44 lines
2.0 KiB
Python
44 lines
2.0 KiB
Python
"""新白名单（16 只板块 ETF）的快速回测冒烟：只打印，不覆盖既有 results.json。
|
||
|
||
用法： py -3.14 -B labs/analysis/etf/smoke_sectors.py [起始资金]
|
||
"""
|
||
|
||
import sys
|
||
from pathlib import Path
|
||
|
||
HERE = Path(__file__).resolve().parent
|
||
sys.path.insert(0, str(HERE))
|
||
try:
|
||
sys.stdout.reconfigure(encoding="utf-8", errors="replace")
|
||
except Exception:
|
||
pass
|
||
|
||
from backtest import REPO_DEFAULTS, START_CASH, SYMBOLS, SYMBOL_PARAMS, analyze, fetch_daily, simulate # noqa: E402
|
||
|
||
CASH = float(sys.argv[1]) if len(sys.argv) > 1 else 600_000.0
|
||
|
||
data = {code: fetch_daily(code) for code in SYMBOLS}
|
||
print(f"标的 {len(SYMBOLS)} 只，账户 {CASH:,.0f} 元，参数取 py-client/etc/_etf.yaml")
|
||
print(f"{'成交模型':10} {'权益变动':>11} {'收益率':>8} {'最大回撤':>9} {'平均占用':>9} "
|
||
f"{'峰值占用':>9} {'底仓':>5} {'补仓':>5} {'主出口':>6} {'佣金':>8}")
|
||
for mode in ("touch", "bounce", "close"):
|
||
result = simulate(data, start_cash=CASH, fill_mode=mode)
|
||
stats = analyze(result)
|
||
fills = result["fills"]
|
||
print(f"{mode:10} {stats['final_equity'] - CASH:11,.2f} {stats['return_pct']:7.2f}% "
|
||
f"{stats['max_dd_pct']:8.2f}% {stats['avg_deployed'] / CASH * 100:8.2f}% "
|
||
f"{stats['max_deployed'] / CASH * 100:8.2f}% "
|
||
f"{sum(1 for f in fills if f.kind == 'base'):5} "
|
||
f"{sum(1 for f in fills if f.kind == 'add'):5} "
|
||
f"{sum(1 for f in fills if f.kind == 'exit'):6} {stats['fees']:8.2f}")
|
||
|
||
# 逐标的参与度：新白名单里谁真的被交易到
|
||
print()
|
||
print("逐标的成交（touch 模型）")
|
||
result = simulate(data, start_cash=CASH, fill_mode="touch")
|
||
for code in SYMBOLS:
|
||
rows = [f for f in result["fills"] if f.code == code]
|
||
buys = sum(f.price * f.volume for f in rows if f.side == "BUY")
|
||
print(f" {code:11} 成交 {len(rows):3} 笔 买入名义 {buys:10,.0f} "
|
||
f"底仓 {sum(1 for f in rows if f.kind == 'base')} 补仓 {sum(1 for f in rows if f.kind == 'add')}")
|