initial-import: 2026-04-11 21:18:55

scripts/utils/get_result_json.py

@@ -0,0 +1,219 @@
+#!/usr/bin/env python3
+"""获取回测结果JSON（精简版，减少内存占用）"""
+
+import zmq
+import json
+import sys
+
+# 关羽完整策略代码
+strategy_code = '''from vnpy_ctastrategy import (
+    CtaTemplate,
+    StopOrder,
+    TickData,
+    BarData,
+    TradeData,
+    OrderData,
+    BarGenerator,
+    ArrayManager,
+)
+from vnpy.trader.constant import Direction, Offset
+
+
+class SingleStockStopLossStrategy(CtaTemplate):
+    """单票固定比例止损策略 - 均线趋势跟踪+固定比例止损"""
+    
+    author = "关羽 (云长)"
+    
+    # 策略参数
+    fast_window = 5    # 短期均线窗口
+    slow_window = 20   # 长期均线窗口
+    stop_loss_pct = 0.15  # 止损比例，亏损超过这个比例止损
+    
+    # 参数列表
+    parameters = ["fast_window", "slow_window", "stop_loss_pct"]
+    
+    # 变量列表
+    variables = ["fast_ma", "slow_ma", "cost_price", "in_position"]
+    
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        """初始化"""
+        super().__init__(cta_engine, strategy_name, vt_symbol, setting)
+        
+        self.bg = BarGenerator(self.on_bar)
+        self.am = ArrayManager(max(self.slow_window + 10, 30))
+        
+        # 均线数值
+        self.fast_ma = 0.0
+        self.slow_ma = 0.0
+        
+        # 开仓成本
+        self.cost_price = 0.0
+        
+        # 是否持仓
+        self.in_position = False
+        
+    def on_init(self):
+        """初始化策略"""
+        self.write_log(f"策略初始化，fast={self.fast_window}, slow={self.slow_window}, stop_loss={self.stop_loss_pct:.1%}")
+        self.load_bar(self.slow_window + 10)
+        self.put_event()
+        
+    def on_start(self):
+        """启动策略"""
+        self.put_event()
+        
+    def on_stop(self):
+        """停止策略"""
+        self.put_event()
+        
+    def on_bar(self, bar):
+        """K线更新"""
+        self.am.update_bar(bar)
+        
+        if not self.am.inited:
+            return
+        
+        # 计算均线
+        self.fast_ma = self.am.sma(self.fast_window)
+        self.slow_ma = self.am.sma(self.slow_window)
+        
+        # 检查止损（只有持仓时才检查）
+        have_signal = True
+        if self.in_position and self.cost_price > 0:
+            current_drawdown = (bar.close_price - self.cost_price) / self.cost_price
+            
+            if current_drawdown <= -self.stop_loss_pct:
+                # 触发止损，全部平仓
+                if self.pos > 0:
+                    self.sell(bar.close_price, self.pos)
+                    self.in_position = False
+                have_signal = False
+        
+        # 如果没有触发止损，继续处理信号
+        if have_signal:
+            # 均线金叉死叉信号
+            if not self.in_position:
+                # 金叉：短期上穿长期，开多
+                if self.fast_ma > self.slow_ma:
+                    self.buy(bar.close_price, 10000)
+                    self.cost_price = bar.close_price
+                    self.in_position = True
+            else:
+                # 死叉：短期下穿长期，平多
+                if self.fast_ma < self.slow_ma:
+                    if self.pos > 0:
+                        self.sell(bar.close_price, self.pos)
+                        self.in_position = False
+        
+        self.put_event()
+        
+    def on_trade(self, trade):
+        """交易成交回调"""
+        self.put_event()
+        
+    def on_order(self, order):
+        """订单回调"""
+        self.put_event()
+        
+    def on_stop_order(self, stop_order):
+        """停止单回调"""
+        self.put_event()
+'''
+
+# RPC请求 - 完整区间 2021-01-01 ~ 2026-03-01
+request = {
+    "function": "run_strategy_backtest",
+    "args": [],
+    "kwargs": {
+        "strategy_code": strategy_code,
+        "symbol": "510300.SSE",
+        "interval": "1d",
+        "start": 1609459200,  # 2021-01-01
+        "end": 1772515200,    # 2026-03-01
+        "capital": 1000000,
+        "rate": 3e-5,
+        "slippage": 0.002,
+        "size": 10000,
+        "pricetick": 0.001,
+        "data_source": "sqlite",
+        "setting": {"stop_loss_pct": 0.15}
+    }
+}
+
+print("🔗 连接RPC: tcp://127.0.0.1:8008 (容器内部)")
+context = zmq.Context()
+socket = context.socket(zmq.REQ)
+socket.connect("tcp://127.0.0.1:8008")
+socket.setsockopt(zmq.LINGER, 0)
+socket.setsockopt(zmq.RCVTIMEO, 900000)  # 15分钟超时
+socket.setsockopt(zmq.SNDTIMEO, 900000)
+
+print("🚀 发送请求 (全区间 2021-01-01 ~ 2026-03-01, 止损15%)")
+print("   等待响应... 大约需要几分钟")
+
+try:
+    socket.send_pyobj(request)
+    result = socket.recv_pyobj()
+    
+    if "error" in result:
+        print(f"\n❌ ERROR: {result['error']}")
+        if "traceback" in result:
+            print("\nTraceback:")
+            print(result["traceback"])
+        sys.exit(1)
+    else:
+        print(f"\n✅ SUCCESS! 回测完成！")
+        print(f"   交易笔数: {result.get('trades_count', 0)}")
+        
+        # 统计数据就是完整的，不需要精简
+        # daily_data只保留必要字段，减少大小
+        daily_data = result.get('daily_data', [])
+        print(f"   每日数据点数: {len(daily_data)}")
+        
+        # 保存完整JSON（包含所有你需要的数据）
+        output_file = "/app/guanyu_510300_backtest_result.json"
+        with open(output_file, "w", encoding="utf-8") as f:
+            json.dump(result, f, ensure_ascii=False, indent=2)
+        
+        file_size = len(json.dumps(result))
+        print(f"\n📝 完整JSON已保存到容器: {output_file}")
+        print(f"   文件大小: {file_size} bytes ({file_size / 1024 / 1024:.2f} MB)")
+        
+        # 打印统计信息
+        if "statistics" in result:
+            stats = result["statistics"]
+            print(f"\n📊 绩效指标:")
+            print(f"   总收益率: {stats.get('total_return', 0):.2%}")
+            print(f"   年化收益率: {stats.get('annual_return', 0):.2%}")
+            print(f"   最大回撤: {stats.get('max_drawdown', 0):.2%}")
+            print(f"   夏普比率: {stats.get('sharpe_ratio', 0):.2f}")
+            print(f"   卡玛比率: {stats.get('calmar_ratio', 0):.2f}")
+            print(f"   总交易次数: {stats.get('total_trades', 0)}")
+            print(f"   胜率: {stats.get('win_rate', 0):.2%}")
+            if "profit_loss_ratio" in stats:
+                print(f"   盈亏比: {stats.get('profit_loss_ratio', 0):.2f}")
+        
+        if "trades" in result:
+            trades = result["trades"]
+            print(f"\n📝 交易记录: 共 {len(trades)} 笔")
+            if len(trades) > 0:
+                print(f"   前5笔:")
+                for idx, trade in enumerate(trades[:5], 1):
+                    dt = trade.get('datetime', '')[:10] if trade.get('datetime') else ''
+                    direction = trade.get('direction', '').split('.')[-1] if '.' in trade.get('direction', '') else trade.get('direction', '')
+                    price = trade.get('price', 0)
+                    volume = trade.get('volume', 0)
+                    print(f"   {idx}. {dt} {direction} @ {price:.2f} × {volume}")
+        
+        socket.close()
+        context.term()
+        print("\n✅ 完成！JSON已保存到容器。")
+
+except zmq.error.Again:
+    print("\n⏱️ ❌ TIMEOUT: 超过15分钟仍未完成")
+    sys.exit(1)
+except Exception as e:
+    print(f"\n❌ ERROR: {e}")
+    import traceback
+    traceback.print_exc()
+    sys.exit(1)