121 lines
4.2 KiB
Python
Executable File
121 lines
4.2 KiB
Python
Executable File
#!/usr/bin/env python3
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import argparse
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import sys
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import tabulate
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import backtest_core
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def parse_arguments():
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parser = argparse.ArgumentParser(description="量化回测工具", formatter_class=argparse.RawDescriptionHelpFormatter)
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parser.add_argument("--codes", type=str, nargs="+", required=True, help="股票代码列表 (如: 000001.SZ 600000.SH)", )
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parser.add_argument("--start-date", type=str, required=True, help="回测开始日期 (格式: YYYY-MM-DD)", )
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parser.add_argument("--end-date", type=str, required=True, help="回测结束日期 (格式: YYYY-MM-DD)", )
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parser.add_argument("--strategy-file", type=str, required=True, help="策略文件路径 (如: strategy.py)", )
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parser.add_argument("--cash", type=float, default=100000, help="初始资金 (默认: 100000)", )
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parser.add_argument("--commission", type=float, default=0.002, help="手续费率 (默认: 0.002)", )
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parser.add_argument("--warmup-days", type=int, default=365, help="预热天数 (默认: 365，约一年)", )
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parser.add_argument("--output-dir", type=str, default=None, help="HTML 图表输出目录 (可选，为每个股票生成 {code}.html)", )
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return parser.parse_args()
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def format_single_result(result: backtest_core.BacktestResult):
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print("=" * 60)
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print(f"股票代码: {result.code}")
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print("=" * 60)
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indicator_mapping = {
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"最终收益": f"{result.equity_final:.2f}",
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"峰值收益": f"{result.equity_peak:.2f}",
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"总收益率（%）": f"{result.return_pct:.2f}",
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"买入并持有收益率（%）": f"{result.buy_hold_return_pct:.2f}",
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"年化收益率（%）": f"{result.return_ann_pct:.2f}",
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"年化波动率（%）": f"{result.volatility_ann_pct:.2f}",
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"索提诺比率": f"{result.sortino_ratio:.2f}",
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"卡尔玛比率": f"{result.calmar_ratio:.2f}",
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"最大回撤（%）": f"{result.max_drawdown_pct:.2f}",
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"平均回撤（%）": f"{result.avg_drawdown_pct:.2f}",
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"最大回撤持续时长": f"{result.max_drawdown_duration:.0f} 天",
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"平均回撤持续时长": f"{result.avg_drawdown_duration:.0f} 天",
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"总交易次数": f"{result.num_trades:.0f}",
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"胜率（%）": f"{result.win_rate_pct:.2f}",
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"系统质量数": f"{result.sqn:.2f}",
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}
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for name, value in indicator_mapping.items():
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print(f"{name}: {value}")
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print("=" * 60)
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def format_batch_results(results: list[backtest_core.BacktestResult]):
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table_data = []
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for result in results:
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table_data.append(
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[
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result.code,
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f"{result.return_pct:.2f}",
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f"{result.buy_hold_return_pct:.2f}",
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f"{result.return_ann_pct:.2f}",
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f"{result.volatility_ann_pct:.2f}",
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f"{result.win_rate_pct:.2f}",
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f"{result.max_drawdown_pct:.2f}",
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f"{result.sortino_ratio:.2f}",
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f"{result.num_trades:.0f}",
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f"{result.sqn:.2f}",
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]
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)
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headers = [
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"股票代码",
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"收益率%",
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"买入持有%",
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"年化收益%",
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"年化波动%",
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"胜率%",
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"最大回撤%",
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"索提诺比率",
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"交易次数",
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"SQN",
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]
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print(tabulate.tabulate(table_data, headers=headers, tablefmt="grid"))
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def main():
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args = parse_arguments()
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try:
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results = backtest_core.run_batch_backtest(
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codes=args.codes,
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start_date=args.start_date,
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end_date=args.end_date,
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strategy_file=args.strategy_file,
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cash=args.cash,
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commission=args.commission,
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warmup_days=args.warmup_days,
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output_dir=args.output_dir,
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show_progress=True,
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)
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if len(results) == 1:
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format_single_result(results[0])
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else:
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format_batch_results(results)
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if args.output_dir:
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print(f"\n图表已保存到: {args.output_dir}/")
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except Exception as e:
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print(f"\n错误: {e}")
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import traceback
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traceback.print_exc()
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sys.exit(1)
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if __name__ == "__main__":
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main()
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