@kamuira/stock-analyzer 1.0.5 → 1.2.2
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/README.md +176 -189
- package/analyze.js +57 -918
- package/backtest.js +309 -352
- package/bin/analyze.js +0 -0
- package/bin/backtest.js +0 -0
- package/bin/server.js +0 -0
- package/dev.js +8 -1
- package/indicators.js +538 -0
- package/package.json +9 -3
- package/scoring.js +541 -0
- package/server.js +69 -1532
- package/stock.js +0 -181
package/backtest.js
CHANGED
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@@ -1,386 +1,309 @@
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/**
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*
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*
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*
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* 回测引擎 — P1 事件驱动版
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*
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* 关键变化(相比 P0):
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* 1. 信号去重:已持仓时同向信号不重复入场
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* 2. 止损止盈退出:用 scoring.js 提供的 stopLoss / takeProfit1,而不是固定持有 N 天
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* 3. 反向信号退出:多头持仓时出现 score<=-5,立即平仓
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* 4. 大盘环境过滤:每日重新计算上证趋势,与实盘一致
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* 5. 完整交易记录:返回每笔"入场→退出"的完整流水
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*
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* 用法: node backtest.js [sz002049|sh601138|2330|all]
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*/
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const
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const
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const { fetchHistory, fetchTWHistory } = require('./analyze');
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const { computeBacktestSnapshot } = require('./scoring');
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const { SMA } = require('./indicators');
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// ====================
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// ==================== 大盘环境(任意历史时点) ====================
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const client = res.headers.location.startsWith('https') ? https : http;
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client.get(res.headers.location, { headers: { 'User-Agent': 'Mozilla/5.0' } }, (res2) => {
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collectRes(res2, code, resolve, reject);
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}).on('error', reject);
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return;
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}
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collectRes(res, code, resolve, reject);
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}).on('error', reject);
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});
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}
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function collectRes(res, code, resolve, reject) {
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const chunks = [];
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res.on('data', c => chunks.push(c));
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res.on('end', () => {
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try {
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const json = JSON.parse(Buffer.concat(chunks).toString('utf-8'));
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if (!json.data || !json.data[code]) { resolve([]); return; }
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const klines = json.data[code].qfqday || json.data[code].day || [];
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resolve(klines.map(item => ({
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date: item[0], open: parseFloat(item[1]), close: parseFloat(item[2]),
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high: parseFloat(item[3]), low: parseFloat(item[4]), volume: parseInt(item[5]) || 0,
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})));
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} catch (e) { reject(e); }
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});
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}
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function fetchTWHistory(code, days = 250) {
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return new Promise((resolve, reject) => {
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const num = code.replace(/^tw/i, '');
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const symbol = `${num}.TW`;
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const period2 = Math.floor(Date.now() / 1000);
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const period1 = period2 - Math.floor(days * 24 * 60 * 60 * 1.5);
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const url = `/v8/finance/chart/${symbol}?period1=${period1}&period2=${period2}&interval=1d`;
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https.get({ hostname: 'query1.finance.yahoo.com', path: url, headers: { 'User-Agent': 'Mozilla/5.0' } }, (res) => {
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if (res.statusCode === 301 || res.statusCode === 302) {
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https.get(res.headers.location, { headers: { 'User-Agent': 'Mozilla/5.0' } }, (res2) => {
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collectTW(res2, resolve, reject);
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}).on('error', reject);
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return;
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}
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collectTW(res, resolve, reject);
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}).on('error', reject);
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});
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}
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function collectTW(res, resolve, reject) {
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const chunks = [];
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res.on('data', c => chunks.push(c));
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res.on('end', () => {
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try {
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const json = JSON.parse(Buffer.concat(chunks).toString('utf-8'));
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const result = json.chart && json.chart.result && json.chart.result[0];
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if (!result || !result.timestamp) { resolve([]); return; }
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const ts = result.timestamp, q = result.indicators.quote[0];
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const klines = [];
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for (let i = 0; i < ts.length; i++) {
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if (q.close[i] === null) continue;
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const d = new Date(ts[i] * 1000);
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klines.push({
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date: `${d.getFullYear()}-${String(d.getMonth()+1).padStart(2,'0')}-${String(d.getDate()).padStart(2,'0')}`,
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open: +(q.open[i]||0).toFixed(2), close: +(q.close[i]||0).toFixed(2),
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high: +(q.high[i]||0).toFixed(2), low: +(q.low[i]||0).toFixed(2),
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volume: Math.round((q.volume[i]||0)/1000),
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});
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}
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resolve(klines);
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} catch (e) { reject(e); }
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});
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}
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// ==================== 简化版技术分析（用于回测） ====================
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function SMA(data, period) {
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const result = [];
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for (let i = 0; i < data.length; i++) {
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if (i < period - 1) { result.push(null); continue; }
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let sum = 0;
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for (let j = i - period + 1; j <= i; j++) sum += data[j];
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result.push(+(sum / period).toFixed(3));
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/**
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* 给定上证指数 K 线和某个日期,返回那天的大盘环境
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* 用于回测时让每一天都看到"当时"的大盘状态,与实盘 getMarketEnvironment 一致
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*/
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function getMarketEnvAtDate(indexKlines, date) {
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// 找 date 当天或最近的前一交易日
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let idx = -1;
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for (let i = indexKlines.length - 1; i >= 0; i--) {
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if (indexKlines[i].date <= date) { idx = i; break; }
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}
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return
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if (idx < 20) return { trend: 'neutral', score: 0, signals: ['大盘数据不足'] };
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const slice = indexKlines.slice(0, idx + 1);
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const closes = slice.map(k => k.close);
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const n = closes.length;
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const ma5 = SMA(closes, 5);
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const ma20 = SMA(closes, 20);
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const trend20 = (closes[n - 1] - closes[n - 20]) / closes[n - 20] * 100;
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let trend = 'neutral', score = 0;
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const signals = [];
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if (ma5[n - 1] > ma20[n - 1] && trend20 > 2) { trend = 'bull'; score = 1; signals.push(`上证偏强: 20日涨${trend20.toFixed(1)}%`); }
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else if (ma5[n - 1] < ma20[n - 1] && trend20 < -2) { trend = 'bear'; score = -1; signals.push(`上证偏弱: 20日跌${trend20.toFixed(1)}%`); }
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else { signals.push(`上证震荡: 20日${trend20.toFixed(1)}%`); }
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return { trend, score, signals };
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}
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const result = [];
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const k = 2 / (period + 1);
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for (let i = 0; i < data.length; i++) {
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if (i === 0) { result.push(data[0]); continue; }
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result.push(+(data[i] * k + result[i - 1] * (1 - k)).toFixed(3));
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}
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return result;
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}
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// ==================== 事件驱动回测引擎 ====================
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/**
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* @param {Array} klines 标的 K 线
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* @param {Object} options
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* - startIdx 从第几天开始(默认 60,保证指标有足够数据)
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* - maxHoldDays 单笔最大持仓天数(默认 30)
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* - indexKlines 上证指数 K 线(可选,用于大盘环境过滤)
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* - scoreBuy 买入阈值(默认 5)
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* - scoreSell 卖出阈值(默认 -5)
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* - enableShort 是否回测做空(默认 false,只做多)
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* - trailing 是否启用跟踪止损(默认 true)
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* Chandelier Exit:stopLoss = max(原止损, 持仓最高价 - 2.5×ATR)
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* - trailingATR 跟踪止损的 ATR 倍数(默认 2.5)
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* - useTP1 是否在 TP1 止盈(默认 false,跟踪止损接管止盈)
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* 关闭后,只靠跟踪止损 + 反向信号 + 超时退出 — 经典趋势跟随风格
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*/
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function backtest(klines, options = {}) {
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const {
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startIdx = 60,
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maxHoldDays = 30,
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indexKlines = null,
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scoreBuy = 5,
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scoreSell = -5,
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enableShort = false,
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trailing = false, // 默认关闭(高波动股开了反而拖累累计收益)
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trailingATR = 2.5,
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useTP1 = true,
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} = options;
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const n = klines.length;
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const trades = [];
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let position = null;
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const
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if (
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for (let i = startIdx; i < n; i++) {
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const today = klines[i];
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const mEnv = indexKlines ? getMarketEnvAtDate(indexKlines, today.date) : null;
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if (position === null) {
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// ===== 空仓:扫描入场信号 =====
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const snap = computeBacktestSnapshot(klines, i, { marketEnv: mEnv });
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if (!snap) continue;
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if (snap.score >= scoreBuy) {
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position = {
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type: 'long',
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entryIdx: i, entryDate: today.date, entryPrice: today.close,
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entryScore: snap.score,
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entryATR: snap.atr || 0,
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peakPrice: today.close, // 持仓期间最高价(跟踪止损用)
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troughPrice: today.close, // 持仓期间最低价(做空跟踪用)
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stopLoss: snap.stopLoss,
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initialStopLoss: snap.stopLoss, // 记录初始止损,便于报告
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takeProfit1: snap.takeProfit1,
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takeProfit2: snap.takeProfit2,
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};
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} else if (enableShort && snap.score <= scoreSell) {
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position = {
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type: 'short',
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entryIdx: i, entryDate: today.date, entryPrice: today.close,
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entryScore: snap.score,
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entryATR: snap.atr || 0,
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peakPrice: today.close,
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troughPrice: today.close,
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stopLoss: snap.takeProfit1,
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initialStopLoss: snap.takeProfit1,
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takeProfit1: snap.stopLoss,
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takeProfit2: null,
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};
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}
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continue;
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}
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const avgGain = gains / period, avgLoss = losses / period;
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const rs = avgLoss === 0 ? 100 : avgGain / avgLoss;
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result.push(+(100 - 100 / (1 + rs)).toFixed(2));
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}
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return result;
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}
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for (let i = 0; i < closes.length; i++) {
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if (i === 0) { plusDM.push(0); minusDM.push(0); tr.push(highs[i] - lows[i]); continue; }
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const upMove = highs[i] - highs[i - 1], downMove = lows[i - 1] - lows[i];
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plusDM.push(upMove > downMove && upMove > 0 ? upMove : 0);
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minusDM.push(downMove > upMove && downMove > 0 ? downMove : 0);
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tr.push(Math.max(highs[i] - lows[i], Math.abs(highs[i] - closes[i-1]), Math.abs(lows[i] - closes[i-1])));
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}
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const atr = EMA(tr, period);
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const sPDM = EMA(plusDM, period), sMDM = EMA(minusDM, period);
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const plusDI = [], minusDI = [], dx = [];
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for (let i = 0; i < closes.length; i++) {
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const pdi = atr[i] > 0 ? (sPDM[i] / atr[i]) * 100 : 0;
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const mdi = atr[i] > 0 ? (sMDM[i] / atr[i]) * 100 : 0;
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plusDI.push(pdi); minusDI.push(mdi);
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const sum = pdi + mdi;
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dx.push(sum > 0 ? (Math.abs(pdi - mdi) / sum) * 100 : 0);
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}
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return { plusDI, minusDI, adx: EMA(dx, period) };
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}
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// ===== 持仓中:检查退出条件 =====
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let exitReason = null, exitPrice = null;
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const slice = klines.slice(0, idx + 1);
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const closes = slice.map(k => k.close);
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const highs = slice.map(k => k.high);
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const lows = slice.map(k => k.low);
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const volumes = slice.map(k => k.volume);
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const n = closes.length;
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const last = n - 1;
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// 更新持仓期间的高低水位
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if (today.high > position.peakPrice) position.peakPrice = today.high;
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if (today.low < position.troughPrice) position.troughPrice = today.low;
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else if (ma5[last] < ma10[last] && ma10[last] < ma20[last]) score -= 2;
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if (closes[last] > ma20[last]) score += 1; else score -= 1;
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if (ma5[last] > ma10[last] && ma5[last - 1] <= ma10[last - 1]) score += 2;
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else if (ma5[last] < ma10[last] && ma5[last - 1] >= ma10[last - 1]) score -= 2;
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// MACD
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if (macd.dif[last] > macd.dea[last] && macd.dif[last - 1] <= macd.dea[last - 1]) score += 3;
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else if (macd.dif[last] < macd.dea[last] && macd.dif[last - 1] >= macd.dea[last - 1]) score -= 3;
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if (macd.dif[last] > 0) score += 1; else score -= 1;
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if (macd.histogram[last] > macd.histogram[last - 1]) score += 1; else score -= 1;
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const rsiVal = rsi[last];
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if (rsiVal < 30) score += 2;
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else if (rsiVal > 70) score -= 2;
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else if (rsiVal >= 50) score += 1;
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}
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// 跟踪止损:Chandelier Exit
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// 做多:trailStop = peak - N×ATR,只上调不下调
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// 做空:trailStop = trough + N×ATR,只下调不上调
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if (trail > position.stopLoss) position.stopLoss = +trail.toFixed(2);
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} else {
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if (trail < position.stopLoss) position.stopLoss = +trail.toFixed(2);
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}
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}
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if (today.low <= position.stopLoss) {
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exitReason = position.stopLoss > position.initialStopLoss ? 'trailingStop' : 'stopLoss';
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exitPrice = today.open <= position.stopLoss ? today.open : position.stopLoss;
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}
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else if (useTP1 && today.high >= position.takeProfit1) {
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exitReason = 'takeProfit';
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exitPrice = today.open >= position.takeProfit1 ? today.open : position.takeProfit1;
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}
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else {
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const snap = computeBacktestSnapshot(klines, i, { marketEnv: mEnv });
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if (snap && snap.score <= scoreSell) { exitReason = 'reverseSignal'; exitPrice = today.close; }
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else if (i - position.entryIdx >= maxHoldDays) { exitReason = 'timeout'; exitPrice = today.close; }
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}
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} else {
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if (today.high >= position.stopLoss) {
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exitReason = position.stopLoss < position.initialStopLoss ? 'trailingStop' : 'stopLoss';
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exitPrice = today.open >= position.stopLoss ? today.open : position.stopLoss;
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} else if (useTP1 && today.low <= position.takeProfit1) {
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exitReason = 'takeProfit';
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exitPrice = today.open <= position.takeProfit1 ? today.open : position.takeProfit1;
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} else {
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const snap = computeBacktestSnapshot(klines, i, { marketEnv: mEnv });
|
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if (snap && snap.score >= scoreBuy) { exitReason = 'reverseSignal'; exitPrice = today.close; }
|
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else if (i - position.entryIdx >= maxHoldDays) { exitReason = 'timeout'; exitPrice = today.close; }
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}
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}
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if (exitReason) {
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const returnPct = position.type === 'long'
|
|
167
|
+
? (exitPrice - position.entryPrice) / position.entryPrice * 100
|
|
168
|
+
: (position.entryPrice - exitPrice) / position.entryPrice * 100;
|
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trades.push({
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type: position.type,
|
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entryIdx: position.entryIdx, entryDate: position.entryDate, entryPrice: position.entryPrice,
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entryScore: position.entryScore,
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exitIdx: i, exitDate: today.date, exitPrice: +exitPrice.toFixed(2),
|
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exitReason,
|
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175
|
+
returnPct: +returnPct.toFixed(2),
|
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|
+
holdDays: i - position.entryIdx,
|
|
177
|
+
stopLoss: position.stopLoss, takeProfit1: position.takeProfit1,
|
|
178
|
+
});
|
|
179
|
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position = null;
|
|
180
|
+
}
|
|
219
181
|
}
|
|
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182
|
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|
-
//
|
|
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-
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|
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232
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-
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|
-
|
|
183
|
+
// 数据末尾还有持仓:按最后收盘强制平仓
|
|
184
|
+
if (position) {
|
|
185
|
+
const last = n - 1;
|
|
186
|
+
const exitPrice = klines[last].close;
|
|
187
|
+
const returnPct = position.type === 'long'
|
|
188
|
+
? (exitPrice - position.entryPrice) / position.entryPrice * 100
|
|
189
|
+
: (position.entryPrice - exitPrice) / position.entryPrice * 100;
|
|
190
|
+
trades.push({
|
|
191
|
+
type: position.type,
|
|
192
|
+
entryIdx: position.entryIdx, entryDate: position.entryDate, entryPrice: position.entryPrice,
|
|
193
|
+
entryScore: position.entryScore,
|
|
194
|
+
exitIdx: last, exitDate: klines[last].date, exitPrice: +exitPrice.toFixed(2),
|
|
195
|
+
exitReason: 'endOfData',
|
|
196
|
+
returnPct: +returnPct.toFixed(2),
|
|
197
|
+
holdDays: last - position.entryIdx,
|
|
198
|
+
stopLoss: position.stopLoss, takeProfit1: position.takeProfit1,
|
|
199
|
+
});
|
|
234
200
|
}
|
|
235
201
|
|
|
236
|
-
|
|
237
|
-
if (adxVal < 15) score = Math.round(score * 0.4);
|
|
238
|
-
else if (adxVal < 20) score = Math.round(score * 0.6);
|
|
239
|
-
|
|
240
|
-
// === 优化: 量能确认 ===
|
|
241
|
-
if (score > 5 && vol5Expand) score = Math.round(score * 1.15);
|
|
242
|
-
else if (score > 5 && vol5Shrink) score = Math.round(score * 0.8);
|
|
243
|
-
|
|
244
|
-
return score;
|
|
202
|
+
return summarize(trades, klines);
|
|
245
203
|
}
|
|
246
204
|
|
|
247
|
-
// ====================
|
|
248
|
-
|
|
249
|
-
function
|
|
250
|
-
const
|
|
251
|
-
const
|
|
252
|
-
|
|
253
|
-
|
|
254
|
-
|
|
255
|
-
|
|
256
|
-
|
|
257
|
-
|
|
258
|
-
|
|
259
|
-
|
|
260
|
-
|
|
261
|
-
|
|
262
|
-
|
|
263
|
-
|
|
264
|
-
|
|
205
|
+
// ==================== 汇总统计 ====================
|
|
206
|
+
|
|
207
|
+
function summarize(trades, klines) {
|
|
208
|
+
const longs = trades.filter(t => t.type === 'long');
|
|
209
|
+
const shorts = trades.filter(t => t.type === 'short');
|
|
210
|
+
|
|
211
|
+
function stats(group) {
|
|
212
|
+
if (group.length === 0) return null;
|
|
213
|
+
const wins = group.filter(t => t.returnPct > 0);
|
|
214
|
+
const losses = group.filter(t => t.returnPct <= 0);
|
|
215
|
+
const returns = group.map(t => t.returnPct);
|
|
216
|
+
const holdDaysArr = group.map(t => t.holdDays);
|
|
217
|
+
const sum = returns.reduce((a, b) => a + b, 0);
|
|
218
|
+
const reasonCount = {};
|
|
219
|
+
for (const t of group) reasonCount[t.exitReason] = (reasonCount[t.exitReason] || 0) + 1;
|
|
220
|
+
return {
|
|
221
|
+
total: group.length,
|
|
222
|
+
wins: wins.length,
|
|
223
|
+
losses: losses.length,
|
|
224
|
+
winRate: +(wins.length / group.length * 100).toFixed(1),
|
|
225
|
+
avgReturn: +(sum / group.length).toFixed(2),
|
|
226
|
+
totalReturn: +sum.toFixed(2),
|
|
227
|
+
maxWin: +Math.max(...returns).toFixed(2),
|
|
228
|
+
maxLoss: +Math.min(...returns).toFixed(2),
|
|
229
|
+
avgHoldDays: +(holdDaysArr.reduce((a, b) => a + b, 0) / group.length).toFixed(1),
|
|
230
|
+
exitReasons: reasonCount,
|
|
231
|
+
// 期望值 / 凯利公式所需的盈亏比
|
|
232
|
+
avgWin: wins.length > 0 ? +(wins.reduce((a, t) => a + t.returnPct, 0) / wins.length).toFixed(2) : 0,
|
|
233
|
+
avgLoss: losses.length > 0 ? +(losses.reduce((a, t) => a + t.returnPct, 0) / losses.length).toFixed(2) : 0,
|
|
265
234
|
};
|
|
266
235
|
}
|
|
267
236
|
|
|
268
|
-
|
|
269
|
-
|
|
270
|
-
|
|
271
|
-
|
|
272
|
-
|
|
273
|
-
|
|
274
|
-
|
|
275
|
-
if (score >= 5) { signalType = 'buy'; results.buySignals++; }
|
|
276
|
-
else if (score <= -5) { signalType = 'sell'; results.sellSignals++; }
|
|
277
|
-
else { results.neutralSignals++; continue; }
|
|
278
|
-
|
|
279
|
-
const entryPrice = klines[i].close;
|
|
280
|
-
|
|
281
|
-
for (const days of holdDays) {
|
|
282
|
-
const exitIdx = Math.min(i + days, n - 1);
|
|
283
|
-
if (exitIdx <= i) continue;
|
|
284
|
-
const exitPrice = klines[exitIdx].close;
|
|
285
|
-
const returnPct = +((exitPrice - entryPrice) / entryPrice * 100).toFixed(2);
|
|
286
|
-
|
|
287
|
-
const period = results.holdPeriods[days];
|
|
288
|
-
if (signalType === 'buy') {
|
|
289
|
-
period.buyTotalReturn += returnPct;
|
|
290
|
-
period.buyReturns.push(returnPct);
|
|
291
|
-
if (returnPct > 0) period.buyWins++; else period.buyLosses++;
|
|
292
|
-
} else {
|
|
293
|
-
// 卖出信号：做空收益 = -returnPct
|
|
294
|
-
const shortReturn = -returnPct;
|
|
295
|
-
period.sellTotalReturn += shortReturn;
|
|
296
|
-
period.sellReturns.push(shortReturn);
|
|
297
|
-
if (shortReturn > 0) period.sellWins++; else period.sellLosses++;
|
|
298
|
-
}
|
|
299
|
-
}
|
|
300
|
-
|
|
301
|
-
trades.push({ date: klines[i].date, signal: signalType, score, price: entryPrice });
|
|
302
|
-
}
|
|
303
|
-
|
|
304
|
-
return { results, trades };
|
|
237
|
+
return {
|
|
238
|
+
trades,
|
|
239
|
+
long: stats(longs),
|
|
240
|
+
short: stats(shorts),
|
|
241
|
+
dataRange: klines.length > 0 ? `${klines[0].date} ~ ${klines[klines.length - 1].date}` : '',
|
|
242
|
+
totalDays: klines.length,
|
|
243
|
+
};
|
|
305
244
|
}
|
|
306
245
|
|
|
307
|
-
// ====================
|
|
246
|
+
// ==================== 报告输出 ====================
|
|
308
247
|
|
|
309
248
|
function formatBacktestReport(code, klines, btResult) {
|
|
310
|
-
const { results, trades } = btResult;
|
|
311
249
|
const lines = [];
|
|
312
|
-
|
|
313
|
-
|
|
314
|
-
lines.push(
|
|
315
|
-
lines.push(`
|
|
316
|
-
lines.push(
|
|
317
|
-
|
|
318
|
-
|
|
319
|
-
|
|
320
|
-
|
|
321
|
-
|
|
322
|
-
|
|
323
|
-
|
|
324
|
-
|
|
325
|
-
lines.push('');
|
|
326
|
-
lines.push('─'.repeat(60));
|
|
327
|
-
lines.push(`【买入信号验证】 (信号发出后持有N天的收益)`);
|
|
328
|
-
lines.push('');
|
|
329
|
-
|
|
330
|
-
for (const [days, period] of Object.entries(results.holdPeriods)) {
|
|
331
|
-
const totalBuy = period.buyWins + period.buyLosses;
|
|
332
|
-
if (totalBuy === 0) continue;
|
|
333
|
-
const winRate = (period.buyWins / totalBuy * 100).toFixed(1);
|
|
334
|
-
const avgReturn = (period.buyTotalReturn / totalBuy).toFixed(2);
|
|
335
|
-
const maxWin = period.buyReturns.length > 0 ? Math.max(...period.buyReturns).toFixed(2) : 0;
|
|
336
|
-
const maxLoss = period.buyReturns.length > 0 ? Math.min(...period.buyReturns).toFixed(2) : 0;
|
|
337
|
-
|
|
338
|
-
lines.push(` 持有${days}天: 胜率=${winRate}% | 平均收益=${avgReturn}% | 最大盈利=${maxWin}% | 最大亏损=${maxLoss}%`);
|
|
250
|
+
const { long, short, trades, dataRange } = btResult;
|
|
251
|
+
|
|
252
|
+
lines.push('═'.repeat(64));
|
|
253
|
+
lines.push(` 回测报告: ${code} [事件驱动 / 真实策略 / 大盘过滤]`);
|
|
254
|
+
lines.push(` 数据范围: ${dataRange} (${klines.length}个交易日)`);
|
|
255
|
+
lines.push('═'.repeat(64));
|
|
256
|
+
|
|
257
|
+
if (!long && !short) {
|
|
258
|
+
lines.push('');
|
|
259
|
+
lines.push(' 整个回测周期内没有触发任何入场信号(score 始终在 [-5, 5] 区间)');
|
|
260
|
+
lines.push('═'.repeat(64));
|
|
261
|
+
return lines.join('\n');
|
|
339
262
|
}
|
|
340
263
|
|
|
341
|
-
|
|
342
|
-
|
|
343
|
-
|
|
344
|
-
|
|
345
|
-
|
|
346
|
-
|
|
347
|
-
|
|
348
|
-
|
|
349
|
-
|
|
350
|
-
const
|
|
351
|
-
const
|
|
352
|
-
|
|
353
|
-
|
|
354
|
-
lines.push(` 持有${days}天: 胜率=${winRate}% | 平均收益=${avgReturn}% | 最大盈利=${maxWin}% | 最大亏损=${maxLoss}%`);
|
|
264
|
+
function block(title, s) {
|
|
265
|
+
if (!s) return;
|
|
266
|
+
lines.push('');
|
|
267
|
+
lines.push('─'.repeat(64));
|
|
268
|
+
lines.push(`【${title}】`);
|
|
269
|
+
lines.push(` 交易笔数: ${s.total} 胜: ${s.wins} 负: ${s.losses} 胜率: ${s.winRate}%`);
|
|
270
|
+
lines.push(` 平均收益: ${s.avgReturn}% 累计收益: ${s.totalReturn}%`);
|
|
271
|
+
lines.push(` 平均盈利: ${s.avgWin}% 平均亏损: ${s.avgLoss}% 盈亏比: ${s.avgLoss < 0 ? Math.abs(s.avgWin / s.avgLoss).toFixed(2) : '∞'}`);
|
|
272
|
+
lines.push(` 最大盈利: ${s.maxWin}% 最大亏损: ${s.maxLoss}% 平均持有: ${s.avgHoldDays} 天`);
|
|
273
|
+
const reasonLabel = { stopLoss: '止损', trailingStop: '跟踪止损', takeProfit: '止盈', reverseSignal: '反向信号', timeout: '超时', endOfData: '数据末尾' };
|
|
274
|
+
const reasonStr = Object.entries(s.exitReasons)
|
|
275
|
+
.map(([k, v]) => `${reasonLabel[k] || k}:${v}`).join(' ');
|
|
276
|
+
lines.push(` 退出方式: ${reasonStr}`);
|
|
355
277
|
}
|
|
356
278
|
|
|
357
|
-
|
|
279
|
+
block('做多统计', long);
|
|
280
|
+
block('做空统计', short);
|
|
281
|
+
|
|
282
|
+
// 最近的交易
|
|
358
283
|
lines.push('');
|
|
359
|
-
lines.push('─'.repeat(
|
|
360
|
-
lines.push('【最近10
|
|
361
|
-
const
|
|
362
|
-
for (const t of
|
|
363
|
-
const
|
|
364
|
-
|
|
284
|
+
lines.push('─'.repeat(64));
|
|
285
|
+
lines.push('【最近 10 笔交易】');
|
|
286
|
+
const reasonLabel = { stopLoss: '止损', trailingStop: '跟踪止损', takeProfit: '止盈', reverseSignal: '反向', timeout: '超时', endOfData: '末尾' };
|
|
287
|
+
for (const t of trades.slice(-10)) {
|
|
288
|
+
const sign = t.type === 'long' ? '▲多' : '▼空';
|
|
289
|
+
const r = t.returnPct >= 0 ? `+${t.returnPct}%` : `${t.returnPct}%`;
|
|
290
|
+
lines.push(` ${t.entryDate} ${sign} @${t.entryPrice} → ${t.exitDate} @${t.exitPrice} | ${r} | ${t.holdDays}天 | ${reasonLabel[t.exitReason] || t.exitReason}`);
|
|
365
291
|
}
|
|
366
292
|
|
|
367
|
-
//
|
|
293
|
+
// 综合评级
|
|
368
294
|
lines.push('');
|
|
369
|
-
lines.push('═'.repeat(
|
|
370
|
-
|
|
371
|
-
|
|
372
|
-
|
|
373
|
-
|
|
374
|
-
|
|
375
|
-
|
|
376
|
-
|
|
377
|
-
else if (wr >= 55 && ar > 1) grade = '良好 - 有一定参考价值';
|
|
378
|
-
else if (wr >= 50) grade = '一般 - 需结合其他因素判断';
|
|
379
|
-
else grade = '较差 - 信号可靠性不足，需优化';
|
|
380
|
-
lines.push(` 综合评价(5日持有): 胜率${wr}% 均收益${ar}% → ${grade}`);
|
|
295
|
+
lines.push('═'.repeat(64));
|
|
296
|
+
if (long) {
|
|
297
|
+
let grade = '较差';
|
|
298
|
+
if (long.winRate >= 60 && long.avgReturn > 3) grade = '优秀 - 信号可靠';
|
|
299
|
+
else if (long.winRate >= 55 && long.avgReturn > 1.5) grade = '良好 - 有参考价值';
|
|
300
|
+
else if (long.winRate >= 50 || long.avgReturn > 0) grade = '一般 - 需结合其他因素';
|
|
301
|
+
else grade = '较差 - 信号不可靠';
|
|
302
|
+
lines.push(` 做多评级: 胜率 ${long.winRate}% / 均收益 ${long.avgReturn}% / ${long.total}笔 → ${grade}`);
|
|
381
303
|
}
|
|
382
|
-
lines.push(
|
|
383
|
-
|
|
304
|
+
lines.push(` 注: 用与实盘 analyze 一致的评分(scoring.js),并按 stopLoss/takeProfit 退出`);
|
|
305
|
+
lines.push(` 局限: 未计手续费和滑点(按用户要求)`);
|
|
306
|
+
lines.push('═'.repeat(64));
|
|
384
307
|
return lines.join('\n');
|
|
385
308
|
}
|
|
386
309
|
|
|
@@ -397,21 +320,51 @@ function resolveCode(input) {
|
|
|
397
320
|
|
|
398
321
|
const WATCH_LIST = ['sz002049', 'sh603893', 'sz300750', 'sh601138', 'sh600011', 'tw2330'];
|
|
399
322
|
|
|
400
|
-
async function
|
|
401
|
-
|
|
402
|
-
|
|
323
|
+
async function fetchAny(code, days) {
|
|
324
|
+
return code.startsWith('tw') ? fetchTWHistory(code, days) : fetchHistory(code, days);
|
|
325
|
+
}
|
|
326
|
+
|
|
327
|
+
function parseArgs(argv) {
|
|
328
|
+
const args = argv.slice(2);
|
|
329
|
+
const result = { code: 'all', trailing: false, trailingATR: 2.5, useTP1: true };
|
|
330
|
+
for (const a of args) {
|
|
331
|
+
if (a === '--trailing') result.trailing = true;
|
|
332
|
+
else if (a.startsWith('--trailing-atr=')) result.trailingATR = parseFloat(a.split('=')[1]);
|
|
333
|
+
else if (a === '--no-tp1') result.useTP1 = false;
|
|
334
|
+
else if (!a.startsWith('--')) result.code = a;
|
|
335
|
+
}
|
|
336
|
+
return result;
|
|
337
|
+
}
|
|
403
338
|
|
|
404
|
-
|
|
339
|
+
async function main() {
|
|
340
|
+
const args = parseArgs(process.argv);
|
|
341
|
+
const codes = args.code === 'all' ? WATCH_LIST : [resolveCode(args.code)];
|
|
342
|
+
|
|
343
|
+
const modeDesc = [];
|
|
344
|
+
if (args.trailing) modeDesc.push(`跟踪止损=${args.trailingATR}×ATR`);
|
|
345
|
+
if (!args.useTP1) modeDesc.push('无TP1');
|
|
346
|
+
if (modeDesc.length === 0) modeDesc.push('默认: TP1止盈,无跟踪');
|
|
347
|
+
console.log(`\n正在拉取数据并回测... [${modeDesc.join(', ')}]\n`);
|
|
348
|
+
|
|
349
|
+
let indexKlines = null;
|
|
350
|
+
try {
|
|
351
|
+
indexKlines = await fetchHistory('sh000001', 500);
|
|
352
|
+
if (indexKlines.length < 30) indexKlines = null;
|
|
353
|
+
} catch (e) {
|
|
354
|
+
console.log('大盘指数拉取失败,跳过大盘环境过滤');
|
|
355
|
+
}
|
|
405
356
|
|
|
406
357
|
for (const code of codes) {
|
|
407
358
|
try {
|
|
408
|
-
const klines = await
|
|
359
|
+
const klines = await fetchAny(code, 500);
|
|
409
360
|
if (klines.length < 80) {
|
|
410
|
-
console.log(`${code} 数据不足(${klines.length}天)
|
|
361
|
+
console.log(`${code} 数据不足(${klines.length}天),跳过\n`);
|
|
411
362
|
continue;
|
|
412
363
|
}
|
|
413
|
-
|
|
414
|
-
|
|
364
|
+
const btResult = backtest(klines, {
|
|
365
|
+
startIdx: 60, maxHoldDays: 30, indexKlines,
|
|
366
|
+
trailing: args.trailing, trailingATR: args.trailingATR, useTP1: args.useTP1,
|
|
367
|
+
});
|
|
415
368
|
console.log(formatBacktestReport(code, klines, btResult));
|
|
416
369
|
console.log('');
|
|
417
370
|
} catch (e) {
|
|
@@ -420,4 +373,8 @@ async function main() {
|
|
|
420
373
|
}
|
|
421
374
|
}
|
|
422
375
|
|
|
423
|
-
|
|
376
|
+
if (require.main === module) {
|
|
377
|
+
main().catch(e => console.error('回测出错:', e.message));
|
|
378
|
+
}
|
|
379
|
+
|
|
380
|
+
module.exports = { backtest, formatBacktestReport, resolveCode, getMarketEnvAtDate };
|