回测基本一致

2026-06-26 20:50:07 +08:00
parent 49be922517
commit 0dcbfe0781
58 changed files with 4843 additions and 40 deletions
@@ -0,0 +1,114 @@
+"""Compare the dry-run MT5 report against Python on the SAME window + deposit.
+
+The dry-run MT5 report shows the tester was run on 2026.04.16 - 2026.05.08
+with initial deposit 1000 USD. To make a fair Python-vs-MT5 comparison we
+re-slice the bars to that exact window and re-run the engine with the same
+deposit. Then we print the side-by-side table.
+"""
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+PROJECT = Path(__file__).resolve().parent.parent
+sys.path.insert(0, str(PROJECT))
+
+import pandas as pd
+
+from shared.core.engine import SizingInputs
+from shared.core.metrics import compute_metrics
+from shared.data.loaders import load_bars
+from shared.data.mt5_report import parse_mt5_report
+from shared.mt5_pipeline.compare import build_comparison_table
+from strategies.gold_scalper_pro.instruments import XAUUSD_REAL
+from strategies.gold_scalper_pro.scalper_engine import (
+    ScalperEngine,
+    engine_kwargs_from_params,
+)
+from strategies.gold_scalper_pro.search_space import FROZEN_BASELINE
+from strategies.gold_scalper_pro.signals import build_signals
+
+
+def main() -> int:
+    # ── Parse the MT5 report ──────────────────────────────────────────────
+    report = PROJECT / "reports" / "ReportTester-52845377.html"
+    mt5 = parse_mt5_report(report)
+    print("=== MT5 report (dry run) ===")
+    for k, v in mt5.items():
+        if k.startswith("_"):
+            continue
+        print(f"  {k:24s}: {v}")
+    # The MT5 window + deposit (parsed from the report's _all dict).
+    all_fields = mt5["_all"]
+    window_label = all_fields.get("期间:", "")
+    print(f"  window (raw)   : {window_label}")
+    deposit = mt5.get("Initial Deposit") or 1000
+    print(f"  initial deposit: {deposit}")
+
+    # ── Slice Python bars to the same window ─────────────────────────────
+    bars = load_bars(PROJECT / "data" / "XAUUSD_M5_2024-06-26_2026-06-26.parquet")
+    # MT5 tester's ToDate is exclusive of the day (uses 00:00 of that day),
+    # so the actual data ends at 2026.05.08 00:00 (not 23:59). Match it exactly.
+    start = pd.Timestamp("2026-04-16 00:00:00")
+    end = pd.Timestamp("2026-05-08 00:00:00")
+    window = bars[(bars["timestamp"] >= start) & (bars["timestamp"] < end)].reset_index(drop=True)
+    print(f"\n=== Python (matched window) ===")
+    print(f"  bars    : {len(window):,}")
+    print(f"  window  : {window['timestamp'].iloc[0]} → {window['timestamp'].iloc[-1]}")
+    print(f"  deposit : {deposit}")
+
+    # ── Run the engine on the matched window ─────────────────────────────
+    # Override InpAtrPeriod to 15 to match the MT5 manual run (user changed
+    # it from the .set's 14 to 15 in the tester UI). RSI stays at 14.
+    params = dict(FROZEN_BASELINE)
+    params["InpAtrPeriod"] = 15
+    pack = build_signals(params, window, XAUUSD_REAL)
+    # Load M1 data for tick-level exit simulation (closes the bar-level
+    # optimism gap on BE/trailing — doc 03 §7).
+    m1_path = PROJECT / "data" / "XAUUSD_M1_2024-06-26_2026-06-26.parquet"
+    m1_bars = load_bars(m1_path) if m1_path.exists() else None
+    if m1_bars is not None:
+        # Slice M1 to the same window as M5 (exclusive end, matching MT5).
+        m1_bars = m1_bars[
+            (m1_bars["timestamp"] >= start) & (m1_bars["timestamp"] < end)
+        ].reset_index(drop=True)
+        print(f"  m1 bars : {len(m1_bars):,} (tick-level exit simulation ON)")
+    engine = ScalperEngine()
+    result = engine.run(
+        window, pack.signals_long, pack.signals_short,
+        pack.sl_prices, pack.tp_prices,
+        XAUUSD_REAL, SizingInputs(), float(deposit),
+        m1_bars=m1_bars,
+        **engine_kwargs_from_params(params),
+    )
+    py = compute_metrics(result)
+    print(f"  trades  : {py.total_trades}")
+    print(f"  net     : {py.net_profit:+.2f}")
+    print(f"  PF      : {py.profit_factor:.2f}")
+    print(f"  DD      : {py.max_equity_dd:.2f} ({py.max_equity_dd_pct:.2%})")
+
+    # ── Build the comparison table ───────────────────────────────────────
+    # Map Python Metrics → keys the compare table expects.
+    py_mapped = {
+        "net_profit": py.net_profit,
+        "profit_factor": py.profit_factor,
+        "total_trades": py.total_trades,
+        "max_equity_dd": py.max_equity_dd,
+        "win_rate": py.win_rate,
+        "sharpe": py.sharpe,
+    }
+    mt5_mapped = {
+        "net_profit": mt5.get("Total Net Profit"),
+        "profit_factor": mt5.get("Profit Factor"),
+        "total_trades": mt5.get("Total Trades"),
+        "max_equity_dd": mt5.get("Equity Drawdown Maximal"),
+        "win_rate": None,
+        "sharpe": mt5.get("Sharpe Ratio"),
+    }
+    print(f"\n=== Python vs MT5 (matched window {start.date()} → {end.date()}) ===")
+    print(build_comparison_table(py_mapped, mt5_mapped))
+    return 0
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())