""" 策略3 ATR波动率突破 — 1h 全量 vs 近两年对比 + 近两年详细订单 用法： source .venv/bin/activate && python example/vol_break_compare.py """ import asyncio import sys import time from datetime import datetime, timezone, timedelta 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 import BacktestConfig from engine.data import DataService from engine.example.long_short import LongShortEngine from engine.example.intraday_explore import VolBreakStrategy, VolBreakConfig SYMBOLS = ["BTCUSDT", "ETHUSDT", "BNBUSDT", "SOLUSDT"] INTERVAL = "1h" INITIAL = 10_000.0 PARAMS = { "BTCUSDT": {"atr_period": 14, "squeeze_period": 20, "squeeze_ratio": 0.7, "atr_stop": 2.0}, "ETHUSDT": {"atr_period": 14, "squeeze_period": 20, "squeeze_ratio": 0.7, "atr_stop": 2.0}, "BNBUSDT": {"atr_period": 14, "squeeze_period": 20, "squeeze_ratio": 0.7, "atr_stop": 2.0}, "SOLUSDT": {"atr_period": 14, "squeeze_period": 20, "squeeze_ratio": 0.7, "atr_stop": 2.0}, } # 近两年截止日期 RECENT_END = datetime(2025, 6, 1, tzinfo=timezone.utc) RECENT_START = RECENT_END - timedelta(days=365 * 2) # 2023-06 def fmt_ts(ts_ms: float) -> str: dt = datetime.fromtimestamp(ts_ms / 1000, tz=timezone.utc) return dt.strftime("%Y-%m-%d %H:%M") def pair_trades(trades: list) -> list[dict]: """将 BUY/SELL 配对为完整交易""" paired = [] pending_open = None # (side, price, reason, ts) for t in trades: if t.side == "BUY": if pending_open and pending_open["side"] == "short": # 平空仓 (BUY to close short) paired.append({ "type": "做空", "entry_ts": pending_open["ts"], "entry_price": pending_open["price"], "entry_reason": pending_open["reason"], "exit_ts": t.timestamp, "exit_price": t.price, "exit_reason": t.reason, "pnl": t.pnl or 0, }) pending_open = None elif t.pnl is None: # 开多仓 pending_open = {"side": "long", "price": t.price, "reason": t.reason, "ts": t.timestamp} elif t.side == "SELL": if pending_open and pending_open["side"] == "long": # 平多仓 (SELL to close long) paired.append({ "type": "做多", "entry_ts": pending_open["ts"], "entry_price": pending_open["price"], "entry_reason": pending_open["reason"], "exit_ts": t.timestamp, "exit_price": t.price, "exit_reason": t.reason, "pnl": t.pnl or 0, }) pending_open = None elif t.pnl is None: # 开空仓 pending_open = {"side": "short", "price": t.price, "reason": t.reason, "ts": t.timestamp} return paired async def run_backtest(symbol, start, end): sc = VolBreakConfig(symbol=symbol, **PARAMS[symbol]) bt = BacktestConfig(symbol=symbol, interval=INTERVAL, start_time=start, end_time=end, initial_capital=INITIAL) engine = LongShortEngine(bt, db_config=config.db) r = await engine.run(VolBreakStrategy, sc) return r async def main(): ds = DataService(config.db) await ds.connect() # 获取数据范围 full_ranges = {} for symbol in SYMBOLS: try: s, e = await ds.fetch_symbol_date_range(symbol, INTERVAL) full_ranges[symbol] = (s, e) except Exception: pass # ── 运行全量 + 近两年 ── full_results = {} recent_results = {} for symbol in SYMBOLS: if symbol not in full_ranges: continue fs, fe = full_ranges[symbol] print(f" 运行 {symbol} 全量 ({fs.date()}~{fe.date()})...", end=" ", flush=True) t0 = time.time() full_results[symbol] = await run_backtest(symbol, fs, fe) print(f"{time.time()-t0:.1f}s") rs = max(RECENT_START, fs) re = min(RECENT_END, fe) print(f" 运行 {symbol} 近两年 ({rs.date()}~{re.date()})...", end=" ", flush=True) t0 = time.time() recent_results[symbol] = await run_backtest(symbol, rs, re) print(f"{time.time()-t0:.1f}s") await ds.close() # ── 全量 vs 近两年 对比表 ── print() print("═" * 145) print(" ATR波动率突破 1h — 全量 vs 近两年 (2023.06~2025.06)") print("═" * 145) print() header = f" {'币种':<10} | {'—————— 全量数据 ——————':>55} | {'—————— 近两年 ——————':>55}" print(header) sub = f" {'':<10} | {'本金':>6} {'终值':>8} {'总收益%':>8} {'年化%':>7} {'夏普':>6} {'回撤%':>7} {'交易':>5} | {'本金':>6} {'终值':>8} {'总收益%':>8} {'年化%':>7} {'夏普':>6} {'回撤%':>7} {'交易':>5}" print(sub) print(" " + "─" * 143) for symbol in SYMBOLS: if symbol not in full_results: continue f = full_results[symbol].metrics r = recent_results[symbol].metrics print(f" {symbol:<10} | {INITIAL:>6.0f} {f.final_equity:>8.0f} {f.total_return_pct:>7.1f}% {f.annual_return_pct:>6.1f}% {f.sharpe_ratio:>6.2f} {f.max_drawdown_pct:>6.1f}% {f.total_trades:>5} | {INITIAL:>6.0f} {r.final_equity:>8.0f} {r.total_return_pct:>7.1f}% {r.annual_return_pct:>6.1f}% {r.sharpe_ratio:>6.2f} {r.max_drawdown_pct:>6.1f}% {r.total_trades:>5}") print("\n═" * 145) # ── 近两年详细订单 ── for symbol in SYMBOLS: if symbol not in recent_results: continue result = recent_results[symbol] m = result.metrics rng = recent_results[symbol].config paired = pair_trades(result.trades) print(f"\n{'─' * 145}") print(f" {symbol} 近两年 ({rng.start_time.date()}~{rng.end_time.date()}) — {len(paired)} 笔完整交易") print(f" 本金 {INITIAL:,.0f} → 终值 {m.final_equity:,.0f} | 总收益 {m.total_return_pct:.1f}% | 年化 {m.annual_return_pct:.1f}% | 夏普 {m.sharpe_ratio:.2f} | 回撤 {m.max_drawdown_pct:.1f}%") print(f" 胜率 {m.win_rate*100:.1f}% | 盈亏比 {m.profit_factor:.2f} | 最佳单笔 {m.best_trade_pnl:+,.0f} | 最差 {m.worst_trade_pnl:+,.0f} | 平均 {m.avg_trade_pnl:+,.0f}") print(f"{'─' * 145}") print(f" {'#':>3} {'类型':<5} {'入场时间':<19} {'入场价':>10} {'出场时间':<19} {'出场价':>10} {'盈亏':>12} {'入场原因':<30} {'出场原因':<30}") print(f" {'─' * 141}") total_pnl = 0 wins = 0 for i, p in enumerate(paired): pnl = p["pnl"] total_pnl += pnl if pnl > 0: wins += 1 pnl_str = f"{pnl:+,.0f}" print(f" {i+1:>3} {p['type']:<5} {p['entry_ts']:<19} {p['entry_price']:>10.4f} {p['exit_ts']:<19} {p['exit_price']:>10.4f} {pnl_str:>12} {p['entry_reason']:<30} {p['exit_reason']:<30}") print(f" {'─' * 141}") print(f" 合计: {len(paired)} 笔 | 盈利 {wins} 笔 ({wins/len(paired)*100 if paired else 0:.0f}%) | 总盈亏 {total_pnl:+,.0f} USDT") print(f"\n{'─' * 145}") print() if __name__ == "__main__": asyncio.run(main())