From 6d8974b82877bd6f866dadbe742fa873907f7b17 Mon Sep 17 00:00:00 2001
From: bingyi <iceoray@qq.com>
Date: Sat, 1 Nov 2025 19:44:01 +0800
Subject: [PATCH] =?UTF-8?q?=E5=88=A0=E9=99=A4=E4=B8=8D=E5=BF=85=E8=A6=81?=
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---
 OneCurvePairTrading.py  | 112 +++++++++++-----------------------------
 OneCurvePairTrading2.py |   3 +-
 2 files changed, 33 insertions(+), 82 deletions(-)

diff --git a/OneCurvePairTrading.py b/OneCurvePairTrading.py
index df9f128..c573a0d 100644
--- a/OneCurvePairTrading.py
+++ b/OneCurvePairTrading.py
@@ -55,7 +55,7 @@ print(f"华虹半导体原始数据时间范围: {hhic_data.index.min()} 到 {hh
 
 # 限制为最近半年数据
 end_date = smic_data.index.max()
-start_date = end_date - pd.Timedelta(days=365)  
+start_date = end_date - pd.Timedelta(days=360)  # 最近半年
 
 print(f"\n限制回测时间范围: {start_date} 到 {end_date}")
 
@@ -197,11 +197,34 @@ try:
     # 获取组合总价值
     portfolio_value = portfolio.value()
     
+    
+    # ========== 使用vectorbt进行专业分析 ==========
+    print("\n=== VectorBT 专业分析（基于价格比率） ===")
+    
+    # 修复：使用正确的列选择方法
+    try:
+        # 选择第一列（也是唯一的一列）
+        portfolio_single = portfolio['RATIO']
+        
+        print(portfolio_single.stats())
+
+        fig = portfolio_single.plot(subplots=[
+            'orders',       # 订单
+            'trade_pnl',    # 交易盈亏
+            'cum_returns',  # 累积收益
+            'drawdowns'     # 回撤
+        ])
+        fig.update_layout(
+            title='基于价格比率的配对交易详细分析',
+            height=800
+        )
+        fig.show()
+    except Exception as e:
+        print(f"详细分析绘制失败: {e}")
+    
     # ========== 绘制基于比率的技术分析图表 ==========
     print("\n绘制基于比率的技术分析图表...")
     
-    portfolio['RATIO'].plot().show()
-
     # 创建详细的技术分析图表
     fig, axes = plt.subplots(4, 1, figsize=(15, 16))
     
@@ -236,7 +259,7 @@ try:
     axes[1].set_ylim(-1.5, 1.5)
     axes[1].legend()
     axes[1].grid(True, alpha=0.3)
-    
+
     
     # 4. 组合净值
     if len(portfolio_value) > 0:
@@ -251,85 +274,12 @@ try:
     
     plt.tight_layout()
     plt.show()
-    
-    # ========== 使用vectorbt进行专业分析 ==========
-    print("\n=== VectorBT 专业分析（基于价格比率） ===")
-    
-    # 1. 组合详细分析
-    try:
-        fig = portfolio.plot(subplots=[
-            'orders',       # 订单
-            'trade_pnl',    # 交易盈亏
-            'cum_returns',  # 累积收益
-            'drawdowns'     # 回撤
-        ])
-        fig.update_layout(
-            title='基于价格比率的配对交易详细分析',
-            height=800
-        )
-        fig.show()
-    except Exception as e:
-        print(f"详细分析绘制失败: {e}")
-    
-    # 2. 组合价值变化
-    try:
-        fig = portfolio_value.vbt.plot(
-            title='基于价格比率的配对交易组合价值'
-        )
-        fig.update_layout(
-            xaxis_title='日期',
-            yaxis_title='组合价值'
-        )
-        fig.show()
-    except Exception as e:
-        print(f"组合价值变化绘制失败: {e}")
-    
-    # 3. 累积收益
-    try:
-        cumulative_returns = portfolio.cumulative_returns()
-        fig = cumulative_returns.vbt.plot(
-            title='基于价格比率的配对交易累积收益率'
-        )
-        fig.update_layout(
-            xaxis_title='日期',
-            yaxis_title='累积收益'
-        )
-        fig.show()
-    except Exception as e:
-        print(f"累积收益绘制失败: {e}")
-    
-    # 4. 回撤分析
-    try:
-        drawdown = portfolio.drawdown()
-        fig = drawdown.vbt.plot(
-            title='基于价格比率的配对交易回撤分析'
-        )
-        fig.update_layout(
-            xaxis_title='日期',
-            yaxis_title='回撤'
-        )
-        fig.show()
-    except Exception as e:
-        print(f"回撤分析绘制失败: {e}")
-    
-    # 5. 交易分析
-    try:
-        trades = portfolio.trades
-        if len(trades) > 0:
-            fig = trades.plot_pnl()
-            fig.update_layout(title='基于价格比率的交易盈亏分布')
-            fig.show()
-            
-            fig = trades.plot_duration()
-            fig.update_layout(title='基于价格比率的交易持续时间分布')
-            fig.show()
-    except Exception as e:
-        print(f"交易分析绘制失败: {e}")
-    
+
     # ========== 打印详细统计 ==========
     print("\n=== 详细统计 ===")
     try:
-        stats = portfolio.stats()
+        # 使用单列统计
+        stats = portfolio['RATIO'].stats()
         
         def safe_get_stat(stat_dict, key, default="N/A"):
             value = stat_dict.get(key, default)
@@ -354,7 +304,7 @@ try:
     
     # 分析每笔交易
     try:
-        trades_df = portfolio.trades.records_readable
+        trades_df = portfolio['RATIO'].trades.records_readable
         if len(trades_df) > 0:
             print(f"\n交易分析:")
             print(f"总交易次数: {len(trades_df)}")
diff --git a/OneCurvePairTrading2.py b/OneCurvePairTrading2.py
index 5adca07..be7178c 100644
--- a/OneCurvePairTrading2.py
+++ b/OneCurvePairTrading2.py
@@ -197,7 +197,6 @@ try:
     # 获取组合总价值
     portfolio_value = portfolio.value()
     
-
     
     # ========== 使用vectorbt进行专业分析 ==========
     print("\n=== VectorBT 专业分析（基于价格比率） ===")
@@ -207,6 +206,8 @@ try:
         # 选择第一列（也是唯一的一列）
         portfolio_single = portfolio['RATIO']
         
+        print(portfolio_single.stats())
+
         fig = portfolio_single.plot(subplots=[
             'orders',       # 订单
             'trade_pnl',    # 交易盈亏