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卡尔曼策略新增md文件

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liaozhaorun
2025-11-07 16:37:16 +08:00
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futures_trading_strategies/FG/TrendlineBreakoutStrategy/DualModeTrendlineHawkesStrategy2.py Normal file
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import numpy as np
import pandas as pd
from typing import Optional, Dict, Any, List
# 假设这些是你项目中的模块
from src.core_data import Bar, Order
from src.strategies.base_strategy import Strategy
from src.algo.TrendLine import calculate_latest_trendline_values_v2
class DualModeTrendlineHawkesStrategy(Strategy):
"""
趋势线与霍克斯过程双模式策略 (V5 - 趋势/回归自适应版):
- 支持两套独立的参数配置，分别对应趋势跟踪和均值回归逻辑。
- 开平仓条件共享，但交易方向相反。
- 内置冲突解决机制，用于处理两种模式同时发出开仓信号的情况。
- 保持了V4版本高效的增量计算特性。
"""
def __init__(
self,
context: Any,
main_symbol: str,
trade_volume: int = 1,
# 【核心修改】使用字典来配置两种模式
trend_params: Dict[str, Any] = None,
reversion_params: Dict[str, Any] = None,
# 【新增】模式启用开关
enabled_modes: Optional[List[str]] = None,
# 【新增】信号冲突解决方案: 'TREND_PRIORITY', 'REVERSION_PRIORITY', 'NONE'
conflict_resolution: str = 'TREND_PRIORITY',
enable_log: bool = True,
):
super().__init__(context, main_symbol, enable_log)
self.main_symbol = main_symbol
self.trade_volume = trade_volume
# --- 【核心修改】参数结构化 ---
# 提供默认参数，防止用户未提供
default_params = {
"order_direction": ["BUY", "SELL"],
"trendline_n": 50,
"hawkes_kappa": 0.1,
"hawkes_lookback": 50,
"hawkes_entry_percent": 0.95,
"hawkes_exit_percent": 0.50,
}
self.trend_params = default_params.copy()
if trend_params:
self.trend_params.update(trend_params)
self.reversion_params = default_params.copy()
if reversion_params:
self.reversion_params.update(reversion_params)
self.enabled_modes = enabled_modes or ['TREND', 'REVERSION']
self.conflict_resolution = conflict_resolution
self.pos_meta: Dict[str, Dict[str, Any]] = {}
# --- 【核心修改】为每个模式维护独立的状态 ---
# 趋势模式状态
self._trend_last_hawkes_unscaled: float = 0.0
self._trend_hawkes_window: np.ndarray = np.array([], dtype=np.float64)
self._trend_hawkes_alpha = np.exp(-self.trend_params['hawkes_kappa'])
# 回归模式状态
self._reversion_last_hawkes_unscaled: float = 0.0
self._reversion_hawkes_window: np.ndarray = np.array([], dtype=np.float64)
self._reversion_hawkes_alpha = np.exp(-self.reversion_params['hawkes_kappa'])
print("DualModeTrendlineHawkesStrategy initialized.")
print(f"Enabled modes: {self.enabled_modes}")
print(f"Conflict resolution: {self.conflict_resolution}")
# --- 辅助函数，用于状态管理 (可复用) ---
def _initialize_hawkes_state(self, params: Dict, initial_volumes: np.ndarray) -> (float, np.ndarray):
"""根据给定参数和历史成交量，初始化霍克斯状态。"""
print(f"Initializing Hawkes state with lookback {params['hawkes_lookback']}...")
alpha = np.exp(-params['hawkes_kappa'])
kappa = params['hawkes_kappa']
temp_hawkes_history = np.zeros_like(initial_volumes, dtype=np.float64)
if len(initial_volumes) > 0:
temp_hawkes_history[0] = initial_volumes[0] if not np.isnan(initial_volumes[0]) else 0.0
for i in range(1, len(initial_volumes)):
temp_hawkes_history[i] = temp_hawkes_history[i - 1] * alpha + (
initial_volumes[i] if not np.isnan(initial_volumes[i]) else 0.0)
last_hawkes_unscaled = temp_hawkes_history[-1] if len(temp_hawkes_history) > 0 else 0.0
hawkes_window = (temp_hawkes_history * kappa)[-params['hawkes_lookback']:]
return last_hawkes_unscaled, hawkes_window
def _update_hawkes_state_incrementally(self, params: Dict, latest_volume: float, last_unscaled: float,
window: np.ndarray) -> (float, np.ndarray):
"""根据给定参数，增量更新霍克斯状态。"""
alpha = np.exp(-params['hawkes_kappa'])
kappa = params['hawkes_kappa']
new_hawkes_unscaled = last_unscaled * alpha + (latest_volume if not np.isnan(latest_volume) else 0.0)
new_hawkes_scaled = new_hawkes_unscaled * kappa
new_window = np.roll(window, -1)
new_window[-1] = new_hawkes_scaled
return new_hawkes_unscaled, new_window
def on_init(self):
super().on_init()
self.pos_meta.clear()
# 重置所有状态
self._trend_last_hawkes_unscaled = 0.0
self._trend_hawkes_window = np.array([], dtype=np.float64)
self._reversion_last_hawkes_unscaled = 0.0
self._reversion_hawkes_window = np.array([], dtype=np.float64)
self.pos_meta = self.context.load_state()
def on_open_bar(self, open_price: float, symbol: str):
self.symbol = symbol
bar_history = self.get_bar_history()
# 确保有足够的数据来初始化两个模式
min_bars_required = max(
self.trend_params['trendline_n'] + 2, self.trend_params['hawkes_lookback'] + 2,
self.reversion_params['trendline_n'] + 2, self.reversion_params['hawkes_lookback'] + 2
)
if len(bar_history) < min_bars_required:
return
# --- 状态初始化与更新 ---
# 首次运行时，为两个启用的模式初始化状态
if self._trend_hawkes_window.size == 0 and 'TREND' in self.enabled_modes:
initial_volumes = np.array([b.volume for b in bar_history], dtype=float)
self._trend_last_hawkes_unscaled, self._trend_hawkes_window = self._initialize_hawkes_state(
self.trend_params, initial_volumes[:-1]
)
if self._reversion_hawkes_window.size == 0 and 'REVERSION' in self.enabled_modes:
initial_volumes = np.array([b.volume for b in bar_history], dtype=float)
self._reversion_last_hawkes_unscaled, self._reversion_hawkes_window = self._initialize_hawkes_state(
self.reversion_params, initial_volumes[:-1]
)
# 增量更新两个模式的状态
latest_volume = float(bar_history[-1].volume)
if 'TREND' in self.enabled_modes:
self._trend_last_hawkes_unscaled, self._trend_hawkes_window = self._update_hawkes_state_incrementally(
self.trend_params, latest_volume, self._trend_last_hawkes_unscaled, self._trend_hawkes_window
)
if 'REVERSION' in self.enabled_modes:
self._reversion_last_hawkes_unscaled, self._reversion_hawkes_window = self._update_hawkes_state_incrementally(
self.reversion_params, latest_volume, self._reversion_last_hawkes_unscaled,
self._reversion_hawkes_window
)
self.cancel_all_pending_orders(symbol)
pos = self.get_current_positions().get(symbol, 0)
meta = self.pos_meta.get(symbol)
# --- 【核心修改】状态同步与异常处理 ---
# 场景1: 有实际持仓，但策略无记录 (例如状态恢复失败)。这是最危险的情况。
# 策略必须强制平仓以恢复到已知状态，避免“僵尸”持仓。
if pos != 0 and not meta:
self.log(f"警告：检测到实际持仓({pos})与策略状态(无记录)不一致！"
f"可能由状态加载失败导致。将强制平仓以同步状态。", level='WARNING')
direction_to_close = "CLOSE_LONG" if pos > 0 else "CLOSE_SHORT"
self.send_market_order(direction_to_close, abs(pos))
return
# 场景2: 无实际持仓，但策略仍有记录 (例如外部手动平仓或止损)。
# 策略应清理过时的元数据。
if pos == 0 and meta:
self.log(f"信息：检测到策略状态({meta.get('direction')})与实际持仓(0)不一致。"
f"可能是外部平仓导致。正在清理过时状态。", level='INFO')
new_pos_meta = {k: v for k, v in self.pos_meta.items() if k != symbol}
self.pos_meta = new_pos_meta
self.save_state(new_pos_meta)
meta = None # 必须更新meta变量以反映当前bar的真实状态
# --- 1. 平仓逻辑 ---
if pos != 0:
strategy_mode = meta.get('strategy_mode')
params_to_use = self.trend_params if strategy_mode == 'TREND' else self.reversion_params
window_to_use = self._trend_hawkes_window if strategy_mode == 'TREND' else self._reversion_hawkes_window
if window_to_use.size > 0:
latest_hawkes_value = window_to_use[-1]
latest_hawkes_lower = np.quantile(window_to_use, params_to_use['hawkes_exit_percent'])
if latest_hawkes_value < latest_hawkes_lower:
self.log(f"[{strategy_mode}模式] 霍克斯出场信号触发，平仓。")
self.send_market_order("CLOSE_LONG" if meta['direction'] == "BUY" else "CLOSE_SHORT", abs(pos))
self.pos_meta = {}
self.save_state(self.pos_meta)
return
# --- 2. 开仓逻辑 ---
if pos == 0 and self.trading:
trend_signal = None
reversion_signal = None
# 分别计算两个模式的信号
if 'TREND' in self.enabled_modes:
trend_signal = self._calculate_entry_signal(
'TREND', bar_history, self.trend_params, self._trend_hawkes_window
)
if 'REVERSION' in self.enabled_modes:
reversion_signal = self._calculate_entry_signal(
'REVERSION', bar_history, self.reversion_params, self._reversion_hawkes_window
)
final_direction = None
winning_mode = None
# --- 信号冲突解决 ---
if trend_signal and reversion_signal:
self.log(f"信号冲突：趋势模式 ({trend_signal}) vs 回归模式 ({reversion_signal})")
if self.conflict_resolution == 'TREND_PRIORITY':
final_direction = trend_signal
winning_mode = 'TREND'
elif self.conflict_resolution == 'REVERSION_PRIORITY':
final_direction = reversion_signal
winning_mode = 'REVERSION'
else: # 'NONE'
self.log("冲突解决策略为'NONE'，本次不开仓。")
elif trend_signal:
final_direction = trend_signal
winning_mode = 'TREND'
elif reversion_signal:
final_direction = reversion_signal
winning_mode = 'REVERSION'
# 执行最终决策
if final_direction and winning_mode:
params_to_use = self.trend_params if winning_mode == 'TREND' else self.reversion_params
if final_direction in params_to_use['order_direction']:
self.log(f"[{winning_mode}模式] 开仓信号确认: {final_direction}")
self.send_open_order(final_direction, open_price, self.trade_volume, winning_mode)
def _calculate_entry_signal(self, mode: str, bar_history: List[Bar], params: Dict, hawkes_window: np.ndarray) -> \
Optional[str]:
"""计算单个模式的入场信号，返回 'BUY', 'SELL' 或 None。"""
if hawkes_window.size == 0:
return None
# 霍克斯确认
latest_hawkes_value = hawkes_window[-1]
latest_hawkes_upper = np.quantile(hawkes_window, params['hawkes_entry_percent'])
hawkes_confirmation = latest_hawkes_value > latest_hawkes_upper
self.log(f'latest_hawkes_value:{latest_hawkes_value}, latest_hawkes_upper:{latest_hawkes_upper}')
if not hawkes_confirmation:
return None
# 趋势线突破事件
close_prices = np.array([b.close for b in bar_history])
prices_for_trendline = close_prices[-params['trendline_n'] - 1:-1]
trend_upper, trend_lower = calculate_latest_trendline_values_v2(prices_for_trendline)
self.log(f'trend_upper: {trend_upper}, trend_lower: {trend_lower}')
if trend_upper is not None and trend_lower is not None:
prev_close = bar_history[-2].close
last_close = bar_history[-1].close
upper_break_event = last_close > trend_upper and prev_close < trend_upper
lower_break_event = last_close < trend_lower and prev_close > trend_lower
if upper_break_event:
# 趋势模式：向上突破 -> 买入
# 回归模式：向上突破 -> 卖出 (认为是假突破，价格将回归)
return "BUY" if mode == 'TREND' else "SELL"
elif lower_break_event:
# 趋势模式：向下突破 -> 卖出
# 回归模式：向下突破 -> 买入 (认为是超卖，价格将反弹)
return "SELL" if mode == 'TREND' else "BUY"
return None
def send_open_order(self, direction: str, entry_price: float, volume: int, strategy_mode: str):
current_time = self.get_current_time()
order_id = f"{self.symbol}_{direction}_{current_time.strftime('%Y%m%d%H%M%S')}"
order_direction = "BUY" if direction == "BUY" else "SELL"
order = Order(id=order_id, symbol=self.symbol, direction=order_direction, volume=volume, price_type="LIMIT",
submitted_time=current_time, offset="OPEN", limit_price=entry_price + (1 if direction == "BUY" else -1),)
self.send_order(order)
# 【核心修改】记录仓位属于哪个模式
self.pos_meta[self.symbol] = {
"direction": direction,
"volume": volume,
"entry_price": entry_price,
"strategy_mode": strategy_mode
}
self.save_state(self.pos_meta)
self.log(f"发送开仓订单 ({strategy_mode}): {direction} {volume}手 @ Market Price (执行价约 {entry_price:.2f})")
def send_market_order(self, direction: str, volume: int):
current_time = self.get_current_time()
order_id = f"{self.symbol}_{direction}_{current_time.strftime('%Y%m%d%H%M%S')}"
order = Order(id=order_id, symbol=self.symbol, direction=direction, volume=volume, price_type="MARKET",
submitted_time=current_time, offset="CLOSE")
self.send_order(order)
self.log(f"发送平仓订单: {direction} {volume}手 @ Market Price")
def on_rollover(self, old_symbol: str, new_symbol: str):
super().on_rollover(old_symbol, new_symbol)
self.cancel_all_pending_orders(new_symbol)
self.pos_meta.clear()

381
futures_trading_strategies/FG/TrendlineBreakoutStrategy/DualModeTrendlineHawkesStrategy_tqsdk.ipynb Normal file
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{
"cells": [
{
"cell_type": "code",
"id": "522f09ca7b3fe929",
"metadata": {
"ExecuteTime": {
"end_time": "2025-10-24T08:54:09.381083Z",
"start_time": "2025-10-24T08:54:09.363240Z"
}
},
"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": 9
},
{
"cell_type": "code",
"id": "4f7e4b438cea750e",
"metadata": {
"ExecuteTime": {
"end_time": "2025-10-24T08:54:09.402764Z",
"start_time": "2025-10-24T08:54:09.387096Z"
}
},
"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.FG.TrendlineBreakoutStrategy.DualModeTrendlineHawkesStrategy2 import DualModeTrendlineHawkesStrategy\n",
"\n",
"# --- 配置参数 ---\n",
"# 获取当前脚本所在目录，假设数据文件在项目根目录下的 data 文件夹内\n",
"data_file_path = 'D:/PyProject/NewQuant/data/data/KQ_m@CZCE_FG/KQ_m@CZCE_FG_min15.csv'\n"
],
"outputs": [],
"execution_count": 10
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-10-24T08:54:09.420838Z",
"start_time": "2025-10-24T08:54:09.404769Z"
}
},
"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_FG', # 确保与数据文件中的 symbol 匹配\n",
"}\n",
"\n",
"# 回测时间范围\n",
"start_time = datetime(2021, 1, 1)\n",
"end_time = datetime(2024, 6, 1)\n",
"\n",
"start_time = datetime(2025, 9, 1)\n",
"end_time = datetime(2025, 11, 1)\n",
"\n",
"\n",
"indicators = INDICATOR_LIST\n",
"indicators = []\n",
"\n",
"# 确保 DataManager 能够重置以进行多次回测\n",
"# data_manager.reset() # 首次运行不需要重置"
],
"id": "9ee53c41eaaefabb",
"outputs": [],
"execution_count": 11
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-10-24T08:54:30.631596Z",
"start_time": "2025-10-24T08:54:09.424852Z"
}
},
"cell_type": "code",
"source": [
"from src.tqsdk_engine import TqsdkEngine\n",
"from tqsdk import TqApi, TqBacktest, TqAuth\n",
"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': 'FG', # <-- 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",
" # 'indicators': [RateOfChange(10, -2.1, -0.5), ROC_MA(10, 10, -2.7, -0.4)],\n",
" 'enable_log': False,\n",
" 'trend_params': {\n",
" \"trendline_n\": 10,\n",
" \"hawkes_kappa\": 0.9,\n",
" },\n",
" 'reversion_params': {\n",
" \"trendline_n\": 70,\n",
" \"hawkes_kappa\": 0.1,\n",
" },\n",
" 'conflict_resolution': 'NONE'\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",
"api = TqApi(\n",
" backtest=TqBacktest(start_dt=start_time, end_dt=end_time),\n",
" auth=TqAuth(\"emanresu\", \"dfgvfgdfgg\"),\n",
")\n",
"# --- 1. 初始化回测引擎并运行 ---\n",
"print(\"\\n初始化 Tqsdk 回测引擎...\")\n",
"engine = TqsdkEngine(\n",
" strategy_class=DualModeTrendlineHawkesStrategy,\n",
" strategy_params=strategy_parameters,\n",
" api=api,\n",
" symbol=global_config['symbol'],\n",
" duration_seconds=60 * 15,\n",
" roll_over_mode=True, # 启用换月模式检测\n",
" start_time=start_time,\n",
" end_time=end_time,\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: D:/PyProject/NewQuant/data/data/KQ_m@CZCE_FG/KQ_m@CZCE_FG_min15.csv\n",
"数据范围从 2020-12-31 14:45:00 到 2025-10-24 14:30:00\n",
"总计 26508 条记录。\n",
"\n",
"初始化回测引擎...\n",
" INFO - TqSdk free 版剩余 0 天到期，如需续费或升级请访问 https://account.shinnytech.com/ 或联系相关工作人员。\n",
"\n",
"初始化 Tqsdk 回测引擎...\n",
"内存仓储已初始化，管理ID: 'futures_trading_strategies.FG.TrendlineBreakoutStrategy.DualModeTrendlineHawkesStrategy2.DualModeTrendlineHawkesStrategy_ec6cb042fb4d776e22af01d6641dc528'\n",
"TqsdkContext: 初始化完成。\n",
"DualModeTrendlineHawkesStrategy initialized.\n",
"Enabled modes: ['TREND', 'REVERSION']\n",
"Conflict resolution: NONE\n",
"TqsdkContext: 已设置引擎引用。\n",
"TqsdkEngine: 初始化完成。\n",
"\n",
"开始运行回测...\n",
"TqsdkEngine: 开始运行回测，从 2025-09-01 00:00:00 到 2025-11-01 00:00:00\n",
"DualModeTrendlineHawkesStrategy 策略初始化回调被调用。\n",
"Initializing Hawkes state with lookback 50...\n",
"Initializing Hawkes state with lookback 50...\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20250904211500', price_type='LIMIT', limit_price=1148, stop_price=None, submitted_time=Timestamp('2025-09-04 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20250904211500', price_type='LIMIT', limit_price=1148, stop_price=None, submitted_time=Timestamp('2025-09-04 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_4aacb590c09871e5cfae4a8eb64c3c4d: 时间: 2025-09-04 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1148.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_4aacb590c09871e5cfae4a8eb64c3c4d: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20250904221500', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-04 22:15:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20250904221500', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-04 22:15:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_0f909d3561fe7c107a1b19326fa53a17: 时间: 2025-09-04 22:15:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1140.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_0f909d3561fe7c107a1b19326fa53a17: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20250909211500', price_type='LIMIT', limit_price=1171, stop_price=None, submitted_time=Timestamp('2025-09-09 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20250909211500', price_type='LIMIT', limit_price=1171, stop_price=None, submitted_time=Timestamp('2025-09-09 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_8db38b8aee8f78c3607d2d84cb4abb0b: 时间: 2025-09-09 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1171.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_8db38b8aee8f78c3607d2d84cb4abb0b: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20250909223000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-09 22:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20250909223000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-09 22:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_c462ad51e812c4f54117aa66ae1499e4: 时间: 2025-09-09 22:30:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1171.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_c462ad51e812c4f54117aa66ae1499e4: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20250918091500', price_type='LIMIT', limit_price=1217, stop_price=None, submitted_time=Timestamp('2025-09-18 09:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20250918091500', price_type='LIMIT', limit_price=1217, stop_price=None, submitted_time=Timestamp('2025-09-18 09:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_487e402458d1b25fb8a7e687ae4c291c: 时间: 2025-09-18 09:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1217.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_487e402458d1b25fb8a7e687ae4c291c: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20250918103000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-18 10:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20250918103000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-18 10:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_b3b97d0e6d4fdc323ec344f7d89ce1f0: 时间: 2025-09-18 10:30:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1225.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_b3b97d0e6d4fdc323ec344f7d89ce1f0: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20250918133000', price_type='LIMIT', limit_price=1207, stop_price=None, submitted_time=Timestamp('2025-09-18 13:30:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20250918133000', price_type='LIMIT', limit_price=1207, stop_price=None, submitted_time=Timestamp('2025-09-18 13:30:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_96c036710e7b53b554fc7c33b95b9c24: 时间: 2025-09-18 13:30:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1207.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_96c036710e7b53b554fc7c33b95b9c24: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20250918214500', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-18 21:45:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20250918214500', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-18 21:45:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_7865ded2b9c1bfa3442b1701742c4d58: 时间: 2025-09-18 21:45:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1205.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_7865ded2b9c1bfa3442b1701742c4d58: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20250919211500', price_type='LIMIT', limit_price=1225, stop_price=None, submitted_time=Timestamp('2025-09-19 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20250919211500', price_type='LIMIT', limit_price=1225, stop_price=None, submitted_time=Timestamp('2025-09-19 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_8ecdd284ec65ec961067a00e1e03e315: 时间: 2025-09-19 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1225.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_8ecdd284ec65ec961067a00e1e03e315: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20250919220000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-19 22:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20250919220000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-19 22:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_29eb0b749e58167aa45665d208253b36: 时间: 2025-09-19 22:00:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1223.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_29eb0b749e58167aa45665d208253b36: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20250924091500', price_type='LIMIT', limit_price=1203, stop_price=None, submitted_time=Timestamp('2025-09-24 09:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20250924091500', price_type='LIMIT', limit_price=1203, stop_price=None, submitted_time=Timestamp('2025-09-24 09:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_32cf408c5635c11b831b98b2fd635a66: 时间: 2025-09-24 09:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1203.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_32cf408c5635c11b831b98b2fd635a66: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20250924100000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-24 10:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20250924100000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-24 10:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_f046b95f5e3d13c223fa1f9c535d76bf: 时间: 2025-09-24 10:00:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1196.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_f046b95f5e3d13c223fa1f9c535d76bf: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20251010211500', price_type='LIMIT', limit_price=1185, stop_price=None, submitted_time=Timestamp('2025-10-10 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20251010211500', price_type='LIMIT', limit_price=1185, stop_price=None, submitted_time=Timestamp('2025-10-10 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_9a63d90f357be3164b448d24e95ea66d: 时间: 2025-10-10 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1185.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_9a63d90f357be3164b448d24e95ea66d: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20251010220000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-10-10 22:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20251010220000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-10-10 22:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_6dfce0e150315f78983eda0bcb0e9a91: 时间: 2025-10-10 22:00:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1184.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_6dfce0e150315f78983eda0bcb0e9a91: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20251016211500', price_type='LIMIT', limit_price=1129, stop_price=None, submitted_time=Timestamp('2025-10-16 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20251016211500', price_type='LIMIT', limit_price=1129, stop_price=None, submitted_time=Timestamp('2025-10-16 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_6cd2d65278d526385068e2106d70854c: 时间: 2025-10-16 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1129.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_6cd2d65278d526385068e2106d70854c: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20251016221500', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-10-16 22:15:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20251016221500', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-10-16 22:15:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_3299638e3209614bcfd7538e8fefa867: 时间: 2025-10-16 22:15:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1130.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_3299638e3209614bcfd7538e8fefa867: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20251017211500', price_type='LIMIT', limit_price=1125, stop_price=None, submitted_time=Timestamp('2025-10-17 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20251017211500', price_type='LIMIT', limit_price=1125, stop_price=None, submitted_time=Timestamp('2025-10-17 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_eb18a1a9237778c79666acd207f76702: 时间: 2025-10-17 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1125.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_eb18a1a9237778c79666acd207f76702: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20251017223000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-10-17 22:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20251017223000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-10-17 22:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_48e62f08faa15a6e629c20770e7fe2d0: 时间: 2025-10-17 22:30:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1113.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_48e62f08faa15a6e629c20770e7fe2d0: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20251024111500', price_type='LIMIT', limit_price=1105, stop_price=None, submitted_time=Timestamp('2025-10-24 11:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20251024111500', price_type='LIMIT', limit_price=1105, stop_price=None, submitted_time=Timestamp('2025-10-24 11:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_cbe9a4c43285732cf01979eded2c27af: 时间: 2025-10-24 11:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1105.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_cbe9a4c43285732cf01979eded2c27af: 全部成交\n",
" INFO - 回测结束\n",
" INFO - 模拟交易成交记录, 账户: TQSIM\n",
" INFO - 时间: 2025-09-04 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1148.000,手续费: 3.00\n",
" INFO - 时间: 2025-09-04 22:15:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1140.000,手续费: 3.00\n",
" INFO - 时间: 2025-09-09 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1171.000,手续费: 3.00\n",
" INFO - 时间: 2025-09-09 22:30:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1171.000,手续费: 3.00\n",
" INFO - 时间: 2025-09-18 09:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1217.000,手续费: 3.00\n",
" INFO - 时间: 2025-09-18 10:30:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1225.000,手续费: 3.00\n",
" INFO - 时间: 2025-09-18 13:30:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1207.000,手续费: 3.00\n",
" INFO - 时间: 2025-09-18 21:45:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1205.000,手续费: 3.00\n",
" INFO - 时间: 2025-09-19 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1225.000,手续费: 3.00\n",
" INFO - 时间: 2025-09-19 22:00:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1223.000,手续费: 3.00\n",
" INFO - 时间: 2025-09-24 09:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1203.000,手续费: 3.00\n",
" INFO - 时间: 2025-09-24 10:00:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1196.000,手续费: 3.00\n",
" INFO - 时间: 2025-10-10 21:15:59.999999, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1185.000,手续费: 3.00\n",
" INFO - 时间: 2025-10-10 22:00:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1184.000,手续费: 3.00\n",
" INFO - 时间: 2025-10-16 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1129.000,手续费: 3.00\n",
" INFO - 时间: 2025-10-16 22:15:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1130.000,手续费: 3.00\n",
" INFO - 时间: 2025-10-17 21:15:59.999999, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1125.000,手续费: 3.00\n",
" INFO - 时间: 2025-10-17 22:30:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1113.000,手续费: 3.00\n",
" INFO - 时间: 2025-10-24 11:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1105.000,手续费: 3.00\n",
" INFO - 模拟交易账户资金, 账户: TQSIM\n",
" INFO - 日期: 2025-09-01, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-02, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-03, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-04, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-05, 账户权益: 9999834.00, 可用资金: 9999834.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -160.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-08, 账户权益: 9999834.00, 可用资金: 9999834.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-09, 账户权益: 9999834.00, 可用资金: 9999834.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-10, 账户权益: 9999828.00, 可用资金: 9999828.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-11, 账户权益: 9999828.00, 可用资金: 9999828.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-12, 账户权益: 9999828.00, 可用资金: 9999828.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-15, 账户权益: 9999828.00, 可用资金: 9999828.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-16, 账户权益: 9999828.00, 可用资金: 9999828.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-17, 账户权益: 9999828.00, 可用资金: 9999828.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-18, 账户权益: 9999639.00, 可用资金: 9998541.00, 浮动盈亏: -20.00, 持仓盈亏: -20.00, 平仓盈亏: -160.00, 市值: 0.00, 保证金: 1098.00, 手续费: 9.00, 风险度: 0.01%\n",
" INFO - 日期: 2025-09-19, 账户权益: 9999696.00, 可用资金: 9999696.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 60.00, 市值: 0.00, 保证金: 0.00, 手续费: 3.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-22, 账户权益: 9999650.00, 可用资金: 9999650.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -40.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-23, 账户权益: 9999650.00, 可用资金: 9999650.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-24, 账户权益: 9999504.00, 可用资金: 9999504.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -140.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-25, 账户权益: 9999504.00, 可用资金: 9999504.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-26, 账户权益: 9999504.00, 可用资金: 9999504.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-29, 账户权益: 9999504.00, 可用资金: 9999504.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-30, 账户权益: 9999504.00, 可用资金: 9999504.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-10-09, 账户权益: 9999504.00, 可用资金: 9999504.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-10-10, 账户权益: 9999504.00, 可用资金: 9999504.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-10-13, 账户权益: 9999518.00, 可用资金: 9999518.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 20.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-10-14, 账户权益: 9999518.00, 可用资金: 9999518.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-10-15, 账户权益: 9999518.00, 可用资金: 9999518.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-10-16, 账户权益: 9999518.00, 可用资金: 9999518.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-10-17, 账户权益: 9999492.00, 可用资金: 9999492.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -20.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-10-20, 账户权益: 9999246.00, 可用资金: 9999246.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -240.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-10-21, 账户权益: 9999246.00, 可用资金: 9999246.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-10-22, 账户权益: 9999246.00, 可用资金: 9999246.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-10-23, 账户权益: 9999246.00, 可用资金: 9999246.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-10-24, 账户权益: 9998983.00, 可用资金: 9997885.00, 浮动盈亏: -260.00, 持仓盈亏: -260.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 1098.00, 手续费: 3.00, 风险度: 0.01%\n",
" INFO - 胜率: 33.33%, 盈亏额比例: 0.16, 收益率: -0.01%, 年化收益率: -0.07%, 最大回撤: 0.01%, 年化夏普率: -215.1636,年化索提诺比率: -15.7689\n",
"回测结束：开始平仓所有剩余持仓...\n",
"TqsdkEngine: 回测运行完毕。\n",
"TqsdkEngine: API 已关闭。\n",
"\n",
"回测运行完毕。\n"
]
},
{
"ename": "KeyError",
"evalue": "'initial_capital'",
"output_type": "error",
"traceback": [
"\u001B[31m---------------------------------------------------------------------------\u001B[39m",
"\u001B[31mKeyError\u001B[39m Traceback (most recent call last)",
"\u001B[36mCell\u001B[39m\u001B[36m \u001B[39m\u001B[32mIn[12]\u001B[39m\u001B[32m, line 53\u001B[39m\n\u001B[32m 51\u001B[39m portfolio_snapshots = results[\u001B[33m\"\u001B[39m\u001B[33mportfolio_snapshots\u001B[39m\u001B[33m\"\u001B[39m]\n\u001B[32m 52\u001B[39m trade_history = results[\u001B[33m\"\u001B[39m\u001B[33mtrade_history\u001B[39m\u001B[33m\"\u001B[39m]\n\u001B[32m---> \u001B[39m\u001B[32m53\u001B[39m initial_capital_result = \u001B[43mresults\u001B[49m\u001B[43m[\u001B[49m\u001B[33;43m\"\u001B[39;49m\u001B[33;43minitial_capital\u001B[39;49m\u001B[33;43m\"\u001B[39;49m\u001B[43m]\u001B[49m\n\u001B[32m 54\u001B[39m bars = results[\u001B[33m\"\u001B[39m\u001B[33mall_bars\u001B[39m\u001B[33m\"\u001B[39m]\n\u001B[32m 56\u001B[39m \u001B[38;5;66;03m# --- 4. 结果分析与可视化 ---\u001B[39;00m\n",
"\u001B[31mKeyError\u001B[39m: 'initial_capital'"
]
}
],
"execution_count": 12
}
],
"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
}

10
futures_trading_strategies/FG/TrendlineBreakoutStrategy/states/futures_trading_strategies.FG.TrendlineBreakoutStrategy.DualModeTrendlineHawkesStrategy2.DualModeTrendlineHawkesStrategy_318d6d79ac5c674a01873c2fa9d92d2a.json Normal file
View File

@@ -0,0 +1,10 @@
{
"pos_meta": {
"CZCE.FG405": {
"direction": "BUY",
"volume": 1,
"entry_price": 1908.0,
"strategy_mode": "TREND"
}
}
}