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awayingsandClaude
990b4a7802
- backtest_usage（742→485）：CLI 章移交 cli-backtest.md，示例/注意事项 抽至 backtest-examples.md，重建目录 - quantitative-guide（628→325）：第 5-7 章（滑点/执行仿真/归因/工作流） 抽至 quantitative-advanced.md 并重编号 - api_reference（704→478）：删除过期版本横幅（1.16.2）与快速开始教程段； 数据模型/枚举与 field_mapping.md 逐表核对后去重（field_mapping 为唯一权威）； WebSocket 节随 web-api.md 合并移除 - field_mapping：吸收 MAC 协议枚举（Period/Adjust/Category/BoardType/ SortType/ExMarket），全部文档回到 ≤500 行 Co-Authored-By: Claude <noreply@anthropic.com>
154 lines
4.8 KiB
Markdown
154 lines
4.8 KiB
Markdown
# 回测完整示例集
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本文件汇集回测引擎的完整可运行示例与注意事项，配合 [backtest_usage.md](./backtest_usage.md)（手册）与 [cli-backtest.md](./cli-backtest.md)（CLI 参考）使用。
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## 完整示例
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### 示例 1：双均线交叉策略
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```python
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"""双均线交叉策略：MA5 上穿 MA20 买入，下穿卖出。"""
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import pandas as pd
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from easy_tdx.backtest import BacktestEngine, Strategy, crossover
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from easy_tdx import MyTT
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class DualMACross(Strategy):
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def init(self):
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self.ma5 = self.I(MyTT.MA, self.data.close, 5)
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self.ma20 = self.I(MyTT.MA, self.data.close, 20)
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self.golden = crossover(self.ma5, self.ma20)
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self.death = crossover(self.ma20, self.ma5)
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def next(self):
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if self.golden[self._bar_index] and self.position["size"] == 0:
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self.buy(size=0)
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elif self.death[self._bar_index] and self.position["size"] > 0:
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self.sell(size=0)
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# 构造模拟数据（实际使用 TdxClient 获取）
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dates = pd.date_range("2024-01-01", periods=200, freq="D")
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import numpy as np
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rng = np.random.default_rng(42)
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close = 10.0 + np.cumsum(rng.normal(0, 0.2, 200))
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df = pd.DataFrame({
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"datetime": dates,
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"open": close + rng.uniform(-0.1, 0.1, 200),
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"close": close,
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"high": close + rng.uniform(0, 0.3, 200),
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"low": close - rng.uniform(0, 0.3, 200),
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"vol": rng.integers(10000, 100000, 200),
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})
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engine = BacktestEngine(DualMACross, cash=100000, commission=0.0003)
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result = engine.run(df)
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result.summary()
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print(f"\n年化收益: {result.performance['annual_return']:.2%}")
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print(f"夏普比率: {result.performance['sharpe']:.2f}")
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```
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### 示例 2：MACD 策略 + 预计算指标
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```python
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"""MACD 策略：DIF 上穿 DEA 买入，下穿卖出。"""
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from easy_tdx.backtest import BacktestEngine, Strategy, crossover
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from easy_tdx import MyTT
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class MACDStrategy(Strategy):
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def init(self):
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dif, dea, macd_hist = self.I(MyTT.MACD, self.data.close)
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self.dif = dif
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self.dea = dea
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self.golden = crossover(dif, dea)
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self.death = crossover(dea, dif)
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def next(self):
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if self.golden[self._bar_index] and self.position["size"] == 0:
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self.buy(size=0)
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elif self.death[self._bar_index] and self.position["size"] > 0:
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self.sell(size=0)
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engine = BacktestEngine(MACDStrategy, cash=100000)
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result = engine.run(df) # df 包含 OHLCV 数据
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```
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### 示例 3：布林带突破 + 滑点模拟
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```python
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"""布林带策略：跌破下轨买入，突破上轨卖出，模拟滑点。"""
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from easy_tdx.backtest import BacktestEngine, Strategy
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from easy_tdx import MyTT
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class BollingerBreakout(Strategy):
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def init(self):
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upper, mid, lower = self.I(MyTT.BOLL, self.data.close, 20)
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self.upper = upper
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self.lower = lower
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def next(self):
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cur = self.data.close[0]
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if cur <= self.lower[self._bar_index] and self.position["size"] == 0:
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self.buy(size=0)
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elif cur >= self.upper[self._bar_index] and self.position["size"] > 0:
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self.sell(size=0)
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# 模拟滑点和保守成交价
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engine = BacktestEngine(
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BollingerBreakout,
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cash=100000,
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slippage=0.02, # 每股 2 分钱滑点
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execution="worst", # 保守成交价
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reject_policy="skip", # 资金不足直接跳过
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)
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result = engine.run(df)
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```
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### 示例 4：从文件运行 CLI
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```python
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# save as rsi_strategy.py
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from easy_tdx.backtest import Strategy
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from easy_tdx import MyTT
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class RSIStrategy(Strategy):
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"""RSI 超卖超买策略。"""
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def init(self):
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self.rsi = self.I(MyTT.RSI, self.data.close, 14)
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def next(self):
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cur_rsi = self.rsi[self._bar_index]
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if cur_rsi < 30 and self.position["size"] == 0:
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self.buy(size=0)
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elif cur_rsi > 70 and self.position["size"] > 0:
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self.sell(size=0)
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```
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```bash
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easy-tdx backtest SZ 000001 \
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--strategy-file rsi_strategy.py \
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--cash 200000 \
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--execution next_open \
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--count 1000 \
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--adjust QFQ \
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--table
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```
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---
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## 注意事项
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1. **DataFrame 格式要求**：必须包含 `datetime`, `open`, `close`, `high`, `low` 列。`vol`/`amount` 为可选但推荐。
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2. **成交时机**：默认 `next_open` 模式下，信号产生后需等待下一根 K 线才能成交。如果信号在最后一根 K 线产生，则无法成交。
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3. **整手交易**：A 股按 100 股整手交易。全仓模式会自动向下取整到 100 的倍数。
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4. **做空限制**：v1 不支持做空，卖出数量不能超过当前持仓。
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5. **未来函数警告**：使用 `this_close` 模式时，结果中的 `config.future_leak_warning` 会标记为 `True`。
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6. **多笔同 bar 交易**：引擎支持同一根 K 线上产生多笔交易（如分批建仓），按顺序依次撮合。
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