从零构建均线选股策略回测框架

系统架构全景：
├─ 数据层
│   ├─ 历史行情数据加载（Pickle二进制存储）
│   └─ 实时行情接口（预留）
├─ 策略层
│   ├─ 均线交叉信号生成
│   ├─ 成交量验证模块
│   └─ 动态仓位管理
├─ 执行层
│   ├─ 模拟交易引擎
│   └─ 滑点控制模块
└─ 分析层
    ├─ 收益风险指标计算
    └─ 可视化报表生成

def calculate_technical_indicators(df):
    """多周期均线与量价关系计算"""
    # 价格指标
    df['mc5'] = df['close'].rolling(5).mean()    # 5日均线
    df['mc60'] = df['close'].rolling(60).mean()  # 60日均线
    df['cc1'] = df['close'].pct_change()         # 日涨跌幅
    
    # 量能指标
    df['mv5'] = df['volume'] / df['volume'].rolling(5).mean()  # 成交量比
    df['vol_ma20'] = df['volume'].rolling(20).mean()           # 成交量均线
    
    # 构造量价共振信号
    df['signal'] = np.where(
        (df['mc5'] > df['mc60']) & 
        (df['mv5'] > 1.2) & 
        (df['cc1'] > 0.03), 
        1, 0
    )
    return df

class TradingSignalGenerator:
    def generate_signal(self, row, holding):
        """多条件过滤交易信号"""
        buy_condition = (
            (row['mc5'] > row['mc60']) and       # 短期均线上穿长期
            (row['open'] < row['mc60']) and      # 开盘价在长期均线下 
            (row['mv5'] < 1.2) and               # 成交量未异常放大
            (row['cc1'] > 0)                     # 当日收涨
        )
        
        sell_condition = (
            (row['mc5'] < row['mc60']) or        # 短期均线下穿长期
            (row['cc1'] < -0.05)                 # 单日大跌止损
        )
        
        if sell_condition and row['code'] in holding:
            return 'SELL'
        elif buy_condition and row['code'] not in holding:
            return 'BUY'
        return 'HOLD'