[可复现] 将示例程序中的策略代码改成了回测代码，但回测结果和博客中的结果不一致

参数设置同博客，但最后收益率，年化夏普率，风险度和博客中有出入。请大神帮看~

# -*- coding: utf-8 -*-
"""
@Time    : 2020/5/1 10:37
@Author  : 小韭韭
@Email   : fredialei@gmail.com
@File    : RBreaker.py
@Software: PyCharm
"""
from datetime import date, datetime
from tqsdk import TqApi, TqSim, TqBacktest, BacktestFinished, TargetPosTask
 SYMBOL = "INE.sc1905"  # 合约代码
CLOSE_HOUR, CLOSE_MINUTE = 14, 50  # 平仓时间
STOP_LOSS_PRICE = 30  # 止损点(价格)
NUM = 20  # 手数
INIT_BALANCE = 1000000  # 初始权益
  def figure_trade_log(acc, init_balance):
    import matplotlib.pyplot as plt
    plt.figure(figsize=(10, 6))
    trade_log = acc.trade_log
    x = []
    y = []
    for k, v in trade_log.items():
        x.append(k)
        y.append((v['account']['balance'] - init_balance) / init_balance * 100)
    plt.plot(x, y, marker='o', mec='r', mfc='w')
    plt.xticks(rotation=-30)
    plt.show()
  def get_index_line(klines):
    '''计算指标线'''
    high = klines.high.iloc[-2]  # 前一日的最高价
    low = klines.low.iloc[-2]  # 前一日的最低价
    close = klines.close.iloc[-2]  # 前一日的收盘价
    pivot = (high + low + close) / 3  # 枢轴点
    bBreak = high + 2 * (pivot - low)  # 突破买入价
    sSetup = pivot + (high - low)  # 观察卖出价
    sEnter = 2 * pivot - low  # 反转卖出价
    bEnter = 2 * pivot - high  # 反转买入价
    bSetup = pivot - (high - low)  # 观察买入价
    sBreak = low - 2 * (high - pivot)  # 突破卖出价
    print("已计算新标志线, 枢轴点: %f, 突破买入价: %f, 观察卖出价: %f, 反转卖出价: %f, 反转买入价: %f, 观察买入价: %f, 突破卖出价: %f"
          % (pivot, bBreak, sSetup, sEnter, bEnter, bSetup, sBreak))
    return pivot, bBreak, sSetup, sEnter, bEnter, bSetup, sBreak
  acc = TqSim(init_balance=INIT_BALANCE)
 try:
    api = TqApi(acc, backtest=TqBacktest(start_dt=date(2018, 11, 14), end_dt=date(2018, 12, 25)), web_gui=True)
     target_pos = TargetPosTask(api, SYMBOL)  # 默认对价下单
    quote = api.get_quote(SYMBOL)
    klines = api.get_kline_serial(SYMBOL, 60 * 60 * 24)  # 日线
    position = api.get_position(SYMBOL)
    target_pos_value = position.pos_long - position.pos_short  # 净目标净持仓数
    open_position_price = position.open_price_long if target_pos_value > 0 else position.open_price_short  # 开仓价
    pivot, bBreak, sSetup, sEnter, bEnter, bSetup, sBreak = get_index_line(klines)  # 七条标准线
    while True:
        target_pos.set_target_volume(target_pos_value)
        api.wait_update()
        if api.is_changing(klines.iloc[-1], "datetime"):  # 产生新k线,则重新计算7条指标线
            pivot, bBreak, sSetup, sEnter, bEnter, bSetup, sBreak = get_index_line(klines)
        if api.is_changing(quote, "datetime"):
            now = datetime.strptime(quote.datetime, "%Y-%m-%d %H:%M:%S.%f")
            if now.hour == CLOSE_HOUR and now.minute >= CLOSE_MINUTE:  # 到达平仓时间: 平仓
                print("临近本交易日收盘: 平仓")
                target_pos_value = 0  # 平仓
                pivot = bBreak = sSetup = sEnter = bEnter = bSetup = sBreak = float("nan")  # 修改各指标线的值, 避免平仓后再次触发
        '''交易规则'''
        if api.is_changing(quote, "last_price"):
            # print("最新价: %f" % quote.last_price)
            # 开仓价与当前行情价之差大于止损点则止损
            if (target_pos_value > 0 and open_position_price - quote.last_price >= STOP_LOSS_PRICE) or \
                    (target_pos_value < 0 and quote.last_price - open_position_price >= STOP_LOSS_PRICE):
                print("止损")
                target_pos_value = 0  # 平仓
            # 反转:
            if target_pos_value > 0:  # 多头持仓
                if quote.highest > sSetup and quote.last_price < sEnter:
                    # 多头持仓,当日内最高价超过观察卖出价后，
                    # 盘中价格出现回落，且进一步跌破反转卖出价构成的支撑线时，
                    # 采取反转策略，即在该点位反手做空
                    print("多头持仓,当日内最高价超过观察卖出价后跌破反转卖出价: 反手做空")
                    target_pos_value = -NUM  # 做空
                    open_position_price = quote.last_price
            elif target_pos_value < 0:  # 空头持仓
                if quote.lowest < bSetup and quote.last_price > bEnter:
                    # 空头持仓，当日内最低价低于观察买入价后，
                    # 盘中价格出现反弹，且进一步超过反转买入价构成的阻力线时，
                    # 采取反转策略，即在该点位反手做多
                    print("空头持仓,当日最低价低于观察买入价后超过反转买入价: 反手做多")
                    target_pos_value = NUM  # 做多
                    open_position_price = quote.last_price
            # 突破:
            elif target_pos_value == 0:  # 空仓条件
                if quote.last_price > bBreak:
                    # 在空仓的情况下，如果盘中价格超过突破买入价，
                    # 则采取趋势策略，即在该点位开仓做多
                    print("空仓,盘中价格超过突破买入价: 开仓做多")
                    target_pos_value = NUM  # 做多
                    open_position_price = quote.last_price
                elif quote.last_price < sBreak:
                    # 在空仓的情况下，如果盘中价格跌破突破卖出价，
                    # 则采取趋势策略，即在该点位开仓做空
                    print("空仓,盘中价格跌破突破卖出价: 开仓做空")
                    target_pos_value = -NUM  # 做空
                    open_position_price = quote.last_price
except BacktestFinished as e:
    figure_trade_log(acc, INIT_BALANCE)

博客地址：https://www.shinnytech.com/blog/r-breaker/