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
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"""
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极简策略测试 — 一条均线 + 一个止损
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核心理念：多加过滤条件往往不如简洁的信号。
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策略：价格上穿 EMA(N) → 买入，价格下穿 EMA(N) → 卖出，ATR 动态止损。
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无成交量、无多周期、无ADX、无双均线交叉。
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对比 N=10/20/30，4个币种，4h周期，2024-2026。
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用法：
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source .venv/bin/activate && python example/strategy_simple.py
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"""
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import asyncio
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import sys
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from datetime import datetime, timezone
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from pathlib import Path
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from typing import Optional
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_project_root = Path(__file__).resolve().parent.parent.parent
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if str(_project_root) not in sys.path:
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sys.path.insert(0, str(_project_root))
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from engine.common.base import BaseStrategy, Signal, StrategyConfig
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from engine.common.models import Kline
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from engine.common.config import config
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from engine.backtest import BacktestEngine, BacktestConfig
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from engine.indicators import ema, atr
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class SingleEMAConfig(StrategyConfig):
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period: int = 20
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atr_stop: float = 2.5
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class SingleEMAStrategy(BaseStrategy):
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"""一条EMA均线 + ATR止损。没有更多了。"""
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strategy_type = "single_ema"
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def __init__(self, c: SingleEMAConfig):
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super().__init__(c)
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self.cfg = c
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self._closes: list[float] = []
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self._highs: list[float] = []
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self._lows: list[float] = []
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self._highest: float = 0.0
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self._in_position = False
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async def on_kline(self, k: Kline) -> Optional[Signal]:
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self._closes.append(k.close)
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self._highs.append(k.high)
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self._lows.append(k.low)
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n = len(self._closes)
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if n < self.cfg.period + 5:
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return None
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ema_vals = ema(self._closes, self.cfg.period)
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atr_vals = atr(self._highs, self._lows, self._closes, 14)
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cur_ema, cur_atr = ema_vals[-1], atr_vals[-1]
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prev_ema = ema_vals[-2]
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if cur_ema == 0 or cur_atr == 0:
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return None
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# ── 出场 ──
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if self._in_position:
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self._highest = max(self._highest, k.high)
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stop = self._highest - self.cfg.atr_stop * cur_atr
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cross_down = self._closes[-2] >= prev_ema and k.close < cur_ema
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if k.close < stop:
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self._in_position = False
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return Signal(symbol=self.cfg.symbol, side="SELL", reason="ATR止损", timestamp=k.open_time)
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if cross_down:
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self._in_position = False
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return Signal(symbol=self.cfg.symbol, side="SELL",
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reason=f"下穿EMA{self.cfg.period}", timestamp=k.open_time)
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# ── 入场 ──
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if not self._in_position:
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cross_up = self._closes[-2] <= prev_ema and k.close > cur_ema
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if cross_up:
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self._in_position = True
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self._highest = k.close
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return Signal(symbol=self.cfg.symbol, side="BUY",
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reason=f"上穿EMA{self.cfg.period}", timestamp=k.open_time)
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return None
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# ════════════════════════════════════════════════════════
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SYMBOLS = ["BTCUSDT", "ETHUSDT", "BNBUSDT", "SOLUSDT"]
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PERIODS = [10, 20, 30]
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DATE_START = datetime(2024, 1, 1)
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DATE_END = datetime(2026, 1, 1)
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async def main():
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print()
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print("═" * 105)
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print(" 极简策略 — 一条 EMA + ATR 止损 | 4h | 2024-2026")
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print("═" * 105)
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print(f" {'EMA':<8} {'币种':<10} {'收益%':>7} {'夏普':>6} {'回撤%':>7} {'交易':>5} {'胜率%':>6} {'盈亏比':>6}")
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print("─" * 105)
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all_rows = []
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for period in PERIODS:
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for symbol in SYMBOLS:
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sc = SingleEMAConfig(symbol=symbol, period=period)
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bt = BacktestConfig(symbol=symbol, interval="4h",
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start_time=DATE_START, end_time=DATE_END, initial_capital=10_000.0)
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engine = BacktestEngine(bt, db_config=config.db)
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r = await engine.run(SingleEMAStrategy, sc)
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m = r.metrics
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all_rows.append((period, symbol, m))
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print(f" EMA({period:<2}) {symbol:<10} {m.total_return_pct:>6.1f}% {m.sharpe_ratio:>6.2f} {m.max_drawdown_pct:>6.1f}% {m.total_trades:>5} {m.win_rate*100:>5.1f}% {m.profit_factor:>6.2f}")
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# ── 对比之前最优结果 ──
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print("─" * 105)
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print("\n ■ 对比：极简 vs 之前最优 (EMA v3 双均线)")
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V3 = {
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"BTCUSDT": (39.9, 1.03, -11.5),
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"ETHUSDT": (53.6, 1.04, -15.3),
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"BNBUSDT": (26.0, 0.64, -23.4),
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"SOLUSDT": (73.6, 1.18, -25.7),
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}
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print(f" {'币种':<10} {'策略':<20} {'收益%':>7} {'夏普':>6} {'回撤%':>7}")
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for symbol in SYMBOLS:
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v3 = V3[symbol]
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print(f" {symbol:<10} {'EMA v3(最优参数)':<20} {v3[0]:>6.1f}% {v3[1]:>6.2f} {v3[2]:>6.1f}%")
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# 找极简最佳
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best = max([(p, m) for p, s, m in all_rows if s == symbol], key=lambda x: x[1].sharpe_ratio)
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print(f" {'':<10} {'单EMA('+str(best[0])+') 极简':<20} {best[1].total_return_pct:>6.1f}% {best[1].sharpe_ratio:>6.2f} {best[1].max_drawdown_pct:>6.1f}%")
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print()
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# ── 汇总 ──
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print("─" * 105)
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ranked = sorted(all_rows, key=lambda x: x[2].sharpe_ratio, reverse=True)
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print(" ■ 按夏普 TOP 5:")
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for i, (p, s, m) in enumerate(ranked[:5]):
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print(f" {i+1}. {s} EMA({p:<2}) 夏普={m.sharpe_ratio:.2f} 收益={m.total_return_pct:+.1f}% 回撤={m.max_drawdown_pct:.1f}% 胜率={m.win_rate*100:.0f}% 交易={m.total_trades}")
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avg_sh = sum(x[2].sharpe_ratio for x in all_rows) / len(all_rows)
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print(f"\n 12组平均夏普: {avg_sh:.2f}")
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print("\n═" * 105)
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if __name__ == "__main__":
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asyncio.run(main())
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