auto-sync: 2026-05-11 08:35:19

zhangfei-technical/01-reports/dual_ma_report_20260511_083511.md

@@ -0,0 +1,45 @@
+# 双均线策略回测报告
+
+## 策略信息
+- **策略名称**: Dual_MA_5_20
+- **回测期间**: 2023-01-02 至 2024-12-31
+- **初始资金**: 100000.00 元
+
+## 绩效指标
+
+| 指标 | 值 |
+|------|-----|
+| 最终资金 | 104436.44 元 |
+| 总收益率 | 4.44% |
+| 年化收益率 | 2.20% |
+| 最大回撤 | 14.31% |
+| 夏普比率 | -3.22 |
+| 胜率 | 44.44% |
+| 总交易次数 | 18 |
+| 盈利/亏损 | 8/10 |
+| 平均盈亏比 | 0.46% |
+| 平均盈利 | 5.75% |
+| 平均亏损 | -3.77% |
+
+## 交易明细
+
+| 序号 | 入场日期 | 出场日期 | 持仓天数 | 收益率 |
+|------|----------|----------|----------|--------|
+| 1 | 2023-01-09 | 2023-01-23 | 14 | -3.46% |
+| 2 | 2023-03-24 | 2023-03-31 | 7 | -3.17% |
+| 3 | 2023-04-05 | 2023-04-26 | 21 | +1.62% |
+| 4 | 2023-05-09 | 2023-05-16 | 7 | -3.79% |
+| 5 | 2023-06-12 | 2023-07-05 | 23 | -1.28% |
+| 6 | 2023-08-09 | 2023-09-28 | 50 | +6.52% |
+| 7 | 2023-10-16 | 2023-11-15 | 30 | +11.41% |
+| 8 | 2023-11-30 | 2023-12-01 | 1 | +1.13% |
+| 9 | 2023-12-20 | 2024-01-05 | 16 | -6.63% |
+| 10 | 2024-01-31 | 2024-02-16 | 16 | -1.30% |
+| 11 | 2024-02-21 | 2024-04-22 | 61 | +13.10% |
+| 12 | 2024-05-22 | 2024-06-25 | 34 | +4.83% |
+| 13 | 2024-06-28 | 2024-07-04 | 6 | +0.09% |
+| 14 | 2024-07-05 | 2024-07-19 | 14 | -3.20% |
+| 15 | 2024-08-08 | 2024-09-02 | 25 | +7.29% |
+| 16 | 2024-09-03 | 2024-09-06 | 3 | -4.70% |
+| 17 | 2024-10-31 | 2024-11-13 | 13 | -7.47% |
+| 18 | 2024-11-20 | 2024-12-10 | 20 | -2.65% |

zhangfei-technical/02-algorithms/dual_ma_backtest.py

@@ -169,10 +169,10 @@ def main():
                                   long_periods=[20, 30, 50, 60])
     logger.info("\nTop 5 Parameter Combinations:")
     for i, row in scan_results.head(5).iterrows():
-        logger.info(f"  MA({row['short_period']:2d}, {row['long_period']:3d}): "
+        logger.info(f"  MA({int(row['short_period']):2d}, {int(row['long_period']):3d}): "
                    f"Return={row['total_return']*100:6.2f}%, "
                    f"MaxDD={row['max_drawdown']*100:5.2f}%, "
-                   f"Trades={row['total_trades']:2d}")
+                   f"Trades={int(row['total_trades']):2d}")
     
     # 4. Save parameter scan results
     scan_csv_path = os.path.expanduser('~/.openclaw/sanguo_projects/sanguo_quant_live/zhangfei-technical/01-reports/parameter_scan_results.csv')