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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