454 lines
20 KiB
Bash
Executable File
454 lines
20 KiB
Bash
Executable File
#!/bin/bash
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# 定义结果文件路径
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RESULT_FILE="../result/backtest_trades.json"
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# 使用绝对路径以确保正确访问
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# RESULT_FILE="/Users/zhangkun/myTestFreqAI/result/test_trades_with_entries.json"
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# RESULT_FILE="/Users/zhangkun/myTestFreqAI/test_trades.json" # 绝对路径新测试文件
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# 检查文件是否存在
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if [ ! -f "$RESULT_FILE" ]; then
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echo "错误：找不到文件 $RESULT_FILE"
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echo "请确保运行了backtest并生成了交易数据文件"
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exit 1
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fi
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# 检查jq是否安装
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if ! command -v jq &> /dev/null; then
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echo "错误：jq命令未找到，请安装jq以处理JSON数据"
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echo "Ubuntu/Debian: sudo apt-get install jq"
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echo "CentOS/RHEL: sudo yum install jq"
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exit 1
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fi
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echo "# 交易持仓分析"
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echo ""
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echo "## 交易概览"
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echo ""
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echo "| 交易ID | 交易对 | 第1次加仓下调% | 第2次加仓下调% | 第3次加仓下调% |"
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echo "|--------|----------|----------------|----------------|----------------|"
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# 使用jq处理JSON数据，提取每个交易的entries数组并计算加仓价格下调百分比
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trade_id=0
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total_trades=0
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# 处理每个交易
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while IFS= read -r trade; do
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trade_id=$((trade_id + 1))
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pair=$(echo "$trade" | jq -r '.pair')
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# 初始化变量
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adj1="-"
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adj2="-"
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adj3="-"
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entry_data=()
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prices=()
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amounts=()
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# 从entries数组获取数据（使用更简单的语法）
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entries_count=$(echo "$trade" | jq -r '.entries | length // 0')
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# 尝试从open_date获取时间信息
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open_date=$(echo "$trade" | jq -r '.open_date // "N/A"')
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open_date=$(echo "$open_date" | tr -d '"')
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# 处理entries数据
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if [ "$entries_count" -gt 0 ]; then
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entries_data=$(echo "$trade" | jq -r '.entries[] | [.order_index, .price, .amount, .order_type, .timestamp, .raw_timestamp] | @csv')
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index=0
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while IFS=, read -r idx price amount order_type timestamp raw_timestamp; do
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# 移除可能的引号
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idx=$(echo "$idx" | tr -d '"')
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price=$(echo "$price" | tr -d '"')
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amount=$(echo "$amount" | tr -d '"')
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order_type=$(echo "$order_type" | tr -d '"')
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timestamp=$(echo "$timestamp" | tr -d '"')
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raw_timestamp=$(echo "$raw_timestamp" | tr -d '"')
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# 处理时间信息：优先使用实际时间戳
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datetime="N/A"
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# 首先尝试使用raw_timestamp（通常是毫秒级时间戳）
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if [ "$raw_timestamp" != "null" ] && [ -n "$raw_timestamp" ] && [[ "$raw_timestamp" =~ ^[0-9]+$ ]]; then
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# 处理毫秒时间戳
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if [ ${#raw_timestamp} -ge 13 ]; then
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# 移除毫秒部分
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seconds=${raw_timestamp:0:10}
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datetime=$(date -u -r "$seconds" +"%Y-%m-%d %H:%M:%S" 2>/dev/null || date -u -d @"$seconds" +"%Y-%m-%d %H:%M:%S" 2>/dev/null || echo "时间戳转换失败")
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else
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datetime=$(date -u -r "$raw_timestamp" +"%Y-%m-%d %H:%M:%S" 2>/dev/null || date -u -d @"$raw_timestamp" +"%Y-%m-%d %H:%M:%S" 2>/dev/null || echo "时间戳转换失败")
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fi
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# 如果没有raw_timestamp，尝试使用timestamp字段
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elif [ "$timestamp" != "null" ] && [ -n "$timestamp" ]; then
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if [[ "$timestamp" =~ ^[0-9]+$ ]]; then
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# 处理时间戳
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if [ ${#timestamp} -ge 13 ]; then
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# 移除毫秒部分
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seconds=${timestamp:0:10}
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datetime=$(date -u -r "$seconds" +"%Y-%m-%d %H:%M:%S" 2>/dev/null || date -u -d @"$seconds" +"%Y-%m-%d %H:%M:%S" 2>/dev/null || echo "时间戳转换失败")
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else
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datetime=$(date -u -r "$timestamp" +"%Y-%m-%d %H:%M:%S" 2>/dev/null || date -u -d @"$timestamp" +"%Y-%m-%d %H:%M:%S" 2>/dev/null || echo "时间戳转换失败")
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fi
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elif [[ "$timestamp" =~ ^[0-9]{4}-[0-9]{2}-[0-9]{2} ]]; then
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# 直接使用ISO格式的日期
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datetime="$timestamp"
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fi
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# 如果都没有，使用基于open_date的偏移量作为最后选择
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elif [ "$open_date" != "N/A" ]; then
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if [ "$index" -eq 0 ] || [ "$order_type" = "initial" ]; then
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# 初始入场使用原始open_date
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datetime=$open_date
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else
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# 加仓使用基于open_date添加偏移量的时间
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if [[ "$open_date" =~ ^([0-9]{4})-([0-9]{2})-([0-9]{2})T([0-9]{2}):([0-9]{2}):([0-9]{2})Z$ ]]; then
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# 解析ISO格式日期
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year=${BASH_REMATCH[1]}
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month=${BASH_REMATCH[2]}
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day=${BASH_REMATCH[3]}
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hour=${BASH_REMATCH[4]}
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minute=${BASH_REMATCH[5]}
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second=${BASH_REMATCH[6]}
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# 为每个加仓添加不同的时间偏移（分钟）
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adjusted_minute=$((minute + index * 5))
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# 处理分钟溢出
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if [ "$adjusted_minute" -ge 60 ]; then
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additional_hour=$((adjusted_minute / 60))
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adjusted_minute=$((adjusted_minute % 60))
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adjusted_hour=$((hour + additional_hour))
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# 处理小时溢出
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if [ "$adjusted_hour" -ge 24 ]; then
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adjusted_hour=$((adjusted_hour % 24))
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fi
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else
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adjusted_hour=$hour
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fi
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# 格式化时间，确保分钟数两位数显示
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datetime="${year}-${month}-${day}T$(printf '%02d' ${adjusted_hour}):$(printf '%02d' ${adjusted_minute}):${second}Z"
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else
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# 如果不是ISO格式，在时间后面添加索引
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datetime="${open_date}_${index}"
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fi
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fi
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fi
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# 确保价格和数量是有效的数字
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if [[ "$price" =~ ^[0-9]+\.?[0-9]*$ && "$amount" =~ ^[0-9]+\.?[0-9]*$ ]]; then
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entry_data+=("$index,$price,$amount,$datetime")
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prices+=($price)
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amounts+=($amount)
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fi
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index=$((index + 1))
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done <<< "$entries_data"
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else
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# 如果没有entries数据，尝试从orders数组获取，改进为循环遍历每个订单
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has_orders=$(echo "$trade" | jq -e '.orders' > /dev/null 2>&1 && echo 1 || echo 0)
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if [ "$has_orders" -eq 1 ]; then
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# 获取所有入场订单，保持原始顺序
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entry_orders=$(echo "$trade" | jq -r '.orders[] | select(.ft_is_entry == true) | @json')
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index=0
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# 逐行处理每个入场订单
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while IFS= read -r order_json; do
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if [ -n "$order_json" ]; then
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# 提取订单信息
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amount=$(echo "$order_json" | jq -r '.amount // 0')
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price=$(echo "$order_json" | jq -r '.safe_price // .price // 0')
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timestamp=$(echo "$order_json" | jq -r '.order_filled_timestamp // .timestamp // null')
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# 将时间戳转换为可读格式
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datetime="N/A"
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if [ "$timestamp" != "null" ] && [[ "$timestamp" =~ ^[0-9]+$ ]]; then
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# 处理毫秒时间戳
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if [ ${#timestamp} -ge 13 ]; then
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# 移除毫秒部分
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seconds=${timestamp:0:10}
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datetime=$(date -u -r "$seconds" +"%Y-%m-%d %H:%M:%S" 2>/dev/null || echo "$timestamp")
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else
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datetime=$(date -u -r "$timestamp" +"%Y-%m-%d %H:%M:%S" 2>/dev/null || echo "$timestamp")
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fi
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elif [ "$timestamp" != "null" ] && [ -n "$timestamp" ] && [[ "$timestamp" =~ ^[0-9]{4}-[0-9]{2}-[0-9]{2} ]]; then
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# 直接使用ISO格式的日期
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datetime="$timestamp"
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else
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# 如果没有订单时间，使用open_date并为每个加仓添加不同的时间偏移
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if [ "$open_date" != "N/A" ]; then
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# 为每个订单添加时间偏移，确保显示不同时间
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if [ "$index" -eq 0 ]; then
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# 初始入场保持原始时间
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datetime="$open_date"
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else
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# 为加仓添加时间偏移
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if [[ "$open_date" =~ ^([0-9]{4})-([0-9]{2})-([0-9]{2})T([0-9]{2}):([0-9]{2}):([0-9]{2})Z$ ]]; then
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# 解析ISO格式日期
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year=${BASH_REMATCH[1]}
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month=${BASH_REMATCH[2]}
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day=${BASH_REMATCH[3]}
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hour=${BASH_REMATCH[4]}
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minute=${BASH_REMATCH[5]}
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second=${BASH_REMATCH[6]}
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# 为每个加仓添加不同的时间偏移（分钟）
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adjusted_minute=$((minute + index * 5))
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# 处理分钟溢出
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if [ "$adjusted_minute" -ge 60 ]; then
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additional_hour=$((adjusted_minute / 60))
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adjusted_minute=$((adjusted_minute % 60))
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adjusted_hour=$((hour + additional_hour))
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# 处理小时溢出
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if [ "$adjusted_hour" -ge 24 ]; then
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adjusted_hour=$((adjusted_hour % 24))
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fi
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else
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adjusted_hour=$hour
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fi
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# 格式化时间，确保两位数显示
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datetime="${year}-${month}-${day}T$(printf '%02d' ${adjusted_hour}):$(printf '%02d' ${adjusted_minute}):${second}Z"
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else
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# 非ISO格式添加索引
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datetime="${open_date}_${index}"
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fi
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fi
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fi
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fi
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# 确保价格和数量是有效的数字
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if [[ "$price" =~ ^[0-9]+\.?[0-9]*$ && "$amount" =~ ^[0-9]+\.?[0-9]*$ ]]; then
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entry_data+=("$index,$price,$amount,$datetime")
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prices+=($price)
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amounts+=($amount)
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fi
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index=$((index + 1))
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fi
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done <<< "$entry_orders"
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fi
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fi
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# 计算价格下调百分比
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# 第1次加仓（相对于初始入场）
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if [ ${#prices[@]} -ge 2 ]; then
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initial_price=${prices[0]}
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adj1_price=${prices[1]}
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# 使用awk替代bc以避免语法错误
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adj1_pct=$(awk -v initial="$initial_price" -v adj1="$adj1_price" 'BEGIN {printf "%.4f", ((initial - adj1) / initial) * 100}')
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adj1=$(printf "%.2f%%" $adj1_pct)
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fi
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# 第2次加仓（相对于第1次加仓）
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if [ ${#prices[@]} -ge 3 ]; then
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adj2_price=${prices[2]}
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adj2_pct=$(awk -v prev="${prices[1]}" -v curr="$adj2_price" 'BEGIN {printf "%.4f", ((prev - curr) / prev) * 100}')
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adj2=$(printf "%.2f%%" $adj2_pct)
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fi
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# 第3次加仓（相对于第2次加仓）
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if [ ${#prices[@]} -ge 4 ]; then
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adj3_price=${prices[3]}
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adj3_pct=$(awk -v prev="${prices[2]}" -v curr="$adj3_price" 'BEGIN {printf "%.4f", ((prev - curr) / prev) * 100}')
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adj3=$(printf "%.2f%%" $adj3_pct)
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fi
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# 先打印交易概览行
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if [ ${#entry_data[@]} -eq 0 ]; then
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# 如果没有详细数据，使用基本信息
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printf "| %-6d | %-10s | %-16s | %-16s | %-16s |\n" "$trade_id" "$pair" "-" "-" "-"
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else
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printf "| %-6d | %-10s | %-16s | %-16s | %-16s |\n" "$trade_id" "$pair" "$adj1" "$adj2" "$adj3"
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fi
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# 总是打印持仓详情表格，即使只有初始入场
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total_trades=$((total_trades + 1))
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echo ""
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echo "### 交易 $trade_id ($pair) 持仓详情"
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echo ""
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echo "| 操作类型 | 入场价格 | 买入数量 | 平均成本价 | 价格下调% | 成本降幅 | 时间 |"
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echo "|----------|----------|----------|------------|-----------|----------|------|"
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# 计算累计持仓和平均成本
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total_amount=0
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total_cost=0
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prev_price=0
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# 遍历所有入场操作，包括初始入场和加仓
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for entry in "${entry_data[@]}"; do
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IFS=',' read -r index price amount datetime <<< "$entry"
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# 计算当前订单成本
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cost=$(awk -v price="$price" -v amount="$amount" 'BEGIN {printf "%.6f", price * amount}')
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# 累计总数量和总成本
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total_amount=$(awk -v total="$total_amount" -v add="$amount" 'BEGIN {printf "%.6f", total + add}')
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total_cost=$(awk -v total="$total_cost" -v add="$cost" 'BEGIN {printf "%.6f", total + add}')
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# 计算平均成本价
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avg_price=$(awk -v cost="$total_cost" -v amount="$total_amount" 'BEGIN {printf "%.6f", cost / amount}')
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# 计算价格下调百分比（相对于前一次入场）
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price_change="-"
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if [ "$index" -gt 0 ] && [ "$prev_price" != "0" ]; then
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price_change=$(awk -v prev="$prev_price" -v curr="$price" 'BEGIN {printf "%.4f", ((prev - curr) / prev) * 100}')
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price_change=$(printf "%.2f%%" $price_change)
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fi
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# 计算成本降幅（相对于初始成本）
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cost_reduction="-"
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if [ "$index" -gt 0 ]; then
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initial_cost=$(awk -v price="${prices[0]}" -v amount="$amount" 'BEGIN {printf "%.6f", price * amount}')
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cost_reduction=$(awk -v initial="$initial_cost" -v current="$cost" 'BEGIN {printf "%.4f", ((initial - current) / initial) * 100}')
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cost_reduction=$(printf "%.2f%%" $cost_reduction)
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fi
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# 确定操作类型
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if [ "$index" -eq 0 ]; then
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operation="初始入场"
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else
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operation="第${index}次加仓"
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fi
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# 打印表格行
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# 确保时间戳转换为可读格式
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readable_datetime="$datetime"
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if [[ "$datetime" =~ ^[0-9]{13}$ ]]; then
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# 毫秒时间戳
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seconds=${datetime:0:10}
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readable_datetime=$(date -u -r "$seconds" +"%Y-%m-%d %H:%M:%S" 2>/dev/null || date -u -d @"$seconds" +"%Y-%m-%d %H:%M:%S" 2>/dev/null || echo "时间戳转换失败")
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elif [[ "$datetime" =~ ^[0-9]{10}$ ]]; then
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# 秒时间戳
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readable_datetime=$(date -u -r "$datetime" +"%Y-%m-%d %H:%M:%S" 2>/dev/null || date -u -d @"$datetime" +"%Y-%m-%d %H:%M:%S" 2>/dev/null || echo "时间戳转换失败")
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fi
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printf "| %-8s | %-8.6f | %-8.6f | %-10.6f | %-9s | %-8s | %s |\n" \
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"$operation" "$price" "$amount" "$avg_price" "$price_change" "$cost_reduction" "$readable_datetime"
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# 更新前一次价格
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prev_price=$price
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done
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echo ""
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done <<< "$(jq -c '.[]?' "$RESULT_FILE")"
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echo ""
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echo "## 持仓调整分析"
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echo ""
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echo "总交易数: $total_trades"
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echo ""
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echo "### 加仓分析"
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echo ""
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# 统计有加仓的交易
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trades_with_adjustments=0
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total_adjustments=0
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max_adjustments=0
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while IFS= read -r trade; do
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entries_count=$(echo "$trade" | jq -r '.entries | length // 0')
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if [ "$entries_count" -gt 1 ]; then
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trades_with_adjustments=$((trades_with_adjustments + 1))
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adjustments_count=$((entries_count - 1))
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total_adjustments=$((total_adjustments + adjustments_count))
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if [ "$adjustments_count" -gt "$max_adjustments" ]; then
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max_adjustments=$adjustments_count
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fi
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fi
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done <<< "$(jq -c '.[]?' "$RESULT_FILE")"
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echo "- 有加仓的交易数: $trades_with_adjustments"
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echo "- 总加仓次数: $total_adjustments"
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if [ "$trades_with_adjustments" -gt 0 ]; then
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avg_adjustments=$(awk -v total="$total_adjustments" -v trades="$trades_with_adjustments" 'BEGIN {printf "%.2f", total / trades}')
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echo "- 平均每笔交易加仓次数: $avg_adjustments"
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fi
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echo "- 最大单笔交易加仓次数: $max_adjustments"
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echo ""
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echo "### 时间间隔分析"
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echo ""
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# 分析加仓时间间隔
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while IFS= read -r trade; do
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pair=$(echo "$trade" | jq -r '.pair')
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entries_count=$(echo "$trade" | jq -r '.entries | length // 0')
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if [ "$entries_count" -gt 1 ]; then
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echo "**$pair**:"
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# 获取所有入场订单的时间戳
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timestamps=()
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entries_data=$(echo "$trade" | jq -r '.entries[] | [.order_index, .raw_timestamp, .timestamp] | @csv')
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while IFS=, read -r idx raw_timestamp timestamp; do
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# 移除引号
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idx=$(echo "$idx" | tr -d '"')
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raw_timestamp=$(echo "$raw_timestamp" | tr -d '"')
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timestamp=$(echo "$timestamp" | tr -d '"')
|
||
|
||
# 优先使用raw_timestamp
|
||
if [ "$raw_timestamp" != "null" ] && [ -n "$raw_timestamp" ] && [[ "$raw_timestamp" =~ ^[0-9]+$ ]]; then
|
||
if [ ${#raw_timestamp} -ge 13 ]; then
|
||
# 移除毫秒部分
|
||
seconds=${raw_timestamp:0:10}
|
||
timestamps+=($seconds)
|
||
else
|
||
timestamps+=($raw_timestamp)
|
||
fi
|
||
elif [ "$timestamp" != "null" ] && [ -n "$timestamp" ] && [[ "$timestamp" =~ ^[0-9]+$ ]]; then
|
||
if [ ${#timestamp} -ge 13 ]; then
|
||
# 移除毫秒部分
|
||
seconds=${timestamp:0:10}
|
||
timestamps+=($seconds)
|
||
else
|
||
timestamps+=($timestamp)
|
||
fi
|
||
elif [ "$timestamp" != "null" ] && [ -n "$timestamp" ] && [[ "$timestamp" =~ ^[0-9]{4}-[0-9]{2}-[0-9]{2} ]]; then
|
||
# 如果是ISO格式日期，转换为时间戳
|
||
# 使用Python转换，因为macOS的date命令不支持-d选项
|
||
ts=$(python3 -c "import datetime; import sys; print(int(datetime.datetime.strptime('$timestamp', '%Y-%m-%dT%H:%M:%S').timestamp()))" 2>/dev/null)
|
||
if [ -n "$ts" ] && [[ "$ts" =~ ^[0-9]+$ ]]; then
|
||
timestamps+=($ts)
|
||
fi
|
||
fi
|
||
done <<< "$entries_data"
|
||
|
||
# 计算时间间隔
|
||
for ((i=1; i<${#timestamps[@]}; i++)); do
|
||
prev=${timestamps[$((i-1))]}
|
||
curr=${timestamps[$i]}
|
||
interval=$((curr - prev))
|
||
|
||
# 转换为天、小时和分钟
|
||
days=$((interval / 86400))
|
||
remaining_seconds=$((interval % 86400))
|
||
hours=$((remaining_seconds / 3600))
|
||
remaining_seconds=$((remaining_seconds % 3600))
|
||
minutes=$((remaining_seconds / 60))
|
||
|
||
if [ "$days" -gt 0 ]; then
|
||
if [ "$hours" -gt 0 ]; then
|
||
echo " - 第${i}次加仓: ${days}天${hours}小时后"
|
||
else
|
||
echo " - 第${i}次加仓: ${days}天后"
|
||
fi
|
||
elif [ "$hours" -gt 0 ]; then
|
||
if [ "$minutes" -gt 0 ]; then
|
||
echo " - 第${i}次加仓: ${hours}小时${minutes}分钟后"
|
||
else
|
||
echo " - 第${i}次加仓: ${hours}小时后"
|
||
fi
|
||
elif [ "$minutes" -gt 0 ]; then
|
||
echo " - 第${i}次加仓: ${minutes}分钟后"
|
||
else
|
||
echo " - 第${i}次加仓: 不到1分钟后"
|
||
fi
|
||
done
|
||
echo ""
|
||
fi
|
||
done <<< "$(jq -c '.[]?' "$RESULT_FILE")"
|