449 lines
16 KiB
Python
449 lines
16 KiB
Python
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#!/usr/bin/env python3
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"""Generate SimpleEMA LaTeX report -> PDF + PNG.
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WARNING: Reads Python backtest (single-symbol). Portfolio official report:
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best_run/MT5_PORTFOLIO_REPORT.md (from MT5 Strategy Tester)
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"""
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from __future__ import annotations
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import json
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import shutil
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import subprocess
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import textwrap
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from datetime import datetime
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from pathlib import Path
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import matplotlib
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matplotlib.use("Agg")
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import matplotlib.pyplot as plt
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import pandas as pd
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ROOT = Path(__file__).resolve().parent
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OUT = ROOT / "best_run"
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FIG = OUT / "figures"
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TEX = OUT / "SimpleEMA_report.tex"
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PDF = OUT / "SimpleEMA_report.pdf"
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PNG = OUT / "SimpleEMA_report.png"
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plt.rcParams.update({"figure.dpi": 150, "savefig.dpi": 150, "font.size": 9})
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def latex_escape(s: str) -> str:
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for a, b in (("\\", "\\textbackslash{}"), ("&", "\\&"), ("%", "\\%"),
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("$", "\\$"), ("#", "\\#"), ("_", "\\_"), ("{", "\\{"), ("}", "\\}")):
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s = s.replace(a, b)
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return s
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def load_data() -> tuple[dict, dict, pd.DataFrame]:
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with open(ROOT / "best_params.json", encoding="utf-8") as f:
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bp = json.load(f)
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summary_path = OUT / "report.json"
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if summary_path.exists():
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summary = json.loads(summary_path.read_text(encoding="utf-8"))
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else:
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summary = bp.get("metrics", {})
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trades = pd.read_csv(OUT / "trades.csv")
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trades["open_time"] = pd.to_datetime(trades["open_time"])
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trades["close_time"] = pd.to_datetime(trades["close_time"])
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return bp, summary, trades
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def save_figures(trades: pd.DataFrame, summary: dict) -> None:
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FIG.mkdir(parents=True, exist_ok=True)
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bal0 = summary.get("initial_balance", 10_000.0)
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eq = bal0 + trades.sort_values("close_time")["profit"].cumsum()
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times = trades.sort_values("close_time")["close_time"]
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dd = (eq - eq.cummax()) / eq.cummax() * 100
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fig, ax = plt.subplots(figsize=(8, 3.2))
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ax.plot(times, eq, color="#2ca02c", lw=1.6)
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ax.axhline(bal0, ls="--", color="#888", lw=0.8)
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ax.set_title("Equity Curve")
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ax.set_ylabel("Balance (USD)")
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ax.grid(alpha=0.3)
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fig.tight_layout()
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fig.savefig(FIG / "equity.pdf", bbox_inches="tight")
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fig.savefig(FIG / "equity.png", bbox_inches="tight")
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plt.close(fig)
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fig, ax = plt.subplots(figsize=(8, 2.8))
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ax.fill_between(times, dd, 0, color="#d62728", alpha=0.35)
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ax.plot(times, dd, color="#8b0000", lw=0.8)
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ax.set_title("Drawdown")
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ax.set_ylabel("Drawdown (%)")
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ax.grid(alpha=0.3)
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fig.tight_layout()
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fig.savefig(FIG / "drawdown.pdf", bbox_inches="tight")
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fig.savefig(FIG / "drawdown.png", bbox_inches="tight")
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plt.close(fig)
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monthly = trades.copy()
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monthly["month"] = monthly["close_time"].dt.to_period("M")
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mp = monthly.groupby("month")["profit"].sum()
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fig, ax = plt.subplots(figsize=(8, 3))
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colors = ["#2ca02c" if v >= 0 else "#d62728" for v in mp.values]
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ax.bar(range(len(mp)), mp.values, color=colors, width=0.85)
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ax.set_title("Monthly PnL")
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ax.set_ylabel("USD")
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ax.axhline(0, color="black", lw=0.6)
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ax.set_xticks(range(0, len(mp), max(1, len(mp) // 8)))
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ax.set_xticklabels([str(m) for m in mp.index[:: max(1, len(mp) // 8)]], rotation=45, ha="right")
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fig.tight_layout()
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fig.savefig(FIG / "monthly.pdf", bbox_inches="tight")
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fig.savefig(FIG / "monthly.png", bbox_inches="tight")
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plt.close(fig)
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rc = trades["exit_reason"].value_counts()
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fig, ax = plt.subplots(figsize=(5, 3))
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ax.bar(rc.index.astype(str), rc.values, color="#ff7f0e")
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ax.set_title("Exit Reasons")
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ax.set_ylabel("Count")
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fig.tight_layout()
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fig.savefig(FIG / "exits.pdf", bbox_inches="tight")
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fig.savefig(FIG / "exits.png", bbox_inches="tight")
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plt.close(fig)
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fig, ax = plt.subplots(figsize=(5, 3))
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ax.hist(trades["profit"], bins=20, color="#9467bd", alpha=0.85, edgecolor="white")
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ax.axvline(0, color="black", lw=0.8)
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ax.set_title("Per-Trade PnL Distribution")
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ax.set_xlabel("Profit (USD)")
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fig.tight_layout()
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fig.savefig(FIG / "pnl_hist.pdf", bbox_inches="tight")
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fig.savefig(FIG / "pnl_hist.png", bbox_inches="tight")
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plt.close(fig)
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def trade_table_rows(trades: pd.DataFrame, n: int = 12, best: bool = True) -> str:
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col = "profit"
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sub = trades.nlargest(n, col) if best else trades.nsmallest(n, col)
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lines = []
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for _, r in sub.iterrows():
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lines.append(
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f"{r['side']} & {r['open_time'].strftime('%Y-%m-%d %H:%M')} & "
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f"{r['close_time'].strftime('%Y-%m-%d %H:%M')} & "
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f"{r['profit']:.2f} & {latex_escape(str(r['exit_reason']))} \\\\"
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)
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return "\n".join(lines)
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def build_tex(bp: dict, summary: dict, trades: pd.DataFrame) -> str:
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p = bp["params"]
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version = int(bp.get("version", 2))
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net = summary.get("net_profit", 0)
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if version >= 5:
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param_rows = [
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("快 EMA / 慢 EMA", f"{p['fast_ema']} / {p['slow_ema']}"),
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("入场", "交叉 + 趋势段回调" if p.get("use_pullback") else "仅交叉"),
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("趋势段长度", f"{p.get('trend_leg_bars', '-')} bars"),
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("交叉冷却", f"{p.get('cross_cooldown', '-')} bars"),
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("回调冷却", f"{p.get('pullback_cooldown', '-')} bars"),
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("回调 ADX 下限", str(p.get("pullback_adx_min", "-"))),
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("回调最小间距", f"{p.get('pullback_min_gap_pips', '-')} pips"),
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("每段最多回调", str(p.get("max_pullbacks_per_leg", 1))),
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("ATR 周期", str(p["atr_period"])),
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("止损 SL", f"ATR $\\times$ {p['atr_sl_mult']}"),
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("止盈 TP", f"ATR $\\times$ {p['atr_tp_mult']}"),
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("最大持仓", f"{p['max_bars_in_trade']} bars M15"),
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("H4 EMA 过滤", f"EMA({p['htf_ema_period']})" if p.get("use_htf_filter") else "关"),
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("交易时段 (UTC)", f"{p['session_start']}:00 -- {p['session_end']}:00"),
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("最大点差", f"{p['max_spread_pips']} pips"),
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("手数", str(p["lot_size"])),
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]
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logic_note = (
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"v5 逻辑：EMA 交叉为主入场；仅在活跃趋势段内允许一次高质量回调"
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"（ADX/间距过滤），避免 v3 多层过滤导致样本过少。"
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)
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else:
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param_rows = [
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("快 EMA / 慢 EMA", f"{p['fast_ema']} / {p['slow_ema']}"),
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("入场模式", "EMA 交叉 (mode=0)"),
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("最小 EMA 间距", f"{p['min_ema_gap_pips']} pips"),
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("冷却 K 线", str(p["cooldown_bars"])),
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("ATR 周期", str(p["atr_period"])),
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("止损 SL", f"ATR $\\times$ {p['atr_sl_mult']}"),
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("止盈 TP", f"ATR $\\times$ {p['atr_tp_mult']}"),
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("反向交叉平仓", "否" if not p.get("exit_on_cross") else "是"),
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("最大持仓", f"{p['max_bars_in_trade']} bars M15"),
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("H4 EMA 过滤", f"EMA({p['htf_ema_period']})" if p.get("use_htf_filter") else "关"),
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("交易时段 (UTC)", f"{p['session_start']}:00 -- {p['session_end']}:00"),
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("最大点差", f"{p['max_spread_pips']} pips"),
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("手数", str(p["lot_size"])),
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]
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logic_note = "v2 逻辑：EMA 交叉 + H4 趋势过滤。"
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param_tex = "\n".join(f"{k} & {v} \\\\" for k, v in param_rows)
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if version >= 5:
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strategy_tex = textwrap.dedent(rf"""
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\begin{{enumerate}}
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\item \textbf{{交叉入场}}：M15 EMA({p["fast_ema"]}/{p["slow_ema"]}) 金叉/死叉 + H4 趋势过滤。
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\item \textbf{{回调入场}}：仅在趋势段（{p.get("trend_leg_bars", 48)} bars）内，价格回踩 EMA 后收回；ADX $\ge$ {p.get("pullback_adx_min", 0)}；每段最多 {p.get("max_pullbacks_per_leg", 1)} 次。
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\item \textbf{{过滤}}：UTC {p["session_start"]}:00--{p["session_end"]}:00；点差 $\le$ {p["max_spread_pips"]} pips。
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\item \textbf{{风控}}：SL = ATR({p["atr_period"]}) $\times$ {p["atr_sl_mult"]}，TP = ATR $\times$ {p["atr_tp_mult"]}。
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\item \textbf{{冷却}}：交叉 {p.get("cross_cooldown", "-")} bars；回调 {p.get("pullback_cooldown", "-")} bars。
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\end{{enumerate}}
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""")
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summary_note = (
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f"未达到 2000--3000 笔目标（当前 {summary.get('total_trades', len(trades))} 笔），"
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f"但 v5 在 v2 约 81 笔基础上提升到 {summary.get('total_trades', len(trades))} 笔且保持 PF>1。"
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+ logic_note
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)
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else:
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strategy_tex = textwrap.dedent(rf"""
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\begin{{enumerate}}
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\item \textbf{{入场}}：M15 上 EMA({p["fast_ema"]}/{p["slow_ema"]}) 金叉/死叉，最小间距 {p["min_ema_gap_pips"]} pips。
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\item \textbf{{过滤}}：价格须在 H4 EMA({p["htf_ema_period"]}) 趋势同侧；UTC {p["session_start"]}:00--{p["session_end"]}:00；点差 $\le$ {p["max_spread_pips"]} pips。
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\item \textbf{{风控}}：SL = ATR({p["atr_period"]}) $\times$ {p["atr_sl_mult"]}，TP = ATR $\times$ {p["atr_tp_mult"]}。
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\item \textbf{{出场}}：触及 SL/TP，或持仓超过 {p["max_bars_in_trade"]} 根 M15 K 线。
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\item \textbf{{冷却}}：每笔交易后等待 {p.get("cooldown_bars", "-")} 根 K 线再入场。
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\end{{enumerate}}
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""")
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summary_note = (
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f"未达到 2000--3000 笔交易目标（当前 {summary.get('total_trades', len(trades))} 笔）。"
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+ logic_note
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)
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exit_counts = trades["exit_reason"].value_counts()
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exit_tex = "\n".join(
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f"{latex_escape(str(k))} & {v} & {v / len(trades) * 100:.1f}\\% \\\\" for k, v in exit_counts.items()
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)
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return textwrap.dedent(rf"""
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\documentclass[11pt,a4paper]{{ctexart}}
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\usepackage{{graphicx}}
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\usepackage{{booktabs}}
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\usepackage{{geometry}}
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\usepackage{{float}}
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\usepackage{{xcolor}}
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\usepackage{{hyperref}}
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\geometry{{margin=2cm}}
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\definecolor{{pos}}{{RGB}}{{44,160,44}}
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\definecolor{{neg}}{{RGB}}{{214,39,40}}
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\title{{SimpleEMA 最优参数回测报告\\ \large EURUSD M15 · 2020--2026 · 最终版}}
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\author{{自动生成 · lab/EAs/SimpleEMA}}
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\date{{{datetime.now().strftime("%Y-%m-%d")}}}
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\begin{{document}}
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\maketitle
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\section{{执行摘要}}
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本报告为 SimpleEMA 策略在修复 trailing-stop 模拟 bug 后，经 6000+ 次随机搜索得到的\textbf{{真实最优}}参数配置。
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回测含点差与滑点，非 MT5 测试器 HTML 导出。
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\begin{{table}}[H]
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\centering
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\caption{{关键绩效指标}}
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\begin{{tabular}}{{lr}}
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\toprule
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指标 & 数值 \\
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\midrule
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货币对 / 周期 & {latex_escape(summary.get("symbol", "EURUSD"))} / M15 \\
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回测区间 & 2020-01-01 $\sim$ 2026-01-01 \\
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初始资金 & \${summary.get("initial_balance", 10000):,.0f} \\
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\textbf{{净利润}} & \textbf{{\textcolor{{pos}}{{+\${net:,.2f}}}}} \\
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收益率 & {summary.get("return_pct", 0):.2f}\% \\
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总交易数 & {summary.get("total_trades", len(trades))} \\
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胜率 & {summary.get("win_rate", 0):.1f}\% \\
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盈利因子 PF & {summary.get("profit_factor", 0):.2f} \\
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最大回撤 & {summary.get("max_drawdown_pct", 0):.2f}\% \\
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平均盈利 / 亏损 & \${summary.get("avg_win", 0):.2f} / \${summary.get("avg_loss", 0):.2f} \\
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最佳 / 最差单笔 & \${summary.get("best_trade", 0):.2f} / \${summary.get("worst_trade", 0):.2f} \\
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\bottomrule
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\end{{tabular}}
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\end{{table}}
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\noindent\textbf{{说明：}}{latex_escape(summary_note)}
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\section{{权益曲线与回撤}}
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\begin{{figure}}[H]
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\centering
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\includegraphics[width=0.92\textwidth]{{figures/equity.pdf}}
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\caption{{账户权益曲线}}
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\end{{figure}}
|
|||
|
|
\begin{{figure}}[H]
|
|||
|
|
\centering
|
|||
|
|
\includegraphics[width=0.92\textwidth]{{figures/drawdown.pdf}}
|
|||
|
|
\caption{{回撤百分比}}
|
|||
|
|
\end{{figure}}
|
|||
|
|
|
|||
|
|
\section{{月度盈亏与出场结构}}
|
|||
|
|
\begin{{figure}}[H]
|
|||
|
|
\centering
|
|||
|
|
\begin{{minipage}}{{0.48\textwidth}}
|
|||
|
|
\centering
|
|||
|
|
\includegraphics[width=\textwidth]{{figures/monthly.pdf}}
|
|||
|
|
\caption{{逐月 PnL}}
|
|||
|
|
\end{{minipage}}\hfill
|
|||
|
|
\begin{{minipage}}{{0.48\textwidth}}
|
|||
|
|
\centering
|
|||
|
|
\includegraphics[width=\textwidth]{{figures/exits.pdf}}
|
|||
|
|
\caption{{出场原因}}
|
|||
|
|
\end{{minipage}}
|
|||
|
|
\end{{figure}}
|
|||
|
|
|
|||
|
|
\begin{{figure}}[H]
|
|||
|
|
\centering
|
|||
|
|
\includegraphics[width=0.55\textwidth]{{figures/pnl_hist.pdf}}
|
|||
|
|
\caption{{单笔盈亏分布}}
|
|||
|
|
\end{{figure}}
|
|||
|
|
|
|||
|
|
\begin{{table}}[H]
|
|||
|
|
\centering
|
|||
|
|
\caption{{出场原因统计}}
|
|||
|
|
\begin{{tabular}}{{lrr}}
|
|||
|
|
\toprule
|
|||
|
|
原因 & 笔数 & 占比 \\
|
|||
|
|
\midrule
|
|||
|
|
{exit_tex}
|
|||
|
|
\bottomrule
|
|||
|
|
\end{{tabular}}
|
|||
|
|
\end{{table}}
|
|||
|
|
|
|||
|
|
\section{{最优参数}}
|
|||
|
|
\begin{{table}}[H]
|
|||
|
|
\centering
|
|||
|
|
\caption{{SimpleEMA\_optimized.set 对应参数}}
|
|||
|
|
\begin{{tabular}}{{ll}}
|
|||
|
|
\toprule
|
|||
|
|
参数 & 值 \\
|
|||
|
|
\midrule
|
|||
|
|
{param_tex}
|
|||
|
|
\bottomrule
|
|||
|
|
\end{{tabular}}
|
|||
|
|
\end{{table}}
|
|||
|
|
|
|||
|
|
\section{{策略逻辑}}
|
|||
|
|
{strategy_tex}
|
|||
|
|
|
|||
|
|
\section{{逐单复盘（节选）}}
|
|||
|
|
\subsection{{最佳 {min(12, len(trades))} 笔}}
|
|||
|
|
\begin{{table}}[H]
|
|||
|
|
\centering
|
|||
|
|
\small
|
|||
|
|
\begin{{tabular}}{{llrrl}}
|
|||
|
|
\toprule
|
|||
|
|
方向 & 开仓 & 平仓 & 盈亏 & 出场 \\
|
|||
|
|
\midrule
|
|||
|
|
{trade_table_rows(trades, 12, True)}
|
|||
|
|
\bottomrule
|
|||
|
|
\end{{tabular}}
|
|||
|
|
\end{{table}}
|
|||
|
|
|
|||
|
|
\subsection{{最差 {min(12, len(trades))} 笔}}
|
|||
|
|
\begin{{table}}[H]
|
|||
|
|
\centering
|
|||
|
|
\small
|
|||
|
|
\begin{{tabular}}{{llrrl}}
|
|||
|
|
\toprule
|
|||
|
|
方向 & 开仓 & 平仓 & 盈亏 & 出场 \\
|
|||
|
|
\midrule
|
|||
|
|
{trade_table_rows(trades, 12, False)}
|
|||
|
|
\bottomrule
|
|||
|
|
\end{{tabular}}
|
|||
|
|
\end{{table}}
|
|||
|
|
|
|||
|
|
\noindent 完整 {len(trades)} 笔交易见 \texttt{{trades.csv}}。
|
|||
|
|
|
|||
|
|
\section{{后续验证}}
|
|||
|
|
MT5 原生 Strategy Tester 验证命令：
|
|||
|
|
\begin{{verbatim}}
|
|||
|
|
cd lab/EAs/SimpleEMA
|
|||
|
|
python run_mt5_tester.py backtest --period M15 ^
|
|||
|
|
--from 2020.01.01 --to 2026.01.01 --set SimpleEMA_optimized.set
|
|||
|
|
\end{{verbatim}}
|
|||
|
|
|
|||
|
|
\end{{document}}
|
|||
|
|
""").strip() + "\n"
|
|||
|
|
|
|||
|
|
|
|||
|
|
def compile_pdf() -> bool:
|
|||
|
|
for cmd in (["xelatex", "-interaction=nonstopmode", "SimpleEMA_report.tex"],):
|
|||
|
|
for _ in range(2):
|
|||
|
|
r = subprocess.run(cmd, cwd=OUT, capture_output=True, text=True)
|
|||
|
|
if r.returncode != 0 and "xelatex" in cmd[0]:
|
|||
|
|
print(r.stdout[-2000:] if r.stdout else "")
|
|||
|
|
print(r.stderr[-2000:] if r.stderr else "")
|
|||
|
|
return PDF.exists()
|
|||
|
|
|
|||
|
|
|
|||
|
|
def pdf_to_png() -> bool:
|
|||
|
|
try:
|
|||
|
|
import fitz # PyMuPDF
|
|||
|
|
|
|||
|
|
doc = fitz.open(PDF)
|
|||
|
|
zoom = 200 / 72
|
|||
|
|
mat = fitz.Matrix(zoom, zoom)
|
|||
|
|
images = []
|
|||
|
|
for page in doc:
|
|||
|
|
pix = page.get_pixmap(matrix=mat, alpha=False)
|
|||
|
|
images.append(pix)
|
|||
|
|
if len(images) == 1:
|
|||
|
|
images[0].save(PNG)
|
|||
|
|
else:
|
|||
|
|
# stack pages vertically into one PNG
|
|||
|
|
w = max(p.width for p in images)
|
|||
|
|
h = sum(p.height for p in images)
|
|||
|
|
from PIL import Image
|
|||
|
|
import io
|
|||
|
|
|
|||
|
|
canvas = Image.new("RGB", (w, h), "white")
|
|||
|
|
y = 0
|
|||
|
|
for pix in images:
|
|||
|
|
img = Image.open(io.BytesIO(pix.tobytes("png")))
|
|||
|
|
canvas.paste(img, (0, y))
|
|||
|
|
y += pix.height
|
|||
|
|
canvas.save(PNG, dpi=(200, 200))
|
|||
|
|
doc.close()
|
|||
|
|
return PNG.exists()
|
|||
|
|
except ImportError:
|
|||
|
|
pass
|
|||
|
|
|
|||
|
|
for tool in (
|
|||
|
|
["pdftoppm", "-png", "-r", "200", str(PDF), str(OUT / "SimpleEMA_report")],
|
|||
|
|
["magick", "convert", "-density", "200", str(PDF), str(PNG)],
|
|||
|
|
):
|
|||
|
|
if shutil.which(tool[0]):
|
|||
|
|
subprocess.run(tool, cwd=OUT, check=False)
|
|||
|
|
if tool[0] == "pdftoppm":
|
|||
|
|
cand = OUT / "SimpleEMA_report-1.png"
|
|||
|
|
if cand.exists():
|
|||
|
|
cand.replace(PNG)
|
|||
|
|
return True
|
|||
|
|
if PNG.exists():
|
|||
|
|
return True
|
|||
|
|
# fallback: copy dashboard chart
|
|||
|
|
src = FIG / "equity.png"
|
|||
|
|
if src.exists():
|
|||
|
|
shutil.copy2(src, PNG)
|
|||
|
|
return True
|
|||
|
|
return False
|
|||
|
|
|
|||
|
|
|
|||
|
|
def main() -> None:
|
|||
|
|
if not (OUT / "trades.csv").exists():
|
|||
|
|
subprocess.run(["python", str(ROOT / "generate_report.py")], check=True, cwd=ROOT)
|
|||
|
|
bp, summary, trades = load_data()
|
|||
|
|
save_figures(trades, summary)
|
|||
|
|
tex = build_tex(bp, summary, trades)
|
|||
|
|
TEX.write_text(tex, encoding="utf-8")
|
|||
|
|
print(f"Wrote {TEX}")
|
|||
|
|
|
|||
|
|
if compile_pdf():
|
|||
|
|
print(f"PDF: {PDF}")
|
|||
|
|
else:
|
|||
|
|
print("PDF compile failed — install TeX Live (xelatex) with ctex")
|
|||
|
|
|
|||
|
|
if pdf_to_png():
|
|||
|
|
print(f"PNG: {PNG}")
|
|||
|
|
else:
|
|||
|
|
print("PNG export failed — see figures/*.png")
|
|||
|
|
|
|||
|
|
print(f"Figures: {FIG}")
|
|||
|
|
|
|||
|
|
|
|||
|
|
if __name__ == "__main__":
|
|||
|
|
main()
|