109 lines
2.8 KiB
Python
Executable File
109 lines
2.8 KiB
Python
Executable File
#!/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 CODE_NAME_MAP, 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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print(f"\n配置文件: {args.config}")
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print(f"候选标的: {len(config['code_list'])} 只")
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print(f"回测区间: {config['start_date']} ~ {config['end_date']}")
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print(f"因子类型: {config['factor_type']}")
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print(f"窗口天数: {config['n_days']}")
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print(f"选中数量: {config['select_num']}")
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print(f"调仓周期: {config['rebalance_days']} 天")
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print(f"交易成本: {config['trade_cost']:.2%}")
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# 创建策略实例
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strategy = RotationStrategy(config)
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# 运行回测
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print("\n" + "=" * 60)
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print("开始回测...")
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print("=" * 60)
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backtest_result = strategy.run()
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# 持仓跟踪
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print("\n" + "=" * 60)
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print("持仓跟踪...")
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print("=" * 60)
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trades_df, summary_df = track_positions(
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backtest_result,
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code_name_map=CODE_NAME_MAP,
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select_num=config["select_num"],
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)
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save_trades(trades_df, summary_df, save_path=args.save_path)
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# 生成绩效报告
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print("\n" + "=" * 60)
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print("生成绩效报告...")
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print("=" * 60)
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metrics = generate_performance_report(
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backtest_result,
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strategy.valid_codes,
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code_name_map=CODE_NAME_MAP,
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benchmark_name=BENCHMARK_NAME,
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save_path=args.save_path,
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select_num=config["select_num"],
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)
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elapsed = time.time() - start_time
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print(f"\n总耗时: {elapsed:.1f}秒")
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return metrics
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if __name__ == "__main__":
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main()
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