optz

labs/analysis/etf/capital.py

@@ -0,0 +1,41 @@
+"""读仓库 _etf.yaml 后，先定"要多大的账户才铺得开"，再跑基准回测。
+
+用法： py -3.14 -B analysis/etf/capital.py
+"""
+
+import sys
+from pathlib import Path
+
+HERE = Path(__file__).resolve().parent
+sys.path.insert(0, str(HERE))
+
+import backtest as B  # noqa: E402
+from backtest import SYMBOL_PARAMS, SYMBOLS, SYMBOL_PARAMS, analyze, fetch_daily, simulate  # noqa: E402
+
+data = {code: fetch_daily(code) for code in SYMBOLS}
+
+print("== 新配置的资金需求（按区间最低价估算）==")
+need = {}
+for code, p in SYMBOL_PARAMS.items():
+    low = min(bar["low"] for bar in data[code])
+    rung = p["buy_shares"] * low
+    need[code] = rung
+    print(f"  {code} 每档={p['buy_shares']:>6} 股  区间最低价={low:6.3f}  "
+          f"1 档≈{rung:9.0f}  10 档≈{rung * 10:10.0f}  单标上限={p['max_shares']} 股")
+print(f"  三只各铺 1 档 ≈ {sum(need.values()):,.0f}；三只铺满 10 档 ≈ {sum(need.values()) * 10:,.0f}")
+
+print()
+print("== 不同起始资金（参数完全不变，只改账户规模）==")
+print(f"{'起始资金':>10} {'权益变动':>10} {'收益率':>7} {'最大回撤':>8} {'平均占用':>8} "
+      f"{'峰值占用':>8} {'资金拒绝':>8} {'底仓':>4} {'补仓':>4} {'主出口':>5}")
+for cash in (200_000, 300_000, 500_000, 800_000, 1_200_000, 1_500_000):
+    result = simulate(data, start_cash=cash)
+    stats = analyze(result)
+    delta = stats["final_equity"] - cash
+    print(f"{cash:10,.0f} {delta:10.2f} {stats['return_pct']:6.2f}% {stats['max_dd_pct']:7.2f}% "
+          f"{stats['avg_deployed'] / cash * 100:7.2f}% {stats['max_deployed'] / cash * 100:7.2f}% "
+          f"{'':>8} {sum(1 for f in result['fills'] if f.kind == 'base'):4} "
+          f"{sum(1 for f in result['fills'] if f.kind == 'add'):4} "
+          f"{sum(1 for f in result['fills'] if f.kind == 'exit'):5}")
+print()
+print("说明：'资金拒绝' 未单独统计；底仓/补仓次数随资金上升而增加，说明低资金时被预算挡住。")