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 +1,45 @@
+"""Trade-by-trade comparison to locate the PnL gap source.
+
+Both sides now produce 92 trades on the same window. This script dumps the
+first ~20 trades from each side side-by-side so we can see WHERE the PnL
+diverges (entry price? exit price? lots? swap?).
+"""
+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 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:
+    # ── Python trades ─────────────────────────────────────────────────────
+    bars = load_bars(PROJECT / "data" / "XAUUSD_M5_2024-06-26_2026-06-26.parquet")
+    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)
+    pack = build_signals(FROZEN_BASELINE, window, XAUUSD_REAL)
+    engine = ScalperEngine()
+    result = engine.run(
+        window, pack.signals_long, pack.signals_short,
+        pack.sl_prices, pack.tp_prices,
+        XAUUSD_REAL, SizingInputs(), 1000.0,
+        **engine_kwargs_from_params(FROZEN_BASELINE),
+    )
+    print("=== Python first 20 trades ===")
+    print(f"{'#':>3