406 lines
16 KiB
Python
406 lines
16 KiB
Python
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# -*- coding: utf-8 -*-
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"""
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回测 JSONL 分析脚本.
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用法: python analyze_backtest.py [path/to/file.jsonl]
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对于没有 exit 记录的交易, 使用最后一条 snapshot 的 bid 作为 mark-to-market 离场价,
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reason 标记为 "open_no_exit".
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"""
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import json
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import sys
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from collections import defaultdict, Counter
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from datetime import datetime
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DEFAULT_PATH = r"c:\Users\Administrator\Desktop\polymarket-quick-trade\backtest_0725_0614.jsonl"
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def load_records(path):
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records = []
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with open(path, "r", encoding="utf-8") as f:
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for line_no, line in enumerate(f, 1):
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line = line.strip()
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if not line:
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continue
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try:
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records.append(json.loads(line))
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except json.JSONDecodeError as e:
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print(f"[WARN] line {line_no} JSON 解析失败: {e}")
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return records
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def group_trades(records):
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"""按 round_ts 把 entry / snapshot / exit 聚合成一笔交易."""
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trades = defaultdict(lambda: {"entry": None, "snapshots": [], "exit": None})
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for r in records:
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t = r.get("type")
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key = r.get("round_ts")
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if t == "entry":
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# 同一 round_ts 若有多条 entry, 取第一条
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if trades[key]["entry"] is None:
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trades[key]["entry"] = r
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else:
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# 后续 entry 视为新一笔 (用 ts 区分) - 简化处理: 覆盖
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trades[key]["entry"] = r
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elif t == "snapshot":
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trades[key]["snapshots"].append(r)
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elif t == "exit":
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# 若已有 exit, 保留第一个; 否则写入
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if trades[key]["exit"] is None:
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trades[key]["exit"] = r
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return trades
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def finalize_trade(key, trade):
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"""补全 exit / entry_price / exit_price / pnl / pnl_pct / reason."""
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entry = trade["entry"]
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snaps = sorted(trade["snapshots"], key=lambda x: x.get("ts", 0))
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exit_rec = trade["exit"]
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info = {
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"round_ts": key,
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"entry": entry,
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"snapshots": snaps,
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"exit": exit_rec,
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"entry_price": None,
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"exit_price": None,
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"shares": None,
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"pnl": None,
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"pnl_pct": None,
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"reason": None,
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"has_exit": exit_rec is not None,
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"last_bid": snaps[-1].get("bid") if snaps else None,
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"last_btc": snaps[-1].get("btc") if snaps else None,
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}
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if entry is None:
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return info # 没有 entry, 无法分析
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info["entry_price"] = entry.get("price")
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info["shares"] = entry.get("shares")
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if exit_rec is not None:
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info["exit_price"] = exit_rec.get("exit_price")
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info["pnl"] = exit_rec.get("pnl")
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info["pnl_pct"] = exit_rec.get("pnl_pct")
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info["reason"] = exit_rec.get("reason")
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else:
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# 用最后一条 snapshot 的 bid 模拟离场 (mark-to-market)
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last_bid = info["last_bid"]
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if last_bid is not None and info["entry_price"] is not None and info["shares"]:
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# 对于 side=down, bid 是 down 合约的买价; pnl = (bid - entry) * shares
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# 对于 side=up, 需要相应合约的 bid; 这里 snapshot.bid 直接对应 side 方向的 bid (按数据看是一致的)
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pnl = (last_bid - info["entry_price"]) * info["shares"]
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pnl_pct = (last_bid - info["entry_price"]) / info["entry_price"] * 100.0 if info["entry_price"] else None
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info["exit_price"] = last_bid
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info["pnl"] = pnl
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info["pnl_pct"] = pnl_pct
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info["reason"] = "open_no_exit"
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return info
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def fmt_ts(ts):
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if ts is None:
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return "-"
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try:
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return datetime.fromtimestamp(float(ts)).strftime("%Y-%m-%d %H:%M:%S")
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except Exception:
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return str(ts)
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def score_bucket(score):
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if score is None:
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return "unknown"
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if score <= -5:
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return "-8~-5"
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if score <= -3:
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return "-4~-3"
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if score <= 2:
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return "-2~2"
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if score <= 4:
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return "3~4"
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return "5~8"
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def parse_signal_direction(sig_text):
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"""从信号文本中解析方向. 返回 'UP' / 'DN' / 'NEU' / None."""
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if not sig_text:
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return None
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s = str(sig_text)
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if s.startswith("UP"):
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return "UP"
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if s.startswith("DN"):
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return "DN"
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if s.startswith("无") or s.startswith("NEU") or "无鲸鱼" in s:
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return "NEU"
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return None
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def signal_strength(sig_text):
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"""尝试从 'DN -4 (...)' 中提取数值."""
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if not sig_text:
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return None
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s = str(sig_text)
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parts = s.split()
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if len(parts) >= 2:
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try:
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return int(parts[1])
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except ValueError:
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try:
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return float(parts[1])
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except ValueError:
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return None
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return None
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def main():
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path = sys.argv[1] if len(sys.argv) > 1 else DEFAULT_PATH
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print(f"=== 分析文件: {path} ===\n")
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records = load_records(path)
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type_counts = Counter(r.get("type", "?") for r in records)
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print(f"[原始记录] 总行数: {len(records)}; 类型分布: {dict(type_counts)}")
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trades_raw = group_trades(records)
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trades = [finalize_trade(k, v) for k, v in sorted(trades_raw.items())]
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n_with_entry = sum(1 for t in trades if t["entry"] is not None)
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n_with_exit = sum(1 for t in trades if t["has_exit"])
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print(f"[交易聚合] 交易笔数(按 round_ts): {len(trades)}; 有 entry: {n_with_entry}; 有 exit: {n_with_exit}")
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print(f" 无 exit 的交易: {n_with_entry - n_with_exit} (用最后 snapshot bid 模拟离场)\n")
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# ===== 1. 总体统计 =====
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print("=" * 70)
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print("1. 总体统计")
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print("=" * 70)
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closed = [t for t in trades if t["pnl"] is not None]
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wins = [t for t in closed if t["pnl"] > 0]
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losses = [t for t in closed if t["pnl"] < 0]
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ties = [t for t in closed if t["pnl"] == 0]
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total_pnl = sum(t["pnl"] for t in closed)
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total_pnl_pct_avg = sum(t["pnl_pct"] for t in closed) / len(closed) if closed else 0
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win_rate = len(wins) / len(closed) * 100 if closed else 0
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print(f" 可统计交易数 (有 pnl): {len(closed)}")
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print(f" 胜: {len(wins)} 负: {len(losses)} 平: {len(ties)}")
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print(f" 总 PnL: {total_pnl:+.4f}")
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print(f" 平均 PnL%: {total_pnl_pct_avg:+.2f}%")
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print(f" 胜率: {win_rate:.2f}%")
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if wins:
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print(f" 平均盈利: {sum(t['pnl'] for t in wins)/len(wins):+.4f}")
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if losses:
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print(f" 平均亏损: {sum(t['pnl'] for t in losses)/len(losses):+.4f}")
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# ===== 2. 按 side 分组 =====
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print("\n" + "=" * 70)
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print("2. 按 side 分组胜率")
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print("=" * 70)
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by_side = defaultdict(list)
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for t in closed:
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by_side[t["entry"].get("side", "?")].append(t)
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for side, ts in by_side.items():
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w = sum(1 for t in ts if t["pnl"] > 0)
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l = sum(1 for t in ts if t["pnl"] < 0)
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e = sum(1 for t in ts if t["pnl"] == 0)
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pnl_sum = sum(t["pnl"] for t in ts)
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wr = w / len(ts) * 100 if ts else 0
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print(f" side={side:5s} 笔数={len(ts):3d} 胜={w} 负={l} 平={e} 胜率={wr:5.2f}% 总PnL={pnl_sum:+.4f}")
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# ===== 3. 按 score 分组 =====
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print("\n" + "=" * 70)
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print("3. 按 score 分组胜率")
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print("=" * 70)
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by_score = defaultdict(list)
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for t in closed:
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sc = t["entry"].get("score")
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by_score[score_bucket(sc)].append(t)
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order = ["-8~-5", "-4~-3", "-2~2", "3~4", "5~8", "unknown"]
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for bucket in order:
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ts = by_score.get(bucket, [])
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if not ts:
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continue
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w = sum(1 for t in ts if t["pnl"] > 0)
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l = sum(1 for t in ts if t["pnl"] < 0)
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e = sum(1 for t in ts if t["pnl"] == 0)
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pnl_sum = sum(t["pnl"] for t in ts)
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avg_pnl_pct = sum(t["pnl_pct"] for t in ts) / len(ts)
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wr = w / len(ts) * 100 if ts else 0
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print(f" score {bucket:8s} 笔数={len(ts):3d} 胜={w} 负={l} 平={e} 胜率={wr:5.2f}% 总PnL={pnl_sum:+.4f} 平均PnL%={avg_pnl_pct:+.2f}%")
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# ===== 4. 按 reason 分组 =====
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print("\n" + "=" * 70)
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print("4. 按 reason 分组")
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print("=" * 70)
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by_reason = defaultdict(list)
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for t in closed:
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by_reason[t["reason"] or "unknown"].append(t)
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for reason, ts in by_reason.items():
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pnls = [t["pnl"] for t in ts]
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avg_pnl = sum(pnls) / len(pnls) if pnls else 0
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avg_pnl_pct = sum(t["pnl_pct"] for t in ts) / len(ts) if ts else 0
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w = sum(1 for p in pnls if p > 0)
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print(f" reason={reason:16s} 次数={len(ts):3d} 胜={w} 平均PnL={avg_pnl:+.4f} 平均PnL%={avg_pnl_pct:+.2f}%")
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# ===== 5. BTC vs strike 偏离 & 动量一致性 =====
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print("\n" + "=" * 70)
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print("5. BTC vs strike 偏离 (入场时方向是否与 BTC 动量一致)")
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print("=" * 70)
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print(" 说明: btc_diff = btc - strike. side=up 期望 btc>strike (上涨); side=down 期望 btc<strike (下跌).")
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print(" 方向一致 = (side=up 且 btc>strike) 或 (side=down 且 btc<strike)\n")
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consistent = 0
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inconsistent = 0
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for t in trades:
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e = t["entry"]
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if e is None:
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continue
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btc = e.get("btc")
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strike = e.get("strike")
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side = e.get("side")
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if btc is None or strike is None:
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continue
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diff = btc - strike
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diff_pct = diff / strike * 100 if strike else 0
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if side == "up":
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agree = diff > 0
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elif side == "down":
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agree = diff < 0
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else:
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agree = None
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flag = "一致" if agree else "不一致"
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if agree:
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consistent += 1
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else:
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inconsistent += 1
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print(f" round_ts={e.get('round_ts')} side={side} btc={btc:.2f} strike={strike:.2f} "
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f"diff={diff:+.2f} ({diff_pct:+.4f}%) 入场方向与BTC动量: {flag}")
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total_checked = consistent + inconsistent
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if total_checked:
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print(f"\n 汇总: 一致 {consistent} / 不一致 {inconsistent} / 总 {total_checked} "
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f"一致率={consistent/total_checked*100:.2f}%")
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# ===== 6. 信号方向 vs 最终结果一致性 =====
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print("\n" + "=" * 70)
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print("6. 每个信号方向 vs 最终 pnl 正负 的一致性")
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print("=" * 70)
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print(" 对每个信号: 解析其方向(UP/DN/NEU), 与 entry.side 对比是否同向,")
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print(" 再看该笔 pnl 正负. '信号对结果有指导性' = 信号方向 == entry.side 且 pnl>0, 或 信号方向 != entry.side 且 pnl<0.\n")
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signal_names = ["winners", "streak", "whale", "momentum"]
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for sig in signal_names:
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agree_side = 0 # 信号方向 == entry.side
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disagree_side = 0 # 信号方向 != entry.side
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# 信号方向 == side 且盈利 / 信号方向 != side 且亏损 => 信号"对"
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sig_correct = 0
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sig_wrong = 0
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sig_neu = 0
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sig_valid = 0
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for t in closed:
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e = t["entry"]
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sig_text = e.get("signals", {}).get(sig)
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sig_dir = parse_signal_direction(sig_text)
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side = e.get("side")
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side_norm = "UP" if side == "up" else ("DN" if side == "down" else None)
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if sig_dir is None or sig_dir == "NEU":
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sig_neu += 1
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continue
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sig_valid += 1
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same_dir = (sig_dir == side_norm)
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if same_dir:
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agree_side += 1
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else:
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disagree_side += 1
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pnl_pos = t["pnl"] > 0
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# 信号"对": 同向且盈利 OR 反向且亏损
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if (same_dir and pnl_pos) or (not same_dir and not pnl_pos):
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sig_correct += 1
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else:
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sig_wrong += 1
|
||
|
|
total = sig_correct + sig_wrong
|
||
|
|
acc = sig_correct / total * 100 if total else 0
|
||
|
|
print(f" 信号 {sig:10s}: 有效={sig_valid:3d} 中性={sig_neu:3d} | "
|
||
|
|
f"同向={agree_side:3d} 反向={disagree_side:3d} | "
|
||
|
|
f"对结果预测准确={sig_correct}/{total} = {acc:5.2f}%")
|
||
|
|
|
||
|
|
# ===== 7. 每笔交易简表 =====
|
||
|
|
print("\n" + "=" * 70)
|
||
|
|
print("7. 每笔交易简表")
|
||
|
|
print("=" * 70)
|
||
|
|
header = f"{'round_ts':<20}{'时间':<20}{'side':<6}{'score':<6}{'entry':<8}{'exit':<8}{'pnl':<10}{'pnl%':<9}{'reason':<16}{'BTC偏离':<14}{'signals简要'}"
|
||
|
|
print(header)
|
||
|
|
print("-" * len(header))
|
||
|
|
for t in trades:
|
||
|
|
e = t["entry"]
|
||
|
|
if e is None:
|
||
|
|
print(f" round_ts={t['round_ts']} (无 entry)")
|
||
|
|
continue
|
||
|
|
side = e.get("side", "?")
|
||
|
|
score = e.get("score", "?")
|
||
|
|
ep = t["entry_price"]
|
||
|
|
xp = t["exit_price"]
|
||
|
|
pnl = t["pnl"]
|
||
|
|
pnl_pct = t["pnl_pct"]
|
||
|
|
reason = t["reason"] or "-"
|
||
|
|
btc = e.get("btc")
|
||
|
|
strike = e.get("strike")
|
||
|
|
if btc is not None and strike is not None:
|
||
|
|
diff = btc - strike
|
||
|
|
btc_dir = "BTC>strike" if diff > 0 else ("BTC<strike" if diff < 0 else "BTC=strike")
|
||
|
|
btc_str = f"{btc_dir}({diff:+.1f})"
|
||
|
|
else:
|
||
|
|
btc_str = "-"
|
||
|
|
# signals 简要
|
||
|
|
sigs = e.get("signals", {})
|
||
|
|
sig_parts = []
|
||
|
|
for sn in signal_names:
|
||
|
|
sv = sigs.get(sn)
|
||
|
|
d = parse_signal_direction(sv)
|
||
|
|
v = signal_strength(sv)
|
||
|
|
if d and d != "NEU":
|
||
|
|
sig_parts.append(f"{sn[:3]}:{d}({v:+d})" if v is not None else f"{sn[:3]}:{d}")
|
||
|
|
elif d == "NEU":
|
||
|
|
sig_parts.append(f"{sn[:3]}:NEU")
|
||
|
|
sig_brief = " ".join(sig_parts)
|
||
|
|
|
||
|
|
ep_s = f"{ep:.2f}" if ep is not None else "-"
|
||
|
|
xp_s = f"{xp:.2f}" if xp is not None else "-"
|
||
|
|
pnl_s = f"{pnl:+.4f}" if pnl is not None else "-"
|
||
|
|
pnlpct_s = f"{pnl_pct:+.2f}%" if pnl_pct is not None else "-"
|
||
|
|
ts_s = fmt_ts(e.get("round_ts"))
|
||
|
|
|
||
|
|
print(f"{str(e.get('round_ts')):<20}{ts_s:<20}{side:<6}{str(score):<6}{ep_s:<8}{xp_s:<8}{pnl_s:<10}{pnlpct_s:<9}{reason:<16}{btc_str:<14}{sig_brief}")
|
||
|
|
|
||
|
|
# ===== 洞察 =====
|
||
|
|
print("\n" + "=" * 70)
|
||
|
|
print("洞察 (Insights)")
|
||
|
|
print("=" * 70)
|
||
|
|
if not closed:
|
||
|
|
print(" - 没有已平仓交易 (exit 记录), 所有 pnl 均为基于最后 snapshot bid 的估算.")
|
||
|
|
if len(trades) == 1:
|
||
|
|
t = trades[0]
|
||
|
|
e = t["entry"]
|
||
|
|
print(f" - 本文件仅含 1 笔交易 (round_ts={e.get('round_ts')}, side={e.get('side')}, score={e.get('score')}).")
|
||
|
|
print(f" - 入场价 {t['entry_price']}, 最后 bid {t['last_bid']}, 估算 pnl {t['pnl']:+.4f} ({t['pnl_pct']:+.2f}%).")
|
||
|
|
btc = e.get("btc"); strike = e.get("strike"); side = e.get("side")
|
||
|
|
diff = btc - strike
|
||
|
|
agree = (side=="up" and diff>0) or (side=="down" and diff<0)
|
||
|
|
print(f" - BTC={btc:.2f} vs strike={strike:.2f}, 偏离 {diff:+.2f}; side={side}, 方向与 BTC 动量 {'一致' if agree else '不一致'}.")
|
||
|
|
# 对 down 方向, BTC 实际高于 strike => 入场时 BTC 已经反向, 不利
|
||
|
|
if side == "down" and diff > 0:
|
||
|
|
print(f" - ⚠ side=down 但 BTC>strike ({diff:+.2f}), 即 BTC 已上涨越过 strike, 与下注方向相反, 风险信号.")
|
||
|
|
# signals 摘要
|
||
|
|
sigs = e.get("signals", {})
|
||
|
|
print(f" - 信号汇总:")
|
||
|
|
for sn in signal_names:
|
||
|
|
print(f" {sn}: {sigs.get(sn)}")
|
||
|
|
# 时间序列观察
|
||
|
|
snaps = t["snapshots"]
|
||
|
|
if snaps:
|
||
|
|
bids = [s.get("bid") for s in snaps]
|
||
|
|
print(f" - bid 路径: 起 {bids[0]} -> 最低 {min(bids)} -> 最高 {max(bids)} -> 末 {bids[-1]}")
|
||
|
|
print(f" - bid 在持仓期间整体 {'下行' if bids[-1] < bids[0] else '上行'}, "
|
||
|
|
f"对 side={side} 持仓 {'不利' if (side=='down' and bids[-1]<bids[0]) or (side=='up' and bids[-1]>bids[0]) else '有利'}.")
|
||
|
|
print("\n(分析完成)")
|
||
|
|
|
||
|
|
|
||
|
|
if __name__ == "__main__":
|
||
|
|
main()
|