optimize statistics

core/trade/mean_reversion_sandbox.py

@@ -45,7 +45,7 @@ class MeanReversionSandbox:
         desc_dict = {
             "买入": [
                 "1. 窗口周期为100, 即100个K线",
-                "2. 当前close_10_low为1, 即当前收盘价在窗口周期的10分位以下",
+                "2. 满足close_10_low为1, 即当前收盘价在窗口周期的10分位以下",
                 "3. 之前2个K线与当前K线, 存在任意一个K线huge_volume为1, 即存在一个K线是巨量",
                 "4. 当前K线为阳线, 即close > open或者K线为一字, 长倒T线, 倒T线, 长十字星, 十字星",
                 # "5. 相同symbol的1H当前周期, ma5大于ma10",
@@ -143,7 +143,7 @@ class MeanReversionSandbox:
         for index, row in market_data.iterrows():
             # check buy condition
             if trade_pair_dict.get("buy_timestamp", None) is None:
-                buy_condition = self.check_buy_condition(market_data, row, index)
+                buy_condition = self.check_buy_condition(market_data, row, index, window_size)
             else:
                 buy_condition = False
             if buy_condition:
@@ -170,17 +170,20 @@ class MeanReversionSandbox:
                 sell_condition = False
                 # check stop loss condition
                 sell_condition = self.check_stop_loss_condition(trade_pair_dict, row)
-                if sell_condition:
+                sell = sell_condition["sell"]
+                if sell:
                     trade_pair_dict["sell_type"] = "止损"
                 else:
                     # check take profit condition
                     sell_condition = self.check_take_profit_condition(
                         trade_pair_dict, market_data, row, index
                     )
-                    if sell_condition:
+                    sell = sell_condition["sell"]
+                    if sell:
                         trade_pair_dict["sell_type"] = "止盈"
 
-                if sell_condition:
+                if sell:
+                    trade_pair_dict["sell_reason"] = sell_condition["reason"]
                     trade_pair_dict["sell_timestamp"] = row["timestamp"]
                     trade_pair_dict["sell_date_time"] = timestamp_to_datetime(
                         row["timestamp"]
@@ -218,17 +221,50 @@ class MeanReversionSandbox:
         if len(trade_list) == 0:
             return None
         trade_data = pd.DataFrame(trade_list)
+        trade_data = trade_data[
+            [
+                "solution",
+                "symbol",
+                "bar",
+                "window_size",
+                "sell_type",
+                "sell_reason",
+                "profit_pct",
+                "buy_timestamp",
+                "buy_date_time",
+                "sell_timestamp",
+                "sell_date_time",
+                "buy_close",
+                "buy_pct_chg",
+                "sell_close",
+                "sell_pct_chg",
+                "buy_volume",
+                "buy_huge_volume",
+                "buy_volume_ratio",
+                "buy_k_shape",
+                "buy_close_10_low",
+                "buy_ma5_lt_ma10",
+                "sell_volume",
+                "sell_huge_volume",
+                "sell_volume_ratio",
+                "sell_k_shape",
+                "sell_close_80_high",
+                "sell_close_90_high",
+                "sell_close_10_low",
+                "sell_close_20_low",
+            ]
+        ]
         trade_data.sort_values(by="buy_timestamp", inplace=True)
         trade_data.reset_index(drop=True, inplace=True)
         return trade_data
 
     def check_buy_condition(
-        self, market_data: pd.DataFrame, row: pd.Series, index: int
+        self, market_data: pd.DataFrame, row: pd.Series, index: int, window_size: int
     ):
         """
         买入条件
         1. 窗口周期为100, 即100个K线,
-        2. 当前close_10_low为1, 即当前收盘价在窗口周期的10分位以下,
+        2. 满足close_10_low为1, 即当前收盘价在窗口周期的10分位以下
         3. 之前2个K线与当前K线, 存在任意一个K线huge_volume为1, 即存在一个K线是巨量,
         4. (当前K线为阳线, 即close > open)或者K线为一字, 长倒T线, 倒T线, 长十字星, 十字星,
         """
@@ -243,6 +279,8 @@ class MeanReversionSandbox:
         ]:
             return False
 
+
+        # 满足close_10_low为1, 即当前收盘价在窗口周期的10分位以下
         if row["close_10_low"] != 1:
             return False
 
@@ -310,13 +348,18 @@ class MeanReversionSandbox:
         )
         buy_close = trade_pair_dict["buy_close"]
         current_close = row["close"]
+        result = {"sell": False, "reason": ""}
         if (
             current_close < buy_close
             and (current_close - buy_close) / buy_close < down_median
         ):
             logger.info(f"符合止损条件")
-            return True
+            result["sell"] = True
-        return False
+            result["reason"] = f"亏损超过下跌波段跌幅中位数"
+            return result
+        result["sell"] = False
+        result["reason"] = "未达到止损条件"
+        return result
 
     def check_take_profit_condition(
         self,
@@ -353,16 +396,23 @@ class MeanReversionSandbox:
         1. 当前close_80_high为1或者close_90_high为1
         2. 之前2个K线与当前K线, 存在任意一个K线huge_volume为1, 即存在一个K线是巨量
         """
+        result = {"sell": False, "reason": ""}
         if row["close_80_high"] != 1 and row["close_90_high"] != 1:
-            return False
+            result["sell"] = False
+            result["reason"] = "未达到止盈条件"
+            return result
         if (
             row["huge_volume"] != 1
             and market_data.loc[index - 1, "huge_volume"] != 1
             and market_data.loc[index - 2, "huge_volume"] != 1
         ):
-            return False
+            result["sell"] = False
+            result["reason"] = "未达到止盈条件"
+            return result
         logger.info(f"符合高位放量止盈 - 简易版条件")
-        return True
+        result["sell"] = True
+        result["reason"] = "符合高位放量止盈 - 简易版条件"
+        return result
 
     def check_take_profit_condition_solution_2(
         self,
@@ -380,11 +430,16 @@ class MeanReversionSandbox:
         2. K线为阳线, 即close >= open, 且k_shape满足:
         一字, 长吊锤线, 吊锤线, 长倒T线, 倒T线, 长十字星, 十字星, 长上影线纺锤体, 长下影线纺锤体
         """
+        result = {"sell": False, "reason": ""}
         if not self.check_take_profit_condition_solution_1(market_data, row, index):
-            return False
+            result["sell"] = False
+            result["reason"] = "未达到止盈条件"
+            return result
         if row["close"] < row["open"]:
             logger.info(f"符合高位放量止盈 - 复杂版条件")
-            return True
+            result["sell"] = True
+            result["reason"] = "符合高位放量止盈 - 复杂版条件"
+            return result
         elif row["k_shape"] in [
             "一字",
             "长吊锤线",
@@ -397,9 +452,13 @@ class MeanReversionSandbox:
             "长下影线纺锤体",
         ]:
             logger.info(f"符合高位放量止盈 - 复杂版条件")
-            return True
+            result["sell"] = True
+            result["reason"] = "符合高位放量止盈 - 复杂版条件"
+            return result
         else:
-            return False
+            result["sell"] = False
+            result["reason"] = "未达到止盈条件"
+            return result
 
     def check_take_profit_condition_solution_3(
         self, trade_pair_dict: dict, row: pd.Series
@@ -413,12 +472,14 @@ class MeanReversionSandbox:
         """
         current_close = row["close"]
         last_max_close = trade_pair_dict.get("last_max_close", None)
-
+        result = {"sell": False, "reason": ""}
         if trade_pair_dict["buy_ma5_lt_ma10"]:
             if trade_pair_dict.get("process_ma5_gt_ma10", None):
                 if row["ma5"] < row["ma10"]:
                     logger.info(f"MA5小于MA10发生转势, 卖出")
-                    return True
+                    result["sell"] = True
+                    result["reason"] = "MA5小于MA10发生转势"
+                    return result
 
             if row["ma5"] > row["ma10"]:
                 trade_pair_dict["process_ma5_gt_ma10"] = True
@@ -429,10 +490,14 @@ class MeanReversionSandbox:
             if current_close >= last_max_close:
                 logger.info(f"价格上涨, 继续持仓")
                 trade_pair_dict["last_max_close"] = current_close
-                return False
+                result["sell"] = False
+                result["reason"] = "价格上涨, 继续持仓"
+                return result
             else:
                 logger.info(f"符合上涨波段盈利中位数止盈法条件")
-                return True
+                result["sell"] = True
+                result["reason"] = "符合上涨波段盈利中位数止盈条件"
+                return result
         else:
             symbol = trade_pair_dict["symbol"]
             bar = trade_pair_dict["bar"]
@@ -461,7 +526,9 @@ class MeanReversionSandbox:
                 need_record = False
             if need_record:
                 trade_pair_dict["last_max_close"] = current_close
-            return False
+            result["sell"] = False
+            result["reason"] = "未达到止盈条件"
+            return result
 
     def check_metrics_over_buy(self, row: pd.Series):
         """

trade_sandbox_main.py

@@ -112,6 +112,7 @@ class MeanReversionSandboxMain:
             profit_pct_max = bar["profit_pct"].max()
             profit_pct_min = bar["profit_pct"].min()
             profit_pct_mean = bar["profit_pct"].mean()
+            profit_pct_sum = bar["profit_pct"].sum()
             profit_pct_gt_0_mean = bar[bar["profit_pct"] > 0]["profit_pct"].mean()
             profit_pct_lt_0_mean = bar[bar["profit_pct"] < 0]["profit_pct"].mean()
 
@@ -125,6 +126,7 @@ class MeanReversionSandboxMain:
                     "solution": solution,
                     "symbol": symbol_name,
                     "bar": bar_name,
+                    "profit_pct_sum": profit_pct_sum,
                     "take_profit_count": take_profit_count,
                     "take_profit_ratio": take_profit_ratio,
                     "stop_loss_count": stop_loss_count,
@@ -133,9 +135,9 @@ class MeanReversionSandboxMain:
                     "profit_pct_gt_0_ratio": profit_pct_gt_0_ratio,
                     "profit_pct_lt_0_count": profit_pct_lt_0_count,
                     "profit_pct_lt_0_ratio": profit_pct_lt_0_ratio,
+                    "profit_pct_mean": profit_pct_mean,
                     "profit_pct_max": profit_pct_max,
                     "profit_pct_min": profit_pct_min,
-                    "profit_pct_mean": profit_pct_mean,
                     "profit_pct_gt_0_mean": profit_pct_gt_0_mean,
                     "profit_pct_lt_0_mean": profit_pct_lt_0_mean,
                 }
@@ -176,6 +178,7 @@ class MeanReversionSandboxMain:
         y_axis_fields = [
             "take_profit_ratio",
             "stop_loss_ratio",
+            "profit_pct_sum",
             "profit_pct_mean",
             "profit_pct_gt_0_mean",
             "profit_pct_lt_0_mean",