feat(engine): 添加策略示例集（18 个 Demo）
- backtest_demo.py: 回测基础演示 - strategy_simple.py / three_ema.py / long_short.py: 基础策略（双均线/三均线/多空） - strategy_optimize*.py (3 版本): 参数优化示例（网格搜索/贝叶斯/遗传算法） - multi_tf_*.py (4 版本): 多时间框架策略（EMA200/多周期共振/混合信号） - regime_*.py (4 版本): 市场状态检测（趋势/震荡/波动率区间/全状态） - cross_section.py: 截面多品种策略 - factor_demo.py: 多因子模型演示 - strategy_battle.py / strategy_more.py: 策略对比与组合 - full_cycle.py: 全流程演示（数据→回测→分析） - data.py: 数据读取示例
This commit is contained in:
Rekey
@@ -0,0 +1,152 @@
|
||||
"""
|
||||
全周期回测 — 2017-2026，覆盖完整牛熊
|
||||
|
||||
多空双向 EMA 趋势跟踪，展示牛市/熊市/全周期分段表现。
|
||||
|
||||
用法：
|
||||
source .venv/bin/activate && python example/full_cycle.py
|
||||
"""
|
||||
|
||||
import asyncio
|
||||
import sys
|
||||
from datetime import datetime, timezone
|
||||
from pathlib import Path
|
||||
from typing import Optional
|
||||
|
||||
_project_root = Path(__file__).resolve().parent.parent.parent
|
||||
if str(_project_root) not in sys.path:
|
||||
sys.path.insert(0, str(_project_root))
|
||||
|
||||
from engine.common.base import BaseStrategy, Signal, StrategyConfig
|
||||
from engine.common.models import Kline
|
||||
from engine.common.config import config
|
||||
from engine.backtest import BacktestConfig
|
||||
from engine.indicators import ema, atr
|
||||
from engine.example.long_short import LongShortEngine, LongShortEmaConfig, LongShortEmaStrategy
|
||||
|
||||
|
||||
# ════════════════════════════════════════════════════════
|
||||
|
||||
SYMBOLS = ["BTCUSDT", "ETHUSDT", "BNBUSDT", "SOLUSDT"]
|
||||
|
||||
PARAMS = {
|
||||
"BTCUSDT": (10, 50),
|
||||
"ETHUSDT": (10, 75),
|
||||
"BNBUSDT": (20, 50),
|
||||
"SOLUSDT": (30, 50),
|
||||
}
|
||||
|
||||
# 牛熊分段（以 BTC 为参考）
|
||||
PERIODS = [
|
||||
("2017-2018 牛市", datetime(2017, 1, 1), datetime(2018, 1, 1)),
|
||||
("2018 熊市", datetime(2018, 1, 1), datetime(2019, 1, 1)),
|
||||
("2019 反弹", datetime(2019, 1, 1), datetime(2020, 1, 1)),
|
||||
("2020 牛初+312", datetime(2020, 1, 1), datetime(2021, 1, 1)),
|
||||
("2021 牛市", datetime(2021, 1, 1), datetime(2022, 1, 1)),
|
||||
("2022 熊市", datetime(2022, 1, 1), datetime(2023, 1, 1)),
|
||||
("2023 复苏", datetime(2023, 1, 1), datetime(2024, 1, 1)),
|
||||
("2024-2025 牛市", datetime(2024, 1, 1), datetime(2026, 1, 1)),
|
||||
]
|
||||
|
||||
DATE_START = datetime(2017, 1, 1)
|
||||
DATE_END = datetime(2026, 1, 1)
|
||||
|
||||
|
||||
async def run_backtest(symbol, fast, slow, start, end):
|
||||
sc = LongShortEmaConfig(symbol=symbol, fast=fast, slow=slow)
|
||||
bt = BacktestConfig(symbol=symbol, interval="4h", start_time=start, end_time=end,
|
||||
initial_capital=10_000.0)
|
||||
engine = LongShortEngine(bt, db_config=config.db)
|
||||
return await engine.run(LongShortEmaStrategy, sc)
|
||||
|
||||
|
||||
async def main():
|
||||
print()
|
||||
print("═" * 125)
|
||||
print(" 全周期多空回测 — 2017-2026 完整牛熊 | 4h EMA趋势")
|
||||
print("═" * 125)
|
||||
|
||||
# ── 全周期汇总 ──
|
||||
print(f"\n ■ 全周期 2017-2026 汇总")
|
||||
print(f" {'币种':<10} {'总收益%':>7} {'年化%':>7} {'夏普':>6} {'回撤%':>7} {'交易':>5} {'多头P&L':>10} {'空头P&L':>10}")
|
||||
print(" " + "─" * 105)
|
||||
|
||||
for symbol in SYMBOLS:
|
||||
fast, slow = PARAMS[symbol]
|
||||
r = await run_backtest(symbol, fast, slow, DATE_START, DATE_END)
|
||||
m = r.metrics
|
||||
long_t = [t for t in r.trades if t.pnl is not None and t.side == "SELL"]
|
||||
short_t = [t for t in r.trades if t.pnl is not None and t.side == "BUY"]
|
||||
long_pnl = sum(t.pnl for t in long_t) if long_t else 0
|
||||
short_pnl = sum(t.pnl for t in short_t) if short_t else 0
|
||||
print(f" {symbol:<10} {m.total_return_pct:>6.1f}% {m.annual_return_pct:>6.1f}% {m.sharpe_ratio:>6.2f} {m.max_drawdown_pct:>6.1f}% {m.total_trades:>5} {long_pnl:>+9.0f} {short_pnl:>+9.0f}")
|
||||
|
||||
# ── BTC 分段 ──
|
||||
print(f"\n ■ BTC 各阶段表现 (参数 EMA{10},{50})")
|
||||
print(f" {'阶段':<22} {'总收益%':>7} {'年化%':>7} {'夏普':>6} {'回撤%':>7} {'多头P&L':>10} {'空头P&L':>10}")
|
||||
print(" " + "─" * 105)
|
||||
|
||||
for period_name, p_start, p_end in PERIODS:
|
||||
try:
|
||||
r = await run_backtest("BTCUSDT", 10, 50, p_start, p_end)
|
||||
m = r.metrics
|
||||
long_t = [t for t in r.trades if t.pnl is not None and t.side == "SELL"]
|
||||
short_t = [t for t in r.trades if t.pnl is not None and t.side == "BUY"]
|
||||
long_pnl = sum(t.pnl for t in long_t) if long_t else 0
|
||||
short_pnl = sum(t.pnl for t in short_t) if short_t else 0
|
||||
print(f" {period_name:<22} {m.total_return_pct:>6.1f}% {m.annual_return_pct:>6.1f}% {m.sharpe_ratio:>6.2f} {m.max_drawdown_pct:>6.1f}% {long_pnl:>+9.0f} {short_pnl:>+9.0f}")
|
||||
except Exception as e:
|
||||
print(f" {period_name:<22} 数据不足或错误: {e}")
|
||||
|
||||
# ── 只做多 vs 多空全周期对比 ──
|
||||
print(f"\n ■ BTC 只做多 vs 多空 (全周期)")
|
||||
# 只做多需要单跑一次（LongShortEngine 本身就支持只做多：不开空就行）
|
||||
# 简单做法：用原版 BacktestEngine 跑一次只做多
|
||||
from engine.backtest import BacktestEngine
|
||||
from engine.common.base import BaseStrategy as BS, Signal as Sig, StrategyConfig as SC
|
||||
|
||||
class LongOnlyEMAConfig(SC):
|
||||
fast: int = 10; slow: int = 50; atr_stop: float = 2.5
|
||||
|
||||
class LongOnlyEMAStrategy(BS):
|
||||
strategy_type = "long_only"
|
||||
def __init__(self, c): super().__init__(c); self.cfg = c
|
||||
async def on_start(self): self._c = []; self._h = []; self._l = []; self._hp = 0.0; self._in = False; await super().on_start()
|
||||
async def on_kline(self, k):
|
||||
self._c.append(k.close); self._h.append(k.high); self._l.append(k.low)
|
||||
n = len(self._c)
|
||||
if n < self.cfg.slow + 5: return None
|
||||
f = ema(self._c, self.cfg.fast); s = ema(self._c, self.cfg.slow)
|
||||
a = atr(self._h, self._l, self._c, 14)
|
||||
cf, cs, ca = f[-1], s[-1], a[-1]; pf, ps = f[-2], s[-2]
|
||||
if cf == 0 or cs == 0 or ca == 0: return None
|
||||
if self._in:
|
||||
self._hp = max(self._hp, k.high); stop = self._hp - self.cfg.atr_stop * ca
|
||||
if (pf >= ps and cf < cs) or k.close < stop:
|
||||
self._in = False
|
||||
return Sig(symbol=self.cfg.symbol, side="SELL", reason="死叉" if pf >= ps else "ATR止损", timestamp=k.open_time)
|
||||
else:
|
||||
if pf <= ps and cf > cs:
|
||||
self._in = True; self._hp = k.close
|
||||
return Sig(symbol=self.cfg.symbol, side="BUY", reason="金叉", timestamp=k.open_time)
|
||||
return None
|
||||
|
||||
lo_sc = LongOnlyEMAConfig(symbol="BTCUSDT")
|
||||
lo_bt = BacktestConfig(symbol="BTCUSDT", interval="4h", start_time=DATE_START, end_time=DATE_END, initial_capital=10_000.0)
|
||||
lo_eng = BacktestEngine(lo_bt, db_config=config.db)
|
||||
lo_r = await lo_eng.run(LongOnlyEMAStrategy, lo_sc)
|
||||
lo_m = lo_r.metrics
|
||||
|
||||
# 多空
|
||||
ls_r = await run_backtest("BTCUSDT", 10, 50, DATE_START, DATE_END)
|
||||
ls_m = ls_r.metrics
|
||||
|
||||
print(f" {'':<10} {'总收益%':>7} {'年化%':>7} {'夏普':>6} {'回撤%':>7} {'交易':>5}")
|
||||
print(f" {'只做多':<10} {lo_m.total_return_pct:>6.1f}% {lo_m.annual_return_pct:>6.1f}% {lo_m.sharpe_ratio:>6.2f} {lo_m.max_drawdown_pct:>6.1f}% {lo_m.total_trades:>5}")
|
||||
print(f" {'多空':<10} {ls_m.total_return_pct:>6.1f}% {ls_m.annual_return_pct:>6.1f}% {ls_m.sharpe_ratio:>6.2f} {ls_m.max_drawdown_pct:>6.1f}% {ls_m.total_trades:>5}")
|
||||
|
||||
print("\n═" * 125)
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
asyncio.run(main())
|
||||
Reference in New Issue
Block a user