing Bar. Current close price: 3309.00. Current Portfolio Value: 99982.05\n",
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"[2024-11-28 09:00:00] Strategy processing Bar. Current close price: 3287.00. Current Portfolio Value: 100004.05\n",
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"[2024-11-28 10:00:00] Strategy processing Bar. Current close price: 3292.00. Current Portfolio Value: 99999.05\n",
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"[2024-11-28 11:00:00] Strategy processing Bar. Current close price: 3287.00. Current Portfolio Value: 100004.05\n",
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|
|
"[2024-11-28 13:00:00] Strategy processing Bar. Current close price: 3306.00. Current Portfolio Value: 99985.05\n",
|
|
|
|
|
|
"[2024-11-28 14:00:00] Strategy processing Bar. Current close price: 3312.00. Current Portfolio Value: 99979.05\n",
|
|
|
|
|
|
"[2024-11-28 21:00:00] Strategy processing Bar. Current close price: 3311.00. Current Portfolio Value: 99980.05\n",
|
|
|
|
|
|
"[2024-11-28 22:00:00] Strategy processing Bar. Current close price: 3310.00. Current Portfolio Value: 99981.05\n",
|
|
|
|
|
|
"[2024-11-29 09:00:00] Strategy processing Bar. Current close price: 3315.00. Current Portfolio Value: 99976.05\n",
|
|
|
|
|
|
"[2024-11-29 10:00:00] Strategy processing Bar. Current close price: 3337.00. Current Portfolio Value: 99954.05\n",
|
|
|
|
|
|
"[2024-11-29 11:00:00] Strategy processing Bar. Current close price: 3341.00. Current Portfolio Value: 99950.05\n",
|
|
|
|
|
|
"[2024-11-29 13:00:00] Strategy processing Bar. Current close price: 3335.00. Current Portfolio Value: 99956.05\n",
|
|
|
|
|
|
"[2024-11-29 14:00:00] Strategy processing Bar. Current close price: 3318.00. Current Portfolio Value: 99973.05\n",
|
|
|
|
|
|
"[2024-11-29 21:00:00] Strategy processing Bar. Current close price: 3301.00. Current Portfolio Value: 99990.05\n",
|
|
|
|
|
|
"Bar 对象流生成完毕。\n",
|
2025-06-19 15:28:26 +08:00
|
|
|
|
"\n",
|
|
|
|
|
|
"--- 回测片段结束，检查并平仓所有持仓 ---\n",
|
|
|
|
|
|
"[2024-11-29 21:00:00] 回测结束平仓: 平仓 SHFE_rb2501 (-1 手) @ 3301.00。\n",
|
2025-06-18 10:25:05 +08:00
|
|
|
|
"--- 回测结束 ---\n",
|
|
|
|
|
|
"总计处理了 404 根K线。\n",
|
2025-06-19 15:28:26 +08:00
|
|
|
|
"总计发生了 2 笔交易。\n",
|
2025-06-18 10:25:05 +08:00
|
|
|
|
"\n",
|
|
|
|
|
|
"回测运行完毕。\n",
|
|
|
|
|
|
"\n",
|
|
|
|
|
|
"--- 结果分析器初始化完成 ---\n",
|
|
|
|
|
|
"正在计算绩效指标...\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 : 99990.05\n",
|
|
|
|
|
|
"总收益率 : -0.01%\n",
|
|
|
|
|
|
"年化收益率 : -0.03%\n",
|
|
|
|
|
|
"最大回撤 : 0.63%\n",
|
|
|
|
|
|
"夏普比率 : -0.02\n",
|
|
|
|
|
|
"卡玛比率 : -0.04\n",
|
2025-06-19 15:28:26 +08:00
|
|
|
|
"总交易次数 : 2\n",
|
|
|
|
|
|
"交易成本 : 1.32\n",
|
2025-06-18 10:25:05 +08:00
|
|
|
|
"\n",
|
|
|
|
|
|
"--- 部分交易明细 (最近5笔) ---\n",
|
|
|
|
|
|
" 2024-08-30 21:00:00 | SELL | SHFE_rb2501 | Vol: 1 | Price: 3291.70 | Commission: 0.66\n",
|
2025-06-19 15:28:26 +08:00
|
|
|
|
" 2024-11-29 21:00:00 | BUY | SHFE_rb2501 | Vol: 1 | Price: 3304.30 | Commission: 0.66\n",
|
2025-06-18 10:25:05 +08:00
|
|
|
|
"正在绘制绩效图表...\n"
|
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|
|
|
]
|
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|
|
},
|
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|
|
{
|
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|
"data": {
|
|
|
|
|
|
"image/png": "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
|
|
|
|
|
|
"text/plain": [
|
|
|
|
|
|
"<Figure size 1400x1000 with 2 Axes>"
|
|
|
|
|
|
]
|
|
|
|
|
|
},
|
|
|
|
|
|
"metadata": {},
|
|
|
|
|
|
"output_type": "display_data"
|
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|
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|
|
},
|
|
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|
|
{
|
|
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|
"data": {
|
|
|
|
|
|
"image/png": "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
|
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|
"text/plain": [
|
|
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|
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|
"<Figure size 1400x700 with 1 Axes>"
|
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|
]
|
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|
},
|
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"metadata": {},
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"output_type": "display_data"
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},
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{
|
|
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|
"name": "stdout",
|
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|
"output_type": "stream",
|
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"text": [
|
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|
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|
|
"图表绘制完成。\n"
|
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]
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}
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],
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"source": [
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"%load_ext autoreload\n",
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"%autoreload 2\n",
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"\n",
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"from src.analysis.result_analyzer import ResultAnalyzer\n",
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"# 导入所有必要的模块\n",
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"from src.data_manager import DataManager\n",
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"from src.backtest_engine import BacktestEngine\n",
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"from src.strategies.simple_limit_buy_strategy import SimpleLimitBuyStrategy\n",
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"\n",
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"\n",
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"def main():\n",
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" # --- 配置参数 ---\n",
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" # 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",
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2025-06-19 15:28:26 +08:00
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" data_file_path = '/mnt/d/PyProject/NewQuant/data/data/SHFE_rb2501/SHFE_rb2501_min60.csv'\n",
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2025-06-18 10:25:05 +08:00
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"\n",
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" initial_capital = 100000.0\n",
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" slippage_rate = 0.001 # 假设每笔交易0.1%的滑点\n",
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" commission_rate = 0.0002 # 假设每笔交易0.02%的佣金\n",
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"\n",
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" strategy_parameters = {\n",
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" 'symbol': \"SHFE_rb2501\", # 根据您的数据文件中的品种名称调整\n",
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" 'trade_volume': 1, # 每次交易1手/股\n",
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" 'limit_price_factor': 0.995, # 限价单价格为开盘价的99.5%\n",
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" 'max_position': 10 # 最大持仓10手/股\n",
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" }\n",
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"\n",
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" # --- 1. 初始化数据管理器 ---\n",
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" print(\"初始化数据管理器...\")\n",
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" data_manager = DataManager(file_path=data_file_path, symbol=strategy_parameters['symbol'])\n",
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" # 确保 DataManager 能够重置以进行多次回测\n",
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" # data_manager.reset() # 首次运行不需要重置\n",
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"\n",
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" # --- 2. 初始化回测引擎并运行 ---\n",
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" print(\"\\n初始化回测引擎...\")\n",
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" engine = BacktestEngine(\n",
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" data_manager=data_manager,\n",
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" strategy_class=SimpleLimitBuyStrategy,\n",
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2025-06-19 15:28:26 +08:00
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" current_segment_symbol='SHFE_rb2501',\n",
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2025-06-18 10:25:05 +08:00
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" strategy_params=strategy_parameters,\n",
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" initial_capital=initial_capital,\n",
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" slippage_rate=slippage_rate,\n",
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" commission_rate=commission_rate\n",
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" )\n",
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"\n",
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" print(\"\\n开始运行回测...\")\n",
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" engine.run_backtest()\n",
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" print(\"\\n回测运行完毕。\")\n",
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"\n",
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" # --- 3. 获取回测结果 ---\n",
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" results = engine.get_backtest_results()\n",
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" portfolio_snapshots = results[\"portfolio_snapshots\"]\n",
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" trade_history = results[\"trade_history\"]\n",
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" initial_capital_result = results[\"initial_capital\"]\n",
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" bars = results[\"all_bars\"]\n",
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"\n",
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" # --- 4. 结果分析与可视化 ---\n",
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" if portfolio_snapshots:\n",
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" analyzer = ResultAnalyzer(portfolio_snapshots, trade_history, bars, initial_capital_result)\n",
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"\n",
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" analyzer.generate_report()\n",
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" analyzer.plot_performance()\n",
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" else:\n",
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" print(\"\\n没有生成投资组合快照，无法进行结果分析。\")\n",
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"\n",
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" # --- 4. 结果分析与可视化 (待实现) ---\n",
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" # if portfolio_snapshots:\n",
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" # analyzer = ResultAnalyzer(portfolio_snapshots, trade_history, initial_capital_result)\n",
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" # metrics = analyzer.calculate_all_metrics()\n",
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" # print(\"\\n--- 绩效指标 ---\")\n",
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" # for key, value in metrics.items():\n",
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" # print(f\" {key}: {value:.4f}\")\n",
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" #\n",
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" # print(\"\\n--- 绘制绩效图表 ---\")\n",
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" # analyzer.plot_performance()\n",
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" # else:\n",
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" # print(\"\\n没有生成投资组合快照，无法进行结果分析。\")\n",
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"\n",
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"\n",
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"if __name__ == '__main__':\n",
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" main()\n"
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]
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|
},
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{
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"cell_type": "code",
|
2025-06-19 15:28:26 +08:00
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"execution_count": 4,
|
2025-06-18 10:25:05 +08:00
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"id": "9dd93e564f0e2b55",
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-06-16T15:44:28.967791200Z",
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"start_time": "2025-06-16T15:43:26.398945Z"
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}
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},
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"outputs": [
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{
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"data": {
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"text/plain": [
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"'/home/liaozhaorun/.fonts/simhei.ttf'"
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]
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},
|
2025-06-19 15:28:26 +08:00
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"execution_count": 4,
|
2025-06-18 10:25:05 +08:00
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
|
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|
|
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"from matplotlib.font_manager import findfont, FontProperties\n",
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"\n",
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"font = findfont(FontProperties(family=['SimHei']))\n",
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"font"
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]
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},
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{
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"cell_type": "code",
|
2025-06-19 15:28:26 +08:00
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"execution_count": 5,
|
2025-06-18 10:25:05 +08:00
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"id": "a14196c49af33461",
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"metadata": {
|
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"ExecuteTime": {
|
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"end_time": "2025-06-16T15:44:34.861245Z",
|
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"start_time": "2025-06-16T15:44:34.757667Z"
|
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}
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},
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"outputs": [
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{
|
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"['sans-serif']\n"
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]
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}
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|
],
|
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"source": [
|
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|
|
"import matplotlib as mpl\n",
|
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|
|
"print(mpl.rcParams['font.family'])"
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]
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}
|
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],
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"metadata": {
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"kernelspec": {
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|
"display_name": "quant",
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|
"language": "python",
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|
"name": "python3"
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},
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"language_info": {
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|
"codemirror_mode": {
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"name": "ipython",
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"version": 3
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},
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"file_extension": ".py",
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"mimetype": "text/x-python",
|
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|
"name": "python",
|
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|
"nbconvert_exporter": "python",
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|
|
"pygments_lexer": "ipython3",
|
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|
"version": "3.12.11"
|
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|
|
}
|
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|
},
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"nbformat": 4,
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"nbformat_minor": 5
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}
|
