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 +1,90 @@
+"""Smoke test: run the scalper engine end-to-end on real XAUUSD bars.
+
+Uses the frozen baseline params (the saved .set config). Verifies the engine
+ signals + metrics produce a sane result (trades, PnL, drawdown) before we
+wire the optimizer. This is the Phase 4 validation gate — not yet the MT5
+fidelity check (that's Phase 7).
+"""
+from __future__ import annotations
+
+import sys
+from pathlib import Path
+
+PROJECT = Path(__file__).resolve().parent.parent
+sys.path.insert(0, str(PROJECT))
+
+import numpy as np
+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 strategies.gold_scalper_pro.instruments import XAUUSD_REAL
+from strategies.gold_scalper_pro.scalper_engine import ScalperConfig, ScalperEngine
+from strategies.gold_scalper_pro.search_space import FROZEN_BASELINE
+from strategies.gold_scalper_pro.signals import build_signals
+
+
+def main() -> int:
+    bars_path = PROJECT / "data" / "XAUUSD_M5_2024-06-26_2026-06-26.parquet"
+    print(f"loading {bars_path.name} ...")
+    bars = load_bars(bars_path)
+    print(f"  {len(bars):,} bars  {bars['timestamp'].iloc[0]} → {bars['timestamp'].iloc[-1]}")
+
+    print("\nbuilding signals (frozen baseline params) ...")
+    pack = build_signals(FROZEN_BASELINE, bars, XAUUSD_REAL)
+    n_long = int(pack.signals_long.sum())
+    n_short = int(pack.signals_short.sum())
+    print(f"  long signals : {n_long}")
+    print(f"  short signals: {n_short}")
+
+    # Build ScalperConfig from frozen baseline (mirrors EA inputs).
+    cfg = ScalperConfig(
+        use_break_even=FROZEN_BASELINE["InpUseBreakEven"],
+        use_trailing=FROZEN_BASELINE["InpUseTrailing"],
+        use_session=FROZEN_BASELINE["InpUseSession"],
+        session_start_hour=FROZEN_BASELINE["InpSessionStartHour"],
+        session_end_hour=FROZEN_BASELINE["InpSessionEndHour"],
+        max_positions=FROZEN_BASELINE["InpMaxPositions"],
+        max_trades_per_day=FROZEN_BASELINE["InpMaxTradesPerDay"],
+        daily_loss_limit_pct=FROZEN_BASELINE["InpDailyLossLimit"],
+        daily_profit_target_pct=FROZEN_BASELINE["InpDailyProfitTarget"],
+        min_seconds_between=FROZEN_BASELINE["InpMinSecondsBetween"],
+        sizing_mode=FROZEN_BASELINE["InpSizingMode"],
+        fixed_lots=FROZEN_BASELINE["InpFixedLots"],
+        risk_percent=FROZEN_BASELINE["InpRiskPercent"],
+        break_even_points=FROZEN_BASELINE["InpBreakEvenPoints"],
+        break_even_lock=FROZEN_BASELINE["InpBreakEvenLock"],
+        trail_start_points=FROZEN_BASELINE["InpTrailStartPoints"],
+        trail_step_points=FROZEN_BASELINE["InpTrailStepPoints"],
+    )
+    sizing = SizingInputs()  # unused — sizing lives in ScalperConfig for this EA
+
+    print("\nrunning engine ...")
+    engine = ScalperEngine()
+    result = engine.run(
+        bars, pack.signals_long, pack.signals_short,
+        pack.sl_prices, pack.tp_prices,
+        XAUUSD_REAL, sizing, initial_deposit=10000.0,
+        scalper_cfg=cfg,
+    )
+
+    metrics = compute_metrics(result, periods_per_year=252 * 24 * 12)  # M5 → ~72/year
+    print("\n=== result (frozen baseline) ===")
+    print(f"  trades         : {metrics.total_trades}")
+    print(f"  net profit     : {metrics.net_profit:,.2f}")
+    print(f"  profit factor  : {metrics.profit_factor:.2f}")
+    print(f"  win rate       : {metrics.win_rate:.2%}")
+    print(f"  equity DD max  : {metrics.max_equity_dd:,.2f}  ({metrics.max_equity_dd_pct:.2%})")
+    print(f"  sharpe         : {metrics.sharpe:.2f}")
+    if result.trades:
+        reasons = {}
+        for t in result.trades:
+            reasons[t.exit_reason] = reasons.get(t.exit_reason, 0) + 1
+        print(f"  exit reasons   : {reasons}")
+        print(f"  final balance  : {result.final_balance:,.2f}")
+    return 0
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())