{
 "cells": [
  {
   "metadata": {
    "SqlCellData": {
     "data_source_name": "leopard_dev@81.71.3.24",
     "variableName$1": "dailies_df"
    },
    "ExecuteTime": {
     "end_time": "2026-01-20T02:26:30.134545Z",
     "start_time": "2026-01-20T02:26:22.978651Z"
    }
   },
   "cell_type": "code",
   "source": [
    "%%sql\n",
    "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\n",
    "from leopard_daily daily\n",
    "         left join leopard_stock stock on stock.id = daily.stock_id\n",
    "where stock.code = '000001.SZ'\n",
    "  and daily.trade_date between '2025-01-01 00:00:00' and '2025-12-31 23:59:59'\n",
    "order by daily.trade_date"
   ],
   "id": "93e66142c88e4d2f",
   "outputs": [
    {
     "data": {
      "text/plain": [
       "     trade_date         open        close         high          low  \\\n",
       "0    2025-01-02  1498.907493  1460.572263  1504.018857  1455.460899   \n",
       "1    2025-01-03  1461.850104  1454.183058  1474.628514  1451.627376   \n",
       "2    2025-01-06  1454.183058  1461.850104  1466.961468  1433.737602   \n",
       "3    2025-01-07  1459.294422  1470.794991  1473.350673  1452.905217   \n",
       "4    2025-01-08  1469.517150  1469.517150  1486.129083  1456.738740   \n",
       "..          ...          ...          ...          ...          ...   \n",
       "183  2025-10-09  1493.155774  1502.380920  1503.698798  1485.248506   \n",
       "184  2025-10-10  1498.427286  1506.334554  1514.241822  1497.109408   \n",
       "185  2025-10-13  1491.837896  1502.380920  1510.288188  1486.566384   \n",
       "186  2025-10-14  1501.063042  1524.784846  1528.738480  1497.109408   \n",
       "187  2025-10-15  1526.130396  1534.205160  1536.896748  1515.364044   \n",
       "\n",
       "         volume    factor  \n",
       "0    1819596.99  127.7841  \n",
       "1    1154680.44  127.7841  \n",
       "2    1085536.30  127.7841  \n",
       "3     747862.88  127.7841  \n",
       "4    1062386.01  127.7841  \n",
       "..          ...       ...  \n",
       "183  1047469.06  131.7878  \n",
       "184  1087947.75  131.7878  \n",
       "185  1168801.73  131.7878  \n",
       "186  1843428.36  131.7878  \n",
       "187  1271061.03  134.5794  \n",
       "\n",
       "[188 rows x 7 columns]"
      ],
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>trade_date</th>\n",
       "      <th>open</th>\n",
       "      <th>close</th>\n",
       "      <th>high</th>\n",
       "      <th>low</th>\n",
       "      <th>volume</th>\n",
       "      <th>factor</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2025-01-02</td>\n",
       "      <td>1498.907493</td>\n",
       "      <td>1460.572263</td>\n",
       "      <td>1504.018857</td>\n",
       "      <td>1455.460899</td>\n",
       "      <td>1819596.99</td>\n",
       "      <td>127.7841</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2025-01-03</td>\n",
       "      <td>1461.850104</td>\n",
       "      <td>1454.183058</td>\n",
       "      <td>1474.628514</td>\n",
       "      <td>1451.627376</td>\n",
       "      <td>1154680.44</td>\n",
       "      <td>127.7841</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2025-01-06</td>\n",
       "      <td>1454.183058</td>\n",
       "      <td>1461.850104</td>\n",
       "      <td>1466.961468</td>\n",
       "      <td>1433.737602</td>\n",
       "      <td>1085536.30</td>\n",
       "      <td>127.7841</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>2025-01-07</td>\n",
       "      <td>1459.294422</td>\n",
       "      <td>1470.794991</td>\n",
       "      <td>1473.350673</td>\n",
       "      <td>1452.905217</td>\n",
       "      <td>747862.88</td>\n",
       "      <td>127.7841</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2025-01-08</td>\n",
       "      <td>1469.517150</td>\n",
       "      <td>1469.517150</td>\n",
       "      <td>1486.129083</td>\n",
       "      <td>1456.738740</td>\n",
       "      <td>1062386.01</td>\n",
       "      <td>127.7841</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>183</th>\n",
       "      <td>2025-10-09</td>\n",
       "      <td>1493.155774</td>\n",
       "      <td>1502.380920</td>\n",
       "      <td>1503.698798</td>\n",
       "      <td>1485.248506</td>\n",
       "      <td>1047469.06</td>\n",
       "      <td>131.7878</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>184</th>\n",
       "      <td>2025-10-10</td>\n",
       "      <td>1498.427286</td>\n",
       "      <td>1506.334554</td>\n",
       "      <td>1514.241822</td>\n",
       "      <td>1497.109408</td>\n",
       "      <td>1087947.75</td>\n",
       "      <td>131.7878</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>185</th>\n",
       "      <td>2025-10-13</td>\n",
       "      <td>1491.837896</td>\n",
       "      <td>1502.380920</td>\n",
       "      <td>1510.288188</td>\n",
       "      <td>1486.566384</td>\n",
       "      <td>1168801.73</td>\n",
       "      <td>131.7878</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>186</th>\n",
       "      <td>2025-10-14</td>\n",
       "      <td>1501.063042</td>\n",
       "      <td>1524.784846</td>\n",
       "      <td>1528.738480</td>\n",
       "      <td>1497.109408</td>\n",
       "      <td>1843428.36</td>\n",
       "      <td>131.7878</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>187</th>\n",
       "      <td>2025-10-15</td>\n",
       "      <td>1526.130396</td>\n",
       "      <td>1534.205160</td>\n",
       "      <td>1536.896748</td>\n",
       "      <td>1515.364044</td>\n",
       "      <td>1271061.03</td>\n",
       "      <td>134.5794</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>188 rows × 7 columns</p>\n",
       "</div>"
      ]
     },
     "execution_count": 87,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "execution_count": 87
  },
  {
   "metadata": {
    "ExecuteTime": {
     "end_time": "2026-01-20T02:26:30.368092Z",
     "start_time": "2026-01-20T02:26:30.241161Z"
    }
   },
   "cell_type": "code",
   "source": [
    "import pandas as pd\n",
    "\n",
    "dailies_df.rename(\n",
    "    columns={'open': 'Open', 'close': 'Close', 'high': 'High', 'low': 'Low', 'volume': 'Volume'}, inplace=True\n",
    ")\n",
    "dailies_df['trade_date'] = pd.to_datetime(dailies_df['trade_date'], format='%Y-%m-%d')\n",
    "dailies_df.set_index('trade_date', inplace=True)\n",
    "dailies_df"
   ],
   "id": "c0ed078ffd5b57fd",
   "outputs": [
    {
     "data": {
      "text/plain": [
       "                   Open        Close         High          Low      Volume  \\\n",
       "trade_date                                                                   \n",
       "2025-01-02  1498.907493  1460.572263  1504.018857  1455.460899  1819596.99   \n",
       "2025-01-03  1461.850104  1454.183058  1474.628514  1451.627376  1154680.44   \n",
       "2025-01-06  1454.183058  1461.850104  1466.961468  1433.737602  1085536.30   \n",
       "2025-01-07  1459.294422  1470.794991  1473.350673  1452.905217   747862.88   \n",
       "2025-01-08  1469.517150  1469.517150  1486.129083  1456.738740  1062386.01   \n",
       "...                 ...          ...          ...          ...         ...   \n",
       "2025-10-09  1493.155774  1502.380920  1503.698798  1485.248506  1047469.06   \n",
       "2025-10-10  1498.427286  1506.334554  1514.241822  1497.109408  1087947.75   \n",
       "2025-10-13  1491.837896  1502.380920  1510.288188  1486.566384  1168801.73   \n",
       "2025-10-14  1501.063042  1524.784846  1528.738480  1497.109408  1843428.36   \n",
       "2025-10-15  1526.130396  1534.205160  1536.896748  1515.364044  1271061.03   \n",
       "\n",
       "              factor  \n",
       "trade_date            \n",
       "2025-01-02  127.7841  \n",
       "2025-01-03  127.7841  \n",
       "2025-01-06  127.7841  \n",
       "2025-01-07  127.7841  \n",
       "2025-01-08  127.7841  \n",
       "...              ...  \n",
       "2025-10-09  131.7878  \n",
       "2025-10-10  131.7878  \n",
       "2025-10-13  131.7878  \n",
       "2025-10-14  131.7878  \n",
       "2025-10-15  134.5794  \n",
       "\n",
       "[188 rows x 6 columns]"
      ],
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       "      <th>Open</th>\n",
       "      <th>Close</th>\n",
       "      <th>High</th>\n",
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       "      <th>factor</th>\n",
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       "      <th>2025-01-02</th>\n",
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       "      <td>1460.572263</td>\n",
       "      <td>1504.018857</td>\n",
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       "      <th>2025-01-03</th>\n",
       "      <td>1461.850104</td>\n",
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       "      <th>2025-01-06</th>\n",
       "      <td>1454.183058</td>\n",
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       "      <th>2025-01-07</th>\n",
       "      <td>1459.294422</td>\n",
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       "      <td>127.7841</td>\n",
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       "      <th>2025-01-08</th>\n",
       "      <td>1469.517150</td>\n",
       "      <td>1469.517150</td>\n",
       "      <td>1486.129083</td>\n",
       "      <td>1456.738740</td>\n",
       "      <td>1062386.01</td>\n",
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       "      <th>2025-10-09</th>\n",
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       "      <th>2025-10-10</th>\n",
       "      <td>1498.427286</td>\n",
       "      <td>1506.334554</td>\n",
       "      <td>1514.241822</td>\n",
       "      <td>1497.109408</td>\n",
       "      <td>1087947.75</td>\n",
       "      <td>131.7878</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2025-10-13</th>\n",
       "      <td>1491.837896</td>\n",
       "      <td>1502.380920</td>\n",
       "      <td>1510.288188</td>\n",
       "      <td>1486.566384</td>\n",
       "      <td>1168801.73</td>\n",
       "      <td>131.7878</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2025-10-14</th>\n",
       "      <td>1501.063042</td>\n",
       "      <td>1524.784846</td>\n",
       "      <td>1528.738480</td>\n",
       "      <td>1497.109408</td>\n",
       "      <td>1843428.36</td>\n",
       "      <td>131.7878</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2025-10-15</th>\n",
       "      <td>1526.130396</td>\n",
       "      <td>1534.205160</td>\n",
       "      <td>1536.896748</td>\n",
       "      <td>1515.364044</td>\n",
       "      <td>1271061.03</td>\n",
       "      <td>134.5794</td>\n",
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       "  </tbody>\n",
       "</table>\n",
       "<p>188 rows × 6 columns</p>\n",
       "</div>"
      ]
     },
     "execution_count": 88,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "execution_count": 88
  },
  {
   "metadata": {
    "ExecuteTime": {
     "end_time": "2026-01-20T02:28:38.147008Z",
     "start_time": "2026-01-20T02:28:38.094513Z"
    }
   },
   "cell_type": "code",
   "source": [
    "dailies_df['sma30'] = dailies_df['Close'].rolling(10).mean()\n",
    "dailies_df['sma60'] = dailies_df['Close'].rolling(30).mean()\n",
    "dailies_df.tail()"
   ],
   "id": "c558d68773d228c1",
   "outputs": [
    {
     "data": {
      "text/plain": [
       "                   Open        Close         High          Low      Volume  \\\n",
       "trade_date                                                                   \n",
       "2025-10-09  1493.155774  1502.380920  1503.698798  1485.248506  1047469.06   \n",
       "2025-10-10  1498.427286  1506.334554  1514.241822  1497.109408  1087947.75   \n",
       "2025-10-13  1491.837896  1502.380920  1510.288188  1486.566384  1168801.73   \n",
       "2025-10-14  1501.063042  1524.784846  1528.738480  1497.109408  1843428.36   \n",
       "2025-10-15  1526.130396  1534.205160  1536.896748  1515.364044  1271061.03   \n",
       "\n",
       "              factor        sma30        sma60  \n",
       "trade_date                                      \n",
       "2025-10-09  131.7878  1504.094161  1546.925196  \n",
       "2025-10-10  131.7878  1504.357737  1543.762289  \n",
       "2025-10-13  131.7878  1503.698798  1540.862958  \n",
       "2025-10-14  131.7878  1506.202766  1536.997182  \n",
       "2025-10-15  134.5794  1507.803737  1533.840781  "
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       "    <tr>\n",
       "      <th>2025-10-09</th>\n",
       "      <td>1493.155774</td>\n",
       "      <td>1502.380920</td>\n",
       "      <td>1503.698798</td>\n",
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       "      <th>2025-10-10</th>\n",
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       "      <td>1486.566384</td>\n",
       "      <td>1168801.73</td>\n",
       "      <td>131.7878</td>\n",
       "      <td>1503.698798</td>\n",
       "      <td>1540.862958</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2025-10-14</th>\n",
       "      <td>1501.063042</td>\n",
       "      <td>1524.784846</td>\n",
       "      <td>1528.738480</td>\n",
       "      <td>1497.109408</td>\n",
       "      <td>1843428.36</td>\n",
       "      <td>131.7878</td>\n",
       "      <td>1506.202766</td>\n",
       "      <td>1536.997182</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2025-10-15</th>\n",
       "      <td>1526.130396</td>\n",
       "      <td>1534.205160</td>\n",
       "      <td>1536.896748</td>\n",
       "      <td>1515.364044</td>\n",
       "      <td>1271061.03</td>\n",
       "      <td>134.5794</td>\n",
       "      <td>1507.803737</td>\n",
       "      <td>1533.840781</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ]
     },
     "execution_count": 97,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "execution_count": 97
  },
  {
   "metadata": {
    "ExecuteTime": {
     "end_time": "2026-01-20T02:28:09.232747Z",
     "start_time": "2026-01-20T02:28:09.215190Z"
    }
   },
   "cell_type": "code",
   "source": [
    "from backtesting import Strategy\n",
    "from backtesting.lib import crossover\n",
    "\n",
    "\n",
    "class SmaCross(Strategy):\n",
    "    def init(self):\n",
    "        pass\n",
    "\n",
    "    def next(self):\n",
    "        if crossover(self.data.sma30, self.data.sma60):\n",
    "            self.position.close()\n",
    "            self.buy()\n",
    "        elif crossover(self.data.sma60, self.data.sma30):\n",
    "            self.position.close()\n",
    "            self.sell()"
   ],
   "id": "b56aaaf4cad7bc7d",
   "outputs": [],
   "execution_count": 94
  },
  {
   "metadata": {
    "ExecuteTime": {
     "end_time": "2026-01-20T02:28:12.350117Z",
     "start_time": "2026-01-20T02:28:12.330024Z"
    }
   },
   "cell_type": "code",
   "source": [
    "def stats_print(stats):\n",
    "    indicator_name_mapping = {\n",
    "        'Start': '回测开始时间',\n",
    "        'End': '回测结束时间',\n",
    "        'Duration': '回测持续时长',\n",
    "        'Exposure Time [%]': '持仓时间占比（%）',\n",
    "        'Equity Final [$]': '最终权益',\n",
    "        'Equity Peak [$]': '权益峰值',\n",
    "        'Return [%]': '总收益率（%）',\n",
    "        'Buy & Hold Return [%]': '买入并持有收益率（%）',\n",
    "        'Return (Ann.) [%]': '年化收益率（%）',\n",
    "        'Volatility (Ann.) [%]': '年化波动率（%）',\n",
    "        'CAGR [%]': '复合年均增长率（%）',\n",
    "        'Sharpe Ratio': '夏普比率',\n",
    "        'Sortino Ratio': '索提诺比率',\n",
    "        'Calmar Ratio': '卡尔玛比率',\n",
    "        'Alpha [%]': '阿尔法系数（%）',\n",
    "        'Beta': '贝塔系数',\n",
    "        'Max. Drawdown [%]': '最大回撤（%）',\n",
    "        'Avg. Drawdown [%]': '平均回撤（%）',\n",
    "        'Max. Drawdown Duration': '最大回撤持续时长',\n",
    "        'Avg. Drawdown Duration': '平均回撤持续时长',\n",
    "        '# Trades': '交易总次数',\n",
    "        'Win Rate [%]': '胜率（%）',\n",
    "        'Best Trade [%]': '最佳单笔交易收益率（%）',\n",
    "        'Worst Trade [%]': '最差单笔交易收益率（%）',\n",
    "        'Avg. Trade [%]': '平均单笔交易收益率（%）',\n",
    "        'Max. Trade Duration': '单笔交易最长持有时长',\n",
    "        'Avg. Trade Duration': '单笔交易平均持有时长',\n",
    "        'Profit Factor': '盈利因子',\n",
    "        'Expectancy [%]': '期望收益（%）',\n",
    "        'SQN': '系统质量数',\n",
    "        'Kelly Criterion': '凯利准则',\n",
    "    }\n",
    "    for k, v in stats.items():\n",
    "        if k in indicator_name_mapping:\n",
    "            cn_name = indicator_name_mapping.get(k, k)\n",
    "            if isinstance(v, (int, float)):\n",
    "                if \"%\" in cn_name or k in ['Sharpe Ratio', 'Sortino Ratio', 'Calmar Ratio', 'Profit Factor']:\n",
    "                    formatted_value = f\"{v:.2f}\"\n",
    "                elif \"$\" in cn_name:\n",
    "                    formatted_value = f\"{v:.2f}\"\n",
    "                elif \"次数\" in cn_name:\n",
    "                    formatted_value = f\"{v:.0f}\"\n",
    "                else:\n",
    "                    formatted_value = f\"{v:.4f}\"\n",
    "            else:\n",
    "                formatted_value = str(v)\n",
    "            print(f'{cn_name}: {formatted_value}')"
   ],
   "id": "a23e811212958477",
   "outputs": [],
   "execution_count": 95
  },
  {
   "metadata": {
    "ExecuteTime": {
     "end_time": "2026-01-20T02:28:43.128279Z",
     "start_time": "2026-01-20T02:28:43.044156Z"
    }
   },
   "cell_type": "code",
   "source": [
    "from backtesting import Backtest\n",
    "\n",
    "bt = Backtest(dailies_df, SmaCross, cash=100000, commission=.002, finalize_trades=True)\n",
    "stats = bt.run()\n",
    "stats_print(stats)"
   ],
   "id": "afc750727129ff2e",
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "回测开始时间: 2025-01-02 00:00:00\n",
      "回测结束时间: 2025-10-15 00:00:00\n",
      "回测持续时长: 286 days 00:00:00\n",
      "持仓时间占比（%）: 71.81\n",
      "最终权益: 114727.4805\n",
      "权益峰值: 117838.4813\n",
      "总收益率（%）: 14.73\n",
      "买入并持有收益率（%）: 5.04\n",
      "年化收益率（%）: 20.22\n",
      "年化波动率（%）: 17.17\n",
      "复合年均增长率（%）: 12.87\n",
      "夏普比率: 1.18\n",
      "索提诺比率: 2.45\n",
      "卡尔玛比率: 2.21\n",
      "阿尔法系数（%）: 14.96\n",
      "贝塔系数: -0.0456\n",
      "最大回撤（%）: -9.13\n",
      "平均回撤（%）: -3.40\n",
      "最大回撤持续时长: 97 days 00:00:00\n",
      "平均回撤持续时长: 33 days 00:00:00\n",
      "交易总次数: 3\n",
      "胜率（%）: 66.67\n",
      "最佳单笔交易收益率（%）: 10.02\n",
      "最差单笔交易收益率（%）: -0.49\n",
      "平均单笔交易收益率（%）: 4.76\n",
      "单笔交易最长持有时长: 78 days 00:00:00\n",
      "单笔交易平均持有时长: 68 days 00:00:00\n",
      "盈利因子: 30.80\n",
      "期望收益（%）: 4.84\n",
      "系统质量数: 1.6469\n",
      "凯利准则: 0.6455\n"
     ]
    }
   ],
   "execution_count": 98
  }
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