bug修复/策略完善

Administrator

8 小时以前 2f00a0565dcf8d652b8bb5c4caefbce1c2c92d62

 strategy/time_series_backtest.py

@@ -122,15 +122,15 @@
        :return: 按时间排序的数据列表
        """
        if self.day >= '2025-05-26':
            IS_BY_BIG_ORDER = True
        else:
            IS_BY_BIG_ORDER = False
        else:
            IS_BY_BIG_ORDER = True
        day = self.day
        fdata = {}
        __LowSuctionOriginDataExportManager = LowSuctionOriginDataExportManager(day)
        all_limit_up_list = __LowSuctionOriginDataExportManager.export_limit_up_list()
        fdata["limit_up_list"] = {d[0][:8]: d[1] for d in all_limit_up_list}
        big_order_deals = __LowSuctionOriginDataExportManager.export_big_order_deal(BIG_ORDER_MONEY_THRESHOLD)
        big_order_deals = __LowSuctionOriginDataExportManager.export_big_order_deal(BIG_ORDER_MONEY_THRESHOLD, max_deal_space=3)
        if not big_order_deals or IS_BY_BIG_ORDER:
            big_order_deals = __LowSuctionOriginDataExportManager.export_big_order_deal_by(BIG_ORDER_MONEY_THRESHOLD)
        # 转换格式为：{时间: [("代码", (买单号, 量, 金额, 时间, 最终成交价))]
@@ -358,7 +358,7 @@
            # self.fcodes, self.head_rise_code_blocks = self.__get_target_codes_v3()  # __filter_codes(current_data, timeline_data)
            self.fcodes, self.head_rise_code_blocks = self.__get_target_codes_v4(), {}

        print(len(self.fcodes), self.fcodes)
        print(len(self.fcodes))
        if not self.current_tick_data:
            try:
                self.current_tick_data = self.load_current_tick_datas(self.data_loader)
@@ -700,6 +700,8 @@
                    code = big_order[0]
                    if code not in self.fcodes:
                        continue
                    if DEBUG_CODES and code not in DEBUG_CODES:
                        continue
                    self.init_stock_variables(code, self.timeline_data, self.current_data)
                    stock_variables: StockVariables = self.stock_variables_dict.get(code)
                    if plate_limit_up_codes_info is not None:
@@ -724,6 +726,7 @@
                        self.__process_test_result(code, stock_variables, next_trade_day, big_order[1][4],
                                                   huaxin_util.convert_time(big_order[1][3]), compute_result)
                    except Exception as e:
                        print(time_str)
                        logging.exception(e)

        print("可买题材：", all_new_plates)
@@ -794,7 +797,9 @@
            stock_variables.板块成交代码 = self.deal_block_codes


# DEBUG_CODES = ['603579', '300884']
# 锂电池 ['002882', '002667', '002846', '300530', '002074', '301662', '002580', '300584', '603399', '601515']
# 化工 ['600610', '002427', '002165', '002809', '000565', '002365', '603192', '600370', '600800', '603188']
# DEBUG_CODES = ['600610', '002427', '002165', '002809', '000565', '002365', '603192', '600370', '600800', '603188']
DEBUG_CODES = []

VOLUME_LOG_ENABLE = False
@@ -807,11 +812,12 @@

if __name__ == "__main__":
    back_test_dict = {}
    # days = ["2025-05-12", "2025-05-13", "2025-05-14", "2025-05-15", "2025-05-16", "2025-05-19", "2025-05-20",
    #         "2025-05-21", "2025-05-22", "2025-05-23", "2025-05-26", "2025-05-27", "2025-05-28", "2025-05-29",
    #         "2025-05-30", "2025-06-03"]
    days = ["2025-05-12", "2025-05-13", "2025-05-14", "2025-05-15", "2025-05-16", "2025-05-19", "2025-05-20",
            "2025-05-21", "2025-05-22", "2025-05-23", "2025-05-26", "2025-05-27", "2025-05-28", "2025-05-29",
            "2025-05-30", "2025-06-03"]
    days = ["2025-06-03", "2025-06-04", "2025-06-05", "2025-06-06", "2025-06-09", "2025-06-10",
            "2025-06-11", "2025-06-12", "2025-06-13", "2025-06-16", "2025-06-17", "2025-06-18"]
            "2025-06-11", "2025-06-12", "2025-06-13", "2025-06-16", "2025-06-17", "2025-06-18", "2025-06-19",
            "2025-06-20"]

    # days = ["2025-05-23"]