加密货币策略测试代码索引递增逻辑错误及开仓漏检K线问题排查

你的代码里共有3处逻辑错误共同导致了开仓后K线被跳过的问题：

• 错误1：open_position函数内的止损止盈判断顺序错误，无端跳过K线
  open_position进入循环后，先判断做多方向的止损止盈，无论是否触发平仓，都会立刻执行一次index +=1，之后才判断做空方向的条件。如果你的开仓方向是做空，开仓后的第一根K线直接被加1跳过，不会参与止损止盈校验；就算是做多单，判断完第一根未平仓后也会直接跳转到下一根，平白多跳1根K线。
• 错误2：open_position内每次循环重复执行index +=1
  做多判断后执行一次index +=1，做空判断后又执行一次index +=1，等于每轮循环index会增加2，天然跳过1根K线。
• 错误3：run_strategy的index重复累加
  open_position执行结束返回当前的index值后，run_strategy末尾会再执行一次index +=1，导致平仓所在的K线直接被跳过，不会参与下一轮的开仓条件校验。

你可以参考如下逻辑修改代码：

1. 调整open_position内的循环逻辑，先校验当前index对应K线的止损止盈，再统一执行index自增，不要分开在多空判断后各加一次
2. run_strategy中，如果已经执行过open_position并更新了index，就不要重复执行末尾的index +=1，可以用标记位控制

修改后的核心代码示例 #

def run_strategy(datetime, math, time, csv, file_name, symbol, candlesticks, candlesticks_len,
                 close_prices, rr_ratio, xbar, ema, macd, signal, rsi, upper, lower):
    index = 0
    while index < candlesticks_len:
        has_opened = False
        direction = get_direction("rsi", index, close_prices, ema, macd, signal, rsi)
        if index == 0:
            clear_file(file_name)
        check_allowed = is_allowed(direction, index, close_prices, candlesticks, macd, signal, rsi, upper, lower)

        if (direction == "buy" or direction == "sell") and check_allowed == True:
            index = open_position(datetime, math, time, csv, file_name, symbol, direction, index, candlesticks,
                                  close_prices, rr_ratio, xbar)
            has_opened = True
        
        # 只有没开仓的时候才自增，避免重复累加
        if not has_opened:
            index += 1

def open_position(datetime, math, time, csv, file_name, symbol, direction, index, candlesticks, close_prices,
                  rr_ratio, xbar):
    ts = int(candlesticks[index][0])
    dt_obj = datetime.fromtimestamp(ts / 1000)
    stop_loss = calc_stop_loss("xbar", direction, float(close_prices[index]), index, candlesticks, xbar)
    take_profit = calc_take_profit(direction, float(close_prices[index]), stop_loss, rr_ratio)
    leverage = calc_leverage(math, time, direction, float(close_prices[index]), stop_loss)
    save_position(csv, file_name, symbol, candlesticks[index][0], dt_obj, index, direction, leverage,
                  close_prices[index], take_profit, stop_loss, "e")

    # 开仓后从下一根K线开始检查止损止盈
    index += 1
    while index < len(candlesticks):
        try:
            close_flag = False
            if direction == "buy":
                if float(candlesticks[index][3]) <= stop_loss:
                    pos_result = "LOST"
                    close_flag = True
                elif float(candlesticks[index][2]) >= take_profit:
                    pos_result = "WON"
                    close_flag = True
            else: # sell
                if float(candlesticks[index][2]) >= stop_loss:
                    pos_result = "LOST"
                    close_flag = True
                elif float(candlesticks[index][3]) <= take_profit:
                    pos_result = "WON"
                    close_flag = True
            
            if close_flag:
                save_result(csv, file_name, pos_result)
                return index
            
            # 未平仓才跳转到下一根K线
            index +=1
        except Exception as e:
            return index
    return index

内容的提问来源于stack exchange，提问作者yunusus