cfdaily
78 lines
2.8 KiB
Python
78 lines
2.8 KiB
Python
"""
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BacktestReport - 标准化回测报告
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将 BacktestResult 格式化输出为文本/JSON。
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"""
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import json
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from typing import Optional, TYPE_CHECKING
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if TYPE_CHECKING:
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from data_platform.backtest_runner import BacktestResult
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class BacktestReport:
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"""回测报告生成器"""
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def __init__(self, result: "BacktestResult"):
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self.result = result
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def to_text(self) -> str:
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"""生成文本格式报告"""
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r = self.result
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lines = [
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"=" * 60,
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f" 回测报告 | {r.strategy_name} | {r.code}",
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"=" * 60,
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f" 回测区间: {r.start_date.date()} ~ {r.end_date.date()}",
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f" 初始资金: {r.initial_capital:,.0f}",
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f" 最终权益: {r.final_capital:,.0f}",
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"-" * 60,
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f" 总收益率: {r.total_return:>8.2%}",
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f" 年化收益率: {r.annual_return:>8.2%}",
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f" 最大回撤: {r.max_drawdown:>8.2%}",
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f" 夏普比率: {r.sharpe_ratio:>8.2f}",
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f" 胜率: {r.win_rate:>8.2%}",
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f" 交易次数: {r.total_trades:>8d}",
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"-" * 60,
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]
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if r.trades:
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lines.append(f" {'买入日':>12s} {'卖出日':>12s} {'买入价':>8s} "
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f"{'卖出价':>8s} {'收益率':>8s} {'股数':>6s}")
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lines.append(" " + "-" * 68)
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for t in r.trades[:20]:
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profit_str = f"{t.profit_pct:7.2%}" if t.profit_pct is not None else " N/A"
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lines.append(
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f" {t.entry_date.date()!s:>12s} {t.exit_date.date()!s:>12s} "
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f"{t.entry_price:>8.2f} {t.exit_price:>8.2f} "
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f"{profit_str} {t.shares:>6d}"
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)
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if len(r.trades) > 20:
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lines.append(f" ... 共 {len(r.trades)} 条，仅显示前20条")
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lines.append("=" * 60)
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return "\n".join(lines)
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def to_dict(self) -> dict:
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"""导出为字典"""
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r = self.result
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return {
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"strategy": r.strategy_name,
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"code": r.code,
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"start_date": str(r.start_date.date()),
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"end_date": str(r.end_date.date()),
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"initial_capital": r.initial_capital,
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"final_capital": round(r.final_capital, 2),
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"total_return": round(r.total_return, 4),
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"annual_return": round(r.annual_return, 4),
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"max_drawdown": round(r.max_drawdown, 4),
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"sharpe_ratio": round(r.sharpe_ratio, 2),
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"win_rate": round(r.win_rate, 4),
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"total_trades": r.total_trades,
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}
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def to_json(self, indent: int = 2) -> str:
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"""导出为JSON"""
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return json.dumps(self.to_dict(), indent=indent, ensure_ascii=False)
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