52 lines
1.9 KiB
Python
52 lines
1.9 KiB
Python
|
# encoding: UTF-8
|
|||
|
|
|
|||
|
|
"""
|
|||
|
|
展示如何执行参数优化。
|
|||
|
|
"""
|
|||
|
|
|
|||
|
|
from __future__ import division
|
|||
|
|
|
|||
|
|
|
|||
|
|
from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, MINUTE_DB_NAME, OptimizationSetting
|
|||
|
|
|
|||
|
|
|
|||
|
|
if __name__ == '__main__':
|
|||
|
|
from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy
|
|||
|
|
|
|||
|
|
# 创建回测引擎
|
|||
|
|
engine = BacktestingEngine()
|
|||
|
|
|
|||
|
|
# 设置引擎的回测模式为K线
|
|||
|
|
engine.setBacktestingMode(engine.BAR_MODE)
|
|||
|
|
|
|||
|
|
# 设置回测用的数据起始日期
|
|||
|
|
engine.setStartDate('20120101')
|
|||
|
|
|
|||
|
|
# 设置产品相关参数
|
|||
|
|
engine.setSlippage(0.2) # 股指1跳
|
|||
|
|
engine.setRate(0.3/10000) # 万0.3
|
|||
|
|
engine.setSize(300) # 股指合约大小
|
|||
|
|
engine.setPriceTick(0.2) # 股指最小价格变动
|
|||
|
|
|
|||
|
|
# 设置使用的历史数据库
|
|||
|
|
engine.setDatabase(MINUTE_DB_NAME, 'IF0000')
|
|||
|
|
|
|||
|
|
# 跑优化
|
|||
|
|
setting = OptimizationSetting() # 新建一个优化任务设置对象
|
|||
|
|
setting.setOptimizeTarget('capital') # 设置优化排序的目标是策略净盈利
|
|||
|
|
setting.addParameter('atrLength', 12, 20, 2) # 增加第一个优化参数atrLength，起始12，结束20，步进2
|
|||
|
|
setting.addParameter('atrMa', 20, 30, 5) # 增加第二个优化参数atrMa，起始20，结束30，步进5
|
|||
|
|
setting.addParameter('rsiLength', 5) # 增加一个固定数值的参数
|
|||
|
|
|
|||
|
|
# 性能测试环境：I7-3770，主频3.4G, 8核心，内存16G，Windows 7 专业版
|
|||
|
|
# 测试时还跑着一堆其他的程序，性能仅供参考
|
|||
|
|
import time
|
|||
|
|
start = time.time()
|
|||
|
|
|
|||
|
|
# 运行单进程优化函数，自动输出结果，耗时：359秒
|
|||
|
|
#engine.runOptimization(AtrRsiStrategy, setting)
|
|||
|
|
|
|||
|
|
# 多进程优化，耗时：89秒
|
|||
|
|
engine.runParallelOptimization(AtrRsiStrategy, setting)
|
|||
|
|
|
|||
|
|
print u'耗时：%s' %(time.time()-start)
|