From a2a261769bcd1bd5bf017034a5100edf621ffb10 Mon Sep 17 00:00:00 2001
From: lanyuanxiaoyao <lanyuanxiaoyao@gmail.com>
Date: Wed, 28 Jan 2026 09:54:38 +0800
Subject: [PATCH] =?UTF-8?q?=E4=BC=98=E5=8C=96=E4=BB=A3=E7=A0=81=E9=A3=8E?=
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---
 backtest.py                 | 47 +++++++++----------------------------
 strategies/macd_strategy.py | 13 +++++-----
 2 files changed, 17 insertions(+), 43 deletions(-)

diff --git a/backtest.py b/backtest.py
index a653a87..b48fc6b 100644
--- a/backtest.py
+++ b/backtest.py
@@ -135,40 +135,19 @@ def parse_arguments():
     返回:
         args: 命名空间对象
     """
-    parser = argparse.ArgumentParser(
-        description="量化回测工具", formatter_class=argparse.RawDescriptionHelpFormatter
-    )
+    parser = argparse.ArgumentParser(description="量化回测工具", formatter_class=argparse.RawDescriptionHelpFormatter)
 
     # 必需参数
-    parser.add_argument(
-        "--code", type=str, required=True, help="股票代码 (如: 000001.SZ)"
-    )
-    parser.add_argument(
-        "--start-date", type=str, required=True, help="回测开始日期 (格式: YYYY-MM-DD)"
-    )
-    parser.add_argument(
-        "--end-date", type=str, required=True, help="回测结束日期 (格式: YYYY-MM-DD)"
-    )
-    parser.add_argument(
-        "--strategy-file",
-        type=str,
-        required=True,
-        help="策略文件路径 (如: strategy.py)",
-    )
+    parser.add_argument("--code", type=str, required=True, help="股票代码 (如: 000001.SZ)")
+    parser.add_argument("--start-date", type=str, required=True, help="回测开始日期 (格式: YYYY-MM-DD)")
+    parser.add_argument("--end-date", type=str, required=True, help="回测结束日期 (格式: YYYY-MM-DD)")
+    parser.add_argument("--strategy-file", type=str, required=True, help="策略文件路径 (如: strategy.py)", )
 
     # 可选参数
-    parser.add_argument(
-        "--cash", type=float, default=100000, help="初始资金 (默认: 100000)"
-    )
-    parser.add_argument(
-        "--commission", type=float, default=0.002, help="手续费率 (默认: 0.002)"
-    )
-    parser.add_argument(
-        "--output", type=str, default=None, help="HTML 输出文件路径 (可选)"
-    )
-    parser.add_argument(
-        "--warmup-days", type=int, default=365, help="预热天数 (默认: 365，约一年）"
-    )
+    parser.add_argument("--cash", type=float, default=100000, help="初始资金 (默认: 100000)")
+    parser.add_argument("--commission", type=float, default=0.002, help="手续费率 (默认: 0.002)")
+    parser.add_argument("--output", type=str, default=None, help="HTML 输出文件路径 (可选)")
+    parser.add_argument("--warmup-days", type=int, default=365, help="预热天数 (默认: 365，约一年）")
 
     return parser.parse_args()
 
@@ -255,21 +234,17 @@ def main():
         data = load_data_from_db(args.code, args.start_date, args.end_date)
         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:]
-        print(f"使用预热数据范围: {warmup_data.index[0]} ~ {warmup_data.index[-1]}")
-
         # 加载策略
         calculate_indicators, strategy_class = load_strategy(args.strategy_file)
 
         # 计算指标
-        warmup_data = calculate_indicators(warmup_data)
+        data = calculate_indicators(data)
 
         # 执行回测
         from backtesting import Backtest
 
         bt = Backtest(
-            warmup_data,
+            data,
             strategy_class,
             cash=args.cash,
             commission=args.commission,
diff --git a/strategies/macd_strategy.py b/strategies/macd_strategy.py
index 4f77bf5..773648e 100644
--- a/strategies/macd_strategy.py
+++ b/strategies/macd_strategy.py
@@ -38,7 +38,7 @@ def calculate_indicators(data):
 
     返回:
         DataFrame, 添加了指标列:
-        - dif: MACD 线 (dif)
+        - macd: MACD 线 (macd)
         - signal: MACD 信号线 (DEA)
         - hist: MACD 柱状图 (Histogram)
         - ema: 日指数移动平均线
@@ -49,7 +49,7 @@ def calculate_indicators(data):
     # talib.MACD 返回三个值: (macd, macdsignal, macdhist)
     macd, macdsignal, macdhist = talib.MACD(data["Close"], fastperiod=10, slowperiod=20, signalperiod=9)
 
-    data["dif"] = macd
+    data["macd"] = macd
     data["signal"] = macdsignal
     data["hist"] = macdhist
 
@@ -92,10 +92,10 @@ class MacdTrendStrategy(Strategy):
         注册指标到 backtesting 框架
         """
         # 注册 MACD 线
-        self.macd = self.I(lambda x: x, self.data.dif)
+        self.macd = self.I(lambda x: x, self.data.macd)
 
         # 注册 MACD 信号线
-        self.macd_signal = self.I(lambda x: x, self.data.signal)
+        self.signal = self.I(lambda x: x, self.data.signal)
 
         # 注册 EMA 趋势线
         self.ema = self.I(lambda x: x, self.data.ema)
@@ -113,12 +113,11 @@ class MacdTrendStrategy(Strategy):
         - 或价格 < EMA (趋势转向，强制平仓)
         """
         # 买入条件: MACD 金叉 AND 价格 > EMA
-        if crossover(self.macd, self.macd_signal) and self.data.Close[-1] > self.ema[-1]:
-            self.position.close()  # 先平掉现有仓位
+        if crossover(self.macd, self.signal) and self.data.Close[-1] > self.ema[-1]:
             self.buy()  # 开多仓
 
         # 卖出条件: MACD 死叉 OR 价格 < EMA
-        elif crossover(self.macd_signal, self.macd) or self.data.Close[-1] < self.ema[-1]:
+        elif crossover(self.signal, self.macd) or self.data.Close[-1] < self.ema[-1]:
             self.position.close()  # 平掉多仓