189 lines
118 KiB
Plaintext
189 lines
118 KiB
Plaintext
|
{
|
|||
|
|
"cells": [
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 1,
|
|||
|
|
"metadata": {
|
|||
|
|
"collapsed": true
|
|||
|
|
},
|
|||
|
|
"outputs": [],
|
|||
|
|
"source": [
|
|||
|
|
"%matplotlib inline\n",
|
|||
|
|
"\n",
|
|||
|
|
"from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, MINUTE_DB_NAME\n",
|
|||
|
|
"\n",
|
|||
|
|
"def runBacktesting(strategyClass, settingDict, symbol, \n",
|
|||
|
|
" startDate, endDate, slippage, \n",
|
|||
|
|
" rate, size, priceTick):\n",
|
|||
|
|
" \"\"\"运行单标的回测\"\"\"\n",
|
|||
|
|
" engine = BacktestingEngine()\n",
|
|||
|
|
" engine.setBacktestingMode(engine.BAR_MODE)\n",
|
|||
|
|
" engine.setDatabase(MINUTE_DB_NAME, symbol)\n",
|
|||
|
|
" engine.setStartDate(startDate)\n",
|
|||
|
|
" engine.setEndDate(endDate)\n",
|
|||
|
|
" engine.setSlippage(slippage)\n",
|
|||
|
|
" engine.setRate(rate) \n",
|
|||
|
|
" engine.setSize(size) \n",
|
|||
|
|
" engine.setPriceTick(priceTick)\n",
|
|||
|
|
" \n",
|
|||
|
|
" engine.initStrategy(strategyClass, settingDict)\n",
|
|||
|
|
" engine.runBacktesting()\n",
|
|||
|
|
" df = engine.calculateDailyResult()\n",
|
|||
|
|
" return df"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 2,
|
|||
|
|
"metadata": {
|
|||
|
|
"collapsed": false
|
|||
|
|
},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"2017-10-07 23:24:11.493000\t开始载入数据\n",
|
|||
|
|
"2017-10-07 23:24:11.661000\t载入完成，数据量：348690\n",
|
|||
|
|
"2017-10-07 23:24:11.661000\t开始回测\n",
|
|||
|
|
"2017-10-07 23:24:11.703000\t策略初始化完成\n",
|
|||
|
|
"2017-10-07 23:24:11.703000\t策略启动完成\n",
|
|||
|
|
"2017-10-07 23:24:11.703000\t开始回放数据\n",
|
|||
|
|
"2017-10-07 23:24:42.412000\t数据回放结束\n",
|
|||
|
|
"2017-10-07 23:24:42.412000\t计算按日统计结果\n"
|
|||
|
|
]
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"# 运行IF回测，交易1手\n",
|
|||
|
|
"from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy\n",
|
|||
|
|
"df1 = runBacktesting(AtrRsiStrategy, {}, 'IF0000', \n",
|
|||
|
|
" '20120101', '20170630', 0.2, \n",
|
|||
|
|
" 0.3/10000, 300, 0.2)"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 3,
|
|||
|
|
"metadata": {
|
|||
|
|
"collapsed": false
|
|||
|
|
},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"2017-10-07 23:24:43.174000\t开始载入数据\n",
|
|||
|
|
"2017-10-07 23:24:43.340000\t载入完成，数据量：300224\n",
|
|||
|
|
"2017-10-07 23:24:43.340000\t开始回测\n",
|
|||
|
|
"2017-10-07 23:24:43.347000\t策略初始化完成\n",
|
|||
|
|
"2017-10-07 23:24:43.347000\t策略启动完成\n",
|
|||
|
|
"2017-10-07 23:24:43.347000\t开始回放数据\n",
|
|||
|
|
"2017-10-07 23:24:58.453000\t数据回放结束\n",
|
|||
|
|
"2017-10-07 23:24:58.453000\t计算按日统计结果\n"
|
|||
|
|
]
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"# 运行rb回测，交易16手\n",
|
|||
|
|
"from vnpy.trader.app.ctaStrategy.strategy.strategyBollChannel import BollChannelStrategy\n",
|
|||
|
|
"settingDict = {'fixedSize': 16}\n",
|
|||
|
|
"df2 = runBacktesting(BollChannelStrategy, settingDict, 'rb0000', \n",
|
|||
|
|
" '20120101', '20170630', 1, \n",
|
|||
|
|
" 1/10000, 10, 1)"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": 4,
|
|||
|
|
"metadata": {
|
|||
|
|
"collapsed": false
|
|||
|
|
},
|
|||
|
|
"outputs": [
|
|||
|
|
{
|
|||
|
|
"name": "stdout",
|
|||
|
|
"output_type": "stream",
|
|||
|
|
"text": [
|
|||
|
|
"2017-10-07 23:24:58.504000\t------------------------------\n",
|
|||
|
|
"2017-10-07 23:24:58.504000\t首个交易日：\t2012-01-11\n",
|
|||
|
|
"2017-10-07 23:24:58.504000\t最后交易日：\t2017-06-30\n",
|
|||
|
|
"2017-10-07 23:24:58.504000\t总交易日：\t1328\n",
|
|||
|
|
"2017-10-07 23:24:58.504000\t盈利交易日\t679\n",
|
|||
|
|
"2017-10-07 23:24:58.504000\t亏损交易日：\t649\n",
|
|||
|
|
"2017-10-07 23:24:58.504000\t起始资金：\t1000000\n",
|
|||
|
|
"2017-10-07 23:24:58.504000\t结束资金：\t2,543,440.99\n",
|
|||
|
|
"2017-10-07 23:24:58.504000\t总收益率：\t154.34\n",
|
|||
|
|
"2017-10-07 23:24:58.504000\t总盈亏：\t1,543,440.99\n",
|
|||
|
|
"2017-10-07 23:24:58.504000\t最大回撤: \t-155,832.39\n",
|
|||
|
|
"2017-10-07 23:24:58.504000\t总手续费：\t216,619.01\n",
|
|||
|
|
"2017-10-07 23:24:58.505000\t总滑点：\t535,820.0\n",
|
|||
|
|
"2017-10-07 23:24:58.505000\t总成交金额：\t7,476,566,620.0\n",
|
|||
|
|
"2017-10-07 23:24:58.505000\t总成交笔数：\t8,041.0\n",
|
|||
|
|
"2017-10-07 23:24:58.505000\t日均盈亏：\t1,162.23\n",
|
|||
|
|
"2017-10-07 23:24:58.505000\t日均手续费：\t163.12\n",
|
|||
|
|
"2017-10-07 23:24:58.505000\t日均滑点：\t403.48\n",
|
|||
|
|
"2017-10-07 23:24:58.505000\t日均成交金额：\t5,629,944.74\n",
|
|||
|
|
"2017-10-07 23:24:58.505000\t日均成交笔数：\t6.05\n",
|
|||
|
|
"2017-10-07 23:24:58.505000\t日均收益率：\t0.07%\n",
|
|||
|
|
"2017-10-07 23:24:58.505000\t收益标准差：\t0.96%\n",
|
|||
|
|
"2017-10-07 23:24:58.505000\tSharpe Ratio：\t1.15\n"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"data": {
|
|||
|
|
"image/png": "iVBORw0KGgoAAAANSUhEUgAAAoEAAAOlCAYAAAASGT0sAAAABHNCSVQICAgIfAhkiAAAAAlwSFlz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\nIiIiRV7RSYh36SgIFBE
|
|||
|
|
"text/plain": [
|
|||
|
|
"<matplotlib.figure.Figure at 0x1d4fe430>"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
"metadata": {},
|
|||
|
|
"output_type": "display_data"
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"source": [
|
|||
|
|
"# 合并获得组合回测结果\n",
|
|||
|
|
"dfp = df1 + df2\n",
|
|||
|
|
"\n",
|
|||
|
|
"# 注意如果被抛弃的交易日位于回测的前后，即两者不重合的日期中，则不会影响组合曲线正确性\n",
|
|||
|
|
"# 但是如果被抛弃的交易日位于回测的中部，即两者重合的日期中，组合曲线会出现错误（丢失交易日）\n",
|
|||
|
|
"dfp = dfp.dropna() \n",
|
|||
|
|
"\n",
|
|||
|
|
"# 创建回测引擎，并设置组合回测初始资金后，显示结果\n",
|
|||
|
|
"engine = BacktestingEngine()\n",
|
|||
|
|
"engine.setCapital(1000000)\n",
|
|||
|
|
"engine.showDailyResult(dfp)"
|
|||
|
|
]
|
|||
|
|
},
|
|||
|
|
{
|
|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": null,
|
|||
|
|
"metadata": {
|
|||
|
|
"collapsed": true
|
|||
|
|
},
|
|||
|
|
"outputs": [],
|
|||
|
|
"source": []
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"metadata": {
|
|||
|
|
"kernelspec": {
|
|||
|
|
"display_name": "Python 2",
|
|||
|
|
"language": "python",
|
|||
|
|
"name": "python2"
|
|||
|
|
},
|
|||
|
|
"language_info": {
|
|||
|
|
"codemirror_mode": {
|
|||
|
|
"name": "ipython",
|
|||
|
|
"version": 2
|
|||
|
|
},
|
|||
|
|
"file_extension": ".py",
|
|||
|
|
"mimetype": "text/x-python",
|
|||
|
|
"name": "python",
|
|||
|
|
"nbconvert_exporter": "python",
|
|||
|
|
"pygments_lexer": "ipython2",
|
|||
|
|
"version": "2.7.13"
|
|||
|
|
}
|
|||
|
|
},
|
|||
|
|
"nbformat": 4,
|
|||
|
|
"nbformat_minor": 0
|
|||
|
|
}
|