refactor: 归档旧代码，保留新框架结构
归档内容： - core/ (数据源、因子计算、通用工具) → archive/legacy_core/ - strategies/rotation/engine.py, portfolio.py, report.py → archive/legacy_core/ - scripts/ (run_rotation, daily_scheduler) → archive/legacy_scripts/ - examples/ → archive/legacy_examples/ - tests/ (实验、对比测试) → archive/legacy_tests/ - 单独文件 (fetch_*.py, 动量.py, 全球市场.py等) → archive/single_files/ 保留新结构： - framework/ (抽象接口) - strategies/shared/ (定制组件) - strategies/rotation/strategy.py (新策略) - 外层配置: .env, .dockerignore, build-and-push.sh, hk_ecs.pem, README.md, requirements.txt - Docker相关: Dockerfile, Dockerfile_base, docker-compose.yml 更新README反映新框架架构
This commit is contained in:
@@ -1,302 +0,0 @@
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#!/usr/bin/env python3
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"""
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ETF策略每日定时任务
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功能：
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1. 每天15:00收盘后检查是否为交易日
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2. 如果是交易日，执行策略回测
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3. 上传报告图表到OSS
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4. 发送结果到钉钉
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用法：
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python scripts/daily_scheduler.py
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python scripts/daily_scheduler.py --time 15:00
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"""
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import sys
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import os
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import time
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import argparse
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import subprocess
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from datetime import datetime
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from pathlib import Path
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# 添加项目根目录到路径
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project_root = Path(__file__).parent.parent
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sys.path.insert(0, str(project_root))
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from dotenv import load_dotenv
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load_dotenv(project_root / ".env")
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from loguru import logger
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import schedule
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import tushare as ts
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from core.common.notify import DingTalkBot, send_to_all_groups
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from core.common.oss_utils import upload_image_to_oss
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# 配置日志
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logger.add(
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project_root / "logs" / "scheduler_{time}.log",
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rotation="1 day",
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retention="7 days",
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level="INFO",
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)
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def is_trading_day(date_str: str = None) -> bool:
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"""
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检查指定日期是否为交易日
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Args:
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date_str: 日期字符串 (YYYYMMDD)，默认今天
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Returns:
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bool: 是否为交易日
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"""
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if date_str is None:
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date_str = datetime.now().strftime("%Y%m%d")
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try:
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token = os.getenv("TUSHARE_TOKEN")
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if not token:
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logger.error("TUSHARE_TOKEN 未配置")
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return False
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pro = ts.pro_api(token)
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df = pro.trade_cal(
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exchange="SSE", start_date=date_str, end_date=date_str, is_open="1"
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)
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is_open = len(df) > 0 and df.iloc[0]["is_open"] == 1
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logger.info(f"日期 {date_str} 是否为交易日: {is_open}")
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return is_open
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except Exception as e:
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logger.error(f"检查交易日失败: {e}")
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# 失败时默认执行（避免错过交易日）
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return True
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def run_strategy(config_path: str = "config/strategies/rotation.yaml") -> dict:
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"""
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执行策略回测
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Args:
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config_path: 配置文件路径
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Returns:
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dict: 执行结果，包含报告路径等信息
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"""
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logger.info("开始执行策略回测...")
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try:
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# 构建命令
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cmd = [
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sys.executable,
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str(project_root / "scripts" / "run_rotation.py"),
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"--config",
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config_path,
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"--save-path",
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f"results/report_{datetime.now().strftime('%Y%m%d')}",
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]
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logger.info(f"执行命令: {' '.join(cmd)}")
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# 执行策略
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result = subprocess.run(
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cmd,
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capture_output=True,
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text=True,
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cwd=project_root,
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timeout=300, # 5分钟超时
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)
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if result.returncode != 0:
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logger.error(f"策略执行失败:\n{result.stderr}")
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return {"success": False, "error": result.stderr}
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logger.info("策略执行成功")
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logger.debug(result.stdout)
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# 查找生成的报告文件
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report_date = datetime.now().strftime("%Y%m%d")
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chart_path = project_root / "results" / f"report_{report_date}_chart.png"
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# 如果找不到带日期的，尝试默认路径
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if not chart_path.exists():
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chart_path = project_root / "results" / "report_chart.png"
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return {
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"success": True,
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"stdout": result.stdout,
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"chart_path": str(chart_path) if chart_path.exists() else None,
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}
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except subprocess.TimeoutExpired:
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logger.error("策略执行超时")
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return {"success": False, "error": "timeout"}
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except Exception as e:
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logger.error(f"策略执行异常: {e}")
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return {"success": False, "error": str(e)}
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def send_report_to_dingtalk(chart_path: str, summary_text: str = "") -> bool:
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"""
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上传报告到OSS并发送到钉钉
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Args:
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chart_path: 图表文件路径
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summary_text: 摘要文本
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Returns:
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bool: 是否发送成功
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"""
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logger.info("开始发送报告到钉钉...")
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try:
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bot = DingTalkBot()
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if not bot.webhook:
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logger.error("钉钉未配置，无法发送")
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return False
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today_str = datetime.now().strftime("%Y-%m-%d")
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# 向所有群发送图文消息
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success = send_to_all_groups(
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"send_image_via_oss",
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image_path=chart_path,
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title=f"ETF轮动策略调仓日报 ({today_str})",
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text=summary_text,
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expire_days=7,
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)
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if success:
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logger.info("报告发送成功")
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else:
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logger.error("报告发送失败")
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return success
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except Exception as e:
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logger.error(f"发送报告异常: {e}")
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return False
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def setup_schedule(
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target_time: str = "15:30", config_path: str = "config/strategies/rotation.yaml"
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):
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"""
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设置定时任务
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Args:
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target_time: 执行时间 (HH:MM)
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config_path: 配置文件路径
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"""
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logger.info(f"设置定时任务: 每天 {target_time} 执行")
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# 清除所有现有任务
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schedule.clear()
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# 添加每日任务
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schedule.every().day.at(target_time).do(daily_task, config_path)
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logger.info("定时任务设置完成，等待执行...")
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def daily_task(config_path: str = "config/strategies/rotation.yaml"):
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"""
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每日任务主流程
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Args:
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config_path: 配置文件路径
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"""
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today_str = datetime.now().strftime("%Y-%m-%d")
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logger.info(f"=" * 60)
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logger.info(f"开始执行每日任务: {today_str}")
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logger.info(f"=" * 60)
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# 1. 检查是否为交易日
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if not is_trading_day():
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logger.info("今天不是交易日，跳过执行")
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return
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# 2. 执行策略
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result = run_strategy(config_path)
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if not result["success"]:
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# 发送错误通知
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# 发送错误通知到所有群
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send_to_all_groups("send_text", content=f"策略执行失败: {result.get('error', '未知错误')}")
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return
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# 3. 发送报告
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if result.get("chart_path"):
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send_report_to_dingtalk(
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chart_path=result["chart_path"], summary_text=""
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)
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else:
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logger.warning("未找到报告图表")
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logger.info("每日任务完成")
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def run_scheduler_loop():
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"""运行调度器循环"""
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logger.info("启动调度器循环，按 Ctrl+C 停止")
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try:
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while True:
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schedule.run_pending()
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time.sleep(1)
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except KeyboardInterrupt:
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logger.info("调度器已停止")
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def main():
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parser = argparse.ArgumentParser(description="ETF策略每日定时任务")
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parser.add_argument(
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"--time",
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type=str,
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default="09:00",
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help="执行时间 (HH:MM)，默认09:00",
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)
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parser.add_argument(
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"--config",
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type=str,
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default="config/strategies/rotation.yaml",
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help="配置文件路径",
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)
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parser.add_argument(
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"--run-now",
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action="store_true",
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help="立即执行一次并退出（不启动定时任务）",
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)
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parser.add_argument(
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"--no-daemon",
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action="store_true",
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help="非后台模式：执行一次后进入定时循环",
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)
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args = parser.parse_args()
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# 创建日志目录
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(project_root / "logs").mkdir(exist_ok=True)
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if args.run_now:
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# 立即执行一次并退出
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daily_task(args.config)
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elif args.no_daemon:
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# 非后台模式：执行一次后进入定时循环
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setup_schedule(args.time, args.config)
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logger.info("执行一次任务用于测试...")
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daily_task(args.config)
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logger.info("测试完成，启动定时任务循环（按 Ctrl+C 停止）...")
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run_scheduler_loop()
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else:
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# 默认：后台daemon模式
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setup_schedule(args.time, args.config)
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run_scheduler_loop()
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if __name__ == "__main__":
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main()
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@@ -1,85 +0,0 @@
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#!/usr/bin/env python3
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"""
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CCI技术指标筛选器入口
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用法:
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python scripts/run_cci_screener.py
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python scripts/run_cci_screener.py --config config/strategies/cci.yaml
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python scripts/run_cci_screener.py --schedule # 定时模式
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"""
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import sys
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import time
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import yaml
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import argparse
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import schedule
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from pathlib import Path
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from datetime import datetime
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# 添加项目根目录到路径
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project_root = Path(__file__).parent.parent
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sys.path.insert(0, str(project_root))
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from strategies.screener.cci import CCIScreener
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def load_config(config_path: str) -> dict:
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"""加载配置文件"""
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with open(config_path, "r", encoding="utf-8") as f:
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return yaml.safe_load(f)
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def run_screening(config: dict):
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"""执行一次筛选"""
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print(f"\n[{datetime.now().strftime('%Y-%m-%d %H:%M:%S')}] 开始CCI筛选...")
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screener = CCIScreener(config)
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signals = screener.run_screening()
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return signals
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def main():
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parser = argparse.ArgumentParser(description="CCI技术指标筛选")
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parser.add_argument(
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"--config",
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type=str,
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default="config/strategies/cci.yaml",
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help="配置文件路径",
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)
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parser.add_argument(
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"--schedule",
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action="store_true",
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help="启用定时模式",
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)
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args = parser.parse_args()
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# 加载配置
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config = load_config(args.config)
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print("=" * 60)
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print(" CCI技术指标筛选器")
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print("=" * 60)
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print(f"\n配置文件: {args.config}")
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print(f"日线周期: {config.get('day_period', 14)}")
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print(f"周线周期: {config.get('week_period', 14)}")
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print(f"筛选阈值: {config.get('threshold', -100)}")
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print(f"数据源: {config.get('data_source', 'postgresql')}")
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if args.schedule:
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# 定时模式
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schedule_time = config.get("schedule_time", "19:00")
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print(f"\n定时模式已启用，每天 {schedule_time} 执行")
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print("按 Ctrl+C 停止\n")
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schedule.every().day.at(schedule_time).do(run_screening, config)
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while True:
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schedule.run_pending()
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time.sleep(1)
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else:
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# 单次执行
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run_screening(config)
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if __name__ == "__main__":
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main()
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@@ -1,151 +0,0 @@
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#!/usr/bin/env python3
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"""
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ETF轮动策略回测入口
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用法:
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python scripts/run_rotation.py
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python scripts/run_rotation.py --config config/strategies/rotation.yaml
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"""
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import sys
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import time
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import yaml
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import argparse
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from pathlib import Path
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# 添加项目根目录到路径
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project_root = Path(__file__).parent.parent
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sys.path.insert(0, str(project_root))
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from strategies.rotation.engine import RotationStrategy
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from strategies.rotation.portfolio import track_positions, save_trades
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from strategies.rotation.report import generate_performance_report
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from config.settings import DEFAULT_CODE_NAME_MAP, DEFAULT_BENCHMARK_NAME
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def load_config(config_path: str) -> dict:
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"""加载配置文件"""
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with open(config_path, "r", encoding="utf-8") as f:
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return yaml.safe_load(f)
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def main():
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parser = argparse.ArgumentParser(description="ETF轮动策略回测")
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parser.add_argument(
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"--config",
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type=str,
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default="config/strategies/rotation.yaml",
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help="配置文件路径",
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)
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parser.add_argument(
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"--save-path",
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type=str,
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default="results/report",
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help="报告保存路径前缀",
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)
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args = parser.parse_args()
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start_time = time.time()
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print("=" * 60)
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print(" ETF轮动策略 回测系统")
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print("=" * 60)
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# 加载配置
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config = load_config(args.config)
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# 如果未设置 end_date，默认使用最新日期
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if not config.get('end_date'):
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from datetime import datetime
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config['end_date'] = datetime.now().strftime('%Y-%m-%d')
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# 从配置中读取 code_list（新的配置格式：{代码: {name, etf, market}}）
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code_list_config = config.get('code_list', {})
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# 提取代码列表和名称映射
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if isinstance(code_list_config, dict):
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code_list = list(code_list_config.keys())
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# 构建 code_name_map: {代码: 名称}
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code_name_map = {}
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for code, cfg in code_list_config.items():
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if isinstance(cfg, dict):
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code_name_map[code] = cfg.get('name', code)
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else:
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# 兼容旧格式
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code_name_map[code] = cfg
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else:
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# 兼容旧格式（列表）
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code_list = code_list_config
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code_name_map = DEFAULT_CODE_NAME_MAP
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code_list_config = {}
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benchmark_config = config.get('benchmark', {})
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benchmark_name = benchmark_config.get('name', DEFAULT_BENCHMARK_NAME)
|
||||
|
||||
print(f"\n配置文件: {args.config}")
|
||||
print(f"候选标的: {len(code_list)} 只")
|
||||
|
||||
# 统计ETF映射情况
|
||||
etf_count = sum(1 for cfg in code_list_config.values() if isinstance(cfg, dict) and cfg.get('etf'))
|
||||
crypto_count = sum(1 for cfg in code_list_config.values() if isinstance(cfg, dict) and cfg.get('market') == 'CRYPTO')
|
||||
print(f" - ETF映射: {etf_count} 只")
|
||||
print(f" - 直接交易: {crypto_count} 只（加密货币）")
|
||||
|
||||
print(f"回测区间: {config['start_date']} ~ {config['end_date']}")
|
||||
print(f"因子类型: {config['factor_type']}")
|
||||
print(f"窗口天数: {config['n_days']}")
|
||||
print(f"选中数量: {config['select_num']}")
|
||||
print(f"调仓周期: {config['rebalance_days']} 天")
|
||||
print(f"交易成本: {config['trade_cost']:.2%}")
|
||||
|
||||
# 保持 config 中的 code_list 为完整配置格式（用于引擎内部解析）
|
||||
# 不需要修改 config['code_list']，引擎会直接使用原始配置
|
||||
|
||||
# 创建策略实例
|
||||
strategy = RotationStrategy(config)
|
||||
|
||||
# 运行回测
|
||||
print("\n" + "=" * 60)
|
||||
print("开始回测...")
|
||||
print("=" * 60)
|
||||
|
||||
backtest_result = strategy.run()
|
||||
|
||||
# 持仓跟踪
|
||||
print("\n" + "=" * 60)
|
||||
print("持仓跟踪...")
|
||||
print("=" * 60)
|
||||
|
||||
trades_df, summary_df = track_positions(
|
||||
backtest_result,
|
||||
code_name_map=code_name_map,
|
||||
select_num=config["select_num"],
|
||||
)
|
||||
save_trades(trades_df, summary_df, save_path=args.save_path)
|
||||
|
||||
# 生成绩效报告
|
||||
print("\n" + "=" * 60)
|
||||
print("生成绩效报告...")
|
||||
print("=" * 60)
|
||||
|
||||
metrics = generate_performance_report(
|
||||
backtest_result,
|
||||
strategy.valid_codes,
|
||||
code_name_map=code_name_map,
|
||||
benchmark_name=benchmark_name,
|
||||
save_path=args.save_path,
|
||||
select_num=config["select_num"],
|
||||
code_config=code_list_config, # 传入完整配置以显示ETF映射
|
||||
index_data=strategy.index_data, # 传入指数数据
|
||||
etf_price_data=strategy.etf_data, # 传入ETF价格数据
|
||||
etf_nav_data_raw=strategy.etf_nav_data, # 传入ETF净值数据
|
||||
)
|
||||
|
||||
elapsed = time.time() - start_time
|
||||
print(f"\n总耗时: {elapsed:.1f}秒")
|
||||
|
||||
return metrics
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
main()
|
||||
Reference in New Issue
Block a user