| """v3 研究对比图：v2.1 vs F5 动态线 vs 组合候选（2013-2025，现金 0 口径）。 |
| |
| 用法：python make_chart_v3.py |
| """ |
| import sys |
| from pathlib import Path |
|
|
| import matplotlib |
| matplotlib.use("Agg") |
| import matplotlib.pyplot as plt |
|
|
| import engine as E |
| from overlays import build_overlays |
|
|
| matplotlib.rcParams["font.sans-serif"] = ["Microsoft YaHei", "SimHei", "DejaVu Sans"] |
| matplotlib.rcParams["axes.unicode_minus"] = False |
|
|
| HERE = Path(__file__).resolve().parent |
| OV = build_overlays() |
| CONFIGS = [("v2.1（12%，现行）", 12.0, None, "#c8912a"), |
| ("F5 动态盈亏平衡线", 12.0, {"cb_line": OV["breakeven"]}, "#4569a0"), |
| ("组合候选（8%+动量地板+闪断+动态线）", 8.0, |
| {"cap_half": OV["mom12_1_cap"], "breaker": True, "cb_line": OV["breakeven"]}, "#7a4ea3")] |
|
|
| fig, ax = plt.subplots(figsize=(11.5, 6), dpi=150) |
| dates = None |
| out_rows = [] |
| for label, vol, ov, color in CONFIGS: |
| _, _, data = E.run("2013-01-01", "2025-12-31", target_vol_ann=vol, overlay=ov, tag=None) |
| curve = data["curve"] |
| dates = [c["date"] for c in curve] |
| V = [c["V"] for c in curve] |
| B = [c["bh_V"] for c in curve] |
| out_rows.append((label, dates, V)) |
| ax.plot(dates, V, lw=1.5, color=color, label=label) |
| ax.plot(dates, B, lw=1.0, color="#b8b8b8", label="买入持有") |
| ax.set_yscale("log") |
| tick_idx = [i for i, d in enumerate(dates) if d[5:7] == "01" and (i == 0 or dates[i - 1][5:7] != "01")] |
| step = max(1, len(tick_idx) // 8) |
| ax.set_xticks([dates[i] for i in tick_idx[::step]]) |
| ax.set_xticklabels([dates[i][:4] for i in tick_idx[::step]], fontsize=9) |
| ax.set_ylabel("净值（V0 = 10,000，对数轴）", fontsize=10) |
| ax.set_title("v3 研究：候选配置 vs v2.1（2013–2025，成本后，现金 0% 口径）", fontsize=12) |
| ax.grid(alpha=0.25, which="both") |
| ax.legend(loc="upper left", fontsize=9) |
| fig.tight_layout() |
| out = HERE / "results" / "v3" |
| out.mkdir(parents=True, exist_ok=True) |
| fig.savefig(out / "v3_equity.png") |
|
|
| with open(out / "curves.csv", "w", encoding="utf-8") as f: |
| f.write("date," + ",".join(l[0] for l in out_rows) + ",bh\n") |
| for i, d in enumerate(dates): |
| f.write(d + "," + ",".join(f"{r[2][i]:.4f}" for r in out_rows) + f",{B[i]:.4f}\n") |
| print(f"已写 {out / 'v3_equity.png'} 与 curves.csv") |
|
|
