first commit

backend/app/backtest/strategies/__init__.py

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+"""策略注册表与工厂。
+
+新增策略：实现 Strategy（base.py），在此注册 {name: Class}，前端下拉即可选。
+策略构造参数由请求的 params(dict) 以 **kwargs 传入。
+"""
+from __future__ import annotations
+
+from .base import Strategy
+from .macd_cross import MACDCrossStrategy
+from .ma_strategies import MACrossStrategy, SingleMAStrategy
+
+STRATEGIES: dict[str, type[Strategy]] = {
+    "macd_cross": MACDCrossStrategy,
+    "ma_cross": MACrossStrategy,
+    "single_ma": SingleMAStrategy,
+}
+
+
+def build_strategy(name: str, params: dict | None) -> Strategy:
+    cls = STRATEGIES.get(name)
+    if cls is None:
+        raise ValueError(f"未知策略: {name}（可用: {', '.join(STRATEGIES)}）")
+    kwargs = {k: v for k, v in (params or {}).items()}
+    return cls(**kwargs)

backend/app/backtest/strategies/base.py

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+"""策略抽象基类。策略只产生买卖意图（向 broker 下单），不负责撮合/费用。"""
+from __future__ import annotations
+
+from abc import ABC, abstractmethod
+
+import pandas as pd
+
+from ..broker import PaperBroker
+
+
+class Strategy(ABC):
+    """compute 预算指标；on_bar 逐 bar 决策并向 broker 下单。"""
+
+    @abstractmethod
+    def compute(self, close: pd.Series, high: pd.Series, low: pd.Series) -> pd.DataFrame:
+        ...
+
+    @abstractmethod
+    def on_bar(self, i: int, row: pd.Series, broker: PaperBroker) -> None:
+        ...

backend/app/backtest/strategies/ma_strategies.py

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+"""均线类策略：双均线交叉、单均线（价格上穿/下穿）。"""
+from __future__ import annotations
+
+import pandas as pd
+
+from ...indicators import ma
+from ..broker import PaperBroker
+from .base import Strategy
+
+
+class MACrossStrategy(Strategy):
+    """双均线交叉：快线上穿慢线买入，下穿卖出（金叉/死叉）。"""
+
+    def __init__(self, fast: float = 5, slow: float = 20):
+        self.fast = int(fast)
+        self.slow = int(slow)
+        self._ind: pd.DataFrame | None = None
+        self._prev_fast: float | None = None
+        self._prev_slow: float | None = None
+
+    def compute(self, close: pd.Series, high: pd.Series, low: pd.Series) -> pd.DataFrame:
+        self._ind = pd.DataFrame({"fast": ma(close, self.fast), "slow": ma(close, self.slow)})
+        return self._ind
+
+    def on_bar(self, i: int, row: pd.Series, broker: PaperBroker) -> None:
+        f = float(self._ind["fast"].iloc[i])
+        s = float(self._ind["slow"].iloc[i])
+        if self._prev_fast is None:
+            self._prev_fast, self._prev_slow = f, s
+            return
+
+        golden = self._prev_fast <= self._prev_slow and f > s
+        death = self._prev_fast >= self._prev_slow and f < s
+
+        price = float(row["close"])
+        ts = row["ts"]
+        if golden and pd.notna(f):
+            broker.buy_max(ts, price)
+        elif death and broker.position > 0 and pd.notna(f):
+            broker.sell_all(ts, price)
+
+        self._prev_fast, self._prev_slow = f, s
+
+
+class SingleMAStrategy(Strategy):
+    """单均线：收盘价上穿均线买入，下穿均线卖出。"""
+
+    def __init__(self, period: float = 20):
+        self.period = int(period)
+        self._ind: pd.DataFrame | None = None
+        self._prev_above: bool | None = None
+
+    def compute(self, close: pd.Series, high: pd.Series, low: pd.Series) -> pd.DataFrame:
+        self._ind = pd.DataFrame({"ma": ma(close, self.period)})
+        return self._ind
+
+    def on_bar(self, i: int, row: pd.Series, broker: PaperBroker) -> None:
+        m = float(self._ind["ma"].iloc[i])
+        price = float(row["close"])
+        ts = row["ts"]
+        above = price > m
+        if self._prev_above is None or pd.isna(m):
+            self._prev_above = above
+            return
+
+        cross_up = above and not self._prev_above        # 上穿
+        cross_down = (not above) and self._prev_above    # 下穿
+
+        if cross_up:
+            broker.buy_max(ts, price)
+        elif cross_down and broker.position > 0:
+            broker.sell_all(ts, price)
+
+        self._prev_above = above

backend/app/backtest/strategies/macd_cross.py

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+"""MACD 金叉死叉策略。"""
+from __future__ import annotations
+
+import pandas as pd
+
+from ...indicators import macd
+from ..broker import PaperBroker
+from .base import Strategy
+
+
+class MACDCrossStrategy(Strategy):
+    def __init__(self, fast: float = 12, slow: float = 26, signal: float = 9):
+        self.fast = int(fast)
+        self.slow = int(slow)
+        self.signal = int(signal)
+        self._ind: pd.DataFrame | None = None
+        self._prev_dif: float | None = None
+        self._prev_dea: float | None = None
+
+    def compute(self, close: pd.Series, high: pd.Series, low: pd.Series) -> pd.DataFrame:
+        self._ind = macd(close, self.fast, self.slow, self.signal)
+        return self._ind
+
+    def on_bar(self, i: int, row: pd.Series, broker: PaperBroker) -> None:
+        dif = float(self._ind["macd"].iloc[i])
+        dea = float(self._ind["signal"].iloc[i])
+
+        if self._prev_dif is None:
+            self._prev_dif, self._prev_dea = dif, dea
+            return
+
+        golden = self._prev_dif <= self._prev_dea and dif > dea   # 金叉
+        death = self._prev_dif >= self._prev_dea and dif < dea    # 死叉
+
+        price = float(row["close"])
+        ts = row["ts"]
+        if golden and pd.notna(dif):
+            broker.buy_max(ts, price)
+        elif death and broker.position > 0 and pd.notna(dif):
+            broker.sell_all(ts, price)
+
+        self._prev_dif, self._prev_dea = dif, dea