feat: 新增2h/6h时间框架支持，策略重构为增量指标计算

- 数据层: build_aggregates_sql 新增 2h/6h 聚合视图，默认起始时间调整为 2017-05 - 模型层: KlineInterval 类型扩展 2h/6h，DataService 新增对应表名和毫秒映射 - 指标层: 新增 incremental.py 增量指标模块 (EmaInc/AtrInc/RsiInc/BbInc)，O(1) per bar - 策略重构: long_short.py 和 regime_all.py 从批量 ema/atr 迁移至增量指标，避免每 bar 重复全量计算 - regime 探测器: RegimeDetector3 改为增量 EMA200，detect() 接口简化 - 回测扩展: regime_timeframe_comparison 从 4h/1d 扩展至 2h/4h/6h/1d - 新增示例: multi_strategy_report, vol_break_compare/periods, intraday_explore, top3_trades 等分析脚本
2026-06-13 19:30:25 +08:00
parent b5cdb41993
commit edc50e8809
20 changed files with 484544 additions and 34 deletions
@@ -0,0 +1,96 @@
+"""获取近一年Top3策略的详细交易记录"""
+import asyncio, sys, json
+from datetime import datetime, timedelta, timezone
+from pathlib import Path
+
+_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.config import config
+from engine.backtest.models import BacktestConfig
+from engine.example.long_short import LongShortEngine
+from engine.example.full_comparison import (
+    VolBreakStrategy, VolBreakConfig,
+    EmaCrossStrategy, EmaCrossConfig,
+)
+from engine.common.base import Signal
+
+NOW = datetime.now(timezone.utc)
+ONE_YEAR_AGO = NOW - timedelta(days=365)
+INITIAL = 10_000.0
+
+TASKS = [
+    ("ATR波动率突破  ETHUSDT 4h", VolBreakConfig, VolBreakStrategy,
+     "ETHUSDT", "4h", lambda s: VolBreakConfig(symbol=s, atr_period=14, squeeze_period=20, squeeze_ratio=0.7, atr_stop=2.0)),
+    ("EMA双均线多空   ETHUSDT 1d", EmaCrossConfig, EmaCrossStrategy,
+     "ETHUSDT", "1d", lambda s: EmaCrossConfig(symbol=s, fast=10, slow=50, atr_stop=2.5)),
+    ("EMA双均线多空   BTCUSDT 1d", EmaCrossConfig, EmaCrossStrategy,
+     "BTCUSDT", "1d", lambda s: EmaCrossConfig(symbol=s, fast=10, slow=50, atr_stop=2.5)),
+]
+
+
+def fmt_ts(ts_ms):
+    return datetime.fromtimestamp(ts_ms / 1000, tz=timezone.utc).strftime("%Y-%m-%d %H:%M")
+
+
+async def run_one(label, config_cls, strategy_cls, symbol, interval, mkcfg):
+    sc = mkcfg(symbol)
+    bt = BacktestConfig(symbol=symbol, interval=interval,
+                        start_time=ONE_YEAR_AGO, end_time=NOW,
+                        initial_capital=INITIAL, warmup_bars=150)
+    engine = LongShortEngine(bt, db_config=config.db)
+    r = await engine.run(strategy_cls, sc)
+    return label, r
+
+
+async def main():
+    results = []
+    for task in TASKS:
+        label, r = await run_one(*task)
+        results.append((label, r))
+
+    for label, r in results:
+        m = r.metrics
+        trades = r.trades
+
+        # 配对交易
+        paired = []
+        pending = None
+        for t in trades:
+            if t.side == "BUY" and t.pnl is None:
+                pending = {"entry_ts": t.timestamp, "entry_price": t.price, "entry_reason": t.reason}
+            elif t.side == "SELL" and pending and t.pnl is not None:
+                paired.append({**pending, "exit_ts": t.timestamp, "exit_price": t.price,
+                               "exit_reason": t.reason, "pnl": t.pnl})
+                pending = None
+            elif t.side == "SELL" and t.pnl is None:
+                pending = {"entry_ts": t.timestamp, "entry_price": t.price, "entry_reason": t.reason, "short": True}
+            elif t.side == "BUY" and pending and t.pnl is not None and pending.get("short"):
+                paired.append({**pending, "exit_ts": t.timestamp, "exit_price": t.price,
+                               "exit_reason": t.reason, "pnl": t.pnl})
+                pending = None
+
+        cfg = r.config
+        print(f"\n═══ {label} ═══")
+        print(f"  本金 {INITIAL:,.0f} → 终值 {m.final_equity:,.0f}  |  {m.total_return_pct:+.1f}%  |  年化 {m.annual_return_pct:+.1f}%")
+        print(f"  夏普 {m.sharpe_ratio:.2f}  |  回撤 {m.max_drawdown_pct:.1f}%  |  胜率 {m.win_rate*100:.1f}%  |  盈亏比 {m.profit_factor:.2f}  |  {m.total_trades}笔")
+        print(f"  日期 {cfg.start_time.date()} ~ {cfg.end_time.date()}")
+        print()
+        print(f"  {'#':>3} {'入场时间':<19} {'入场价':>10} {'入场原因':<25} {'出场时间':<19} {'出场价':>10} {'出场原因':<25} {'盈亏':>10}")
+        print("  " + "─" * 130)
+
+        total_pnl = 0
+        for i, p in enumerate(paired):
+            total_pnl += p["pnl"]
+            side = "做空" if p.get("short") else "做多"
+            print(f"  {i+1:>3} {fmt_ts(p['entry_ts']):<19} {p['entry_price']:>10.4f} {p['entry_reason']:<25} {fmt_ts(p['exit_ts']):<19} {p['exit_price']:>10.4f} {p['exit_reason']:<25} {p['pnl']:>+10.2f}")
+
+        print("  " + "─" * 130)
+        wins = sum(1 for p in paired if p["pnl"] > 0)
+        print(f"  合计 {len(paired)} 笔  |  盈利 {wins} 笔  |  总盈亏 {total_pnl:+,.2f} USDT")
+        print()
+
+
+if __name__ == "__main__":
+    asyncio.run(main())