lanyuanxiaoyao/leopard-analysis
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修复代码问题

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兰缘小妖
2026-01-28 09:46:44 +08:00
parent 9a46bd7e4c
commit 5cc140259e
3 changed files with 86 additions and 113 deletions
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112
backtest.py
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@@ -7,12 +7,11 @@
"""
import argparse
import sys
import os
import importlib.util
import os
import sys
import pandas as pd
from datetime import datetime
from backtesting import Backtest
# 数据库配置（直接硬编码，开发环境）
DB_HOST = "81.71.3.24"
@@ -47,20 +46,19 @@ def load_data_from_db(code, start_date, end_date):
try:
# 构建 SQL 查询
query = f"""
SELECT
trade_date,
open * factor AS "Open",
close * factor AS "Close",
high * factor AS "High",
low * factor AS "Low",
volume AS "Volume",
COALESCE(factor, 1.0) AS factor
FROM leopard_daily daily
LEFT JOIN leopard_stock stock ON stock.id = daily.stock_id
WHERE stock.code = '{code}'
AND daily.trade_date BETWEEN '{start_date} 00:00:00'
AND '{end_date} 23:59:59'
ORDER BY daily.trade_date
SELECT trade_date,
open * factor AS "Open",
close * factor AS "Close",
high * factor AS "High",
low * factor AS "Low",
volume AS "Volume",
COALESCE(factor, 1.0) AS factor
FROM leopard_daily daily
LEFT JOIN leopard_stock stock ON stock.id = daily.stock_id
WHERE stock.code = '{code}'
AND daily.trade_date BETWEEN '{start_date} 00:00:00'
AND '{end_date} 23:59:59'
ORDER BY daily.trade_date
"""
# 执行查询
@@ -175,30 +173,6 @@ def parse_arguments():
return parser.parse_args()
def format_value(value, cn_name, key):
"""
格式化数值显示
"""
if isinstance(value, (int, float)):
if "%" in cn_name or key in [
"Sharpe Ratio",
"Sortino Ratio",
"Calmar Ratio",
"Profit Factor",
]:
formatted_value = f"{value:.2f}"
elif "$" in cn_name:
formatted_value = f"{value:.2f}"
elif "次数" in cn_name:
formatted_value = f"{value:.0f}"
else:
formatted_value = f"{value:.4f}"
else:
formatted_value = str(value)
return formatted_value
def print_stats(stats):
"""
打印回测统计结果
@@ -206,33 +180,32 @@ def print_stats(stats):
参数:
stats: backtesting 库返回的统计对象
"""
print("\n" + "=" * 60)
print("回测结果")
print("=" * 60)
print("回测结果")
indicator_name_mapping = {
# 'Start': '回测开始时间',
# 'End': '回测结束时间',
# 'Duration': '回测持续时长',
# 'Exposure Time [%]': '持仓时间占比（%）',
'Equity Final [$]': '最终收益',
'Equity Peak [$]': '峰值收益',
'Return [%]': '总收益率（%）',
'Buy & Hold Return [%]': '买入并持有收益率（%）',
'Return (Ann.) [%]': '年化收益率（%）',
'Volatility (Ann.) [%]': '年化波动率（%）',
"Equity Final [$]": "最终收益",
"Equity Peak [$]": "峰值收益",
"Return [%]": "总收益率（%）",
"Buy & Hold Return [%]": "买入并持有收益率（%）",
"Return (Ann.) [%]": "年化收益率（%）",
"Volatility (Ann.) [%]": "年化波动率（%）",
# 'CAGR [%]': '复合年均增长率（%）',
# 'Sharpe Ratio': '夏普比率',
'Sortino Ratio': '索提诺比率',
'Calmar Ratio': '卡尔玛比率',
"Sortino Ratio": "索提诺比率",
"Calmar Ratio": "卡尔玛比率",
# 'Alpha [%]': '阿尔法系数（%）',
# 'Beta': '贝塔系数',
'Max. Drawdown [%]': '最大回撤（%）',
'Avg. Drawdown [%]': '平均回撤（%）',
'Max. Drawdown Duration': '最大回撤持续时长',
'Avg. Drawdown Duration': '平均回撤持续时长',
'# Trades': '总交易次数',
'Win Rate [%]': '胜率（%）',
"Max. Drawdown [%]": "最大回撤（%）",
"Avg. Drawdown [%]": "平均回撤（%）",
"Max. Drawdown Duration": "最大回撤持续时长",
"Avg. Drawdown Duration": "平均回撤持续时长",
"# Trades": "总交易次数",
"Win Rate [%]": "胜率（%）",
# 'Best Trade [%]': '最佳单笔交易收益率（%）',
# 'Worst Trade [%]': '最差单笔交易收益率（%）',
# 'Avg. Trade [%]': '平均单笔交易收益率（%）',
@@ -240,14 +213,19 @@ def print_stats(stats):
# 'Avg. Trade Duration': '单笔交易平均持有时长',
# 'Profit Factor': '盈利因子',
# 'Expectancy [%]': '期望收益（%）',
'SQN': '系统质量数',
"SQN": "系统质量数",
# 'Kelly Criterion': '凯利准则',
}
for k, v in stats.items():
if k in indicator_name_mapping:
cn_name = indicator_name_mapping.get(k, k)
if isinstance(v, (int, float)):
if "%" in cn_name or k in ['Sharpe Ratio', 'Sortino Ratio', 'Calmar Ratio', 'Profit Factor']:
if "%" in cn_name or k in [
"Sharpe Ratio",
"Sortino Ratio",
"Calmar Ratio",
"Profit Factor",
]:
formatted_value = f"{v:.2f}"
elif "$" in cn_name:
formatted_value = f"{v:.2f}"
@@ -257,9 +235,9 @@ def print_stats(stats):
formatted_value = f"{v:.4f}"
else:
formatted_value = str(v)
print(f'{cn_name}: {formatted_value}')
print(f"{cn_name}: {formatted_value}")
print("=" * 60 + "\n")
print("=" * 60)
def main():
@@ -278,20 +256,16 @@ def main():
print(f"数据加载完成，共 {len(data)} 条记录")
# 截取预热数据
warmup_data = data.iloc[-args.warmup_days :]
warmup_data = data.iloc[-args.warmup_days:]
print(f"使用预热数据范围: {warmup_data.index[0]} ~ {warmup_data.index[-1]}")
# 加载策略
print(f"加载策略: {args.strategy_file}")
calculate_indicators, strategy_class = load_strategy(args.strategy_file)
# 计算指标
print("计算指标...")
warmup_data = calculate_indicators(warmup_data)
print("指标计算完成")
# 执行回测
print("开始回测...")
from backtesting import Backtest
bt = Backtest(
@@ -308,12 +282,10 @@ def main():
# 生成图表
if args.output:
print(f"\n生成图表: {args.output}")
os.makedirs(os.path.dirname(args.output), exist_ok=True)
bt.plot(filename=args.output, open_browser=False)
print(f"图表已保存到: {args.output}")
print("\n回测完成！")
except Exception as e:
print(f"\n错误: {e}")
import traceback