99 lines
3.7 KiB
Python
99 lines
3.7 KiB
Python
#!/usr/bin/env python3
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"""
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fix_historical_pnl.py — 修正历史paper_trades中虚高的pnl_r
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问题：TP/SL_BE场景用了硬编码倍数(1.5R/2.25R)，实际应为0.75R/1.125R
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修复：用(exit_price - entry_price) / risk_distance 重算
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"""
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import os, sys
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sys.path.insert(0, os.path.dirname(__file__))
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from db import get_sync_conn
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FEE_RATE = 0.0005 # Taker 0.05%
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def fix():
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with get_sync_conn() as conn:
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cur = conn.cursor()
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# 读取所有已平仓记录
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cur.execute("""
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SELECT id, direction, entry_price, exit_price, tp1_price, tp2_price,
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sl_price, tp1_hit, status, pnl_r, atr_at_entry
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FROM paper_trades
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WHERE status NOT IN ('active', 'tp1_hit')
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ORDER BY id
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""")
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rows = cur.fetchall()
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fixed = 0
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for row in rows:
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pid, direction, entry, exit_p, tp1, tp2, sl, tp1_hit, status, old_pnl, atr_entry = row
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if exit_p is None or entry is None or atr_entry is None or atr_entry <= 0:
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continue
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risk_distance = 2.0 * 0.7 * atr_entry
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if risk_distance <= 0:
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continue
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# 重算pnl_r
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if status == "tp":
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# 半仓TP1 + 半仓TP2
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if direction == "LONG":
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tp1_r = (tp1 - entry) / risk_distance
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tp2_r = (tp2 - entry) / risk_distance
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else:
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tp1_r = (entry - tp1) / risk_distance
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tp2_r = (entry - tp2) / risk_distance
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new_pnl = 0.5 * tp1_r + 0.5 * tp2_r
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elif status == "sl_be":
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# TP1半仓锁定 + SL_BE半仓归零
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if direction == "LONG":
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tp1_r = (tp1 - entry) / risk_distance
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else:
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tp1_r = (entry - tp1) / risk_distance
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new_pnl = 0.5 * tp1_r
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elif status == "sl":
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# 全仓止损
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if direction == "LONG":
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new_pnl = (exit_p - entry) / risk_distance
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else:
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new_pnl = (entry - exit_p) / risk_distance
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elif status == "timeout":
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if direction == "LONG":
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move = exit_p - entry
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else:
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move = entry - exit_p
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new_pnl = move / risk_distance
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if tp1_hit:
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tp1_r = abs(tp1 - entry) / risk_distance
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new_pnl = max(new_pnl, 0.5 * tp1_r)
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elif status == "signal_flip":
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if direction == "LONG":
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new_pnl = (exit_p - entry) / risk_distance
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else:
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new_pnl = (entry - exit_p) / risk_distance
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else:
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continue
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# 扣手续费
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fee_r = (2 * FEE_RATE * entry) / risk_distance if risk_distance > 0 else 0
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new_pnl -= fee_r
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new_pnl = round(new_pnl, 4)
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if abs(new_pnl - old_pnl) > 0.001:
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print(f" #{pid} {status:10s} {direction:5s}: {old_pnl:+.4f}R → {new_pnl:+.4f}R (Δ{new_pnl-old_pnl:+.4f})")
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cur.execute("UPDATE paper_trades SET pnl_r = %s WHERE id = %s", (new_pnl, pid))
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fixed += 1
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conn.commit()
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# 汇总
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cur.execute("SELECT COUNT(*), SUM(pnl_r) FROM paper_trades WHERE status NOT IN ('active','tp1_hit')")
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total, total_pnl = cur.fetchone()
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print(f"\n修正了 {fixed}/{len(rows)} 笔交易")
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print(f"修正后总计: {total}笔, 总pnl={total_pnl:+.2f}R")
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if __name__ == "__main__":
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fix()
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