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NewQuant/futures_trading_strategies/MA/KalmanStrategy/KalmanStrategy.ipynb

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1、新增傅里叶策略 2、新增策略管理、策略重启功能
2025-11-20 16:15:45 +08:00
{
"cells": [
{
"cell_type": "code",
"id": "522f09ca7b3fe929",
"metadata": {
"ExecuteTime": {
"end_time": "2025-11-09T15:27:17.395332Z",
"start_time": "2025-11-09T15:27:16.307699Z"
}
},
"source": [
"from datetime import datetime\n",
"\n",
"import sys\n",
"\n",
"if '/mnt/d/PyProject/NewQuant/' not in sys.path:\n",
" sys.path.append('/mnt/d/PyProject/NewQuant/')\n",
"\n",
"from src.data_processing import load_raw_data\n",
"%load_ext autoreload\n",
"%autoreload 2\n",
"\n"
],
"outputs": [],
"execution_count": 1
},
{
"cell_type": "code",
"id": "c00ccfeec592844c",
"metadata": {
"ExecuteTime": {
"end_time": "2025-11-09T15:27:17.928555Z",
"start_time": "2025-11-09T15:27:17.401076Z"
}
},
"source": [
"from turtle import down\n",
"from src.analysis.result_analyzer import ResultAnalyzer\n",
"# 导入所有必要的模块\n",
"from src.data_manager import DataManager\n",
"from src.backtest_engine import BacktestEngine\n",
"from src.indicators.indicator_list import INDICATOR_LIST\n",
"from src.indicators.indicators import *\n",
"\n",
"# 导入您自己的 SMC 策略\n",
"from futures_trading_strategies.MA.KalmanStrategy.KalmanStrategy2 import DualModeKalmanStrategy\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 = 'D:/PyProject/NewQuant/data/data/KQ_m@CZCE_MA/KQ_m@CZCE_MA_min15.csv'\n"
],
"outputs": [],
"execution_count": 2
},
{
"cell_type": "code",
"id": "7599fa7cd2cb3d45",
"metadata": {
"ExecuteTime": {
"end_time": "2025-11-09T15:27:17.958408Z",
"start_time": "2025-11-09T15:27:17.935360Z"
}
},
"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 = 0.0001 # 假设每笔交易0.02%的佣金\n",
"\n",
"global_config = {\n",
" 'symbol': 'KQ_m@CZCE_MA', # 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(2022, 1, 1)\n",
"end_time = datetime(2024, 1, 1)\n",
"\n",
"start_time = datetime(2024, 6, 1)\n",
"end_time = datetime(2025, 10, 1)\n",
"\n",
"\n",
"indicators = INDICATOR_LIST\n",
"indicators = []\n",
"\n",
"# 确保 DataManager 能够重置以进行多次回测\n",
"# data_manager.reset() # 首次运行不需要重置"
],
"outputs": [],
"execution_count": 3
},
{
"cell_type": "code",
"id": "f903fd2761d446cd",
"metadata": {
"ExecuteTime": {
"end_time": "2025-11-09T15:27:24.213472Z",
"start_time": "2025-11-09T15:27:17.965693Z"
}
},
"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': 'MA', # <-- 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', 'BUY'],\n",
" 'kalman_measurement_noise': 0.51,\n",
" 'entry_threshold_atr': 0.7,\n",
" 'strategy_mode': 'REVERSION',\n",
" # 'indicators': [NormalizedATR(21, 0.6, 1), NormalizedATR(21, 0.6, 1)],\n",
" # 'indicators': [RSI(14, 40, 70), RSI(14, 40, 70)],\n",
" 'enable_log': False\n",
"}\n",
"\n",
"# --- 2. 初始化回测引擎并运行 ---\n",
"print(\"\\n初始化回测引擎...\")\n",
"engine = BacktestEngine(\n",
" data_manager=data_manager,\n",
" strategy_class=DualModeKalmanStrategy, # <--- 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"
],
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"初始化数据管理器...\n",
"数据加载成功: D:/PyProject/NewQuant/data/data/KQ_m@CZCE_MA/KQ_m@CZCE_MA_min15.csv\n",
"数据范围从 2020-12-31 14:45:00 到 2025-08-21 14:30:00\n",
"总计 25596 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=0.0001\n",
"内存仓储已初始化，管理ID: 'futures_trading_strategies.MA.KalmanStrategy.KalmanStrategy2.DualModeKalmanStrategy_4afb8241b2ac0570e52b2fde245441b2'\n",
"\n",
"--- 回测引擎初始化完成 ---\n",
" 策略: DualModeKalmanStrategy\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",
"DualModeKalmanStrategy 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 6804 根K线。\n",
"总计发生了 281 笔交易。\n",
"最终总净值: 100546.07\n",
"总收益率: 0.55%\n",
"\n",
"回测运行完毕。\n"
]
}
],
"execution_count": 4
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-11-09T15:27:24.684596Z",
"start_time": "2025-11-09T15:27:24.222442Z"
}
},
"cell_type": "code",
"source": [
"\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(profit_offset=1)\n",
"else:\n",
" print(\"\\n没有生成投资组合快照，无法进行结果分析。\")"
],
"id": "7b191529e909c4d3",
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"\n",
"--- 结果分析器初始化完成 ---\n",
"\n",
"--- 交易明细 ---\n",
" 2024-06-19 11:00:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2538.00 | Comm: 0.25\n",
" 2024-06-25 10:45:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2520.00 | Comm: 0.25 | PnL: 18.00\n",
" 2024-06-25 11:00:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2527.00 | Comm: 0.25\n",
" 2024-06-25 11:15:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2521.00 | Comm: 0.25 | PnL: 6.00\n",
" 2024-06-25 14:00:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2511.00 | Comm: 0.25\n",
" 2024-06-27 09:30:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2516.00 | Comm: 0.25\n",
" 2024-06-27 10:00:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2521.00 | Comm: 0.25\n",
" 2024-06-27 21:30:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 3 | Price: 2528.00 | Comm: 0.76 | PnL: -36.00\n",
" 2024-06-27 22:00:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2526.00 | Comm: 0.25\n",
" 2024-06-27 22:00:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2524.00 | Comm: 0.25\n",
" 2024-06-28 09:30:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 2 | Price: 2537.00 | Comm: 0.51 | PnL: -24.00\n",
" 2024-06-28 10:45:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2546.00 | Comm: 0.25\n",
" 2024-06-28 11:00:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2548.00 | Comm: 0.25 | PnL: -2.00\n",
" 2024-06-28 11:15:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2546.00 | Comm: 0.25\n",
" 2024-07-02 11:15:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2563.00 | Comm: 0.26 | PnL: -17.00\n",
" 2024-07-02 13:30:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2560.00 | Comm: 0.26\n",
" 2024-07-02 13:45:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2568.00 | Comm: 0.26 | PnL: -8.00\n",
" 2024-07-02 14:00:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2573.00 | Comm: 0.26\n",
" 2024-07-02 14:15:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2568.00 | Comm: 0.26 | PnL: 5.00\n",
" 2024-07-02 14:30:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2570.00 | Comm: 0.26\n",
" 2024-07-02 21:15:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2575.00 | Comm: 0.26 | PnL: -5.00\n",
" 2024-07-02 21:30:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2572.00 | Comm: 0.26\n",
" 2024-07-08 21:30:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2551.00 | Comm: 0.26 | PnL: 21.00\n",
" 2024-07-08 21:45:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2550.00 | Comm: 0.26\n",
" 2024-07-10 21:15:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2555.00 | Comm: 0.26 | PnL: -5.00\n",
" 2024-07-10 21:30:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2568.00 | Comm: 0.26\n",
" 2024-07-10 21:45:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2570.00 | Comm: 0.26 | PnL: -2.00\n",
" 2024-07-10 22:00:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2568.00 | Comm: 0.26\n",
" 2024-07-10 22:15:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2568.00 | Comm: 0.26 | PnL: 0.00\n",
" 2024-07-10 22:30:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2566.00 | Comm: 0.26\n",
" 2024-07-11 09:00:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2572.00 | Comm: 0.26 | PnL: -6.00\n",
" 2024-07-11 09:15:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2570.00 | Comm: 0.26\n",
" 2024-07-11 10:45:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2589.00 | Comm: 0.26 | PnL: -19.00\n",
" 2024-07-11 11:00:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2586.00 | Comm: 0.26\n",
" 2024-07-11 11:15:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2587.00 | Comm: 0.26 | PnL: -1.00\n",
" 2024-07-11 13:30:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2589.00 | Comm: 0.26\n",
" 2024-08-13 09:15:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2447.00 | Comm: 0.24 | PnL: 142.00\n",
" 2024-08-13 09:30:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2452.00 | Comm: 0.25\n",
" 2024-08-13 09:45:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2448.00 | Comm: 0.24 | PnL: 4.00\n",
" 2024-08-13 10:00:00 | SELL | CZCE.MA409 | Vol: 1 | Price: 2439.00 | Comm: 0.24\n",
" 2024-08-15 14:45:00 | CLOSE_SHORT | CZCE.MA409 | Vol: 1 | Price: 2420.00 | Comm: 0.24 | PnL: 19.00\n",
" 2024-08-23 09:15:00 | BUY | CZCE.MA501 | Vol: 1 | Price: 2497.00 | Comm: 0.25\n",
" 2024-08-23 10:45:00 | CLOSE_LONG | CZCE.MA501 | Vol: 1 | Price: 2486.00 | Comm: 0.25 | PnL: -11.00\n",
" 2024-08-23 11:00:00 | BUY | CZCE.MA501 | Vol: 1 | Price: 2487.00 | Comm: 0.25\n",
" 2024-08-29 21:30:00 | CLOSE_LONG | CZCE.MA501 | Vol: 1 | Price: 2521.00 | Comm: 0.25 | PnL: 34.00\n",
" 2024-08-30 13:45:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2532.00 | Comm: 0.25\n",
" 2024-09-11 21:15:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2350.00 | Comm: 0.24 | PnL: 182.00\n",
" 2024-09-11 21:30:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2355.00 | Comm: 0.24\n",
" 2024-09-12 13:45:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2378.00 | Comm: 0.24 | PnL: -23.00\n",
" 2024-09-12 14:00:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2380.00 | Comm: 0.24\n",
" 2024-09-12 14:30:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2391.00 | Comm: 0.24 | PnL: -11.00\n",
" 2024-09-12 14:45:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2385.00 | Comm: 0.24\n",
" 2024-09-19 13:45:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2408.00 | Comm: 0.24 | PnL: -23.00\n",
" 2024-09-19 14:00:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2407.00 | Comm: 0.24\n",
" 2024-09-24 13:45:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2388.00 | Comm: 0.24 | PnL: 19.00\n",
" 2024-09-24 14:00:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2381.00 | Comm: 0.24\n",
" 2024-09-24 21:15:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2402.00 | Comm: 0.24 | PnL: -21.00\n",
" 2024-09-24 21:30:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2403.00 | Comm: 0.24\n",
" 2024-09-25 09:15:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2426.00 | Comm: 0.24 | PnL: -23.00\n",
" 2024-09-25 09:30:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2412.00 | Comm: 0.24\n",
" 2024-09-27 09:00:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2440.00 | Comm: 0.24 | PnL: -28.00\n",
" 2024-09-27 09:15:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2441.00 | Comm: 0.24\n",
" 2024-09-27 21:15:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2459.00 | Comm: 0.25 | PnL: -18.00\n",
" 2024-09-27 21:30:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2464.00 | Comm: 0.25\n",
" 2024-09-30 09:15:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2508.00 | Comm: 0.25 | PnL: -44.00\n",
" 2024-09-30 09:30:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2522.00 | Comm: 0.25\n",
" 2024-09-30 09:45:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2504.00 | Comm: 0.25 | PnL: 18.00\n",
" 2024-09-30 10:00:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2501.00 | Comm: 0.25\n",
" 2024-09-30 14:00:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2529.00 | Comm: 0.25 | PnL: -28.00\n",
" 2024-09-30 14:30:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2523.00 | Comm: 0.25\n",
" 2024-10-08 09:00:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2624.00 | Comm: 0.26\n",
" 2024-10-08 09:15:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 2 | Price: 2589.00 | Comm: 0.52 | PnL: -31.00\n",
" 2024-10-08 09:30:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2609.00 | Comm: 0.26\n",
" 2024-10-08 09:45:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2587.00 | Comm: 0.26 | PnL: 22.00\n",
" 2024-10-08 10:00:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2596.00 | Comm: 0.26\n",
" 2024-10-08 10:30:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2575.00 | Comm: 0.26 | PnL: 21.00\n",
" 2024-10-08 10:45:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2575.00 | Comm: 0.26\n",
" 2024-10-28 09:30:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2476.00 | Comm: 0.25 | PnL: 99.00\n",
" 2024-10-28 09:45:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2480.00 | Comm: 0.25\n",
" 2024-10-28 10:30:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2492.00 | Comm: 0.25 | PnL: -12.00\n",
" 2024-10-28 10:45:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2491.00 | Comm: 0.25\n",
" 2024-10-28 11:15:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2496.00 | Comm: 0.25 | PnL: -5.00\n",
" 2024-10-28 13:30:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2495.00 | Comm: 0.25\n",
" 2024-10-30 22:00:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2470.00 | Comm: 0.25 | PnL: 25.00\n",
" 2024-10-30 22:30:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2465.00 | Comm: 0.25\n",
" 2024-10-31 09:30:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2472.00 | Comm: 0.25\n",
" 2024-10-31 10:30:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 2 | Price: 2479.00 | Comm: 0.50 | PnL: -21.00\n",
" 2024-10-31 10:45:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2488.00 | Comm: 0.25\n",
" 2024-10-31 11:00:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2490.00 | Comm: 0.25 | PnL: -2.00\n",
" 2024-10-31 11:15:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2492.00 | Comm: 0.25\n",
" 2024-11-01 10:30:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2489.00 | Comm: 0.25 | PnL: 3.00\n",
" 2024-11-01 10:45:00 | SELL | CZCE.MA501 | Vol: 1 | Price: 2497.00 | Comm: 0.25\n",
" 2024-11-05 21:30:00 | CLOSE_SHORT | CZCE.MA501 | Vol: 1 | Price: 2509.00 | Comm: 0.25 | PnL: -12.00\n",
" 2024-11-06 13:45:00 | BUY | CZCE.MA501 | Vol: 1 | Price: 2487.00 | Comm: 0.25\n",
" 2024-11-06 14:45:00 | CLOSE_LONG | CZCE.MA501 | Vol: 1 | Price: 2475.00 | Comm: 0.25 | PnL: -12.00\n",
" 2024-11-06 21:00:00 | BUY | CZCE.MA501 | Vol: 1 | Price: 2473.00 | Comm: 0.25\n",
" 2024-11-06 21:15:00 | CLOSE_LONG | CZCE.MA501 | Vol: 1 | Price: 2474.00 | Comm: 0.25 | PnL: 1.00\n",
" 2024-11-06 21:30:00 | BUY | CZCE.MA501 | Vol: 1 | Price: 2472.00 | Comm: 0.25\n",
" 2024-11-06 21:45:00 | CLOSE_LONG | CZCE.MA501 | Vol: 1 | Price: 2467.00 | Comm: 0.25 | PnL: -5.00\n",
" 2024-11-06 22:00:00 | BUY | CZCE.MA501 | Vol: 1 | Price: 2467.00 | Comm: 0.25\n",
" 2024-11-11 09:15:00 | CLOSE_LONG | CZCE.MA501 | Vol: 1 | Price: 2472.00 | Comm: 0.25 | PnL: 5.00\n",
" 2024-11-11 09:45:00 | BUY | CZCE.MA501 | Vol: 1 | Price: 2472.00 | Comm: 0.25\n",
" 2024-11-11 09:45:00 | BUY | CZCE.MA501 | Vol: 1 | Price: 2474.00 | Comm: 0.25\n",
" 2024-11-15 14:30:00 | CLOSE_LONG | CZCE.MA501 | Vol: 2 | Price: 2485.00 | Comm: 0.50 | PnL: 24.00\n",
" 2024-11-15 14:45:00 | BUY | CZCE.MA501 | Vol: 1 | Price: 2490.00 | Comm: 0.25\n",
" 2024-12-02 21:15:00 | CLOSE_LONG | CZCE.MA501 | Vol: 1 | Price: 2532.00 | Comm: 0.25 | PnL: 42.00\n",
" 2024-12-02 21:30:00 | BUY | CZCE.MA501 | Vol: 1 | Price: 2540.00 | Comm: 0.25\n",
" 2024-12-04 13:30:00 | CLOSE_LONG | CZCE.MA501 | Vol: 1 | Price: 2520.00 | Comm: 0.25 | PnL: -20.00\n",
" 2024-12-04 13:45:00 | BUY | CZCE.MA501 | Vol: 1 | Price: 2516.00 | Comm: 0.25\n",
" 2024-12-04 14:00:00 | CLOSE_LONG | CZCE.MA501 | Vol: 1 | Price: 2520.00 | Comm: 0.25 | PnL: 4.00\n",
" 2024-12-04 14:15:00 | BUY | CZCE.MA501 | Vol: 1 | Price: 2519.00 | Comm: 0.25\n",
" 2024-12-11 14:45:00 | CLOSE_LONG | CZCE.MA501 | Vol: 1 | Price: 2588.00 | Comm: 0.26 | PnL: 69.00\n",
" 2024-12-18 21:15:00 | SELL | CZCE.MA505 | Vol: 1 | Price: 2607.00 | Comm: 0.26\n",
" 2024-12-19 10:45:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2597.00 | Comm: 0.26 | PnL: 10.00\n",
" 2024-12-19 11:00:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2594.00 | Comm: 0.26\n",
" 2024-12-20 09:30:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2587.00 | Comm: 0.26 | PnL: -7.00\n",
" 2024-12-20 09:45:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2586.00 | Comm: 0.26\n",
" 2024-12-20 13:30:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2583.00 | Comm: 0.26 | PnL: -3.00\n",
" 2024-12-20 13:45:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2581.00 | Comm: 0.26\n",
" 2025-01-03 21:00:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2656.00 | Comm: 0.27 | PnL: 75.00\n",
" 2025-01-03 21:15:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2643.00 | Comm: 0.26\n",
" 2025-01-03 21:30:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2646.00 | Comm: 0.26 | PnL: 3.00\n",
" 2025-01-03 21:45:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2644.00 | Comm: 0.26\n",
" 2025-01-06 09:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2639.00 | Comm: 0.26 | PnL: -5.00\n",
" 2025-01-06 09:30:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2637.00 | Comm: 0.26\n",
" 2025-01-06 09:45:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2621.00 | Comm: 0.26 | PnL: -16.00\n",
" 2025-01-06 10:00:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2615.00 | Comm: 0.26\n",
" 2025-01-06 10:30:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2625.00 | Comm: 0.26 | PnL: 10.00\n",
" 2025-01-06 10:45:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2623.00 | Comm: 0.26\n",
" 2025-01-06 13:45:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2600.00 | Comm: 0.26 | PnL: -23.00\n",
" 2025-01-06 14:00:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2607.00 | Comm: 0.26\n",
" 2025-01-06 14:30:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2595.00 | Comm: 0.26 | PnL: -12.00\n",
" 2025-01-06 14:45:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2592.00 | Comm: 0.26\n",
" 2025-01-08 21:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2575.00 | Comm: 0.26 | PnL: -17.00\n",
" 2025-01-08 21:30:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2577.00 | Comm: 0.26\n",
" 2025-01-09 09:30:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2556.00 | Comm: 0.26 | PnL: -21.00\n",
" 2025-01-09 09:45:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2563.00 | Comm: 0.26\n",
" 2025-01-16 13:45:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2616.00 | Comm: 0.26 | PnL: 53.00\n",
" 2025-01-16 14:00:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2621.00 | Comm: 0.26\n",
" 2025-01-16 21:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2609.00 | Comm: 0.26 | PnL: -12.00\n",
" 2025-01-16 21:30:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2603.00 | Comm: 0.26\n",
" 2025-01-17 09:00:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2591.00 | Comm: 0.26 | PnL: -12.00\n",
" 2025-01-17 09:15:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2599.00 | Comm: 0.26\n",
" 2025-01-20 09:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2587.00 | Comm: 0.26 | PnL: -12.00\n",
" 2025-01-20 09:30:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2585.00 | Comm: 0.26\n",
" 2025-01-20 10:30:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2565.00 | Comm: 0.26 | PnL: -20.00\n",
" 2025-01-20 10:45:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2568.00 | Comm: 0.26\n",
" 2025-01-21 21:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2573.00 | Comm: 0.26 | PnL: 5.00\n",
" 2025-01-21 21:30:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2569.00 | Comm: 0.26\n",
" 2025-01-21 21:45:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2570.00 | Comm: 0.26 | PnL: 1.00\n",
" 2025-01-22 10:00:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2574.00 | Comm: 0.26\n",
" 2025-01-23 09:00:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2555.00 | Comm: 0.26 | PnL: -19.00\n",
" 2025-01-23 09:15:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2550.00 | Comm: 0.26\n",
" 2025-02-05 21:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2541.00 | Comm: 0.25 | PnL: -9.00\n",
" 2025-02-05 21:30:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2540.00 | Comm: 0.25\n",
" 2025-02-05 22:00:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2534.00 | Comm: 0.25 | PnL: -6.00\n",
" 2025-02-05 22:15:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2534.00 | Comm: 0.25\n",
" 2025-02-11 22:00:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2586.00 | Comm: 0.26 | PnL: 52.00\n",
" 2025-02-11 22:15:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2586.00 | Comm: 0.26\n",
" 2025-02-12 09:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2577.00 | Comm: 0.26 | PnL: -9.00\n",
" 2025-02-12 09:30:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2581.00 | Comm: 0.26\n",
" 2025-02-12 21:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2568.00 | Comm: 0.26 | PnL: -13.00\n",
" 2025-02-12 22:00:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2569.00 | Comm: 0.26\n",
" 2025-02-12 22:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2567.00 | Comm: 0.26 | PnL: -2.00\n",
" 2025-02-13 21:15:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2526.00 | Comm: 0.25\n",
" 2025-02-13 21:30:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2530.00 | Comm: 0.25 | PnL: 4.00\n",
" 2025-02-13 22:00:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2535.00 | Comm: 0.25\n",
" 2025-02-14 14:15:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2534.00 | Comm: 0.25\n",
" 2025-02-14 21:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 2 | Price: 2520.00 | Comm: 0.50 | PnL: -29.00\n",
" 2025-02-14 21:30:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2528.00 | Comm: 0.25\n",
" 2025-02-19 10:45:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2535.00 | Comm: 0.25 | PnL: 7.00\n",
" 2025-02-19 21:15:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2533.00 | Comm: 0.25\n",
" 2025-02-25 13:45:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2545.00 | Comm: 0.25 | PnL: 12.00\n",
" 2025-02-25 14:00:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2549.00 | Comm: 0.25\n",
" 2025-02-25 21:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2540.00 | Comm: 0.25 | PnL: -9.00\n",
" 2025-02-25 21:30:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2544.00 | Comm: 0.25\n",
" 2025-02-26 09:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2529.00 | Comm: 0.25 | PnL: -15.00\n",
" 2025-02-26 09:30:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2527.00 | Comm: 0.25\n",
" 2025-02-26 09:45:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2525.00 | Comm: 0.25 | PnL: -2.00\n",
" 2025-02-26 10:00:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2515.00 | Comm: 0.25\n",
" 2025-02-26 10:30:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2512.00 | Comm: 0.25 | PnL: -3.00\n",
" 2025-02-26 10:45:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2523.00 | Comm: 0.25\n",
" 2025-03-06 09:00:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2562.00 | Comm: 0.26 | PnL: 39.00\n",
" 2025-03-06 09:15:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2569.00 | Comm: 0.26\n",
" 2025-03-11 09:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2563.00 | Comm: 0.26 | PnL: -6.00\n",
" 2025-03-11 09:30:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2574.00 | Comm: 0.26\n",
" 2025-03-12 10:30:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2559.00 | Comm: 0.26 | PnL: -15.00\n",
" 2025-03-12 10:45:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2555.00 | Comm: 0.26\n",
" 2025-03-12 11:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2545.00 | Comm: 0.25 | PnL: -10.00\n",
" 2025-03-12 13:30:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2552.00 | Comm: 0.26\n",
" 2025-03-12 14:30:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2534.00 | Comm: 0.25 | PnL: -18.00\n",
" 2025-03-12 14:45:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2536.00 | Comm: 0.25\n",
" 2025-03-12 21:00:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2531.00 | Comm: 0.25 | PnL: -5.00\n",
" 2025-03-12 21:15:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2533.00 | Comm: 0.25\n",
" 2025-03-17 21:15:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2553.00 | Comm: 0.26 | PnL: 20.00\n",
" 2025-03-17 21:30:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2553.00 | Comm: 0.26\n",
" 2025-03-18 09:30:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2541.00 | Comm: 0.25 | PnL: -12.00\n",
" 2025-03-18 09:45:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2546.00 | Comm: 0.25\n",
" 2025-03-18 13:45:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2531.00 | Comm: 0.25 | PnL: -15.00\n",
" 2025-03-18 14:00:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2525.00 | Comm: 0.25\n",
" 2025-03-25 10:45:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2544.00 | Comm: 0.25 | PnL: 19.00\n",
" 2025-03-25 11:15:00 | BUY | CZCE.MA505 | Vol: 1 | Price: 2552.00 | Comm: 0.26\n",
" 2025-03-26 10:30:00 | CLOSE_LONG | CZCE.MA505 | Vol: 1 | Price: 2541.00 | Comm: 0.25 | PnL: -11.00\n",
" 2025-03-26 22:30:00 | SELL | CZCE.MA505 | Vol: 1 | Price: 2571.00 | Comm: 0.26\n",
" 2025-03-27 09:15:00 | CLOSE_SHORT | CZCE.MA505 | Vol: 1 | Price: 2576.00 | Comm: 0.26 | PnL: -5.00\n",
" 2025-03-27 10:45:00 | SELL | CZCE.MA505 | Vol: 1 | Price: 2569.00 | Comm: 0.26\n",
" 2025-04-10 09:15:00 | CLOSE_SHORT | CZCE.MA505 | Vol: 1 | Price: 2393.00 | Comm: 0.24 | PnL: 176.00\n",
" 2025-04-10 09:30:00 | SELL | CZCE.MA505 | Vol: 1 | Price: 2395.00 | Comm: 0.24\n",
" 2025-04-16 14:45:00 | CLOSE_SHORT | CZCE.MA505 | Vol: 1 | Price: 2373.00 | Comm: 0.24 | PnL: 22.00\n",
" 2025-04-23 09:15:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2275.00 | Comm: 0.23\n",
" 2025-04-23 14:00:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2296.00 | Comm: 0.23 | PnL: -21.00\n",
" 2025-04-23 14:15:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2305.00 | Comm: 0.23\n",
" 2025-04-23 14:30:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2303.00 | Comm: 0.23 | PnL: 2.00\n",
" 2025-04-23 14:45:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2299.00 | Comm: 0.23\n",
" 2025-04-28 09:15:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2305.00 | Comm: 0.23 | PnL: -6.00\n",
" 2025-04-28 09:30:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2300.00 | Comm: 0.23\n",
" 2025-05-07 09:15:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2279.00 | Comm: 0.23 | PnL: 21.00\n",
" 2025-05-07 09:30:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2270.00 | Comm: 0.23\n",
" 2025-05-09 09:15:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2240.00 | Comm: 0.22 | PnL: 30.00\n",
" 2025-05-09 09:30:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2234.00 | Comm: 0.22\n",
" 2025-05-12 09:15:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2245.00 | Comm: 0.22 | PnL: -11.00\n",
" 2025-05-12 09:30:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2244.00 | Comm: 0.22\n",
" 2025-05-12 14:00:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2256.00 | Comm: 0.23 | PnL: -12.00\n",
" 2025-05-12 14:15:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2258.00 | Comm: 0.23\n",
" 2025-05-12 21:15:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2299.00 | Comm: 0.23 | PnL: -41.00\n",
" 2025-05-12 21:30:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2289.00 | Comm: 0.23\n",
" 2025-05-12 21:45:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2280.00 | Comm: 0.23 | PnL: 9.00\n",
" 2025-05-12 22:15:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2279.00 | Comm: 0.23\n",
" 2025-05-12 22:15:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2278.00 | Comm: 0.23\n",
" 2025-05-13 14:45:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 2 | Price: 2297.00 | Comm: 0.46 | PnL: -37.00\n",
" 2025-05-13 21:00:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2301.00 | Comm: 0.23\n",
" 2025-05-13 21:15:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2296.00 | Comm: 0.23 | PnL: 5.00\n",
" 2025-05-13 21:30:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2295.00 | Comm: 0.23\n",
" 2025-05-13 22:00:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2313.00 | Comm: 0.23 | PnL: -18.00\n",
" 2025-05-13 22:15:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2318.00 | Comm: 0.23\n",
" 2025-05-13 22:30:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2320.00 | Comm: 0.23 | PnL: -2.00\n",
" 2025-05-13 22:45:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2323.00 | Comm: 0.23\n",
" 2025-05-14 09:00:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2331.00 | Comm: 0.23 | PnL: -8.00\n",
" 2025-05-14 09:15:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2330.00 | Comm: 0.23\n",
" 2025-05-14 09:30:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2342.00 | Comm: 0.23 | PnL: -12.00\n",
" 2025-05-14 09:45:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2347.00 | Comm: 0.23\n",
" 2025-05-14 10:00:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2354.00 | Comm: 0.24 | PnL: -7.00\n",
" 2025-05-14 10:45:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2344.00 | Comm: 0.23\n",
" 2025-05-14 10:45:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2336.00 | Comm: 0.23\n",
" 2025-05-14 13:45:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 2 | Price: 2363.00 | Comm: 0.47 | PnL: -46.00\n",
" 2025-05-14 14:00:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2362.00 | Comm: 0.24\n",
" 2025-05-21 10:45:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2282.00 | Comm: 0.23 | PnL: 80.00\n",
" 2025-05-22 09:15:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2249.00 | Comm: 0.22\n",
" 2025-05-23 14:00:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2236.00 | Comm: 0.22 | PnL: -13.00\n",
" 2025-05-23 21:45:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2242.00 | Comm: 0.22\n",
" 2025-06-03 09:15:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2207.00 | Comm: 0.22 | PnL: 35.00\n",
" 2025-06-03 09:30:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2196.00 | Comm: 0.22\n",
" 2025-06-24 09:15:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2383.00 | Comm: 0.24 | PnL: 187.00\n",
" 2025-06-24 09:30:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2383.00 | Comm: 0.24\n",
" 2025-06-24 09:45:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2376.00 | Comm: 0.24 | PnL: -7.00\n",
" 2025-06-24 10:00:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2387.00 | Comm: 0.24\n",
" 2025-06-24 10:30:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2393.00 | Comm: 0.24 | PnL: 6.00\n",
" 2025-06-24 10:45:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2401.00 | Comm: 0.24\n",
" 2025-06-24 13:30:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2369.00 | Comm: 0.24 | PnL: -32.00\n",
" 2025-06-24 13:45:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2372.00 | Comm: 0.24\n",
" 2025-07-08 21:45:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2351.00 | Comm: 0.24 | PnL: -21.00\n",
" 2025-07-08 22:00:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2360.00 | Comm: 0.24\n",
" 2025-07-18 11:00:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2364.00 | Comm: 0.24 | PnL: 4.00\n",
" 2025-07-18 11:15:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2364.00 | Comm: 0.24\n",
" 2025-07-25 22:15:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2461.00 | Comm: 0.25 | PnL: 97.00\n",
" 2025-07-25 22:30:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2463.00 | Comm: 0.25\n",
" 2025-07-25 22:45:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2442.00 | Comm: 0.24 | PnL: -21.00\n",
" 2025-07-28 09:00:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2428.00 | Comm: 0.24\n",
" 2025-07-28 09:15:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2414.00 | Comm: 0.24 | PnL: -14.00\n",
" 2025-07-28 09:30:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2412.00 | Comm: 0.24\n",
" 2025-07-28 09:45:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2414.00 | Comm: 0.24 | PnL: 2.00\n",
" 2025-07-28 10:00:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2410.00 | Comm: 0.24\n",
" 2025-07-28 10:30:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2413.00 | Comm: 0.24 | PnL: 3.00\n",
" 2025-07-28 10:45:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2419.00 | Comm: 0.24\n",
" 2025-08-01 10:45:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2399.00 | Comm: 0.24 | PnL: -20.00\n",
" 2025-08-06 22:45:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2395.00 | Comm: 0.24\n",
" 2025-08-07 21:00:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2389.00 | Comm: 0.24 | PnL: -6.00\n",
" 2025-08-08 11:00:00 | BUY | CZCE.MA509 | Vol: 1 | Price: 2384.00 | Comm: 0.24\n",
" 2025-08-08 11:15:00 | CLOSE_LONG | CZCE.MA509 | Vol: 1 | Price: 2382.00 | Comm: 0.24 | PnL: -2.00\n",
" 2025-08-08 21:45:00 | SELL | CZCE.MA509 | Vol: 1 | Price: 2394.00 | Comm: 0.24\n",
" 2025-08-14 14:45:00 | CLOSE_SHORT | CZCE.MA509 | Vol: 1 | Price: 2343.00 | Comm: 0.23 | PnL: 51.00\n",
"正在计算绩效指标...\n",
"total_return: 0.005460685999999049, annualized_return:0.0030956584610828397, 252 / total_days:0.5675675675675675\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 : 100546.07\n",
"总收益率 : 0.55%\n",
"年化收益率 : 0.31%\n",
"最大回撤 : 0.34%\n",
"夏普比率 : 0.20\n",
"卡玛比率 : 0.90\n",
"总交易次数 : 281\n",
"总实现盈亏 : 618.00\n",
"交易成本 : 71.93\n",
"\n",
"--- 交易详情 ---\n",
"盈利交易次数 : 52\n",
"亏损交易次数 : 83\n",
"胜率 : 38.52%\n",
"盈亏比 : 2.41\n",
"平均每次盈利 : 35.06\n",
"平均每次亏损 : -14.52\n",
"正在绘制绩效图表...\n"
]
},
{
"data": {
"text/plain": [
"<Figure size 1400x1000 with 2 Axes>"
],
"image/png": "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
},
"metadata": {},
"output_type": "display_data",
"jetTransient": {
"display_id": null
}
},
{
"data": {
"text/plain": [
"<Figure size 1400x700 with 1 Axes>"
],
"image/png": "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
},
"metadata": {},
"output_type": "display_data",
"jetTransient": {
"display_id": null
}
},
{
"name": "stdout",
"output_type": "stream",
"text": [
"图表绘制完成。\n",
"{'初始资金': 100000.0, '最终资金': np.float64(100546.06859999991), '总收益率': np.float64(0.005460685999999049), '年化收益率': np.float64(0.0030956584610828397), '最大回撤': np.float64(0.0034393363323604207), '夏普比率': np.float64(0.20157665092358157), '卡玛比率': np.float64(0.9000743637532784), '总交易次数': 281, '交易成本': 71.9314, '总实现盈亏': 618.0, '胜率': 0.3851851851851852, '盈亏比': 2.414762208745611, '盈利交易次数': 52, '亏损交易次数': 83, '平均每次盈利': 35.05769230769231, '平均每次亏损': -14.518072289156626, 'initial_capital': 100000.0, 'final_capital': np.float64(100546.06859999991), 'total_return': np.float64(0.005460685999999049), 'annualized_return': np.float64(0.0030956584610828397), 'max_drawdown': np.float64(0.0034393363323604207), 'sharpe_ratio': np.float64(0.20157665092358157), 'calmar_ratio': np.float64(0.9000743637532784), 'sortino_ratio': np.float64(0.23480515197833762), 'total_trades': 281, 'transaction_costs': 71.9314, 'total_realized_pnl': 618.0, 'win_rate': 0.3851851851851852, 'profit_loss_ratio': 2.414762208745611, 'winning_trades_count': 52, 'losing_trades_count': 83, 'avg_profit_per_trade': 35.05769230769231, 'avg_loss_per_trade': -14.518072289156626}\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": 5
}
],
"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