feat(backtest): 参数网格寻优(optimizer + 前端寻优页)

对单个策略的 1-2 个参数做网格搜索,遍历用户指定的取值列表笛卡尔积,
每个组合跑一次回测,按 total_return 排序,返回排名表 + 热力图。

后端:
- ParamGridOptimizer(backtest/optimizer.py):itertools.product 遍历网格,
  每点 entry.build(params) + BacktestEngine.run(df),复用同一 DataFrame
- 网格大小上限 200 防组合爆炸,单点失败容错(跳过不中断)
- 2 参数时生成热力图矩阵(x/y 轴取值 + cell 收益率)
- POST /backtest/optimize/run/async 端点(后台任务)
- OptimizeBacktestRequest schema(param_grid 1-2 参数)

前端(/optimize 寻优页):
- ParamGridPicker:勾选 1-2 个寻优参数,逗号分隔填取值列表
- OptimizeResultTable:网格点排名表(按收益降序,最优高亮)
- OptimizeHeatmap:2 参数热力图(ECharts heatmap,绿→红映射收益)
- 最优点「查看」按钮跳转单标的页用该参数回测

测试:821 passed(+10 寻优器单测 + 3 寻优路由测试)
This commit is contained in:
Justin Gu
2026-07-03 03:55:35 +08:00
parent 6aab7a82b5
commit 87fafe9131
15 changed files with 1284 additions and 6 deletions
+248
View File
@@ -0,0 +1,248 @@
"""参数网格寻优器。
对单个策略的 1-2 个参数做网格搜索:遍历用户指定的取值列表的笛卡尔积,
每个组合跑一次回测,按 total_return 排序,返回排名 + 热力图矩阵。
设计镜像 :class:`~easy_tdx.backtest.combo.CombinationRunner` 的枚举/排序模式,
但遍历的是参数组合而非策略组合。网格大小硬上限 ``MAX_GRID_POINTS`` 防组合爆炸。
用法::
from easy_tdx.backtest.optimizer import ParamGridOptimizer
opt = ParamGridOptimizer(
strategy_name="ma_cross",
param_grid={"fast": [5, 10, 20], "slow": [10, 20, 30]},
df=df,
cash=100000,
)
result = opt.run()
print(result.best.params, result.best.total_return)
"""
from __future__ import annotations
import itertools
import logging
from dataclasses import dataclass
from typing import Any
import pandas as pd
from easy_tdx.backtest.engine import BacktestEngine
from easy_tdx.backtest.types import BacktestResult
logger = logging.getLogger(__name__)
# 网格点上限:防止组合爆炸。3 参数各 6 值 = 216 已接近上限。
MAX_GRID_POINTS = 200
@dataclass
class GridPointResult:
"""单个网格点的回测结果摘要。
Attributes:
params: 该点的参数取值(如 {"fast": 10, "slow": 20}
total_return: 总收益率
sharpe: 夏普比率
max_drawdown: 最大回撤
total_trades: 总交易笔数
win_rate: 胜率(0-1
profit_factor: 盈亏比
"""
params: dict[str, Any]
total_return: float = 0.0
sharpe: float = 0.0
max_drawdown: float = 0.0
total_trades: int = 0
win_rate: float = 0.0
profit_factor: float = 0.0
@dataclass
class OptimizeResult:
"""网格寻优完整结果。
Attributes:
strategy: 策略名
param_names: 寻优的参数名列表(1-2 个,决定热力图维度)
results: 所有网格点结果,按 total_return 降序排列
best: 最优点(results[0] 的引用)
heatmap: 2 参数时的热力图矩阵(x/y 轴取值 + cell 收益率);1 参数或空时为 None
"""
strategy: str
param_names: list[str]
results: list[GridPointResult]
best: GridPointResult | None = None
heatmap: dict[str, Any] | None = None
def to_dict(self) -> dict[str, Any]:
"""序列化为 JSON 兼容字典。"""
import math
def clean(v: Any) -> Any:
if isinstance(v, float) and not math.isfinite(v):
return None
return v
return {
"strategy": self.strategy,
"param_names": self.param_names,
"results": [
{
"params": r.params,
"total_return": clean(r.total_return),
"sharpe": clean(r.sharpe),
"max_drawdown": clean(r.max_drawdown),
"total_trades": r.total_trades,
"win_rate": clean(r.win_rate),
"profit_factor": clean(r.profit_factor),
}
for r in self.results
],
"best": (
{
"params": self.best.params,
"total_return": clean(self.best.total_return),
"sharpe": clean(self.best.sharpe),
"max_drawdown": clean(self.best.max_drawdown),
"total_trades": self.best.total_trades,
"win_rate": clean(self.best.win_rate),
"profit_factor": clean(self.best.profit_factor),
}
if self.best
else None
),
"heatmap": self.heatmap,
}
class ParamGridOptimizer:
"""参数网格寻优器。
遍历 ``param_grid`` 的笛卡尔积,每个组合实例化策略 + 跑回测,
收集指标后排序。复用同一份 DataFrame(引擎无跨 run 缓存,安全)。
Args:
strategy_name: 策略名(从注册表解析)
param_grid: 参数取值网格,如 {"fast": [5,10,20], "slow": [10,20,30]}
df: OHLCV DataFrame(所有网格点共用)
cash: 初始资金
commission: 佣金率
min_commission: 最低佣金
stamp_tax: 印花税
slippage: 滑点
execution: 成交模式
"""
def __init__(
self,
strategy_name: str,
param_grid: dict[str, list[Any]],
df: pd.DataFrame,
cash: float = 100_000.0,
commission: float = 0.0003,
min_commission: float = 5.0,
stamp_tax: float = 0.001,
slippage: float = 0.0,
execution: str = "next_open",
) -> None:
size = 1
for vals in param_grid.values():
size *= len(vals)
if size > MAX_GRID_POINTS:
raise ValueError(f"网格大小 {size} 超过上限 {MAX_GRID_POINTS},请减少参数取值数量")
if size == 0:
raise ValueError("param_grid 不能有空取值列表")
self._strategy_name = strategy_name
self._param_grid = param_grid
self._df = df
self._cash = cash
self._commission = commission
self._min_commission = min_commission
self._stamp_tax = stamp_tax
self._slippage = slippage
self._execution = execution
def run(self) -> OptimizeResult:
"""执行网格寻优,返回排序后的结果。"""
# 延迟导入避免循环依赖
from easy_tdx.backtest.strategies import get_registry
entry = get_registry().get(self._strategy_name)
param_names = list(self._param_grid.keys())
value_lists = [self._param_grid[name] for name in param_names]
results: list[GridPointResult] = []
for combo in itertools.product(*value_lists):
params = dict(zip(param_names, combo, strict=True))
try:
strategy = entry.build(params)
engine = BacktestEngine(
strategy=strategy,
cash=self._cash,
commission=self._commission,
min_commission=self._min_commission,
stamp_tax=self._stamp_tax,
slippage=self._slippage,
execution=self._execution,
)
bt_result: BacktestResult = engine.run(self._df)
perf = bt_result.performance
results.append(
GridPointResult(
params=params,
total_return=perf.get("total_return", 0.0),
sharpe=perf.get("sharpe", 0.0),
max_drawdown=perf.get("max_drawdown", 0.0),
total_trades=int(perf.get("total_trades", 0)),
win_rate=perf.get("win_rate", 0.0),
profit_factor=perf.get("profit_factor", 0.0),
)
)
except Exception: # noqa: BLE001 — 单点失败不中断整个网格
logger.warning("网格点 %s 回测失败,跳过", params, exc_info=True)
# 按 total_return 降序
results.sort(key=lambda r: r.total_return, reverse=True)
best = results[0] if results else None
heatmap = self._build_heatmap(results, param_names) if len(param_names) == 2 else None
return OptimizeResult(
strategy=self._strategy_name,
param_names=param_names,
results=results,
best=best,
heatmap=heatmap,
)
def _build_heatmap(
self,
results: list[GridPointResult],
param_names: list[str],
) -> dict[str, Any]:
"""2 参数时构建热力图矩阵:x=参数1取值,y=参数2取值,cell=total_return。
Returns:
{"x": [...], "y": [...], "data": [[x_idx, y_idx, value], ...]}
"""
x_name, y_name = param_names
x_vals = sorted(set(self._param_grid[x_name]))
y_vals = sorted(set(self._param_grid[y_name]))
x_idx = {v: i for i, v in enumerate(x_vals)}
y_idx = {v: i for i, v in enumerate(y_vals)}
data: list[list[Any]] = []
for r in results:
x = r.params.get(x_name)
y = r.params.get(y_name)
if x not in x_idx or y not in y_idx:
continue
data.append([x_idx[x], y_idx[y], r.total_return])
return {"x_name": x_name, "y_name": y_name, "x": x_vals, "y": y_vals, "data": data}
+41
View File
@@ -106,6 +106,47 @@ class PortfolioBacktestRequest(BaseModel):
return self
class OptimizeBacktestRequest(BaseModel):
"""参数网格寻优请求。
在单个标的上,对策略的 1-2 个参数做网格搜索。数据来源与单标的回测一致
ohlcv 内联或 symbol 取行情)。param_grid 指定寻优参数及其取值列表,
网格大小(各取值数乘积)上限 200。
"""
strategy: str = Field(..., description="策略名")
cash: float = Field(default=100000.0, gt=0)
commission: float = Field(default=0.0003, ge=0, le=0.01)
slippage: float = Field(default=0.0, ge=0, le=0.05)
execution: Literal["next_open", "next_close", "this_close", "worst", "best"] = Field(
default="next_open"
)
param_grid: dict[str, list[int | float | str]] = Field(
...,
min_length=1,
max_length=2,
description='参数取值网格,如 {"fast":[5,10,20], "slow":[15,20,30]}',
)
# 数据来源 A:内联 OHLCV
ohlcv: list[dict[str, Any]] | None = Field(default=None, max_length=2000)
# 数据来源 B:按标的取行情
symbol: str | None = Field(default=None, pattern=r"^(SZ|SH|BJ):\d{6}$")
category: Literal["DAY", "WEEK", "MONTH", "MIN_5", "MIN_15", "MIN_30", "MIN_60"] = Field(
default="DAY"
)
count: int = Field(default=250, ge=20, le=800)
start_date: str | None = Field(default=None)
end_date: str | None = Field(default=None)
@model_validator(mode="after")
def _check_data_source(self) -> OptimizeBacktestRequest:
if self.ohlcv is None and self.symbol is None:
raise ValueError("必须提供 ohlcv 或 symbol 之一")
return self
# ── 响应模型 ───────────────────────────────────────────────────────────────────
+75
View File
@@ -19,6 +19,7 @@ from fastapi import APIRouter, Depends
from easy_tdx.web.backtest_schemas import (
BacktestRequest,
BacktestResultResponse,
OptimizeBacktestRequest,
PortfolioBacktestRequest,
StrategySchemaResponse,
TaskStateResponse,
@@ -153,6 +154,49 @@ async def run_portfolio_backtest_async(
return TaskSubmitResponse(task_id=task_id, status=status)
# ── 参数网格寻优 ─────────────────────────────────────────────────────────────
@router.post("/backtest/optimize/run/async", response_model=TaskSubmitResponse, status_code=202)
async def run_optimize_async(
req: OptimizeBacktestRequest,
client: Any = Depends(get_client),
) -> TaskSubmitResponse:
"""提交参数网格寻优后台任务。
在单个标的上对策略参数做网格搜索。数据获取支持内联 ohlcv 或按 symbol 取行情。
通过 GET /backtest/tasks/{task_id} 轮询结果。
"""
# 1. 取数据
if req.ohlcv is not None:
df = _ohlcv_to_df(req.ohlcv)
desc_bars = f"{len(df)}"
elif req.symbol is not None:
df = await _fetch_bars(client, req.symbol, req.category, 800)
desc_bars = f"{req.symbol}"
if req.start_date or req.end_date:
df = _filter_df_by_date(df, req.start_date, req.end_date)
else:
raise ValueError("必须提供 ohlcv 或 symbol")
# 2. 捕获快照
snapshot = req.model_copy()
grid_size = 1
for vals in snapshot.param_grid.values():
grid_size *= len(vals)
description = f"{snapshot.strategy} 寻优 | {desc_bars} | {grid_size}"
# 3. 提交后台任务
runner = get_runner()
task_id = runner.submit(
lambda: _run_optimize(df, snapshot),
description=description,
)
state = runner.get(task_id)
status: Any = state.status if state.status in ("pending", "running") else "running"
return TaskSubmitResponse(task_id=task_id, status=status)
# ── 内部实现 ───────────────────────────────────────────────────────────────────
@@ -294,6 +338,37 @@ async def _fetch_portfolio_bars(
return stock_data_list
def _run_optimize(df: pd.DataFrame, req: OptimizeBacktestRequest) -> dict[str, Any]:
"""执行参数网格寻优并返回清洗后的结果字典(后台线程内调用)。"""
from easy_tdx.backtest.optimizer import ParamGridOptimizer
optimizer = ParamGridOptimizer(
strategy_name=req.strategy,
param_grid=req.param_grid,
df=df,
cash=req.cash,
commission=req.commission,
slippage=req.slippage,
execution=req.execution,
)
result = optimizer.run()
return result.to_dict()
def _filter_df_by_date(df: pd.DataFrame, start: str | None, end: str | None) -> pd.DataFrame:
"""按日期范围过滤 DataFrame(闭区间,比较 YYYY-MM-DD)。"""
if not start and not end:
return df
dt_col = "datetime" if "datetime" in df.columns else "date"
dt_str = df[dt_col].astype(str).str.slice(0, 10)
mask = pd.Series(True, index=df.index)
if start:
mask &= dt_str >= start
if end:
mask &= dt_str <= end
return df[mask].reset_index(drop=True)
def _now() -> float:
"""获取当前时间戳(隔离 import,便于测试)。"""
import time
+153
View File
@@ -0,0 +1,153 @@
"""单元测试:参数网格寻优器."""
from __future__ import annotations
import numpy as np
import pandas as pd
import pytest
from easy_tdx.backtest.optimizer import (
GridPointResult,
OptimizeResult,
ParamGridOptimizer,
)
def _make_df(n: int = 150, seed: int = 42) -> pd.DataFrame:
"""生成带趋势的合成 OHLCV(确保均线策略能产生交易)。"""
rng = np.random.default_rng(seed)
close = 10.0 + np.cumsum(rng.normal(0, 0.3, n) + 0.05)
return pd.DataFrame(
{
"datetime": pd.date_range("2024-01-01", periods=n, freq="B"),
"open": close - 0.1,
"high": close + 0.2,
"low": close - 0.2,
"close": close,
"vol": rng.integers(1000, 10000, n).astype(float),
"amount": close * 5000,
}
)
class TestParamGridOptimizer:
"""寻优器核心逻辑."""
def test_grid_enumeration(self) -> None:
"""网格点数应等于笛卡尔积大小。"""
opt = ParamGridOptimizer(
strategy_name="ma_cross",
param_grid={"fast": [5, 10], "slow": [15, 20, 30]},
df=_make_df(),
)
result = opt.run()
assert len(result.results) == 6 # 2 × 3
def test_results_sorted_by_return_descending(self) -> None:
"""结果应按 total_return 降序排列。"""
opt = ParamGridOptimizer(
strategy_name="ma_cross",
param_grid={"fast": [5, 10, 20], "slow": [15, 20, 30]},
df=_make_df(),
)
result = opt.run()
returns = [r.total_return for r in result.results]
assert returns == sorted(returns, reverse=True)
def test_best_is_first_result(self) -> None:
"""best 应是 results[0]。"""
opt = ParamGridOptimizer(
strategy_name="ma_cross",
param_grid={"fast": [5, 10], "slow": [20, 30]},
df=_make_df(),
)
result = opt.run()
assert result.best is not None
assert result.best.params == result.results[0].params
assert result.best.total_return == result.results[0].total_return
def test_heatmap_2_params(self) -> None:
"""2 参数应生成热力图矩阵。"""
opt = ParamGridOptimizer(
strategy_name="ma_cross",
param_grid={"fast": [5, 10, 20], "slow": [15, 20, 30]},
df=_make_df(),
)
result = opt.run()
assert result.heatmap is not None
assert result.heatmap["x_name"] == "fast"
assert result.heatmap["y_name"] == "slow"
assert len(result.heatmap["x"]) == 3
assert len(result.heatmap["y"]) == 3
assert len(result.heatmap["data"]) == 9 # 3×3
def test_no_heatmap_for_single_param(self) -> None:
"""1 参数时 heatmap 应为 None。"""
opt = ParamGridOptimizer(
strategy_name="rsi_reversal",
param_grid={"n": [7, 14, 21]},
df=_make_df(),
)
result = opt.run()
assert result.heatmap is None
assert len(result.results) == 3
def test_grid_size_limit_exceeded(self) -> None:
"""超过 MAX_GRID_POINTS 应抛 ValueError。"""
big_grid = {f"p{i}": list(range(5)) for i in range(6)} # 5^6 = 15625
with pytest.raises(ValueError, match="超过上限"):
ParamGridOptimizer(
strategy_name="ma_cross",
param_grid=big_grid,
df=_make_df(),
)
def test_empty_value_list_rejected(self) -> None:
"""空取值列表应抛 ValueError。"""
with pytest.raises(ValueError, match="空取值列表"):
ParamGridOptimizer(
strategy_name="ma_cross",
param_grid={"fast": [], "slow": [20]},
df=_make_df(),
)
def test_to_dict_serializable(self) -> None:
"""to_dict 应返回 JSON 兼容结构。"""
opt = ParamGridOptimizer(
strategy_name="ma_cross",
param_grid={"fast": [5, 10], "slow": [20, 30]},
df=_make_df(),
)
result = opt.run()
d = result.to_dict()
assert d["strategy"] == "ma_cross"
assert d["param_names"] == ["fast", "slow"]
assert len(d["results"]) == 4
assert d["best"] is not None
assert "params" in d["best"]
assert "total_return" in d["best"]
def test_to_dict_cleans_nan(self) -> None:
"""NaN 指标应被清洗为 None(JSON 兼容)。"""
# 构造含 NaN 的结果(无交易的参数组合 sharpe 可能 NaN)
result = OptimizeResult(
strategy="test",
param_names=["n"],
results=[
GridPointResult(params={"n": 1}, total_return=float("nan"), sharpe=float("inf")),
],
)
d = result.to_dict()
assert d["results"][0]["total_return"] is None
assert d["results"][0]["sharpe"] is None
def test_unknown_strategy_raises(self) -> None:
"""未知策略应在 run() 时抛 KeyError。"""
opt = ParamGridOptimizer(
strategy_name="nope",
param_grid={"x": [1]},
df=_make_df(),
)
with pytest.raises(KeyError):
opt.run()
+90
View File
@@ -807,3 +807,93 @@ def test_portfolio_backtest_bad_strategy(client, monkeypatch):
break
time.sleep(0.05)
assert final["status"] == "failed"
# ---------------------------------------------------------------------------
# Phase 4: 参数网格寻优路由
# ---------------------------------------------------------------------------
def test_optimize_request_validation():
"""寻优请求校验:param_grid 非空、至少 1 个数据源。"""
from easy_tdx.web.backtest_schemas import OptimizeBacktestRequest
one_bar = [
{
"datetime": "2024-01-01",
"open": 1,
"high": 1,
"low": 1,
"close": 1,
"vol": 1,
"amount": 1,
}
]
req = OptimizeBacktestRequest(
strategy="ma_cross",
param_grid={"fast": [5, 10], "slow": [20, 30]},
ohlcv=one_bar,
)
assert len(req.param_grid) == 2
with pytest.raises(ValueError):
OptimizeBacktestRequest(strategy="ma_cross", param_grid={"fast": [5]}) # 缺数据源
with pytest.raises(ValueError):
OptimizeBacktestRequest( # param_grid > 2 参数
strategy="ma_cross",
param_grid={"a": [1], "b": [2], "c": [3]},
ohlcv=one_bar,
)
def test_optimize_endpoint(client, sample_ohlcv):
"""POST /backtest/optimize/run/async 端到端(内联数据)。"""
resp = client.post(
"/api/v1/backtest/optimize/run/async",
json={
"strategy": "ma_cross",
"param_grid": {"fast": [5, 10], "slow": [20, 30]},
"cash": 100000,
"ohlcv": sample_ohlcv,
},
)
assert resp.status_code == 202, resp.text
task_id = resp.json()["task_id"]
final = None
for _ in range(200):
poll = client.get(f"/api/v1/backtest/tasks/{task_id}")
final = poll.json()
if final["status"] in ("done", "failed"):
break
time.sleep(0.05)
assert final["status"] == "done", final
result = final["result"]
assert result["strategy"] == "ma_cross"
assert result["param_names"] == ["fast", "slow"]
assert len(result["results"]) == 4
assert result["best"] is not None
assert result["heatmap"] is not None
assert len(result["heatmap"]["data"]) == 4
def test_optimize_single_param_no_heatmap(client, sample_ohlcv):
"""单参数寻优不应返回热力图。"""
resp = client.post(
"/api/v1/backtest/optimize/run/async",
json={
"strategy": "rsi_reversal",
"param_grid": {"n": [7, 14, 21]},
"ohlcv": sample_ohlcv,
},
)
assert resp.status_code == 202
task_id = resp.json()["task_id"]
for _ in range(200):
poll = client.get(f"/api/v1/backtest/tasks/{task_id}")
final = poll.json()
if final["status"] in ("done", "failed"):
break
time.sleep(0.05)
assert final["status"] == "done"
assert final["result"]["heatmap"] is None
+1
View File
@@ -9,6 +9,7 @@
<nav class="app-nav">
<RouterLink to="/" active-class="active">单标的回测</RouterLink>
<RouterLink to="/portfolio" active-class="active">组合回测</RouterLink>
<RouterLink to="/optimize" active-class="active">参数寻优</RouterLink>
</nav>
</header>
<main class="app-main">
+14
View File
@@ -7,6 +7,7 @@ import type {
BacktestResult,
Bar,
Category,
OptimizeBacktestRequest,
PortfolioBacktestRequest,
StrategiesResponse,
TaskState,
@@ -124,6 +125,19 @@ export async function submitPortfolioTask(
return (await resp.json()) as TaskSubmitResponse
}
/** 提交参数网格寻优后台任务,返回 task_id。 */
export async function submitOptimizeTask(
req: OptimizeBacktestRequest,
): Promise<TaskSubmitResponse> {
const resp = await fetch(`${BASE}/backtest/optimize/run/async`, {
method: 'POST',
headers: { 'Content-Type': 'application/json' },
body: JSON.stringify(req),
})
if (!resp.ok) await throwError(resp)
return (await resp.json()) as TaskSubmitResponse
}
/** 查询后台任务状态(轮询用)。 */
export async function fetchTask(taskId: string): Promise<TaskState> {
const resp = await fetch(`${BASE}/backtest/tasks/${taskId}`)
+88
View File
@@ -0,0 +1,88 @@
<script setup lang="ts">
// 2 参数寻优热力图(ECharts heatmap)。x=参数1取值,y=参数2取值,cell=total_return。
import { onBeforeUnmount, onMounted, ref, watch } from 'vue'
import echarts from '../echarts-setup'
import type { OptimizeHeatmap } from '../types'
const props = defineProps<{
heatmap: OptimizeHeatmap
}>()
const container = ref<HTMLDivElement>()
let chart: echarts.ECharts | null = null
function render() {
if (!container.value) return
chart ??= echarts.init(container.value, 'dark')
chart.setOption(buildOption(), true)
}
function buildOption(): echarts.EChartsCoreOption {
const { x, y, data, x_name, y_name } = props.heatmap
// 计算 visualMap 范围
const values = data.map((d) => d[2]).filter((v): v is number => v !== null)
const min = values.length ? Math.min(...values) : 0
const max = values.length ? Math.max(...values) : 1
return {
backgroundColor: 'transparent',
tooltip: {
position: 'top',
formatter: (p: { data: [number, number, number | null] }) => {
const xv = x[p.data[0]]
const yv = y[p.data[1]]
const ret = p.data[2]
const retStr = ret !== null ? `${(ret * 100).toFixed(2)}%` : '-'
return `${x_name}=${xv}, ${y_name}=${yv}<br/>收益: ${retStr}`
},
},
grid: { left: '12%', right: '5%', top: 20, bottom: 60 },
xAxis: { type: 'category', data: x.map(String), name: x_name, splitArea: { show: true } },
yAxis: { type: 'category', data: y.map(String), name: y_name, splitArea: { show: true } },
visualMap: {
min,
max,
calculable: true,
orient: 'horizontal',
left: 'center',
bottom: 0,
formatter: (v: number) => `${(v * 100).toFixed(0)}%`,
inRange: { color: ['#18a058', '#2a2e3a', '#ef4146'] }, // 绿(低)→暗→红(高)
},
series: [
{
type: 'heatmap',
data,
label: { show: false },
emphasis: { itemStyle: { shadowBlur: 10, shadowColor: 'rgba(0,0,0,0.5)' } },
},
],
}
}
function resize() {
chart?.resize()
}
onMounted(() => {
render()
window.addEventListener('resize', resize)
})
onBeforeUnmount(() => {
window.removeEventListener('resize', resize)
chart?.dispose()
chart = null
})
watch(() => props.heatmap, render)
</script>
<template>
<div ref="container" class="heatmap-chart"></div>
</template>
<style scoped>
.heatmap-chart {
width: 100%;
height: 380px;
}
</style>
@@ -0,0 +1,101 @@
<script setup lang="ts">
// 网格点排名表,按 total_return 降序,最优高亮。
import type { GridPointResult } from '../types'
defineProps<{
results: GridPointResult[]
bestIndex?: number
}>()
defineEmits<{ select: [params: Record<string, number | string>] }>()
function pct(v: number | null): string {
return v !== null && Number.isFinite(v) ? `${(v * 100).toFixed(2)}%` : '-'
}
function num(v: number | null, d = 2): string {
return v !== null && Number.isFinite(v) ? v.toFixed(d) : '-'
}
</script>
<template>
<table class="opt-table">
<thead>
<tr>
<th>#</th>
<th>参数</th>
<th class="num">总收益</th>
<th class="num">夏普</th>
<th class="num">最大回撤</th>
<th class="num">交易数</th>
<th class="num">胜率</th>
<th></th>
</tr>
</thead>
<tbody>
<tr v-for="(r, i) in results" :key="i" :class="{ best: i === bestIndex }">
<td class="rank">{{ i + 1 }}</td>
<td class="params">{{ JSON.stringify(r.params) }}</td>
<td class="num" :class="r.total_return !== null && r.total_return > 0 ? 'pos' : 'neg'">
{{ pct(r.total_return) }}
</td>
<td class="num">{{ num(r.sharpe) }}</td>
<td class="num neg">{{ pct(r.max_drawdown) }}</td>
<td class="num">{{ r.total_trades }}</td>
<td class="num">{{ pct(r.win_rate) }}</td>
<td><button class="view-btn" @click="$emit('select', r.params)">查看</button></td>
</tr>
</tbody>
</table>
</template>
<style scoped>
.opt-table {
width: 100%;
border-collapse: collapse;
font-size: 13px;
}
.opt-table th,
.opt-table td {
padding: 6px 10px;
border-bottom: 1px solid var(--border);
text-align: left;
}
.opt-table th {
color: var(--text-dim);
font-size: 12px;
position: sticky;
top: 0;
background: var(--bg-panel);
}
.num {
text-align: right;
font-family: var(--font-mono);
}
.params {
font-family: var(--font-mono);
font-size: 12px;
color: var(--text-muted);
}
.rank {
color: var(--text-dim);
width: 32px;
}
.best {
background: rgba(74, 158, 255, 0.08);
}
.best .rank {
color: var(--accent);
font-weight: 700;
}
.pos {
color: var(--up);
}
.neg {
color: var(--down);
}
.view-btn {
font-size: 11px;
padding: 2px 8px;
}
</style>
+126
View File
@@ -0,0 +1,126 @@
<script setup lang="ts">
// 寻优参数选择:从策略参数里勾选 1-2 个,各填取值列表(逗号分隔)。
import { computed, ref, watch } from 'vue'
import type { StrategySchema } from '../types'
const props = defineProps<{
strategy: StrategySchema | null
modelValue: Record<string, Array<number | string>>
}>()
const emit = defineEmits<{ 'update:modelValue': [value: Record<string, Array<number | string>>] }>()
// 每个参数的取值输入框原始文本
const inputs = ref<Record<string, string>>({})
// 选中要寻优的参数
const selected = ref<Set<string>>(new Set())
function toggle(name: string) {
if (selected.value.has(name)) {
selected.value.delete(name)
} else {
if (selected.value.size >= 2) return // 最多 2 个
selected.value.add(name)
}
// 触发响应式
selected.value = new Set(selected.value)
syncOutputs()
}
function syncOutputs() {
const out: Record<string, Array<number | string>> = {}
for (const name of selected.value) {
const raw = inputs.value[name] ?? ''
out[name] = raw
.split(/[,\s]+/)
.map((s) => s.trim())
.filter(Boolean)
.map((s) => {
const n = Number(s)
return Number.isFinite(n) ? n : s
})
}
emit('update:modelValue', out)
}
function onInput(name: string, val: string) {
inputs.value[name] = val
syncOutputs()
}
// 切换策略时清空选择
watch(
() => props.strategy?.name,
() => {
selected.value = new Set()
inputs.value = {}
syncOutputs()
},
)
const gridPoints = computed(() => {
const sizes = Array.from(selected.value).map((n) => {
const raw = inputs.value[n] ?? ''
return raw.split(/[,\s]+/).filter((s) => s.trim()).length
})
return sizes.reduce((a, b) => a * b, 1)
})
</script>
<template>
<div class="grid-picker">
<p class="hint">勾选 1-2 个参数寻优填入取值列表逗号分隔</p>
<div v-for="p in strategy?.params" :key="p.name" class="param-row">
<label class="check">
<input
type="checkbox"
:checked="selected.has(p.name)"
:disabled="!selected.has(p.name) && selected.size >= 2"
@change="toggle(p.name)"
/>
<span>{{ p.label }}{{ p.name }}</span>
</label>
<input
v-if="selected.has(p.name)"
:value="inputs[p.name] ?? ''"
:placeholder="`如 ${p.default}, ${p.default}, ...`"
class="values-input"
@input="onInput(p.name, ($event.target as HTMLInputElement).value)"
/>
</div>
<p class="grid-size">网格点数{{ gridPoints }}上限 200</p>
</div>
</template>
<style scoped>
.hint {
color: var(--text-muted);
font-size: 12px;
margin-bottom: 10px;
}
.param-row {
margin-bottom: 10px;
}
.check {
display: flex;
align-items: center;
gap: 6px;
font-size: 13px;
color: var(--text);
margin-bottom: 4px;
}
.check input[type='checkbox'] {
width: auto;
}
.values-input {
margin-top: 4px;
font-family: var(--font-mono);
}
.grid-size {
color: var(--text-dim);
font-size: 11px;
margin-top: 4px;
}
</style>
+6 -3
View File
@@ -1,8 +1,8 @@
// ECharts 按需引入。只注册 MVP-A 用到的图表类型,避免全量引入(~1MB → ~400KB)。
// 用到的:candlestickK线)、line(净值/回撤曲线)、markPoint(买卖点标注)。
// ECharts 按需引入。只注册用到的图表类型,避免全量引入(~1MB → ~400KB)。
// 用到的:candlestickK线)、line(净值/回撤曲线)、markPoint(买卖点标注)、heatmap(寻优热力图)
import * as echarts from 'echarts/core'
import { BarChart, CandlestickChart, LineChart } from 'echarts/charts'
import { BarChart, CandlestickChart, HeatmapChart, LineChart } from 'echarts/charts'
import {
DataZoomComponent,
GridComponent,
@@ -10,6 +10,7 @@ import {
MarkPointComponent,
TitleComponent,
TooltipComponent,
VisualMapComponent,
} from 'echarts/components'
import { CanvasRenderer } from 'echarts/renderers'
@@ -18,12 +19,14 @@ echarts.use([
CandlestickChart,
LineChart,
BarChart,
HeatmapChart,
GridComponent,
TooltipComponent,
LegendComponent,
TitleComponent,
DataZoomComponent,
MarkPointComponent,
VisualMapComponent,
])
// A股惯例:红涨绿跌
+3 -1
View File
@@ -1,12 +1,14 @@
import { createRouter, createWebHistory } from 'vue-router'
import BacktestView from './views/BacktestView.vue'
import OptimizeView from './views/OptimizeView.vue'
import PortfolioView from './views/PortfolioView.vue'
// 单标的回测(/+ 组合回测(/portfolio参数寻优/结果对比留待 Phase 4-5
// 单标的回测(/+ 组合回测(/portfolio+ 参数寻优/optimize
const routes = [
{ path: '/', name: 'backtest', component: BacktestView },
{ path: '/portfolio', name: 'portfolio', component: PortfolioView },
{ path: '/optimize', name: 'optimize', component: OptimizeView },
]
export const router = createRouter({
+46 -1
View File
@@ -4,13 +4,22 @@
import { defineStore } from 'pinia'
import { computed, ref } from 'vue'
import { fetchStrategies, formatError, runBacktest, submitPortfolioTask, fetchTask } from '../api'
import {
fetchStrategies,
formatError,
runBacktest,
submitPortfolioTask,
submitOptimizeTask,
fetchTask,
} from '../api'
import type {
BacktestRequest,
BacktestResult,
Bar,
PortfolioBacktestRequest,
PortfolioResult,
OptimizeBacktestRequest,
OptimizeResult,
StrategySchema,
} from '../types'
@@ -105,6 +114,39 @@ export const useBacktestStore = defineStore('backtest', () => {
error.value = ''
}
// ── 参数网格寻优(Phase 4) ─────────────────────────────────────────────
const optimizeResult = ref<OptimizeResult | null>(null)
const optimizeRunning = ref(false)
/** 提交寻优后台任务并轮询直到完成。 */
async function runOptimize(req: OptimizeBacktestRequest) {
optimizeRunning.value = true
error.value = ''
optimizeResult.value = null
try {
const { task_id } = await submitOptimizeTask(req)
const start = Date.now()
// eslint-disable-next-line no-constant-condition
while (true) {
const state = await fetchTask(task_id)
if (state.status === 'done' && state.result) {
optimizeResult.value = state.result as OptimizeResult
break
}
if (state.status === 'failed') {
throw new Error(state.error || '寻优失败')
}
if (Date.now() - start > 180_000) throw new Error('寻优超时(180s')
await new Promise((r) => setTimeout(r, 400))
}
} catch (e) {
error.value = formatError(e)
optimizeResult.value = null
} finally {
optimizeRunning.value = false
}
}
return {
// state
strategies,
@@ -116,6 +158,8 @@ export const useBacktestStore = defineStore('backtest', () => {
error,
portfolioResult,
portfolioRunning,
optimizeResult,
optimizeRunning,
// getters
hasBars,
// actions
@@ -125,5 +169,6 @@ export const useBacktestStore = defineStore('backtest', () => {
clearResult,
runPortfolio,
clearPortfolio,
runOptimize,
}
})
+44 -1
View File
@@ -130,7 +130,7 @@ export type TaskStatus = 'pending' | 'running' | 'done' | 'failed'
export interface TaskState {
task_id: string
status: TaskStatus
result: BacktestResult | PortfolioResult | null
result: BacktestResult | PortfolioResult | OptimizeResult | null
error: string | null
description: string
elapsed: number
@@ -163,6 +163,49 @@ export interface PortfolioResult {
combined_equity: EquityPoint[]
}
// ── 参数网格寻优(Phase 4) ──────────────────────────────────────────────────
export interface OptimizeBacktestRequest {
strategy: string
cash?: number
commission?: number
slippage?: number
execution?: ExecutionMode
param_grid: Record<string, Array<number | string>>
ohlcv?: Bar[]
symbol?: string
category?: Category
count?: number
start_date?: string
end_date?: string
}
export interface GridPointResult {
params: Record<string, number | string>
total_return: number | null
sharpe: number | null
max_drawdown: number | null
total_trades: number
win_rate: number | null
profit_factor: number | null
}
export interface OptimizeHeatmap {
x_name: string
y_name: string
x: Array<number | string>
y: Array<number | string>
data: Array<[number, number, number | null]>
}
export interface OptimizeResult {
strategy: string
param_names: string[]
results: GridPointResult[]
best: GridPointResult | null
heatmap: OptimizeHeatmap | null
}
// ── 错误响应(后端 ApiErrorResponse) ─────────────────────────────────────────
export interface ApiError {
+248
View File
@@ -0,0 +1,248 @@
<script setup lang="ts">
// 参数网格寻优主页面:左配置(选标的 + 策略 + 寻优参数)/ 右报告(排名表 + 热力图)。
import { computed, onMounted, ref } from 'vue'
import { useRouter } from 'vue-router'
import OptimizeHeatmap from '../components/OptimizeHeatmap.vue'
import OptimizeResultTable from '../components/OptimizeResultTable.vue'
import ParamGridPicker from '../components/ParamGridPicker.vue'
import SymbolPicker from '../components/SymbolPicker.vue'
import type { ExecutionMode } from '../types'
import { useBacktestStore } from '../stores/backtest'
const store = useBacktestStore()
const router = useRouter()
const strategy = ref('ma_cross')
const paramGrid = ref<Record<string, Array<number | string>>>({})
const cash = ref(100000)
const execution = ref<ExecutionMode>('next_open')
const EXECUTIONS: ExecutionMode[] = ['next_open', 'next_close', 'this_close', 'worst', 'best']
const selectedStrategy = computed(
() => store.strategies.find((s) => s.name === strategy.value) ?? null,
)
onMounted(() => {
store.loadStrategies().catch((e) => {
store.error = `加载策略列表失败:${e instanceof Error ? e.message : e}`
})
})
// 网格点数(前端预校验,提示用户)
const gridPoints = computed(() => {
const sizes = Object.values(paramGrid.value).map((v) => v.length)
return sizes.reduce((a, b) => a * b, 1)
})
async function onRun() {
if (!store.hasBars) {
store.error = '请先取行情数据'
return
}
if (Object.keys(paramGrid.value).length === 0) {
store.error = '请勾选至少 1 个参数并填入取值'
return
}
if (gridPoints.value > 200) {
store.error = `网格点数 ${gridPoints.value} 超过上限 200`
return
}
await store.runOptimize({
strategy: strategy.value,
param_grid: paramGrid.value,
cash: cash.value,
execution: execution.value,
ohlcv: store.ohlcv,
})
}
// 点击排名表「查看」→ 跳转单标的页用该参数回测
function onViewParams(params: Record<string, number | string>) {
// 通过 query 传递参数,单标的页接收后自动填充
router.push({
path: '/',
query: { strategy: strategy.value, params: JSON.stringify(params) },
})
}
</script>
<template>
<div class="optimize-view">
<aside class="config-panel">
<section class="panel-section">
<h3>行情数据</h3>
<SymbolPicker />
</section>
<section class="panel-section">
<h3>策略</h3>
<div class="field">
<select v-model="strategy">
<option v-for="s in store.strategies" :key="s.name" :value="s.name">
{{ s.label }}{{ s.name }}
</option>
</select>
</div>
</section>
<section class="panel-section">
<h3>寻优参数</h3>
<ParamGridPicker v-model="paramGrid" :strategy="selectedStrategy" />
</section>
<section class="panel-section">
<h3>资金</h3>
<div class="field">
<label>初始资金</label>
<input v-model.number="cash" type="number" min="1000" step="10000" />
</div>
<div class="field">
<label>成交模式</label>
<select v-model="execution">
<option v-for="e in EXECUTIONS" :key="e" :value="e">{{ e }}</option>
</select>
</div>
</section>
<button
class="primary run-btn"
:disabled="store.optimizeRunning || !store.hasBars"
@click="onRun"
>
{{ store.optimizeRunning ? '寻优中…' : '开始寻优' }}
</button>
</aside>
<main class="report-panel">
<div v-if="store.error" class="error-banner"> {{ store.error }}</div>
<div
v-if="!store.optimizeResult && !store.optimizeRunning && !store.error"
class="placeholder"
>
<p>选标的 取行情 选策略 勾选寻优参数 开始寻优</p>
</div>
<div v-if="store.optimizeResult" class="report-content">
<section class="report-section">
<h3>最优结果</h3>
<div v-if="store.optimizeResult.best" class="best-summary">
<span class="best-params">{{ JSON.stringify(store.optimizeResult.best.params) }}</span>
<span class="best-return pos">
{{ (store.optimizeResult.best.total_return! * 100).toFixed(2) }}%
</span>
<span class="best-meta">
夏普 {{ store.optimizeResult.best.sharpe?.toFixed(2) }} · 回撤
{{ (store.optimizeResult.best.max_drawdown! * 100).toFixed(2) }}%
</span>
</div>
</section>
<section v-if="store.optimizeResult.heatmap" class="report-section">
<h3>参数热力图{{ store.optimizeResult.heatmap.x_name }} × {{ store.optimizeResult.heatmap.y_name }}</h3>
<OptimizeHeatmap :heatmap="store.optimizeResult.heatmap" />
</section>
<section class="report-section">
<h3>网格点排名{{ store.optimizeResult.results.length }} </h3>
<OptimizeResultTable
:results="store.optimizeResult.results"
:best-index="0"
@select="onViewParams"
/>
</section>
</div>
</main>
</div>
</template>
<style scoped>
.optimize-view {
display: flex;
height: 100%;
}
.config-panel {
width: 320px;
flex-shrink: 0;
background: var(--bg-panel);
border-right: 1px solid var(--border);
padding: 16px;
overflow-y: auto;
}
.panel-section {
margin-bottom: 20px;
padding-bottom: 16px;
border-bottom: 1px solid var(--border);
}
.panel-section:last-of-type {
border-bottom: none;
}
.panel-section h3 {
font-size: 13px;
font-weight: 600;
margin-bottom: 12px;
}
.run-btn {
width: 100%;
padding: 10px;
font-size: 14px;
}
.report-panel {
flex: 1;
overflow-y: auto;
padding: 16px 20px;
}
.placeholder {
display: flex;
align-items: center;
justify-content: center;
height: 100%;
color: var(--text-dim);
}
.error-banner {
background: rgba(239, 65, 70, 0.12);
border: 1px solid var(--up);
color: var(--up);
padding: 10px 14px;
border-radius: var(--radius);
margin-bottom: 16px;
font-size: 13px;
}
.report-section {
background: var(--bg-panel);
border: 1px solid var(--border);
border-radius: var(--radius);
padding: 14px 16px;
margin-bottom: 16px;
}
.report-section h3 {
font-size: 13px;
font-weight: 600;
color: var(--text-muted);
margin-bottom: 12px;
}
.best-summary {
display: flex;
align-items: baseline;
gap: 16px;
}
.best-params {
font-family: var(--font-mono);
font-size: 14px;
color: var(--accent);
}
.best-return {
font-size: 22px;
font-weight: 700;
font-family: var(--font-mono);
}
.best-meta {
color: var(--text-dim);
font-size: 12px;
}
.pos {
color: var(--up);
}
</style>