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