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重置项目

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This commit is contained in:
fish
2026-07-04 15:59:20 +08:00
parent 374e587f2d
commit 648a8b7f1c
224 changed files with 19700 additions and 9547 deletions
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refer/backend/app/backtest/engine.py
+43 -18
View File
@@ -37,6 +37,7 @@ class MatcherConfig:
fees_pct: float = 0.0002
slippage_bps: float = 5.0
stop_loss_pct: float | None = None
take_profit_pct: float | None = None
trailing_stop_pct: float | None = None
trailing_take_profit_activate_pct: float | None = None
trailing_take_profit_drawdown_pct: float | None = None
@@ -65,7 +66,7 @@ class TradeRecord:
exit_price: float
pnl_pct: float
duration: int
exit_reason: str # "signal" | "stop_loss" | "trailing_stop" | "trailing_take_profit" | "max_hold" | "end"
exit_reason: str # "signal" | "stop_loss" | "take_profit" | "trailing_stop" | "trailing_take_profit" | "max_hold" | "end"
# 退出优先级 (高→低): pending_exit(历史挂单) > 风控(止损/移动止损/移动止盈) > signal(卖点) > max_hold(到期) > end
name: str = ""
shares: float = 0.0
@@ -544,6 +545,7 @@ class BacktestEngine:
return None, None
open_price = float(open_prices[idx])
low_price = float(low_prices[idx])
high_price = float(high_prices[idx])
peak_price = float(pos.get("max_high", entry_price))
risk_lines: list[tuple[float, str]] = []
@@ -560,13 +562,24 @@ class BacktestEngine:
risk_lines.append((entry_price * (1 + peak_profit - abs(float(drawdown_pct))), "trailing_take_profit"))
risk_lines = [(line, reason) for line, reason in risk_lines if _valid_price(line)]
if not risk_lines:
return None, None
stop_price, reason = max(risk_lines, key=lambda item: item[0])
if _valid_price(open_price) and open_price <= stop_price:
return reason, open_price
if _valid_price(low_price) and low_price <= stop_price:
return reason, stop_price
# 止损/移损/回撤止盈: 价格跌破风控线触发 (取最高优先级线)
if risk_lines:
stop_price, reason = max(risk_lines, key=lambda item: item[0])
if _valid_price(open_price) and open_price <= stop_price:
return reason, open_price
if _valid_price(low_price) and low_price <= stop_price:
return reason, stop_price
# 固定止盈: 价格涨破止盈线触发
tp_pct = getattr(config, "take_profit_pct", None)
if tp_pct is not None:
tp_line = entry_price * (1 + abs(float(tp_pct)))
if _valid_price(tp_line):
# 开盘即超过止盈线 → 以开盘价成交; 否则当日触及高点止盈
if _valid_price(open_price) and open_price >= tp_line:
return "take_profit", open_price
if _valid_price(high_price) and high_price >= tp_line:
return "take_profit", tp_line
return None, None
def _try_close(pos: dict, idx: int, reason: str, signal_date: str, exit_price_override: float | None = None) -> bool:
@@ -993,6 +1006,7 @@ class BacktestEngine:
continue
open_price = float(open_prices[idx])
low_price = float(low_prices[idx])
high_price = float(high_prices[idx])
entry_price = float(pos["entry_price"])
peak_price = float(pos.get("max_high", entry_price))
risk_lines: list[tuple[float, str]] = []
@@ -1011,17 +1025,28 @@ class BacktestEngine:
take_profit_line = entry_price * (1 + peak_profit - abs(float(drawdown_pct)))
risk_lines.append((take_profit_line, "trailing_take_profit"))
# 止损/移损/回撤止盈: 价格跌破风控线触发
risk_lines = [(line, reason) for line, reason in risk_lines if _valid_price(line)]
if not risk_lines:
continue
stop_price, reason = max(risk_lines, key=lambda item: item[0])
exit_price_override = None
if _valid_price(open_price) and open_price <= stop_price:
exit_price_override = open_price
elif _valid_price(low_price) and low_price <= stop_price:
exit_price_override = stop_price
if exit_price_override is not None:
_try_sell(sym, idx, reason, d_str, sold_today, exit_price_override)
if risk_lines:
stop_price, reason = max(risk_lines, key=lambda item: item[0])
exit_price_override = None
if _valid_price(open_price) and open_price <= stop_price:
exit_price_override = open_price
elif _valid_price(low_price) and low_price <= stop_price:
exit_price_override = stop_price
if exit_price_override is not None:
_try_sell(sym, idx, reason, d_str, sold_today, exit_price_override)
continue
# 固定止盈: 价格涨破止盈线触发
tp_pct = getattr(config, "take_profit_pct", None)
if tp_pct is not None:
tp_line = entry_price * (1 + abs(float(tp_pct)))
if _valid_price(tp_line):
if _valid_price(open_price) and open_price >= tp_line:
_try_sell(sym, idx, "take_profit", d_str, sold_today, open_price)
elif _valid_price(high_price) and high_price >= tp_line:
_try_sell(sym, idx, "take_profit", d_str, sold_today, tp_line)
def _process_entries(
d_str: str,
refer/backend/app/backtest/strategy.py
+7
View File
@@ -103,6 +103,11 @@ class StrategyBacktestService:
entry_signals = self._effective_signals(overrides, "entry_signals", s.entry_signals)
exit_signals = self._effective_signals(overrides, "exit_signals", s.exit_signals)
stop_loss = self._override_value(overrides, "stop_loss", s.stop_loss)
take_profit = self._normalize_pct(
self._override_value(overrides, "take_profit", getattr(s, "take_profit", None)),
0.01,
5.0,
)
trailing_stop = self._normalize_pct(
self._override_value(overrides, "trailing_stop", getattr(s, "trailing_stop", None)),
0.005,
@@ -195,6 +200,7 @@ class StrategyBacktestService:
fees_pct=config.fees_pct,
slippage_bps=config.slippage_bps,
stop_loss_pct=stop_loss,
take_profit_pct=take_profit,
trailing_stop_pct=trailing_stop,
trailing_take_profit_activate_pct=trailing_take_profit_activate,
trailing_take_profit_drawdown_pct=trailing_take_profit_drawdown,
@@ -246,6 +252,7 @@ class StrategyBacktestService:
"entry_signals": entry_signals,
"exit_signals": exit_signals,
"stop_loss": stop_loss,
"take_profit": take_profit,
"trailing_stop": trailing_stop,
"trailing_take_profit_activate": trailing_take_profit_activate,
"trailing_take_profit_drawdown": trailing_take_profit_drawdown,