mirror of
https://ghfast.top/https://github.com/aeroxw/easy_tdx_max.git
synced 2026-09-12 14:34:18 +08:00
Justin Gu
1e99feb7c2
- Add backtest/combo.py: CombinationRunner, extract_factor_signals, combine_masks - Signal merge modes: AND / OR / MAJORITY (majority default) - CLI: --combo-strategies and --combo-mode for easy-tdx backtest - run_all_strategies.py: --combo 2 --combo 3 auto-screen best combos - Fix MyTT MFI/CR divide-by-zero RuntimeWarning - 14 new unit tests, 328 total passing
550 lines
19 KiB
Python
550 lines
19 KiB
Python
"""批量回测脚本：依次运行 strategies/ 目录下所有策略并比较结果。
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用法::
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python run_all_strategies.py SZ 300308 --count 2000 --cash 1000000 --adjust QFQ
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输出每个策略的绩效指标，并按总收益率排名。
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"""
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from __future__ import annotations
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import sys
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import time
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from pathlib import Path
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from typing import Any
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# 确保 easy_tdx 可导入
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sys.path.insert(0, str(Path(__file__).parent / "src"))
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import click
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def _setup_chinese_font() -> None:
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"""配置 matplotlib 中文字体，按平台自动选择。"""
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import platform
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import matplotlib
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system = platform.system()
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if system == "Windows":
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candidates = ["Microsoft YaHei", "SimHei", "KaiTi", "FangSong"]
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elif system == "Darwin":
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candidates = ["PingFang SC", "Heiti SC", "STHeiti"]
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else:
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candidates = ["WenQuanYi Micro Hei", "Noto Sans CJK SC", "Droid Sans Fallback"]
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import matplotlib.font_manager as fm
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available = {f.name for f in fm.fontManager.ttflist}
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for font in candidates:
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if font in available:
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matplotlib.rcParams["font.sans-serif"] = [font, "DejaVu Sans"]
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break
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matplotlib.rcParams["axes.unicode_minus"] = False
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def _map_trade_values(trades_df: Any, equity: Any, initial_cash: float) -> list[float]:
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"""将交易的 datetime 映射到 equity_curve 对应的归一化值。"""
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eq_dt = equity["datetime"].values
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eq_norm = equity["total"].values / initial_cash
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result_vals: list[float] = []
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for dt in trades_df["datetime"].values:
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idx = eq_dt.searchsorted(dt, side="right") - 1
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if idx < 0:
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idx = 0
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if idx >= len(eq_norm):
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idx = len(eq_norm) - 1
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result_vals.append(float(eq_norm[idx]))
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return result_vals
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def _run_combo_screen(
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strategy_files: list[Path],
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df: Any,
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cash: float,
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commission: float,
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combo_sizes: tuple[int, ...],
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combo_mode: str,
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) -> None:
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"""运行多因子组合回测并输出排名。"""
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import importlib.util
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from easy_tdx.backtest.combo import CombinationRunner
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from easy_tdx.backtest.strategy import Strategy
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# 加载所有策略类
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strategy_classes: list[type[Strategy]] = []
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for sf in strategy_files:
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spec = importlib.util.spec_from_file_location("strategy_module", sf)
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if spec is None or spec.loader is None:
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continue
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module = importlib.util.module_from_spec(spec)
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spec.loader.exec_module(module)
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for attr_name in dir(module):
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obj = getattr(module, attr_name)
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try:
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if isinstance(obj, type) and issubclass(obj, Strategy) and obj is not Strategy:
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strategy_classes.append(obj)
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break
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except TypeError:
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pass
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if len(strategy_classes) < 2:
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click.echo("[!] 策略数量不足 2 个，跳过组合回测")
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return
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from math import comb
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for size in combo_sizes:
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total = comb(len(strategy_classes), size)
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click.echo("\n" + "=" * 80)
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click.echo(f"[*] {size}因子组合回测 (共{total}组, 模式={combo_mode})")
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click.echo("=" * 80)
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runner = CombinationRunner(
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strategy_classes=strategy_classes,
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df=df,
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cash=cash,
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commission=commission,
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)
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results = runner.screen(combo_sizes=(size,), mode=combo_mode.upper())
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if not results:
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click.echo(" 无有效交易组合（所有组合均为零交易）")
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continue
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# 表头
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click.echo(
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f"{'排名':>4} {'因子组合':<50} {'总收益率':>10} {'年化收益':>10} "
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f"{'最大回撤':>10} {'夏普':>8} {'胜率':>8} {'交易':>6}"
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)
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click.echo("-" * 120)
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for i, r in enumerate(results[:20], 1): # 只显示 top 20
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medal = " *1*" if i == 1 else " *2*" if i == 2 else " *3*" if i == 3 else " "
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perf = r.result.performance
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click.echo(
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f"{medal}{i:>2} {r.name:<50} "
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f"{perf.get('total_return', 0):>9.2%} "
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f"{perf.get('annual_return', 0):>9.2%} "
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f"{perf.get('max_drawdown', 0):>9.2%} "
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f"{perf.get('sharpe', 0):>8.2f} "
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f"{perf.get('win_rate', 0):>7.1%} "
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f"{perf.get('total_trades', 0):>6}"
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)
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if len(results) > 20:
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click.echo(f" ... 共 {len(results)} 个有效组合，仅显示前 20")
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# 最佳组合详细报告
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best = results[0]
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bp = best.result.performance
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click.echo(f"\n[BEST {size}因子] {best.name}")
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click.echo(f" 总收益率: {bp.get('total_return', 0):.2%}")
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click.echo(f" 年化收益: {bp.get('annual_return', 0):.2%}")
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click.echo(f" 最大回撤: {bp.get('max_drawdown', 0):.2%}")
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click.echo(f" 夏普比率: {bp.get('sharpe', 0):.2f}")
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click.echo(f" 胜率: {bp.get('win_rate', 0):.1%}")
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def _show_best_chart(
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df: Any,
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result: Any,
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strategy_name: str,
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stock_label: str,
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stock_name: str,
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initial_cash: float,
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) -> None:
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"""展示最佳策略资金曲线与股价归一化对比图。"""
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try:
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import matplotlib.pyplot as plt
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except ImportError:
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click.echo("[!] 需要 matplotlib 才能展示图表: pip install matplotlib")
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return
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_setup_chinese_font()
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equity = result.equity_curve
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if equity.empty:
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click.echo("[!] 最佳策略无资金曲线数据，跳过绘图")
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return
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fig, ax1 = plt.subplots(figsize=(14, 7))
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# 归一化股价（以第一天收盘价为基准）
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close_prices = df["close"].values
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norm_price = close_prices / close_prices[0]
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dates = df["datetime"] if "datetime" in df.columns else df.index
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ax1.plot(dates, norm_price, color="steelblue", linewidth=1.2, label="股价 (归一化)")
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ax1.set_ylabel("股价归一化", color="steelblue", fontsize=11)
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ax1.tick_params(axis="y", labelcolor="steelblue")
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# 归一化资金曲线（以初始资金为基准）
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eq_dates = equity["datetime"]
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eq_values = equity["total"].values / initial_cash
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ax2 = ax1.twinx()
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ax2.plot(eq_dates, eq_values, color="crimson", linewidth=1.5, label=f"策略: {strategy_name}")
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ax2.set_ylabel("资金曲线 (归一化)", color="crimson", fontsize=11)
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ax2.tick_params(axis="y", labelcolor="crimson")
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# 标记买卖点
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trades = result.trades
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if not trades.empty:
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buy_trades = trades[trades["direction"] == "BUY"]
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sell_trades = trades[trades["direction"] == "SELL"]
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if not buy_trades.empty:
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ax2.scatter(
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buy_trades["datetime"].values,
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_map_trade_values(buy_trades, equity, initial_cash),
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marker="^",
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color="green",
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s=30,
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alpha=0.7,
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zorder=5,
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label="买入",
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)
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if not sell_trades.empty:
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ax2.scatter(
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sell_trades["datetime"].values,
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_map_trade_values(sell_trades, equity, initial_cash),
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marker="v",
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color="orange",
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s=30,
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alpha=0.7,
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zorder=5,
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label="卖出",
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)
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# 标题：股票代码 + 名称 + 策略绩效
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title = f"{stock_label}"
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if stock_name:
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title += f" {stock_name}"
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perf = result.performance
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ret_str = f"{perf.get('total_return', 0):.1%}"
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dd_str = f"{perf.get('max_drawdown', 0):.1%}"
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sharpe_str = f"{perf.get('sharpe', 0):.2f}"
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title += f" | 最佳策略: {strategy_name} | 收益 {ret_str} 回撤 {dd_str} 夏普 {sharpe_str}"
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ax1.set_title(title, fontsize=12, pad=15)
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ax1.set_xlabel("日期", fontsize=11)
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# 合并两个轴的图例
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lines1, labels1 = ax1.get_legend_handles_labels()
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lines2, labels2 = ax2.get_legend_handles_labels()
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ax1.legend(lines1 + lines2, labels1 + labels2, loc="upper left", fontsize=9)
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fig.autofmt_xdate()
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plt.tight_layout()
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click.echo("\n正在显示图表，关闭窗口后继续...")
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plt.show()
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@click.command()
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@click.argument("market")
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@click.argument("code")
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@click.option("--count", default=2000, type=int, help="K线数量")
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@click.option("--cash", default=1000000.0, type=float, help="初始资金")
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@click.option("--commission", default=0.0003, type=float, help="佣金率")
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@click.option("--adjust", default="QFQ", help="复权: NONE/QFQ/HFQ")
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@click.option("--period", default="DAILY", help="K线周期")
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@click.option(
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"--combo",
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"combo_sizes",
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multiple=True,
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type=int,
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help="多因子组合回测（可多次指定，如 --combo 2 --combo 3）",
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)
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@click.option(
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"--combo-mode",
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"combo_mode",
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default="MAJORITY",
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type=click.Choice(["AND", "OR", "MAJORITY"], case_sensitive=False),
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help="多因子信号合并模式（默认 MAJORITY）",
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)
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@click.option("--show", "show_chart", is_flag=True, help="显示最佳策略资金曲线 vs 股价对比图")
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def run_all(
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market: str,
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code: str,
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count: int,
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cash: float,
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commission: float,
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adjust: str,
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period: str,
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combo_sizes: tuple[int, ...],
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combo_mode: str,
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show_chart: bool,
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) -> None:
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"""批量运行 strategies/ 目录下所有策略并比较结果。"""
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from easy_tdx.backtest.engine import BacktestEngine
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from easy_tdx.backtest.strategy import Strategy
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from easy_tdx.cli.parsers import parse_adjust, parse_market, parse_period
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from easy_tdx.mac.client import MacClient
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# 1. 发现策略文件
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strategies_dir = Path(__file__).parent / "strategies"
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strategy_files = sorted(strategies_dir.glob("*.py"))
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if not strategy_files:
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click.echo("未找到策略文件 (strategies/*.py)", err=True)
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raise SystemExit(1)
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click.echo(f"发现 {len(strategy_files)} 个策略文件")
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click.echo(f"标的: {market} {code} | K线: {count} | 资金: {cash:,.0f} | 复权: {adjust}")
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click.echo("=" * 80)
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# 2. 获取数据（所有策略共享同一份数据）
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mkt = parse_market(market)
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click.echo("正在获取行情数据...")
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client = MacClient.from_best_host()
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client.connect()
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stock_name = ""
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try:
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df = client.get_stock_kline(
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mkt,
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code,
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period=parse_period(period),
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start=0,
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count=count,
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adjust=parse_adjust(adjust),
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)
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# 获取股票名称
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if show_chart:
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try:
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quotes_df = client.get_stock_quotes([(mkt, code)])
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if not quotes_df.empty and "name" in quotes_df.columns:
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stock_name = str(quotes_df.iloc[0]["name"])
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except Exception:
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pass
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finally:
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client.close()
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click.echo(f"获取到 {len(df)} 条K线数据")
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click.echo("=" * 80)
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# 3. 逐个运行策略
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results: list[dict] = []
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backtest_results: dict[str, Any] = {} # strategy_name -> BacktestResult
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for sf in strategy_files:
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strategy_name = sf.stem
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click.echo(f"\n>> 运行策略: {strategy_name} ...", nl=False)
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# 加载策略类
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import importlib.util
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spec = importlib.util.spec_from_file_location("strategy_module", sf)
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if spec is None or spec.loader is None:
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click.echo(" [加载失败]")
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continue
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module = importlib.util.module_from_spec(spec)
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spec.loader.exec_module(module)
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# 查找 Strategy 子类
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strategy_cls = None
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for attr_name in dir(module):
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obj = getattr(module, attr_name)
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try:
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if isinstance(obj, type) and issubclass(obj, Strategy) and obj is not Strategy:
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strategy_cls = obj
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break
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except TypeError:
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pass
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if strategy_cls is None:
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click.echo(" [未找到 Strategy 子类]")
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continue
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# 运行回测
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t0 = time.perf_counter()
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try:
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engine = BacktestEngine(
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strategy=strategy_cls,
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cash=cash,
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commission=commission,
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)
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result = engine.run(df)
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elapsed = time.perf_counter() - t0
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perf = result.performance
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click.echo(f" 完成 ({elapsed:.1f}s)")
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results.append(
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{
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"strategy": strategy_name,
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"total_return": perf.get("total_return", 0),
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"annual_return": perf.get("annual_return", 0),
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"max_drawdown": perf.get("max_drawdown", 0),
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"sharpe": perf.get("sharpe", 0),
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"sortino": perf.get("sortino", 0),
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"calmar": perf.get("calmar", 0),
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"win_rate": perf.get("win_rate", 0),
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"total_trades": perf.get("total_trades", 0),
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"profit_factor": perf.get("profit_factor", 0),
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"volatility": perf.get("volatility", 0),
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}
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)
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backtest_results[strategy_name] = result
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except Exception as e:
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elapsed = time.perf_counter() - t0
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click.echo(f" 错误 ({elapsed:.1f}s): {e}")
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results.append(
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{
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"strategy": strategy_name,
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"error": str(e),
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}
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)
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# 4. 输出排名
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click.echo("\n" + "=" * 80)
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click.echo("[*] 策略绩效排名 (按总收益率降序)")
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click.echo("=" * 80)
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# 过滤掉有错误的策略
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valid = [r for r in results if "error" not in r]
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errored = [r for r in results if "error" in r]
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if not valid:
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click.echo("所有策略均运行失败！")
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for r in errored:
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click.echo(f" {r['strategy']}: {r['error']}")
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raise SystemExit(1)
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# 按总收益率排序
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valid.sort(key=lambda x: x["total_return"], reverse=True)
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# 表头
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click.echo(
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f"{'排名':>4} {'策略':<22} {'总收益率':>10} {'年化收益':>10} "
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f"{'最大回撤':>10} {'夏普':>8} {'胜率':>8} {'交易次数':>8} {'盈亏比':>8}"
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)
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click.echo("-" * 100)
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for i, r in enumerate(valid, 1):
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medal = " *1*" if i == 1 else " *2*" if i == 2 else " *3*" if i == 3 else " "
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click.echo(
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f"{medal}{i:>2} {r['strategy']:<22} "
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f"{r['total_return']:>9.2%} "
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f"{r['annual_return']:>9.2%} "
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f"{r['max_drawdown']:>9.2%} "
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f"{r['sharpe']:>8.2f} "
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f"{r['win_rate']:>7.1%} "
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f"{r['total_trades']:>8} "
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f"{r['profit_factor']:>8.2f}"
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)
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# 最佳策略详细报告
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best = valid[0]
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click.echo("\n" + "=" * 80)
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click.echo(f"[BEST] 最佳策略: {best['strategy']}")
|
||
click.echo("=" * 80)
|
||
click.echo(f" 总收益率: {best['total_return']:.2%}")
|
||
click.echo(f" 年化收益: {best['annual_return']:.2%}")
|
||
click.echo(f" 最大回撤: {best['max_drawdown']:.2%}")
|
||
click.echo(f" 夏普比率: {best['sharpe']:.2f}")
|
||
click.echo(f" 索提诺: {best['sortino']:.2f}")
|
||
click.echo(f" 卡玛比率: {best['calmar']:.2f}")
|
||
click.echo(f" 胜率: {best['win_rate']:.1%}")
|
||
click.echo(f" 交易次数: {best['total_trades']}")
|
||
click.echo(f" 盈亏比: {best['profit_factor']:.2f}")
|
||
click.echo(f" 年化波动: {best['volatility']:.4f}")
|
||
|
||
# 综合评分（综合夏普、收益率、回撤）
|
||
click.echo("\n" + "=" * 80)
|
||
click.echo("[*] 综合评分排名 (Sharpe*0.4 + Ret/DD*0.3 + WinRate*0.3)")
|
||
click.echo("=" * 80)
|
||
|
||
scored = []
|
||
for r in valid:
|
||
# 避免除以零
|
||
ret_dd_ratio = r["annual_return"] / r["max_drawdown"] if r["max_drawdown"] > 1e-6 else 999.0
|
||
score = r["sharpe"] * 0.4 + ret_dd_ratio * 0.3 + r["win_rate"] * 100 * 0.3
|
||
scored.append((r, score))
|
||
|
||
scored.sort(key=lambda x: x[1], reverse=True)
|
||
|
||
click.echo(
|
||
f"{'排名':>4} {'策略':<22} {'综合评分':>10} {'夏普':>8} {'收益/回撤':>10} {'胜率':>8}"
|
||
)
|
||
click.echo("-" * 70)
|
||
for i, (r, score) in enumerate(scored, 1):
|
||
ret_dd_ratio = r["annual_return"] / r["max_drawdown"] if r["max_drawdown"] > 1e-6 else 999.0
|
||
medal = " *1*" if i == 1 else " *2*" if i == 2 else " *3*" if i == 3 else " "
|
||
click.echo(
|
||
f"{medal}{i:>2} {r['strategy']:<22} {score:>10.2f} "
|
||
f"{r['sharpe']:>8.2f} {ret_dd_ratio:>10.2f} {r['win_rate']:>7.1%}"
|
||
)
|
||
|
||
# 最佳策略完整交易明细
|
||
best_name = valid[0]["strategy"]
|
||
if best_name in backtest_results:
|
||
bt = backtest_results[best_name]
|
||
bp = bt.performance
|
||
bc = bt.config
|
||
|
||
click.echo("\n" + "=" * 80)
|
||
click.echo(f"[DETAIL] 最佳策略交易明细: {best_name}")
|
||
click.echo("=" * 80)
|
||
|
||
click.echo("=== 回测绩效概要 ===")
|
||
click.echo(f"总收益率: {bp.get('total_return', 0):.2%}")
|
||
click.echo(f"年化收益: {bp.get('annual_return', 0):.2%}")
|
||
click.echo(f"最大回撤: {bp.get('max_drawdown', 0):.2%}")
|
||
click.echo(f"夏普比率: {bp.get('sharpe', 0):.2f}")
|
||
click.echo(f"胜率: {bp.get('win_rate', 0):.2%}")
|
||
click.echo(f"交易次数: {bp.get('total_trades', 0)}")
|
||
click.echo()
|
||
click.echo("=== 配置参数 ===")
|
||
click.echo(f"初始资金: {bc.get('cash', 0):.2f}")
|
||
click.echo(f"佣金率: {bc.get('commission', 0):.4f}")
|
||
click.echo(f"成交规则: {bc.get('execution', 'next_open')}")
|
||
click.echo()
|
||
|
||
if not bt.trades.empty:
|
||
click.echo("=== 最近交易记录 ===")
|
||
recent_trades = bt.trades.tail(10)
|
||
for _, trade in recent_trades.iterrows():
|
||
direction = "买入" if trade["direction"] == "BUY" else "卖出"
|
||
status = "拒绝" if trade["rejected"] else "成交"
|
||
click.echo(
|
||
f" [{trade['datetime']}] {direction} "
|
||
f"数量={trade['size']:.0f} 价格={trade['price']:.2f} "
|
||
f"盈亏={trade['pnl']:.2f} [{status}]"
|
||
)
|
||
else:
|
||
click.echo("无交易记录")
|
||
|
||
# 报告错误
|
||
if errored:
|
||
click.echo("\n[!] 以下策略运行失败:")
|
||
for r in errored:
|
||
click.echo(f" {r['strategy']}: {r['error']}")
|
||
|
||
# 5. 多因子组合回测
|
||
if combo_sizes:
|
||
_run_combo_screen(
|
||
strategy_files=strategy_files,
|
||
df=df,
|
||
cash=cash,
|
||
commission=commission,
|
||
combo_sizes=combo_sizes,
|
||
combo_mode=combo_mode,
|
||
)
|
||
|
||
# 6. 展示最佳策略曲线图
|
||
if show_chart and valid:
|
||
best_name = valid[0]["strategy"]
|
||
if best_name in backtest_results:
|
||
_show_best_chart(
|
||
df=df,
|
||
result=backtest_results[best_name],
|
||
strategy_name=best_name,
|
||
stock_label=f"{market}{code}",
|
||
stock_name=stock_name,
|
||
initial_cash=cash,
|
||
)
|
||
|
||
|
||
if __name__ == "__main__":
|
||
run_all()
|