liaozhaorun/NewQuant
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
bc93a547f0b7db5faf7719978a8db67a548b2c18
NewQuant/src/strategies/InformedTraderDPStrategy/MomentumDPStrategy.ipynb

577 lines
287 KiB
Plaintext
Raw Normal View History

1、研究多空不对称策略
2025-09-20 00:04:51 +08:00
{
"cells": [
{
"cell_type": "code",
"id": "522f09ca7b3fe929",
"metadata": {
"ExecuteTime": {
"end_time": "2025-09-19T16:02:50.537250Z",
"start_time": "2025-09-19T16:02:50.516503Z"
}
},
"source": [
"from datetime import datetime\n",
"\n",
"from src.data_processing import load_raw_data\n",
"%load_ext autoreload\n",
"%autoreload 2\n",
"\n",
"import sys\n",
"\n",
"if '/mnt/d/PyProject/NewQuant/' not in sys.path:\n",
" sys.path.append('/mnt/d/PyProject/NewQuant/')"
],
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"The autoreload extension is already loaded. To reload it, use:\n",
" %reload_ext autoreload\n"
]
}
],
"execution_count": 82
},
{
"cell_type": "code",
"id": "4f7e4b438cea750e",
"metadata": {
"ExecuteTime": {
"end_time": "2025-09-19T16:02:50.591552Z",
"start_time": "2025-09-19T16:02:50.565990Z"
}
},
"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 RSI, BollingerBandwidth, HistoricalRange, NormalizedATR, RateOfChange, \\\n",
" StochasticOscillator, ADX, Empty\n",
"\n",
"# 导入您自己的 SMC 策略\n",
"from src.strategies.InformedTraderDPStrategy.MomentumDPStrategy import AsymmetricOriginalDPStrategy\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",
"# data_file_path = \"/mnt/d/PyProject/NewQuant/data/data/KQ_m@DCE_m/KQ_m@DCE_m_min60.csv\"\n",
"# data_file_path = \"/mnt/d/PyProject/NewQuant/data/data/KQ_m@CZCE_SA/KQ_m@CZCE_SA_min15.csv\"\n",
"# data_file_path = \"/mnt/d/PyProject/NewQuant/data/data/KQ_m@DCE_m/KQ_m@DCE_m_min60.csv\""
],
"outputs": [],
"execution_count": 83
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-09-19T16:02:50.626368Z",
"start_time": "2025-09-19T16:02:50.602563Z"
}
},
"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, 1, 1)\n",
"\n",
"start_time = datetime(2024, 1, 1)\n",
"end_time = datetime(2025, 8, 1)\n",
"\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": 84
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-09-19T16:02:55.924574Z",
"start_time": "2025-09-19T16:02:50.635443Z"
}
},
"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",
" 'trade_volume': 1,\n",
" 'order_direction': ['SELL'],\n",
" 'activity_multiplier': [10, 7],\n",
" 'dominance_multiplier': 2,\n",
" 'long_power_falloff_pct': 0.35,\n",
" # 'indicators': [StochasticOscillator(5, 3, 3, 10, 45), StochasticOscillator(5, 3, 3, 10, 45)],\n",
" # 'indicators': [RateOfChange(20, 1, 2), RateOfChange(20, -2, -1)],\n",
" # 'indicators': [ROC_MA(5, 10, 0.15, 0.4), ROC_MA(5, 10, 0.15, 0.4)],\n",
" # 'indicators': [RSI(5 , 60, 80), ADX(30, 15, 20)],\n",
" 'enable_log': False\n",
"}\n",
"\n",
"indicators = INDICATOR_LIST\n",
"indicators = []\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=AsymmetricOriginalDPStrategy, # <--- 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: AsymmetricOriginalDPStrategy\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",
"AsymmetricOriginalDPStrategy 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 234 笔交易。\n",
"最终总净值: 100177.00\n",
"总收益率: 0.18%\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",
" 2024-01-30 13:45:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1986.00 | Comm: 0.00\n",
" 2024-01-30 14:00:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1955.00 | Comm: 0.00 | PnL: 31.00\n",
" 2024-01-30 14:15:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1954.00 | Comm: 0.00\n",
" 2024-01-31 14:30:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1918.00 | Comm: 0.00 | PnL: 36.00\n",
" 2024-02-01 14:00:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1910.00 | Comm: 0.00\n",
" 2024-02-02 09:15:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1936.00 | Comm: 0.00 | PnL: -26.00\n",
" 2024-02-05 21:00:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1934.00 | Comm: 0.00\n",
" 2024-02-06 09:45:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1946.00 | Comm: 0.00 | PnL: -12.00\n",
" 2024-02-08 13:30:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1946.00 | Comm: 0.00\n",
" 2024-02-20 13:30:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1846.00 | Comm: 0.00 | PnL: 100.00\n",
" 2024-02-22 14:00:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1842.00 | Comm: 0.00\n",
" 2024-02-22 21:15:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1867.00 | Comm: 0.00 | PnL: -25.00\n",
" 2024-02-23 10:00:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1846.00 | Comm: 0.00\n",
" 2024-02-26 09:15:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1793.00 | Comm: 0.00 | PnL: 53.00\n",
" 2024-02-26 09:30:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1788.00 | Comm: 0.00\n",
" 2024-02-27 13:45:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1786.00 | Comm: 0.00 | PnL: 2.00\n",
" 2024-03-01 22:00:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1779.00 | Comm: 0.00\n",
" 2024-03-04 09:15:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1779.00 | Comm: 0.00 | PnL: 0.00\n",
" 2024-03-12 21:00:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1871.00 | Comm: 0.00\n",
" 2024-03-12 21:15:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1880.00 | Comm: 0.00 | PnL: -9.00\n",
" 2024-03-14 13:30:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1807.00 | Comm: 0.00\n",
" 2024-03-14 14:30:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1824.00 | Comm: 0.00 | PnL: -17.00\n",
" 2024-03-15 13:45:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1814.00 | Comm: 0.00\n",
" 2024-03-18 09:00:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1809.00 | Comm: 0.00 | PnL: 5.00\n",
" 2024-03-20 10:45:00 | SELL | CZCE.SA405 | Vol: 1 | Price: 1854.00 | Comm: 0.00\n",
" 2024-03-21 09:15:00 | CLOSE_SHORT | CZCE.SA405 | Vol: 1 | Price: 1829.00 | Comm: 0.00 | PnL: 25.00\n",
" 2024-03-27 13:45:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1745.00 | Comm: 0.00\n",
" 2024-03-28 13:30:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1757.00 | Comm: 0.00 | PnL: -12.00\n",
" 2024-04-30 13:45:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2164.00 | Comm: 0.00\n",
" 2024-05-06 09:15:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2207.00 | Comm: 0.00 | PnL: -43.00\n",
" 2024-05-14 21:15:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2119.00 | Comm: 0.00\n",
" 2024-05-15 14:15:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2136.00 | Comm: 0.00 | PnL: -17.00\n",
" 2024-05-30 11:15:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2360.00 | Comm: 0.00\n",
" 2024-05-30 14:30:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2355.00 | Comm: 0.00 | PnL: 5.00\n",
" 2024-05-31 10:45:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2312.00 | Comm: 0.00\n",
" 2024-06-03 11:15:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2231.00 | Comm: 0.00 | PnL: 81.00\n",
" 2024-06-03 13:45:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2211.00 | Comm: 0.00\n",
" 2024-06-04 10:30:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2232.00 | Comm: 0.00 | PnL: -21.00\n",
" 2024-06-21 21:00:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2102.00 | Comm: 0.00\n",
" 2024-06-24 09:15:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2064.00 | Comm: 0.00 | PnL: 38.00\n",
" 2024-06-27 14:15:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2032.00 | Comm: 0.00\n",
" 2024-06-27 21:15:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2036.00 | Comm: 0.00 | PnL: -4.00\n",
" 2024-07-08 13:30:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 2079.00 | Comm: 0.00\n",
" 2024-07-09 14:15:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 2050.00 | Comm: 0.00 | PnL: 29.00\n",
" 2024-07-10 11:15:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1989.00 | Comm: 0.00\n",
" 2024-07-11 10:45:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1959.00 | Comm: 0.00 | PnL: 30.00\n",
" 2024-07-16 14:30:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1946.00 | Comm: 0.00\n",
" 2024-07-16 22:15:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1953.00 | Comm: 0.00 | PnL: -7.00\n",
" 2024-07-16 22:30:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1950.00 | Comm: 0.00\n",
" 2024-07-17 14:45:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1931.00 | Comm: 0.00 | PnL: 19.00\n",
" 2024-07-19 14:00:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1934.00 | Comm: 0.00\n",
" 2024-07-22 11:00:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1930.00 | Comm: 0.00 | PnL: 4.00\n",
" 2024-07-22 14:15:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1899.00 | Comm: 0.00\n",
" 2024-07-24 14:15:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1868.00 | Comm: 0.00 | PnL: 31.00\n",
" 2024-07-26 14:45:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1849.00 | Comm: 0.00\n",
" 2024-07-26 21:00:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1829.00 | Comm: 0.00 | PnL: 20.00\n",
" 2024-07-26 21:15:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1818.00 | Comm: 0.00\n",
" 2024-07-30 22:15:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1747.00 | Comm: 0.00 | PnL: 71.00\n",
" 2024-08-05 14:15:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1789.00 | Comm: 0.00\n",
" 2024-08-05 21:15:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1799.00 | Comm: 0.00 | PnL: -10.00\n",
" 2024-08-06 11:15:00 | SELL | CZCE.SA409 | Vol: 1 | Price: 1761.00 | Comm: 0.00\n",
" 2024-08-07 10:45:00 | CLOSE_SHORT | CZCE.SA409 | Vol: 1 | Price: 1750.00 | Comm: 0.00 | PnL: 11.00\n",
" 2024-08-16 21:00:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1575.00 | Comm: 0.00\n",
" 2024-08-16 22:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1589.00 | Comm: 0.00 | PnL: -14.00\n",
" 2024-08-22 14:00:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1578.00 | Comm: 0.00\n",
" 2024-08-23 11:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1564.00 | Comm: 0.00 | PnL: 14.00\n",
" 2024-08-28 10:45:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1587.00 | Comm: 0.00\n",
" 2024-08-29 11:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1577.00 | Comm: 0.00 | PnL: 10.00\n",
" 2024-08-30 22:45:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1565.00 | Comm: 0.00\n",
" 2024-09-03 10:30:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1502.00 | Comm: 0.00 | PnL: 63.00\n",
" 2024-09-05 14:00:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1439.00 | Comm: 0.00\n",
" 2024-09-05 21:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1441.00 | Comm: 0.00 | PnL: -2.00\n",
" 2024-09-06 22:45:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1402.00 | Comm: 0.00\n",
" 2024-09-09 09:00:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1376.00 | Comm: 0.00 | PnL: 26.00\n",
" 2024-09-13 14:00:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1373.00 | Comm: 0.00\n",
" 2024-09-18 09:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1324.00 | Comm: 0.00 | PnL: 49.00\n",
" 2024-09-19 09:45:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1336.00 | Comm: 0.00\n",
" 2024-09-19 10:00:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1364.00 | Comm: 0.00 | PnL: -28.00\n",
" 2024-09-20 09:30:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1358.00 | Comm: 0.00\n",
" 2024-09-23 09:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1371.00 | Comm: 0.00 | PnL: -13.00\n",
" 2024-10-09 21:30:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1457.00 | Comm: 0.00\n",
" 2024-10-10 09:00:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1497.00 | Comm: 0.00 | PnL: -40.00\n",
" 2024-10-11 14:15:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1486.00 | Comm: 0.00\n",
" 2024-10-11 21:00:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1518.00 | Comm: 0.00 | PnL: -32.00\n",
" 2024-10-16 21:15:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1536.00 | Comm: 0.00\n",
" 2024-10-17 10:30:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1497.00 | Comm: 0.00 | PnL: 39.00\n",
" 2024-10-17 13:45:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1465.00 | Comm: 0.00\n",
" 2024-10-18 14:00:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1461.00 | Comm: 0.00 | PnL: 4.00\n",
" 2024-10-21 14:00:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1430.00 | Comm: 0.00\n",
" 2024-10-21 21:00:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1477.00 | Comm: 0.00 | PnL: -47.00\n",
" 2024-10-22 14:45:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1493.00 | Comm: 0.00\n",
" 2024-10-22 21:00:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1521.00 | Comm: 0.00 | PnL: -28.00\n",
" 2024-10-23 11:00:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1506.00 | Comm: 0.00\n",
" 2024-10-23 21:45:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1530.00 | Comm: 0.00 | PnL: -24.00\n",
" 2024-10-25 21:15:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1508.00 | Comm: 0.00\n",
" 2024-10-25 22:30:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1527.00 | Comm: 0.00 | PnL: -19.00\n",
" 2024-11-01 14:15:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1535.00 | Comm: 0.00\n",
" 2024-11-01 21:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1537.00 | Comm: 0.00 | PnL: -2.00\n",
" 2024-11-01 22:15:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1519.00 | Comm: 0.00\n",
" 2024-11-04 11:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1518.00 | Comm: 0.00 | PnL: 1.00\n",
" 2024-11-08 22:30:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1512.00 | Comm: 0.00\n",
" 2024-11-12 14:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1487.00 | Comm: 0.00 | PnL: 25.00\n",
" 2024-11-15 10:00:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1495.00 | Comm: 0.00\n",
" 2024-11-18 10:30:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1495.00 | Comm: 0.00 | PnL: 0.00\n",
" 2024-11-21 22:45:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1485.00 | Comm: 0.00\n",
" 2024-11-22 13:30:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1470.00 | Comm: 0.00 | PnL: 15.00\n",
" 2024-11-25 21:45:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1489.00 | Comm: 0.00\n",
" 2024-11-26 11:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1509.00 | Comm: 0.00 | PnL: -20.00\n",
" 2024-11-29 21:30:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1465.00 | Comm: 0.00\n",
" 2024-12-02 09:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1489.00 | Comm: 0.00 | PnL: -24.00\n",
" 2024-12-02 09:45:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1476.00 | Comm: 0.00\n",
" 2024-12-03 13:30:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1481.00 | Comm: 0.00 | PnL: -5.00\n",
" 2024-12-05 14:30:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1401.00 | Comm: 0.00\n",
" 2024-12-05 14:45:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1416.00 | Comm: 0.00 | PnL: -15.00\n",
" 2024-12-09 10:00:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1418.00 | Comm: 0.00\n",
" 2024-12-09 14:45:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1420.00 | Comm: 0.00 | PnL: -2.00\n",
" 2024-12-11 13:30:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1438.00 | Comm: 0.00\n",
" 2024-12-11 13:45:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1438.00 | Comm: 0.00 | PnL: 0.00\n",
" 2024-12-11 14:00:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1442.00 | Comm: 0.00\n",
" 2024-12-11 14:15:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1438.00 | Comm: 0.00 | PnL: 4.00\n",
" 2024-12-11 14:30:00 | SELL | CZCE.SA501 | Vol: 1 | Price: 1435.00 | Comm: 0.00\n",
" 2024-12-11 14:45:00 | CLOSE_SHORT | CZCE.SA501 | Vol: 1 | Price: 1439.00 | Comm: 0.00 | PnL: -4.00\n",
" 2024-12-18 14:45:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1426.00 | Comm: 0.00\n",
" 2024-12-18 21:30:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1440.00 | Comm: 0.00 | PnL: -14.00\n",
" 2024-12-20 21:15:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1453.00 | Comm: 0.00\n",
" 2024-12-23 09:00:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1458.00 | Comm: 0.00 | PnL: -5.00\n",
" 2024-12-23 09:15:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1454.00 | Comm: 0.00\n",
" 2024-12-24 09:15:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1457.00 | Comm: 0.00 | PnL: -3.00\n",
" 2024-12-25 09:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1462.00 | Comm: 0.00\n",
" 2024-12-26 09:30:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1472.00 | Comm: 0.00 | PnL: -10.00\n",
" 2024-12-27 14:15:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1457.00 | Comm: 0.00\n",
" 2024-12-31 13:30:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1440.00 | Comm: 0.00 | PnL: 17.00\n",
" 2025-01-07 09:15:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1408.00 | Comm: 0.00\n",
" 2025-01-08 09:30:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1404.00 | Comm: 0.00 | PnL: 4.00\n",
" 2025-01-09 22:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1389.00 | Comm: 0.00\n",
" 2025-01-10 09:30:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1402.00 | Comm: 0.00 | PnL: -13.00\n",
" 2025-02-05 09:00:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1465.00 | Comm: 0.00\n",
" 2025-02-05 09:45:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1485.00 | Comm: 0.00 | PnL: -20.00\n",
" 2025-02-06 09:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1431.00 | Comm: 0.00\n",
" 2025-02-06 14:00:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1435.00 | Comm: 0.00 | PnL: -4.00\n",
" 2025-02-12 09:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1446.00 | Comm: 0.00\n",
" 2025-02-12 10:00:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1460.00 | Comm: 0.00 | PnL: -14.00\n",
" 2025-02-12 10:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1456.00 | Comm: 0.00\n",
" 2025-02-12 14:00:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1458.00 | Comm: 0.00 | PnL: -2.00\n",
" 2025-02-13 21:00:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1425.00 | Comm: 0.00\n",
" 2025-02-14 09:00:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1442.00 | Comm: 0.00 | PnL: -17.00\n",
" 2025-03-04 09:15:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1526.00 | Comm: 0.00\n",
" 2025-03-04 21:15:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1506.00 | Comm: 0.00 | PnL: 20.00\n",
" 2025-03-06 13:45:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1453.00 | Comm: 0.00\n",
" 2025-03-06 14:15:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1463.00 | Comm: 0.00 | PnL: -10.00\n",
" 2025-03-07 13:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1461.00 | Comm: 0.00\n",
" 2025-03-10 09:15:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1450.00 | Comm: 0.00 | PnL: 11.00\n",
" 2025-03-17 21:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1427.00 | Comm: 0.00\n",
" 2025-03-18 10:30:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1438.00 | Comm: 0.00 | PnL: -11.00\n",
" 2025-03-26 22:45:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1425.00 | Comm: 0.00\n",
" 2025-03-31 10:45:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1392.00 | Comm: 0.00 | PnL: 33.00\n",
" 2025-04-02 14:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1374.00 | Comm: 0.00\n",
" 2025-04-02 21:00:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1393.00 | Comm: 0.00 | PnL: -19.00\n",
" 2025-04-03 13:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1383.00 | Comm: 0.00\n",
" 2025-04-07 21:15:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1367.00 | Comm: 0.00 | PnL: 16.00\n",
" 2025-04-09 09:15:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1287.00 | Comm: 0.00\n",
" 2025-04-09 11:00:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1309.00 | Comm: 0.00 | PnL: -22.00\n",
" 2025-04-10 21:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1317.00 | Comm: 0.00\n",
" 2025-04-11 09:30:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1324.00 | Comm: 0.00 | PnL: -7.00\n",
" 2025-04-11 22:00:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1330.00 | Comm: 0.00\n",
" 2025-04-11 22:15:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1334.00 | Comm: 0.00 | PnL: -4.00\n",
" 2025-04-11 22:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1330.00 | Comm: 0.00\n",
" 2025-04-14 09:15:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1332.00 | Comm: 0.00 | PnL: -2.00\n",
" 2025-04-14 22:00:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1330.00 | Comm: 0.00\n",
" 2025-04-14 22:15:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1331.00 | Comm: 0.00 | PnL: -1.00\n",
" 2025-04-14 22:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1328.00 | Comm: 0.00\n",
" 2025-04-15 09:00:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1329.00 | Comm: 0.00 | PnL: -1.00\n",
" 2025-04-15 09:30:00 | SELL | CZCE.SA505 | Vol: 1 | Price: 1328.00 | Comm: 0.00\n",
" 2025-04-15 11:00:00 | CLOSE_SHORT | CZCE.SA505 | Vol: 1 | Price: 1325.00 | Comm: 0.00 | PnL: 3.00\n",
" 2025-04-18 13:30:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1319.00 | Comm: 0.00\n",
" 2025-04-21 09:00:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1333.00 | Comm: 0.00 | PnL: -14.00\n",
" 2025-04-22 09:00:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1329.00 | Comm: 0.00\n",
" 2025-04-22 09:30:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1337.00 | Comm: 0.00 | PnL: -8.00\n",
" 2025-04-22 14:15:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1322.00 | Comm: 0.00\n",
" 2025-04-22 21:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1323.00 | Comm: 0.00 | PnL: -1.00\n",
" 2025-04-30 09:00:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1339.00 | Comm: 0.00\n",
" 2025-04-30 09:30:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1368.00 | Comm: 0.00 | PnL: -29.00\n",
" 2025-05-06 09:15:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1348.00 | Comm: 0.00\n",
" 2025-05-06 21:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1339.00 | Comm: 0.00 | PnL: 9.00\n",
" 2025-05-07 14:00:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1322.00 | Comm: 0.00\n",
" 2025-05-08 11:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1314.00 | Comm: 0.00 | PnL: 8.00\n",
" 2025-05-09 14:30:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1304.00 | Comm: 0.00\n",
" 2025-05-12 09:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1297.00 | Comm: 0.00 | PnL: 7.00\n",
" 2025-05-13 09:45:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1299.00 | Comm: 0.00\n",
" 2025-05-13 22:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1305.00 | Comm: 0.00 | PnL: -6.00\n",
" 2025-05-15 21:45:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1318.00 | Comm: 0.00\n",
" 2025-05-16 21:30:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1294.00 | Comm: 0.00 | PnL: 24.00\n",
" 2025-05-20 13:30:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1285.00 | Comm: 0.00\n",
" 2025-05-20 22:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1284.00 | Comm: 0.00 | PnL: 1.00\n",
" 2025-05-22 13:45:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1282.00 | Comm: 0.00\n",
" 2025-05-22 14:00:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1279.00 | Comm: 0.00 | PnL: 3.00\n",
" 2025-05-22 14:15:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1280.00 | Comm: 0.00\n",
" 2025-05-22 14:30:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1280.00 | Comm: 0.00 | PnL: 0.00\n",
" 2025-05-22 14:45:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1280.00 | Comm: 0.00\n",
" 2025-05-22 21:00:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1285.00 | Comm: 0.00 | PnL: -5.00\n",
" 2025-05-23 11:15:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1263.00 | Comm: 0.00\n",
" 2025-05-23 21:30:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1263.00 | Comm: 0.00 | PnL: 0.00\n",
" 2025-05-27 11:15:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1234.00 | Comm: 0.00\n",
" 2025-05-27 14:30:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1239.00 | Comm: 0.00 | PnL: -5.00\n",
" 2025-06-03 21:00:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1186.00 | Comm: 0.00\n",
" 2025-06-03 21:30:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1196.00 | Comm: 0.00 | PnL: -10.00\n",
" 2025-06-05 10:45:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1197.00 | Comm: 0.00\n",
" 2025-06-05 21:00:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1201.00 | Comm: 0.00 | PnL: -4.00\n",
" 2025-06-06 13:30:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1214.00 | Comm: 0.00\n",
" 2025-06-06 21:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1215.00 | Comm: 0.00 | PnL: -1.00\n",
" 2025-06-09 11:15:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1208.00 | Comm: 0.00\n",
" 2025-06-10 09:30:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1204.00 | Comm: 0.00 | PnL: 4.00\n",
" 2025-06-12 14:45:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1176.00 | Comm: 0.00\n",
" 2025-06-12 21:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1162.00 | Comm: 0.00 | PnL: 14.00\n",
" 2025-06-16 22:00:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1165.00 | Comm: 0.00\n",
" 2025-06-17 21:30:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1167.00 | Comm: 0.00 | PnL: -2.00\n",
" 2025-06-19 11:00:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1172.00 | Comm: 0.00\n",
" 2025-06-19 11:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1176.00 | Comm: 0.00 | PnL: -4.00\n",
" 2025-06-19 13:30:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1172.00 | Comm: 0.00\n",
" 2025-06-19 13:45:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1176.00 | Comm: 0.00 | PnL: -4.00\n",
" 2025-06-19 14:00:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1174.00 | Comm: 0.00\n",
" 2025-06-19 14:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1173.00 | Comm: 0.00 | PnL: 1.00\n",
" 2025-06-19 22:15:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1168.00 | Comm: 0.00\n",
" 2025-06-20 09:45:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1180.00 | Comm: 0.00 | PnL: -12.00\n",
" 2025-06-30 21:15:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1173.00 | Comm: 0.00\n",
" 2025-07-01 21:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1164.00 | Comm: 0.00 | PnL: 9.00\n",
" 2025-07-04 21:30:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1167.00 | Comm: 0.00\n",
" 2025-07-08 09:30:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1175.00 | Comm: 0.00 | PnL: -8.00\n",
" 2025-07-29 09:00:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1304.00 | Comm: 0.00\n",
" 2025-07-29 11:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1311.00 | Comm: 0.00 | PnL: -7.00\n",
" 2025-07-29 14:45:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1314.00 | Comm: 0.00\n",
" 2025-07-29 21:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1346.00 | Comm: 0.00 | PnL: -32.00\n",
" 2025-07-31 10:45:00 | SELL | CZCE.SA509 | Vol: 1 | Price: 1256.00 | Comm: 0.00\n",
" 2025-07-31 21:15:00 | CLOSE_SHORT | CZCE.SA509 | Vol: 1 | Price: 1251.00 | Comm: 0.00 | PnL: 5.00\n",
"正在计算绩效指标...\n",
"total_return: 0.0017700000000000493, annualized_return:0.0007739898614198548, 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 : 100177.00\n",
"总收益率 : 0.18%\n",
"年化收益率 : 0.08%\n",
"最大回撤 : 0.37%\n",
"夏普比率 : 0.11\n",
"卡玛比率 : 0.21\n",
"总交易次数 : 234\n",
"总实现盈亏 : 177.00\n",
"交易成本 : 0.00\n",
"\n",
"--- 交易详情 ---\n",
"盈利交易次数 : 47\n",
"亏损交易次数 : 65\n",
"胜率 : 41.96%\n",
"盈亏比 : 1.67\n",
"平均每次盈利 : 21.91\n",
"平均每次亏损 : -13.12\n",
"正在绘制绩效图表...\n"
]
},
{
"data": {
"text/plain": [
"<Figure size 1400x1000 with 2 Axes>"
],
"image/png": "iVBORw0KGgoAAAANSUhEUgAABWQAAAPdCAYAAAANmGE2AAAAOnRFWHRTb2Z0d2FyZQBNYXRwbG90bGliIHZlcnNpb24zLjEwLjMsIGh0dHBzOi8vbWF0cGxvdGxpYi5vcmcvZiW1igAAAAlwSFlzAAAPYQAAD2EBqD+naQABAABJREFUeJzs3Xd4U3X/xvE7SXfLkC0CCmiLAjIVERBZipuh4sC9FffjwIFb+Cnu8eijIkMcKOIEFBUVZQgCslVA2aMFgZbu5Pz+iCejTdqkSduM9+u6erU5OTn5Jj1NT+58zudrMQzDEAAAAAAAAACg2llrewAAAAAAAAAAEC8IZAEAAAAAAACghhDIAgAAAAAAAEANIZAFAAAAAAAAgBpCIAsAAAAAAAAANYRAFgAAAAAAAABqCIEsAAAAAAAAANQQAlkAAAAAAAAAqCEEsgAAAAAAAABQQwhkAQBRq3///srKyvL66tChg04++WTddtttWrJkSW0PsZz169frxhtvVM+ePXX00UcrKytLL730UpW3t3XrVmVlZal///7lrjOfn61bt4Yy5ID4+l34+vr444+rfSwVuffeeyNiHJGoKs/Nxx9/7PNvsEePHjr99NN155136oMPPlBeXl41jrz2VfR3GOt+/vlnjR49Wqeeeqq6du2qDh06qHfv3rriiis0ceJE7d27t7aHWKsmTZqkrKwsffXVVxWu9/bbb7v+hqZMmVLhuosWLVJWVpYuueSScteZ26iqDRs2aOzYsRoyZIh69Oih9u3bq0ePHhoxYoSeeeYZbdiwocrbRuiWLFmirKwsPfXUU7U9FABAiBJqewAAAISqa9euOvzwwyVJBw4c0KpVqzRr1izNnj1b99xzj6644opqH8PHH3+s0aNHa+jQoRo3bpzPdfLz83Xttddq27ZtrtDCZrPp6KOPrvbx1RTP34UvrVq1qsHRBC6Q3x/8S0tL06mnnipJcjgcys3N1datWzVz5kx98cUXGjdunG6//XZdcsklslgstTxahMPevXt15513av78+ZKkww47TD169FBaWpqys7O1bNkyzZ8/Xy+88IImTpyoTp061fKIa97evXv18ssvq2PHjq6/D38++ugj18/Tp0/3GbZWp9LSUj311FOaMmWKHA6H6tevrw4dOqh+/frKzc3V6tWrtXz5cr355pu6//77NXLkyBodnynaXqtfeuklvfzyyxo1apRuvvnmkLfXvXt3nXzyyZo8ebLOP/98HXHEEaEPEgBQKwhkAQBR77zzztOwYcNcl4uKijRmzBh98sknevrpp3XyySerdevWtThCp5UrV2rbtm3q0qWL3n///Wq/v4kTJ6qkpERNmzat9vsylf1dRJo77rhD11xzjZo0aVLbQ4kphxxyiM9wZPfu3XrzzTc1efJkPfHEE9q5c6fuvvvuWhghwik3N1cXXXSR/vrrL7Vp00aPPfaYunfv7rVOcXGxZsyYoZdeeknZ2dm1NNLa9fLLL+vAgQOVBnHLly/X+vXrVbduXZWWlmrt2rVavXq12rdvX0Mjle666y7NnDlTGRkZuv/++3XOOefIZrO5rjcMQz///LOeffZZbdq0qcbGhfJuvvlmff/99xo/frxefvnl2h4OAKCKaFkAAIg5ycnJGjNmjNLS0mS32zVnzpzaHpIkaceOHZJUYxUtrVq1Utu2bZWYmFgj9xcNmjRporZt26pOnTq1PZS40KRJE91333168MEHJUlvvfVWRLYSQXAee+wx/fXXXzrssMP03nvvlQtjJSkpKUkjRozQJ598ojZt2tTCKGvXgQMHNGPGDDVt2lR9+vSpcF2zOvaMM87Q4MGDvZbVhI8++kgzZ85UYmKiJkyYoGHDhnmFsZJksVjUu3dvffDBBzr99NNrbGwor0OHDmrXrp2+/fbbGmlJBACoHgSyAICYlJ6e7qqKLfuGZd68ebruuuvUs2dPV+uA2267TStXrvS5rUsuuURZWVlatGiRlixZouuvv14nnHCC2rVrp48//lj9+/fX6NGjJUkzZszw6qd5ySWXuPr93XPPPT7X8bRv3z49++yzOuOMM9SpUyd16dJFw4YN0xtvvKHCwsKgnoOKesgWFBTof//7n4YOHaouXbqoU6dOOuOMM/Tcc89p//79Qd1PqNavX69bbrlFPXr00LHHHqszzzxTb731lux2u9/HUFmfRM/fmSdffVIr+/05HA4NGDBAWVlZWrZsmd/7fPjhh4Pq7ZeXl6dp06Zp1KhROuWUU9S5c2d17txZZ511lp577jkdOHDA5+08n5OFCxfqyiuv1HHHHadjjz1WQ4cO1SeffOL3Pvft26cnnnhC/fr1c/VbfvTRR7Vv376AxlxVF198sTp27ChJevPNN72uM/vQ3nvvva7xDRw4UB06dPA6bXv+/Pl67LHHdM4556hHjx7q0KGDTjrpJN12221asWJFufucPHmysrKy9Pjjj5e77pprrlFWVpZ69eolwzC8rvvkk0+UlZXls5J37ty5GjlypLp06aJu3brpoosu0jfffFPp49+wYYNGjx7tet6PP/54XXbZZZo5c2a1jtuz12hJSYn+97//6YwzztCxxx6rHj16aNSoUUH3BN2yZYu++OILSdLo0aNVv379Ctdv1KiRVyBbWa9iz/3B33Jf+8m8efOUlZWl0047ze9YSktL1atXL2VlZWndunVe1xUWFmrChAk6//zz1b17d1ebgaeeekr//PNPhY/R3+PIz8/XOeecI6vV/1uu/Px8135w7rnnavjw4ZKkL774QkVFRUHfb7AMw9Brr70mSbrgggsqbS2RmJioLl26lFu+YsUK3Xrrrerdu7c6dOignj176vrrr9fPP//sczue+8GWLVt01113qVevXurQoYMGDhyo5557TsXFxV63qey12lTZ/2yp6q+/knM/+uijj3T55Zd7vRZdfvnlXv1/s7KyXBWsL7/8std4Pffv3bt36/HHH9epp56qjh07qlOnTurbt68uu+wyvfXWWz7HMHToUDkcDr333nt+xwkAiGy0LAAAxCxzIqGkpCTXsueff17//e9/ZbFY1KVLFzVv3lwbNmzQrFmz9PXXX+vRRx/Vueee63N7s2fP1vvvv682bdroxBNP1P79+5WUlKRTTz1Vy5cv19KlS9WqVSt169bNdZs2bdqoUaNGGjp0qDZt2uRzHdOWLVt02WWXadu2bWrQoIH69u2rkpISLVq0SOPHj9esWbP09ttvq169eiE9L/v27dPll1+utWvXKiMjQyeccIISExP1yy+/6LXXXtMXX3yhSZMmqUWLFiHdTyCWLFmia665Rvn5+WrZsqV69eqlf/75R88995x+++23ar9/SZX+/qxWq0aOHKlx48bpnXfe8RlG5OXl6dNPP5XVatVFF10U0P2uW7dODz74oBo0aKDWrVurffv2rh7Ir732mmbNmqUPPvhAhxxyiM/bT58+Xf/97391zDHHqE+fPtq2bZuWL1+ue+65x/U79pSTk6OLL75Yf//9t+rVq6d+/frJ4XDo888/17x583TkkUcG/qRVwdlnn62VK1dq0aJFKi0tVUKC92HoP//8o+HDhys3N1fdunVT+/btvaq7H3roIe3YsUNHHXWUunbtqoSEBG3cuFGzZs3SnDlz9Oyzz3r16TzxxBMlydXj1FRSUuKq0s3JydHvv/+udu3aua431zdvb5o4caLGjh0rSTr22GPVqlUr/f3337rpppsq7FP9/fff65ZbblFRUZFat26tU045RXv27NHixYu1cOFC/fTTT3ryySerbdzmba+99lotW7ZM3bt3V9u2bbVixQrNmTNHixYt0owZMwL+e587d67sdrvq1q1bK5OY+dtPevXqpWbNmmnjxo1avny5OnfuXO62P/74o3JyctS+fXuv527Xrl26+uqr9ccff6h+/frq2LGj0tPTtWbNGr311luaPXu2pkyZosMOOyzgcZpBva/fh6eZM2fq4MGDrgnxJOdZFH///be+/vprnXXWWQHfZ1X8/vvv2rJliyRnyFcV06ZN00MPPSSHw6FjjjlGPXr00LZt2zR
},
"metadata": {},
"output_type": "display_data"
},
{
"data": {
"text/plain": [
"<Figure size 1400x700 with 1 Axes>"
],
"image/png": "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
},
"metadata": {},
"output_type": "display_data"
},
{
"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(100177.0), '总收益率': np.float64(0.0017700000000000493), '年化收益率': np.float64(0.0007739898614198548), '最大回撤': np.float64(0.003710187598225476), '夏普比率': np.float64(0.10888051636089234), '卡玛比率': np.float64(0.20861205557100185), '总交易次数': 234, '交易成本': 0.0, '总实现盈亏': 177.0, '胜率': 0.41964285714285715, '盈亏比': 1.6699508617894292, '盈利交易次数': 47, '亏损交易次数': 65, '平均每次盈利': 21.914893617021278, '平均每次亏损': -13.123076923076923, 'initial_capital': 100000.0, 'final_capital': np.float64(100177.0), 'total_return': np.float64(0.0017700000000000493), 'annualized_return': np.float64(0.0007739898614198548), 'max_drawdown': np.float64(0.003710187598225476), 'sharpe_ratio': np.float64(0.10888051636089234), 'calmar_ratio': np.float64(0.20861205557100185), 'sortino_ratio': np.float64(0.06229039017866455), 'total_trades': 234, 'transaction_costs': 0.0, 'total_realized_pnl': 177.0, 'win_rate': 0.41964285714285715, 'profit_loss_ratio': 1.6699508617894292, 'winning_trades_count': 47, 'losing_trades_count': 65, 'avg_profit_per_trade': 21.914893617021278, 'avg_loss_per_trade': -13.123076923076923}\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": 85
}
],
"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