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fix: 修复相对变化率转绝对价格的累积计算逻辑，使用cumprod确保价格连续性

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This commit is contained in:
Charles 2025-08-26 17:22:59 +08:00
parent 35d35f740f
commit 328dc4a3b0
1 changed files with 14 additions and 2 deletions
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16
webui/app.py
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@ -156,8 +156,20 @@ def convert_returns_to_price(returns_df, initial_prices, price_cols=['open', 'hi
for col in price_cols: for col in price_cols:
if col in price_df.columns: if col in price_df.columns:
print(f"[DEBUG] convert_returns_to_price: 转换列 {col}") print(f"[DEBUG] convert_returns_to_price: 转换列 {col}")
# 从初始价格开始，逐步计算绝对价格 # 正确的转换逻辑：从初始价格开始，逐步累积计算绝对价格
price_df[col] = (1 + returns_df[col]) * initial_prices[col] # 第一个点：price = initial_price * (1 + return_1)
# 第二个点：price = price_1 * (1 + return_2)
# 第三个点：price = price_2 * (1 + return_3)
# 以此类推...
# 使用cumprod来累积计算
price_df[col] = initial_prices[col] * (1 + returns_df[col]).cumprod()
print(f"[DEBUG] convert_returns_to_price: 列 {col} 转换完成，前3个值:")
print(f" 初始价格: {initial_prices[col]}")
print(f" 相对变化率: {returns_df[col].head(3).tolist()}")
print(f" 累积因子: {(1 + returns_df[col]).cumprod().head(3).tolist()}")
print(f" 最终价格: {price_df[col].head(3).tolist()}")
print(f"[DEBUG] convert_returns_to_price: 转换完成，输出绝对价格前3行:") print(f"[DEBUG] convert_returns_to_price: 转换完成，输出绝对价格前3行:")
print(price_df[price_cols].head(3)) print(price_df[price_cols].head(3))