{
"cells": [
{
"cell_type": "markdown",
"id": "aeb4f0a4",
"metadata": {},
"source": [
"# Weight Backtest 快速入门\n",
"---\n",
"\n",
"核心功能：\n",
"\n",
"1. 使用 `backtest` 函数执行回测，并查看结果\n",
"2. 使用 `plotting` 模块查看回测结果相关图表\n"
]
},
{
"cell_type": "code",
"execution_count": 1,
"id": "11904623",
"metadata": {},
"outputs": [],
"source": [
"import wbt"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "eeda544a",
"metadata": {},
"outputs": [],
"source": [
"# 生成示例权重数据（自洽可跑）；也可替换为自己的 DataFrame\n",
"df = wbt.mock_weights(freq=\"30分钟\")\n",
"df.head()"
]
},
{
"cell_type": "code",
"execution_count": 10,
"id": "9f922872",
"metadata": {},
"outputs": [],
"source": [
"wb = wbt.backtest(df)"
]
},
{
"cell_type": "code",
"execution_count": 11,
"id": "cec892b0",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"{'绝对收益': 1.034,\n",
" '年化收益': 0.1385,\n",
" '夏普比率': 1.3964,\n",
" '卡玛比率': 0.8701,\n",
" '新高占比': 0.084,\n",
" '单笔盈亏比': 2.1722,\n",
" '单笔收益': 25.59,\n",
" '日胜率': 0.5228,\n",
" '周胜率': 0.5727,\n",
" '月胜率': 0.6456,\n",
" '季胜率': 0.7407,\n",
" '年胜率': 1.0,\n",
" '最大回撤': 0.1592,\n",
" '年化波动率': 0.0992,\n",
" '下行波动率': 0.0629,\n",
" '新高间隔': 209.0,\n",
" '交易次数': 276334,\n",
" '年化交易次数': 37001.15,\n",
" '持仓K线数': 972.95,\n",
" '交易胜率': 0.3716,\n",
" '多头占比': 0.5028,\n",
" '空头占比': 0.4611,\n",
" '品种数量': 9,\n",
" '开始日期': '2017-01-03',\n",
" '结束日期': '2023-07-31'}"
]
},
"execution_count": 11,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"wb.stats"
]
},
{
"cell_type": "code",
"execution_count": 5,
"id": "030cb912",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"{'绝对收益': -0.4861,\n",
" '年化收益': -0.3347,\n",
" '夏普比率': -3.2002,\n",
" '卡玛比率': -0.6924,\n",
" '新高占比': 0.0027,\n",
" '单笔盈亏比': 1.0135,\n",
" '单笔收益': 0.21,\n",
" '日胜率': 0.4071,\n",
" '周胜率': 0.3208,\n",
" '月胜率': 0.0,\n",
" '季胜率': 0.0,\n",
" '年胜率': 0.0,\n",
" '最大回撤': 0.4834,\n",
" '年化波动率': 0.1046,\n",
" '下行波动率': 0.0671,\n",
" '新高间隔': 0.0,\n",
" '交易次数': 642859,\n",
" '年化交易次数': 442624.23,\n",
" '持仓K线数': 2.4,\n",
" '交易胜率': 0.4983}"
]
},
"execution_count": 5,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"wb.segment_stats(sdt=\"2020-01-01\", edt=\"2020-12-31\", kind=\"多空\")"
]
},
{
"cell_type": "code",
"execution_count": 6,
"id": "130d5f03",
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"{'绝对收益': -12.3992,\n",
" '年化收益': -0.5702,\n",
" '夏普比率': -3.1444,\n",
" '卡玛比率': -0.0459,\n",
" '新高占比': 0.0004,\n",
" '日胜率': 0.4188,\n",
" '周胜率': 0.2997,\n",
" '月胜率': 0.1602,\n",
" '季胜率': 0.0328,\n",
" '年胜率': 0.0,\n",
" '最大回撤': 12.4099,\n",
" '年化波动率': 0.1813,\n",
" '下行波动率': 0.1169,\n",
" '新高间隔': 1.0}"
]
},
"execution_count": 6,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"wb.long_alpha_stats"
]
},
{
"cell_type": "markdown",
"id": "02488db9",
"metadata": {},
"source": [
"## 绘图示例\n",
"\n",
"所有绘图函数以 `BacktestResult` 为统一输入：`result = wb.to_result()`，下游零数据转换。"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "vyq9b1vd8ei",
"metadata": {},
"outputs": [],
"source": "from wbt.plotting import (\n plot_colored_table,\n plot_cumulative_returns,\n plot_daily_return_dist,\n plot_drawdown,\n plot_drawdowns_table,\n plot_key_trades,\n plot_monthly_heatmap,\n plot_pairs_hold_dist,\n plot_pairs_pnl_dist,\n plot_stats_comparison,\n plot_symbol_returns,\n plot_verdict,\n)\n\n# 标准输入：所有绘图共用同一个 result\nresult = wb.to_result()"
},
{
"cell_type": "code",
"execution_count": null,
"id": "uj0wv49dyhq",
"metadata": {},
"outputs": [],
"source": "# 累计收益曲线（原始）\nplot_cumulative_returns(result, keys=[\"多空\", \"多头\", \"空头\", \"基准\"])"
},
{
"cell_type": "code",
"id": "26ec3476",
"source": "# 累计收益曲线（波动率归一）\nplot_cumulative_returns(result, keys=[\"多空\", \"多头\", \"空头\", \"基准\", \"超额\"], voladj=True)",
"metadata": {},
"execution_count": null,
"outputs": []
},
{
"cell_type": "code",
"execution_count": null,
"id": "qg1zln8tjjd",
"metadata": {},
"outputs": [],
"source": [
"# 回撤分析\n",
"plot_drawdown(result, key=\"多空\")"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "9013n207wmq",
"metadata": {},
"outputs": [],
"source": [
"# 日收益分布\n",
"plot_daily_return_dist(result)"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "fcwauyvkbeh",
"metadata": {},
"outputs": [],
"source": [
"# 月度收益热力图\n",
"plot_monthly_heatmap(result)"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "awz5ejkohwk",
"metadata": {},
"outputs": [],
"source": [
"# 品种收益分布\n",
"plot_symbol_returns(result)"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "7s4joww374i",
"metadata": {},
"outputs": [],
"source": "# 盈亏比例分布（按方向）\nplot_pairs_pnl_dist(result)"
},
{
"cell_type": "code",
"execution_count": null,
"id": "s4a9j694tsq",
"metadata": {},
"outputs": [],
"source": "# 持仓K线数分布（按方向）\nplot_pairs_hold_dist(result)"
},
{
"cell_type": "code",
"execution_count": null,
"id": "0ey61iditsul",
"metadata": {},
"outputs": [],
"source": [
"# 绩效指标表格（红涨绿跌）\n",
"plot_colored_table(result)"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "cmq7k0wduoh",
"metadata": {},
"outputs": [],
"source": "# 多空/多头/空头/基准/超额 关键指标对比表\nplot_stats_comparison(result)"
},
{
"cell_type": "code",
"metadata": {},
"execution_count": null,
"outputs": [],
"source": [
"# 关键交易：每年最赚/最亏各 3 笔\n",
"plot_key_trades(result)"
]
},
{
"cell_type": "code",
"metadata": {},
"execution_count": null,
"outputs": [],
"source": [
"# 回撤明细表（审核页面）\n",
"plot_drawdowns_table(result)"
]
},
{
"cell_type": "code",
"metadata": {},
"execution_count": null,
"outputs": [],
"source": [
"# 策略判定 + 年度指标（审核页面）\n",
"plot_verdict(result)"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "bfbaf336",
"metadata": {},
"outputs": [],
"source": []
}
],
"metadata": {
"kernelspec": {
"display_name": ".venv",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.13.4"
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"nbformat_minor": 5
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