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Propagate buy_signal into backtest records and trade analysis #1

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Propagate buy_signal into backtest records and trade analysis #1

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2 changes: 2 additions & 0 deletions backtest/backtest_result_calculator.py
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Original file line number Diff line number Diff line change
Expand Up @@ -200,6 +200,7 @@ def _add_trade_record(self, trades_list, pos, stock, exit_date, exit_price, tax,
"stockno": stock,
"entry_date": pos["entry_date"],
"entry_price": pos["entry_price"],
"buy_signal": pos.get("buy_signal"),
"exit_date": exit_date,
"exit_price": exit_price,
"hold_days": hold_days,
Expand Down Expand Up @@ -243,6 +244,7 @@ def analyze_transactions(self, df_records: pd.DataFrame, tax: float = 0.002, out
active_positions[stock] = {
"entry_date": date,
"entry_price": price,
"buy_signal": row.get("buy_signal"),
"max_price": price,
"max_date": date,
"min_price": price,
Expand Down
33 changes: 30 additions & 3 deletions backtest/backtest_strategy.py
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Original file line number Diff line number Diff line change
Expand Up @@ -189,7 +189,15 @@ def generate_date_list(self) -> List[str]:
d += timedelta(days=1)
return result

def upgrade_records(self, action: str, stockno: str, ope_date: str, price: float, update_time: str):
def upgrade_records(
self,
action: str,
stockno: str,
ope_date: str,
price: float,
update_time: str,
buy_signal: Optional[str] = None,
):
"""
更新交易或持仓记录表。

Expand Down Expand Up @@ -233,6 +241,7 @@ def upgrade_records(self, action: str, stockno: str, ope_date: str, price: float
"current_weight": current_weight,
"price": price,
"stockno": stockno,
"buy_signal": buy_signal,
"operation_succ": 1,
"update_time": update_time,
"version": f"{self.strategy.__class__.__name__}",
Expand Down Expand Up @@ -280,7 +289,18 @@ def run(self):
trade_date, trade_price = self.data_loader.get_next_trade_day_price(stockno, order["request_date"])
if trade_date and pd.to_datetime(trade_date) <= pd.to_datetime(date):
# 成交
self.upgrade_records(action, stockno, trade_date, trade_price, order["request_date"])
if action == "SELL":
buy_signal = self.holdings.get(stockno, {}).get("buy_signal")
else:
buy_signal = info.get("buy_signal")
self.upgrade_records(
action,
stockno,
trade_date,
trade_price,
order["request_date"],
buy_signal=buy_signal,
)
for table in self.detail_tables: # 存入详细信息
extra = order["info"].get(table, {})
self.update_detail_record(table,{
Expand Down Expand Up @@ -311,7 +331,14 @@ def run(self):
if stockno not in self.holdings:
continue
recent_price = self.data_loader.get_recent_price(stockno, date)
self.upgrade_records("HOLD", stockno, date, recent_price, date)
self.upgrade_records(
"HOLD",
stockno,
date,
recent_price,
date,
buy_signal=self.holdings[stockno].get("buy_signal"),
)

# 3. 卖出
for stockno in self.holdings.keys():
Expand Down