feat: 枢轴S/R注入回测引擎+v11系列——枢轴波段(v11.0)4仓+86.3%/回撤1.3%碾压MA10波段,证明复合强弱支撑优于简单均线;固定15%/ATR仍优于裸枢轴强压止盈

backtest_framework.py

@@ -170,9 +170,32 @@ def prepare_bars(code, start_date, end_date):
     trend_strength = calc_trend_strength(highs, lows, closes)
     obv = calc_obv(closes, volumes)
     roc = calc_roc(closes)
-    
+
     bars = []
     for i in range(len(dates)):
+        # ── 枢轴S/R（与实盘 technical_analysis.calc_support_resistance 同算法）──
+        piv = {}
+        if i >= 1:
+            h, l, c = highs[i], lows[i], closes[i]
+            yc = closes[i-1]
+            # 多日波幅（近20日）
+            win = bars[max(0, i-19):i] if i > 0 else []
+            multi_high = max([h] + [x.get('high', 0) or 0 for x in win])
+            multi_low = min([l] + [x.get('low', 1e9) or 1e9 for x in win])
+            eff_range = max(h - l, multi_high - multi_low, c * 0.05)
+            tp = (c - multi_low) / (multi_high - multi_low) if multi_high > multi_low else 0.5
+            if tp > 0.8 or tp < 0.2:
+                eff_range = max(eff_range, c * 0.08)
+            pp = (h + l + c) / 3
+            s1 = 2 * pp - h
+            s2 = pp - eff_range
+            r1 = 2 * pp - l
+            r2 = pp + eff_range
+            if yc < s1: s1 = yc
+            if yc > r1: r1 = yc
+            piv = {'pivot': pp, 'weak_support': s1, 'strong_support': s2,
+                   'weak_resist': r1, 'strong_resist': r2}
+
         bars.append({
             'date': dates[i],
             'open': opens[i],
@@ -192,6 +215,7 @@ def prepare_bars(code, start_date, end_date):
             'adx': trend_strength[i] if i < len(trend_strength) else None,
             'obv': obv[i] if i < len(obv) else None,
             'roc': roc[i] if i < len(roc) else None,
+            **piv,
         })
     return bars