234 lines
10 KiB
Python
234 lines
10 KiB
Python
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import os
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import pandas as pd
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import backtrader as bt
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import matplotlib.pyplot as plt
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from datetime import datetime, timedelta
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from utils import load_share_data
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# 自定义多头趋势策略
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class BullTrendStrategy(bt.Strategy):
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params = (
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('ma5_period', 5), # 短周期移动平均线
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('ma10_period', 10), # 中周期移动平均线
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('ma20_period', 20), # 长周期移动平均线
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('min_lot', 100), # 最小交易手数（一手）
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('stop_loss_pct', 5.0), # 止损百分比，5%
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('max_gain_pct', 5.0), # 最大涨幅限制
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)
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def __init__(self):
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# 初始化移动平均线指标
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self.ma5 = bt.indicators.SMA(self.data.close, period=self.params.ma5_period)
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self.ma10 = bt.indicators.SMA(self.data.close, period=self.params.ma10_period)
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self.ma20 = bt.indicators.SMA(self.data.close, period=self.params.ma20_period)
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# 记录多头趋势信号 (MA5 > MA10 > MA20)
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self.bull_trend = bt.indicators.And(self.ma5 > self.ma10, self.ma10 > self.ma20)
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# 记录MA10 > MA20的条件
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self.ma10_gt_ma20 = self.ma10 > self.ma20
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# 订单和买入价格
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self.order = None
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self.buy_price = None
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# 添加止损相关变量
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self.signal_low = None # 出现多头趋势信号时的最低价
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self.stop_loss_price = None # 止损价格
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# 日志
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self.log(
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f"策略初始化: MA5={self.params.ma5_period}, MA10={self.params.ma10_period}, MA20={self.params.ma20_period}, 止损={self.params.stop_loss_pct}%, 涨幅限制={self.params.max_gain_pct}%")
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def log(self, txt, dt=None):
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"""记录策略日志"""
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dt = dt or self.datas[0].datetime.date(0)
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print(f'{dt.isoformat()}, {txt}')
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def notify_order(self, order):
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if order.status in [order.Submitted, order.Accepted]:
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# 订单已提交/已接受，无需操作
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return
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# 检查订单是否已完成
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if order.status in [order.Completed]:
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if order.isbuy():
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self.buy_price = order.executed.price
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self.log(
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f'买入执行: 价格={order.executed.price:.2f}, 数量={order.executed.size}, 成本={order.executed.value:.2f}, 手续费={order.executed.comm:.2f}')
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else: # 卖出
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profit = (order.executed.price - self.buy_price) * order.executed.size
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profit_pct = (order.executed.price - self.buy_price) / self.buy_price * 100
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self.log(
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f'卖出执行: 价格={order.executed.price:.2f}, 数量={order.executed.size}, 盈亏={profit:.2f}元 ({profit_pct:.2f}%), 手续费={order.executed.comm:.2f}')
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# 清除止损价格和信号最低价
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self.stop_loss_price = None
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self.signal_low = None
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self.buy_price = None
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elif order.status in [order.Canceled, order.Margin, order.Rejected]:
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self.log(f'订单取消/拒绝/保证金不足: {order.status}')
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# 重置订单
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self.order = None
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def next(self):
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# 如果有未完成的订单，不进行操作
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if self.order:
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return
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# 检查是否已持仓
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if not self.position:
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# 没有持仓 - 检查是否符合买入条件
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# 条件1：T日是多头趋势，且T-1日是MA10>MA20但MA5不满足的状态
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if (self.bull_trend[0] and # T日是多头趋势
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self.ma10_gt_ma20[-1] and # T-1日MA10>MA20
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not self.bull_trend[-1]): # T-1日不是完全多头趋势(即MA5不满足)
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# 条件2：T日为阳线（收盘价>开盘价）
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is_bullish = self.data.close[0] > self.data.open[0]
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# 条件3：T日涨幅不超过5%
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daily_gain_pct = (self.data.close[0] - self.data.close[-1]) / self.data.close[-1] * 100
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valid_gain = daily_gain_pct <= self.params.max_gain_pct
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# 所有条件满足才进行买入
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if is_bullish and valid_gain:
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# 记录出现多头趋势信号时的最低价
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self.signal_low = self.data.low[0]
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# 计算止损价格（比信号出现时最低价低5%）
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self.stop_loss_price = self.signal_low * (1 - self.params.stop_loss_pct / 100)
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self.log(f'买入信号! T日多头趋势，T-1日MA10>MA20但MA5不满足')
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self.log(f'当前MA5={self.ma5[0]:.2f}, MA10={self.ma10[0]:.2f}, MA20={self.ma20[0]:.2f}')
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self.log(f'昨日MA5={self.ma5[-1]:.2f}, MA10={self.ma10[-1]:.2f}, MA20={self.ma20[-1]:.2f}')
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self.log(f'K线为阳线，当日涨幅={daily_gain_pct:.2f}%，在限制{self.params.max_gain_pct}%以内')
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self.log(
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f'设置止损价格: {self.stop_loss_price:.2f} (信号最低价{self.signal_low:.2f}的{self.params.stop_loss_pct}%)')
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# 计算可以买入的股数（必须是100的整数倍）
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available_cash = self.broker.getcash() * 0.95 # 保留5%现金
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price = self.data.close[0]
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size = int(available_cash / price / self.params.min_lot) * self.params.min_lot
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if size >= self.params.min_lot:
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self.log(f'设置购买订单，下一个开盘价，数量={size}股')
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# 下一个bar开盘价买入
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self.order = self.buy(size=size, exectype=bt.Order.Market)
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else:
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self.log(
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f'资金不足，无法购买最小手数: 需要{self.params.min_lot}股，当前资金只能买{int(available_cash / price)}股')
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elif self.bull_trend[0]:
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# 显示为什么不买入的原因
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if not is_bullish:
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self.log(
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f'符合多头趋势但不买入: K线不是阳线 (开盘={self.data.open[0]:.2f}, 收盘={self.data.close[0]:.2f})')
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elif not valid_gain:
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self.log(
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f'符合多头趋势但不买入: 当日涨幅={daily_gain_pct:.2f}%，超过限制{self.params.max_gain_pct}%')
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else:
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# 已经持仓 - 检查是否应该卖出
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# 检查止损条件 - 如果当前最低价低于止损价格
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if self.data.low[0] <= self.stop_loss_price:
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self.log(f'触发止损! 当前最低价={self.data.low[0]:.2f} 低于止损价={self.stop_loss_price:.2f}')
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self.log(f'设置止损卖出订单，下一个开盘价')
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# 下一个bar开盘价卖出全部持仓
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self.order = self.sell(size=self.position.size, exectype=bt.Order.Market)
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# 当T日不是多头趋势时，T+1日开盘卖出
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elif not self.bull_trend[0]:
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self.log(f'卖出信号! 当前非多头趋势')
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self.log(f'MA5={self.ma5[0]:.2f}, MA10={self.ma10[0]:.2f}, MA20={self.ma20[0]:.2f}')
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self.log(f'设置卖出订单，下一个开盘价')
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# 下一个bar开盘价卖出全部持仓
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self.order = self.sell(size=self.position.size, exectype=bt.Order.Market)
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def run_backtest(stock_code, start_date=None, end_date=None, ma5_period=5, ma10_period=10, ma20_period=20,
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initial_cash=100000):
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# 创建cerebro引擎
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cerebro = bt.Cerebro()
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# 添加策略
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cerebro.addstrategy(BullTrendStrategy,
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ma5_period=ma5_period,
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ma10_period=ma10_period,
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ma20_period=ma20_period)
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# 加载数据
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df = load_share_data(stock_code, 'daily', start_date, end_date)
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# 创建数据源
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data = bt.feeds.PandasData(dataname=df)
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# 添加数据到cerebro
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cerebro.adddata(data)
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# 设置初始资金
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cerebro.broker.setcash(initial_cash)
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# 设置手续费 (0.1%)
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cerebro.broker.setcommission(commission=0.001)
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# 设置滑点 (0.1%)
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cerebro.broker.set_slippage_perc(0.001)
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# 添加分析器
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cerebro.addanalyzer(bt.analyzers.SharpeRatio, _name='sharpe')
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cerebro.addanalyzer(bt.analyzers.DrawDown, _name='drawdown')
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cerebro.addanalyzer(bt.analyzers.Returns, _name='returns')
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cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name='trades')
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# 显示起始资金
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print(f'起始资金: {cerebro.broker.getvalue():.2f}')
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# 运行回测
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results = cerebro.run()
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strategy = results[0]
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# 显示结束资金
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final_value = cerebro.broker.getvalue()
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print(f'结束资金: {final_value:.2f}')
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print(f'总收益率: {(final_value - initial_cash) / initial_cash * 100:.2f}%')
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# 显示分析结果
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print(f'夏普比率: {strategy.analyzers.sharpe.get_analysis()["sharperatio"]:.3f}')
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print(f'最大回撤: {strategy.analyzers.drawdown.get_analysis()["max"]["drawdown"]:.2f}%')
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print(f'年化收益率: {strategy.analyzers.returns.get_analysis()["rnorm100"]:.2f}%')
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# 交易统计
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trade_analysis = strategy.analyzers.trades.get_analysis()
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if trade_analysis.get('total', {}).get('total', 0) > 0:
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print(f'总交易次数: {trade_analysis["total"]["total"]}')
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print(f'盈利交易: {trade_analysis.get("won", {}).get("total", 0)}')
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print(f'亏损交易: {trade_analysis.get("lost", {}).get("total", 0)}')
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if trade_analysis.get("won", {}).get("total", 0) > 0:
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print(f'平均盈利: {trade_analysis["won"]["pnl"]["average"]:.2f}')
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if trade_analysis.get("lost", {}).get("total", 0) > 0:
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print(f'平均亏损: {trade_analysis["lost"]["pnl"]["average"]:.2f}')
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# 绘制结果
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cerebro.plot(style='candle', figsize=(20, 10), barup='red', bardown='green')
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if __name__ == "__main__":
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# 回测参数
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stock_code = '002737.SZ' # 指定股票代码
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start_date = '20200101' # 开始日期
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end_date = '20250403' # 结束日期 (请注意使用实际下载数据的日期范围)
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ma5_period = 5 # MA5周期
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ma10_period = 10 # MA10周期
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ma20_period = 20 # MA20周期
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initial_cash = 100000 # 初始资金
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# 运行回测
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run_backtest(
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stock_code=stock_code,
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start_date=start_date,
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end_date=end_date,
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ma5_period=ma5_period,
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ma10_period=ma10_period,
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ma20_period=ma20_period,
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initial_cash=initial_cash
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)
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