trade/engine/example/vol_break_periods.py

"""
策略3 ATR波动率突破 — 全量 / 近两年 / 近一年 / 近半年 对比

用法：
    source .venv/bin/activate && python example/vol_break_periods.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

TODAY = datetime.now(timezone.utc)

# 时间段定义
PERIODS = {
    "全量": (None, TODAY),  # start 动态获取
    "近两年": (TODAY - timedelta(days=365 * 2), TODAY),
    "近一年": (TODAY - timedelta(days=365), TODAY),
    "近半年": (TODAY - timedelta(days=182), TODAY),
}

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},
}


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]:
    paired = []
    pending_open = None

    for t in trades:
        if t.side == "BUY":
            if pending_open and pending_open["side"] == "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:
                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":
                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:
                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()

    full_ranges = {}
    for symbol in SYMBOLS:
        try:
            s, e = await ds.fetch_symbol_date_range(symbol, INTERVAL)
            full_ranges[symbol] = (s, e)
            print(f"  {symbol}: {s.date()} ~ {e.date()}")
        except Exception as ex:
            print(f"  {symbol}: 获取范围失败 {ex}")

    # 运行所有时间段
    all_results: dict[str, dict[str, object]] = {}  # symbol -> period_name -> result

    for symbol in SYMBOLS:
        if symbol not in full_ranges:
            continue
        all_results[symbol] = {}
        fs, fe = full_ranges[symbol]

        for period_name, (ps, pe) in PERIODS.items():
            start = fs if period_name == "全量" else max(ps, fs)
            end = min(pe, fe)

            if start >= end:
                print(f"  {symbol} {period_name}: 无有效数据范围，跳过")
                continue

            print(f"  运行 {symbol} {period_name} ({start.date()}~{end.date()})...", end=" ", flush=True)
            t0 = time.time()
            try:
                all_results[symbol][period_name] = await run_backtest(symbol, start, end)
                print(f"{time.time()-t0:.1f}s")
            except Exception as ex:
                print(f"错误: {ex}")

    await ds.close()

    # ════════════════════════════════════════════════════
    # 对比表
    # ════════════════════════════════════════════════════
    print()
    print("═" * 165)
    print(f"  ATR波动率突破 1h — 全量 / 近两年 / 近一年 / 近半年 对比  ({TODAY.strftime('%Y-%m-%d')} 截止)")
    print("═" * 165)
    print()

    col_w = 36
    for symbol in SYMBOLS:
        if symbol not in all_results:
            continue
        print(f"  ■ {symbol}")
        print(f"  {'时段':<8} {'本金':>7} {'终值':>9} {'总收益%':>8} {'年化%':>8} {'夏普':>7} {'回撤%':>8} {'胜率%':>7} {'盈亏比':>7} {'交易':>5} {'数据范围'}")
        print("  " + "─" * 163)

        for period_name in PERIODS:
            if period_name not in all_results[symbol]:
                continue
            r = all_results[symbol][period_name]
            m = r.metrics
            data_range = f"{r.config.start_time.date()}~{r.config.end_time.date()}"
            print(f"  {period_name:<8} {INITIAL:>7.0f} {m.final_equity:>9.0f} {m.total_return_pct:>7.1f}% {m.annual_return_pct:>7.1f}% {m.sharpe_ratio:>7.2f} {m.max_drawdown_pct:>7.1f}% {m.win_rate*100:>6.1f}% {m.profit_factor:>7.2f} {m.total_trades:>5} {data_range}")
        print()

    # ════════════════════════════════════════════════════
    # 详细订单
    # ════════════════════════════════════════════════════
    print("═" * 165)
    print("  各时段详细订单")
    print("═" * 165)

    for symbol in SYMBOLS:
        if symbol not in all_results:
            continue
        for period_name in PERIODS:
            if period_name not in all_results[symbol]:
                continue
            result = all_results[symbol][period_name]
            m = result.metrics
            paired = pair_trades(result.trades)

            if len(paired) == 0:
                continue

            print(f"\n{'─' * 155}")
            print(f"  {symbol} {period_name}  —  {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 {m.best_trade_pnl:+,.0f} | 最差 {m.worst_trade_pnl:+,.0f} | 平均 {m.avg_trade_pnl:+,.0f}")
            print(f"  数据范围: {result.config.start_time.date()} ~ {result.config.end_time.date()}")
            print(f"{'─' * 155}")
            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':<35} {'出场原因':<30}")
            print(f"  {'─' * 153}")

            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']:<35} {p['exit_reason']:<30}")

            print(f"  {'─' * 153}")
            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{'─' * 155}")
    print()


if __name__ == "__main__":
    asyncio.run(main())