feat(backtest): 风控新增固定止盈 + 优化回测范围

风控: MatcherConfig 增加 take_profit_pct, 单标的与组合引擎风险检查新增涨破止盈线卖出逻辑 (退出原因 take_profit);strategy.py 透传 overrides, api/strategy.py 与前端类型暴露 take_profit;风控 tab 增加止盈输入框, 摘要/结果头/退出标签同步展示;修复未设止损时止盈检查被跳过的 bug。回测范围: StockPoolPicker 输入框右侧增加「导入自选」「清空」按钮与「当前范围」指示器, 移除冗余的「留空=全市场」提示。
2026-09-12 17:54:15 +08:00 · 2026-06-29 17:17:20 +08:00
parent cd76796a5c
commit 9dbd32246c
5 changed files with 170 additions and 51 deletions
@@ -84,6 +84,7 @@ def _strategy_detail(s: StrategyDef, overrides: dict | None = None) -> dict:
        "entry_signals": s.entry_signals,
        "exit_signals": s.exit_signals,
        "stop_loss": overrides.get("stop_loss", s.stop_loss) if overrides else s.stop_loss,
+        "take_profit": getattr(s, "take_profit", None),
        "trailing_stop": getattr(s, "trailing_stop", None),
        "trailing_take_profit_activate": getattr(s, "trailing_take_profit_activate", None),
        "trailing_take_profit_drawdown": getattr(s, "trailing_take_profit_drawdown", None),
@@ -37,6 +37,7 @@ class MatcherConfig:
    fees_pct: float = 0.0002
    slippage_bps: float = 5.0
    stop_loss_pct: float | None = None
+    take_profit_pct: float | None = None
    trailing_stop_pct: float | None = None
    trailing_take_profit_activate_pct: float | None = None
    trailing_take_profit_drawdown_pct: float | None = None
@@ -65,7 +66,7 @@ class TradeRecord:
    exit_price: float
    pnl_pct: float
    duration: int
-    exit_reason: str  # "signal" | "stop_loss" | "trailing_stop" | "trailing_take_profit" | "max_hold" | "end"
+    exit_reason: str  # "signal" | "stop_loss" | "take_profit" | "trailing_stop" | "trailing_take_profit" | "max_hold" | "end"
    # 退出优先级 (高→低): pending_exit(历史挂单) > 风控(止损/移动止损/移动止盈) > signal(卖点) > max_hold(到期) > end
    name: str = ""
    shares: float = 0.0
@@ -544,6 +545,7 @@ class BacktestEngine:
                return None, None
            open_price = float(open_prices[idx])
            low_price = float(low_prices[idx])
+            high_price = float(high_prices[idx])
            peak_price = float(pos.get("max_high", entry_price))
            risk_lines: list[tuple[float, str]] = []

@@ -560,13 +562,24 @@ class BacktestEngine:
                    risk_lines.append((entry_price * (1 + peak_profit - abs(float(drawdown_pct))), "trailing_take_profit"))

            risk_lines = [(line, reason) for line, reason in risk_lines if _valid_price(line)]
-            if not risk_lines:
-                return None, None
-            stop_price, reason = max(risk_lines, key=lambda item: item[0])
-            if _valid_price(open_price) and open_price <= stop_price:
-                return reason, open_price
-            if _valid_price(low_price) and low_price <= stop_price:
-                return reason, stop_price
+            # 止损/移损/回撤止盈: 价格跌破风控线触发 (取最高优先级线)
+            if risk_lines:
+                stop_price, reason = max(risk_lines, key=lambda item: item[0])
+                if _valid_price(open_price) and open_price <= stop_price:
+                    return reason, open_price
+                if _valid_price(low_price) and low_price <= stop_price:
+                    return reason, stop_price
+
+            # 固定止盈: 价格涨破止盈线触发
+            tp_pct = getattr(config, "take_profit_pct", None)
+            if tp_pct is not None:
+                tp_line = entry_price * (1 + abs(float(tp_pct)))
+                if _valid_price(tp_line):
+                    # 开盘即超过止盈线 → 以开盘价成交; 否则当日触及高点止盈
+                    if _valid_price(open_price) and open_price >= tp_line:
+                        return "take_profit", open_price
+                    if _valid_price(high_price) and high_price >= tp_line:
+                        return "take_profit", tp_line
            return None, None

        def _try_close(pos: dict, idx: int, reason: str, signal_date: str, exit_price_override: float | None = None) -> bool:
@@ -993,6 +1006,7 @@ class BacktestEngine:
                    continue
                open_price = float(open_prices[idx])
                low_price = float(low_prices[idx])
+                high_price = float(high_prices[idx])
                entry_price = float(pos["entry_price"])
                peak_price = float(pos.get("max_high", entry_price))
                risk_lines: list[tuple[float, str]] = []
@@ -1011,17 +1025,28 @@ class BacktestEngine:
                        take_profit_line = entry_price * (1 + peak_profit - abs(float(drawdown_pct)))
                        risk_lines.append((take_profit_line, "trailing_take_profit"))

+                # 止损/移损/回撤止盈: 价格跌破风控线触发
                risk_lines = [(line, reason) for line, reason in risk_lines if _valid_price(line)]
-                if not risk_lines:
-                    continue
-                stop_price, reason = max(risk_lines, key=lambda item: item[0])
-                exit_price_override = None
-                if _valid_price(open_price) and open_price <= stop_price:
-                    exit_price_override = open_price
-                elif _valid_price(low_price) and low_price <= stop_price:
-                    exit_price_override = stop_price
-                if exit_price_override is not None:
-                    _try_sell(sym, idx, reason, d_str, sold_today, exit_price_override)
+                if risk_lines:
+                    stop_price, reason = max(risk_lines, key=lambda item: item[0])
+                    exit_price_override = None
+                    if _valid_price(open_price) and open_price <= stop_price:
+                        exit_price_override = open_price
+                    elif _valid_price(low_price) and low_price <= stop_price:
+                        exit_price_override = stop_price
+                    if exit_price_override is not None:
+                        _try_sell(sym, idx, reason, d_str, sold_today, exit_price_override)
+                        continue
+
+                # 固定止盈: 价格涨破止盈线触发
+                tp_pct = getattr(config, "take_profit_pct", None)
+                if tp_pct is not None:
+                    tp_line = entry_price * (1 + abs(float(tp_pct)))
+                    if _valid_price(tp_line):
+                        if _valid_price(open_price) and open_price >= tp_line:
+                            _try_sell(sym, idx, "take_profit", d_str, sold_today, open_price)
+                        elif _valid_price(high_price) and high_price >= tp_line:
+                            _try_sell(sym, idx, "take_profit", d_str, sold_today, tp_line)

        def _process_entries(
            d_str: str,
@@ -103,6 +103,11 @@ class StrategyBacktestService:
        entry_signals = self._effective_signals(overrides, "entry_signals", s.entry_signals)
        exit_signals = self._effective_signals(overrides, "exit_signals", s.exit_signals)
        stop_loss = self._override_value(overrides, "stop_loss", s.stop_loss)
+        take_profit = self._normalize_pct(
+            self._override_value(overrides, "take_profit", getattr(s, "take_profit", None)),
+            0.01,
+            5.0,
+        )
        trailing_stop = self._normalize_pct(
            self._override_value(overrides, "trailing_stop", getattr(s, "trailing_stop", None)),
            0.005,
@@ -195,6 +200,7 @@ class StrategyBacktestService:
            fees_pct=config.fees_pct,
            slippage_bps=config.slippage_bps,
            stop_loss_pct=stop_loss,
+            take_profit_pct=take_profit,
            trailing_stop_pct=trailing_stop,
            trailing_take_profit_activate_pct=trailing_take_profit_activate,
            trailing_take_profit_drawdown_pct=trailing_take_profit_drawdown,
@@ -246,6 +252,7 @@ class StrategyBacktestService:
            "entry_signals": entry_signals,
            "exit_signals": exit_signals,
            "stop_loss": stop_loss,
+            "take_profit": take_profit,
            "trailing_stop": trailing_stop,
            "trailing_take_profit_activate": trailing_take_profit_activate,
            "trailing_take_profit_drawdown": trailing_take_profit_drawdown,
@@ -357,6 +357,7 @@ export interface StrategyDetail {
  entry_signals: string[]
  exit_signals: string[]
  stop_loss: number | null
+  take_profit: number | null
  trailing_stop: number | null
  trailing_take_profit_activate: number | null
  trailing_take_profit_drawdown: number | null
@@ -442,6 +443,8 @@ export interface AlertEvent {
  signals?: string[]
  severity?: string
  strategy_id?: string
+  conditions?: MonitorCondition[]
+  logic?: 'and' | 'or'
 }

 /** 生成监控规则 id (时间戳 + 随机后缀), 用户无需手动填写。 */
@@ -583,6 +586,7 @@ export interface StrategyBacktestResult {
    entry_signals: string[]
    exit_signals: string[]
    stop_loss: number | null
+    take_profit: number | null
    trailing_stop: number | null
    trailing_take_profit_activate: number | null
    trailing_take_profit_drawdown: number | null
@@ -682,6 +686,9 @@ export interface Preferences {
  strategy_monitor_enabled: boolean
  strategy_monitor_ids: string[]
  system_notify_enabled: boolean
+  feishu_webhook_url?: string
+  feishu_webhook_secret?: string
+  webhook_enabled_default?: boolean
  sidebar_index_symbols: string[]
  nav_order: string[]
  nav_hidden: string[]
@@ -838,6 +845,16 @@ export const api = {
      method: 'PUT',
      body: JSON.stringify({ enabled }),
    }),
+  updateFeishuWebhook: (url: string, secret: string = '') =>
+    request<{ feishu_webhook_url: string; feishu_webhook_secret: string }>('/api/settings/preferences/feishu-webhook', {
+      method: 'PUT',
+      body: JSON.stringify({ url, secret }),
+    }),
+  updateWebhookDefault: (enabled: boolean) =>
+    request<{ webhook_enabled_default: boolean }>('/api/settings/preferences/webhook-enabled-default', {
+      method: 'PUT',
+      body: JSON.stringify({ enabled }),
+    }),
  updatePipelineSchedule: (hour: number, minute: number) =>
    request<{ hour: number; minute: number }>('/api/settings/preferences/pipeline-schedule', {
      method: 'PUT',
@@ -1,7 +1,7 @@
 import { useState, useMemo, useEffect, useRef, type ReactNode } from 'react'
 import { useQuery } from '@tanstack/react-query'
 import { motion } from 'framer-motion'
-import { Play, FlaskConical, Clock, Loader2, Square, Search, Plus, X, SlidersHorizontal, BarChart3, Gauge, Zap } from 'lucide-react'
+import { Play, FlaskConical, Clock, Loader2, Square, Search, Plus, X, SlidersHorizontal, BarChart3, Gauge, Zap, ListPlus } from 'lucide-react'
 import {
  api,
  type StrategyBacktestResult,
@@ -154,6 +154,7 @@ const buildDefaultOverrides = (detail: StrategyDetail) => ({
  exit_signals: detail.exit_signals.map(toSignalId),
  scoring: { ...detail.scoring },
  stop_loss: detail.stop_loss,
+  take_profit: detail.take_profit,
  trailing_stop: detail.trailing_stop,
  trailing_take_profit_activate: detail.trailing_take_profit_activate,
  trailing_take_profit_drawdown: detail.trailing_take_profit_drawdown,
@@ -192,6 +193,7 @@ function ExitReasonBadge({ reason }: { reason: string }) {
  const config: Record<string, { label: string; cls: string }> = {
    signal: { label: '信号', cls: 'bg-accent/10 text-accent border-accent/30' },
    stop_loss: { label: '止损', cls: 'bg-red-500/10 text-red-400 border-red-500/30' },
+    take_profit: { label: '止盈', cls: 'bg-emerald-500/10 text-emerald-400 border-emerald-500/30' },
    trailing_stop: { label: '移损', cls: 'bg-orange-500/10 text-orange-400 border-orange-500/30' },
    trailing_take_profit: { label: '回撤止盈', cls: 'bg-emerald-500/10 text-emerald-400 border-emerald-500/30' },
    max_hold: { label: '超期', cls: 'bg-amber-400/10 text-amber-400 border-amber-400/30' },
@@ -517,6 +519,12 @@ function StockPoolPicker({ value, onChange }: { value: string; onChange: (value:
    staleTime: 30_000,
  })
  const results = search.data?.results ?? []
+  // 自选列表 — 供「从自选导入」一键填入回测范围
+  const watchlist = useQuery({
+    queryKey: QK.watchlist,
+    queryFn: () => api.watchlistList(),
+    staleTime: 30_000,
+  })

  useEffect(() => {
    if (results.length === 0) return
@@ -545,43 +553,84 @@ function StockPoolPicker({ value, onChange }: { value: string; onChange: (value:
    setOpen(false)
  }
  const removeSymbol = (symbol: string) => setSymbols(symbols.filter(s => s !== symbol))
+  // 一键导入自选: 合并去重, 顺带回填股票名
+  const importFromWatchlist = () => {
+    const entries = watchlist.data?.symbols ?? []
+    if (entries.length === 0) return
+    setSymbolNames(prev => {
+      const next = { ...prev }
+      entries.forEach(e => { if (e.name) next[e.symbol] = e.name })
+      return next
+    })
+    setSymbols([...symbols, ...entries.map(e => e.symbol)])
+  }
+  const watchlistCount = watchlist.data?.symbols?.length ?? 0

  return (
    <div className="space-y-2" ref={ref}>
-      <div className="relative">
-        <Search className="pointer-events-none absolute left-2.5 top-1/2 h-3.5 w-3.5 -translate-y-1/2 text-muted" />
-        <input
-          type="text"
-          value={query}
-          onChange={e => { setQuery(e.target.value); setOpen(true) }}
-          onFocus={() => { if (query.trim()) setOpen(true) }}
-          placeholder="搜索股票名称/代码添加股票池"
-          className="w-full rounded-input border border-border bg-surface py-1.5 pl-8 pr-2.5 text-xs focus:border-accent focus:outline-none"
-        />
-        {open && results.length > 0 && (
-          <div className="absolute left-0 right-0 top-full z-50 mt-1 max-h-56 overflow-y-auto rounded-card border border-border bg-base shadow-xl">
-            {results.map(r => {
-              const added = symbols.includes(r.symbol)
-              return (
-                <button
-                  key={r.symbol}
-                  type="button"
-                  disabled={added}
-                  onClick={() => addSymbol(r.symbol, r.name)}
-                  className={`flex w-full items-center gap-2 px-3 py-2 text-left text-xs transition-colors ${added ? 'cursor-default text-muted' : 'text-foreground hover:bg-elevated'}`}
-                >
-                  <span className="w-[78px] shrink-0 font-mono">{r.symbol}</span>
-                  <span className="min-w-0 flex-1 truncate text-secondary">{r.name}</span>
-                  <Plus className={`h-3.5 w-3.5 ${added ? 'opacity-30' : 'text-accent'}`} />
-                </button>
-              )
-            })}
-          </div>
-        )}
+      <div className="flex items-center gap-2">
+        <div className="relative flex-1">
+          <Search className="pointer-events-none absolute left-2.5 top-1/2 h-3.5 w-3.5 -translate-y-1/2 text-muted" />
+          <input
+            type="text"
+            value={query}
+            onChange={e => { setQuery(e.target.value); setOpen(true) }}
+            onFocus={() => { if (query.trim()) setOpen(true) }}
+            placeholder="搜索股票名称/代码添加股票池"
+            className="w-full rounded-input border border-border bg-surface py-1.5 pl-8 pr-2.5 text-xs focus:border-accent focus:outline-none"
+          />
+          {open && results.length > 0 && (
+            <div className="absolute left-0 right-0 top-full z-50 mt-1 max-h-56 overflow-y-auto rounded-card border border-border bg-base shadow-xl">
+              {results.map(r => {
+                const added = symbols.includes(r.symbol)
+                return (
+                  <button
+                    key={r.symbol}
+                    type="button"
+                    disabled={added}
+                    onClick={() => addSymbol(r.symbol, r.name)}
+                    className={`flex w-full items-center gap-2 px-3 py-2 text-left text-xs transition-colors ${added ? 'cursor-default text-muted' : 'text-foreground hover:bg-elevated'}`}
+                  >
+                    <span className="w-[78px] shrink-0 font-mono">{r.symbol}</span>
+                    <span className="min-w-0 flex-1 truncate text-secondary">{r.name}</span>
+                    <Plus className={`h-3.5 w-3.5 ${added ? 'opacity-30' : 'text-accent'}`} />
+                  </button>
+                )
+              })}
+            </div>
+          )}
+        </div>
+        {/* 操作按钮 — 紧贴输入框右侧 */}
+        <div className="flex shrink-0 items-center gap-1.5">
+          {/* 当前范围 — 有范围显示个数, 无范围显示全市场 */}
+          <span className={`whitespace-nowrap text-[11px] font-medium ${symbols.length === 0 ? 'text-amber-400' : 'text-accent'}`}>
+            {symbols.length === 0 ? '全市场' : `共 ${symbols.length} 只`}
+          </span>
+          <button
+            type="button"
+            onClick={importFromWatchlist}
+            disabled={watchlist.isLoading || watchlistCount === 0}
+            className="inline-flex items-center gap-1 whitespace-nowrap rounded-input border border-border bg-surface px-2 py-1.5 text-[11px] text-secondary transition-colors hover:border-accent/50 hover:text-foreground disabled:cursor-not-allowed disabled:opacity-50"
+            title="把自选列表的个股加入回测范围"
+          >
+            <ListPlus className="h-3 w-3" />
+            {watchlist.isLoading ? '加载…' : watchlistCount === 0 ? '自选空' : `导入自选(${watchlistCount})`}
+          </button>
+          <button
+            type="button"
+            onClick={() => setSymbols([])}
+            disabled={symbols.length === 0}
+            className="inline-flex items-center gap-1 whitespace-nowrap rounded-input border border-border bg-surface px-2 py-1.5 text-[11px] text-secondary transition-colors hover:border-danger/50 hover:text-danger disabled:cursor-not-allowed disabled:opacity-50"
+            title="清空回测范围"
+          >
+            <X className="h-3 w-3" />
+            清空
+          </button>
+        </div>
      </div>
      <div className="flex flex-wrap gap-1.5">
        {symbols.length === 0 ? (
-          <span className="text-[11px] font-medium text-amber-400">留空 = 全市场，由基础过滤和策略条件筛选。</span>
+          <span className="text-[11px] text-muted">默认全市场回测，由基础过滤和策略条件筛选。</span>
        ) : symbols.map(symbol => {
          const name = symbolNames[symbol]
          return (
@@ -899,6 +948,7 @@ export function StrategyBacktest() {
  const scoreMinValue = overrides.score_min == null ? '' : String(overrides.score_min)
  const scoreMaxValue = overrides.score_max == null ? '' : String(overrides.score_max)
  const stopLossPct = overrides.stop_loss == null ? '' : String(Math.abs(Number(overrides.stop_loss)) * 100)
+  const takeProfitPct = overrides.take_profit == null ? '' : String(Math.abs(Number(overrides.take_profit)) * 100)
  const trailingStopPct = overrides.trailing_stop == null ? '' : String(Math.abs(Number(overrides.trailing_stop)) * 100)
  const trailingTakeProfitActivatePct = overrides.trailing_take_profit_activate == null ? '' : String(Math.abs(Number(overrides.trailing_take_profit_activate)) * 100)
  const trailingTakeProfitDrawdownPct = overrides.trailing_take_profit_drawdown == null ? '' : String(Math.abs(Number(overrides.trailing_take_profit_drawdown)) * 100)
@@ -942,6 +992,7 @@ export function StrategyBacktest() {
        `卖点 ${exitSignals.length}`,
        scoreFilterSummary,
        stopLossPct !== '' ? `止损 ${stopLossPct}%` : '止损未设',
+        takeProfitPct !== '' ? `止盈 ${takeProfitPct}%` : '止盈未设',
        trailingStopPct !== '' ? `移损 ${trailingStopPct}%` : '移损未设',
        trailingTakeProfitActivatePct !== '' && trailingTakeProfitDrawdownPct !== '' ? `回撤 ${trailingTakeProfitActivatePct}-${trailingTakeProfitDrawdownPct}点` : '回撤未设',
        maxHoldDaysValue !== '' ? `最长 ${maxHoldDaysValue}天` : '不限持仓',
@@ -1481,6 +1532,9 @@ export function StrategyBacktest() {
                {result.strategy_info.stop_loss != null && (
                  <span className="text-[10px] text-secondary">止损 {fmtPct(result.strategy_info.stop_loss)}</span>
                )}
+                {result.strategy_info.take_profit != null && (
+                  <span className="text-[10px] text-secondary">止盈 {fmtPct(result.strategy_info.take_profit)}</span>
+                )}
                {result.strategy_info.trailing_stop != null && (
                  <span className="text-[10px] text-secondary">移损 {fmtPct(result.strategy_info.trailing_stop)}</span>
                )}
@@ -1869,7 +1923,7 @@ export function StrategyBacktest() {
              </div>

              {settingsTab === 'range' && (
-                <ConfigSection title="回测范围" hint={<span className="font-medium text-amber-400">留空 = 全市场</span>}>
+                <ConfigSection title="回测范围">
                  <StockPoolPicker value={symbols} onChange={setSymbols} />
                  <div className="text-[11px] leading-5 text-muted">默认全市场回测，由基础过滤、策略条件和买卖触发器筛选；需要单票调试或自选池回测时再限定股票池。</div>
                </ConfigSection>
@@ -2091,6 +2145,21 @@ export function StrategyBacktest() {
                        className={INPUT_CLS}
                      />
                    </label>
+                    <label className="block">
+                      <span className="mb-1 block text-[11px] text-secondary">止盈(%)</span>
+                      <input
+                        type="number"
+                        value={takeProfitPct}
+                        min={1}
+                        max={500}
+                        step={0.5}
+                        onChange={e => {
+                          const n = numOrNull(e.target.value)
+                          updateOverride('take_profit', n == null ? null : clamp(Math.abs(n), 1, 500) / 100)
+                        }}
+                        className={INPUT_CLS}
+                      />
+                    </label>
                    <label className="block">
                      <span className="mb-1 block text-[11px] text-secondary">移动止损(%)</span>
                      <input