使用ctpplus，然后增加回测模块

2026-06-06 16:40:15 +08:00
parent abed7371b3
commit d7ba8a8344
21 changed files with 4197 additions and 52 deletions
@@ -0,0 +1,14 @@
+{
+  "total_return": -29.2,
+  "total_return_pct": -0.0,
+  "max_drawdown": -110.8,
+  "max_drawdown_pct": -0.01,
+  "win_rate": 0.1765,
+  "total_trades": 17,
+  "winning_trades": 3,
+  "losing_trades": 14,
+  "avg_win": 45.67,
+  "avg_loss": -11.87,
+  "profit_factor": 0.82,
+  "final_equity": 999970.8
+}
@@ -0,0 +1,18 @@
+trade_id,entry_datetime,entry_price,direction,exit_datetime,exit_price,lots,pnl,pnl_pct,status
+1,2026-05-29 10:07:00,8418.8,short,2026-05-29 10:16:00,8393.0,1,25.8,0.0,closed
+2,2026-05-29 10:17:00,8397.8,short,2026-05-29 10:22:00,8409.8,1,-12.0,-0.0,closed
+3,2026-05-29 13:06:00,8374.4,short,2026-05-29 13:07:00,8383.4,1,-9.0,-0.0,closed
+4,2026-05-29 14:25:00,8311.2,long,2026-06-01 09:39:00,8351.6,1,40.4,0.0,closed
+5,2026-06-01 09:41:00,8356.6,long,2026-06-01 09:47:00,8346.0,1,-10.6,-0.0,closed
+6,2026-06-01 09:49:00,8368.0,short,2026-06-01 09:50:00,8373.2,1,-5.2,-0.0,closed
+7,2026-06-01 13:16:00,8415.4,long,2026-06-01 13:17:00,8406.0,1,-9.4,-0.0,closed
+8,2026-06-02 09:41:00,8309.2,long,2026-06-02 09:45:00,8271.0,1,-38.2,-0.0,closed
+9,2026-06-02 10:01:00,8227.4,short,2026-06-02 10:02:00,8239.0,1,-11.6,-0.0,closed
+10,2026-06-02 14:11:00,8325.4,short,2026-06-02 14:19:00,8333.4,1,-8.0,-0.0,closed
+11,2026-06-03 11:15:00,8468.2,long,2026-06-03 11:16:00,8456.2,1,-12.0,-0.0,closed
+12,2026-06-03 13:36:00,8421.0,short,2026-06-03 13:37:00,8436.8,1,-15.8,-0.0,closed
+13,2026-06-03 14:14:00,8395.8,short,2026-06-03 14:32:00,8325.0,1,70.8,0.01,closed
+14,2026-06-03 14:43:00,8339.0,short,2026-06-03 14:48:00,8348.0,1,-9.0,-0.0,closed
+15,2026-06-05 09:33:00,8267.2,short,2026-06-05 09:33:00,8272.2,1,-5.0,-0.0,closed
+16,2026-06-05 09:38:00,8254.8,long,2026-06-05 09:39:00,8248.4,1,-6.4,-0.0,closed
+17,2026-06-04 16:21:00,8378.0,short,2026-06-04 16:24:00,8392.0,1,-14.0,-0.0,closed