224 lines
79 KiB
Plaintext
224 lines
79 KiB
Plaintext
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{
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"cells": [
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{
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"cell_type": "code",
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"execution_count": 1,
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"metadata": {},
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"outputs": [],
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"source": [
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"from vnpy.app.cta_strategy.backtesting import BacktestingEngine, OptimizationSetting\n",
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"from vnpy.app.cta_strategy.strategies.atr_rsi_strategy import AtrRsiStrategy\n",
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"from vnpy.app.cta_strategy.strategies.boll_channel_strategy import BollChannelStrategy\n",
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"from datetime import datetime"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 2,
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"metadata": {},
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"outputs": [],
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"source": [
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"def run_backtesting(strategy_class, setting, vt_symbol, interval, start, end, rate, slippage, size, pricetick, capital):\n",
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" engine = BacktestingEngine()\n",
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" engine.set_parameters(\n",
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" vt_symbol=vt_symbol,\n",
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" interval=interval,\n",
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" start=start,\n",
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" end=end,\n",
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" rate=rate,\n",
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" slippage=slippage,\n",
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" size=size,\n",
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" pricetick=pricetick,\n",
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" capital=capital \n",
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" )\n",
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" engine.add_strategy(strategy_class, setting)\n",
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" engine.load_data()\n",
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" engine.run_backtesting()\n",
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" df = engine.calculate_result()\n",
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" return df\n",
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"\n",
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"def show_portafolio(df):\n",
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" engine = BacktestingEngine()\n",
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" engine.calculate_statistics(df)\n",
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" engine.show_chart(df)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 3,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"2019-06-10 23:37:47.321851\t开始加载历史数据\n",
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"2019-06-10 23:37:47.736877\t加载进度：## [25%]\n",
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"2019-06-10 23:37:47.990762\t加载进度：##### [50%]\n",
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"2019-06-10 23:37:48.298379\t加载进度：####### [76%]\n",
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"2019-06-10 23:37:48.518127\t加载进度：########## [100%]\n",
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"2019-06-10 23:37:48.518127\t历史数据加载完成，数据量：17280\n",
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"2019-06-10 23:37:48.584513\t策略初始化完成\n",
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"2019-06-10 23:37:48.584513\t开始回放历史数据\n",
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"2019-06-10 23:37:49.319839\t历史数据回放结束\n",
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"2019-06-10 23:37:49.319839\t开始计算逐日盯市盈亏\n",
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"2019-06-10 23:37:49.324736\t逐日盯市盈亏计算完成\n"
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]
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}
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],
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"source": [
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"df1 = run_backtesting(\n",
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" strategy_class=AtrRsiStrategy, \n",
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" setting={}, \n",
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" vt_symbol=\"IF88.CFFEX\",\n",
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" interval=\"1m\", \n",
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" start=datetime(2019, 1, 1), \n",
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" end=datetime(2019, 4, 30),\n",
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" rate=0.3/10000,\n",
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" slippage=0.2,\n",
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" size=300,\n",
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" pricetick=0.2,\n",
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" capital=1_000_000,\n",
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" )"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 4,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"2019-06-10 23:37:54.953582\t开始加载历史数据\n",
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"2019-06-10 23:37:55.452611\t加载进度：## [25%]\n",
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"2019-06-10 23:37:55.905706\t加载进度：##### [50%]\n",
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"2019-06-10 23:37:56.352015\t加载进度：####### [76%]\n",
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"2019-06-10 23:37:56.885187\t加载进度：########## [100%]\n",
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"2019-06-10 23:37:56.885187\t历史数据加载完成，数据量：27168\n",
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"2019-06-10 23:37:56.903729\t策略初始化完成\n",
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"2019-06-10 23:37:56.903729\t开始回放历史数据\n",
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"2019-06-10 23:37:57.144939\t历史数据回放结束\n",
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"2019-06-10 23:37:57.144939\t开始计算逐日盯市盈亏\n",
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"2019-06-10 23:37:57.150828\t逐日盯市盈亏计算完成\n"
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]
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}
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],
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"source": [
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"df2 = run_backtesting(\n",
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" strategy_class=BollChannelStrategy, \n",
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" setting={'fixed_size': 16}, \n",
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" vt_symbol=\"RB88.SHFE\",\n",
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" interval=\"1m\", \n",
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" start=datetime(2019, 1, 1), \n",
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" end=datetime(2019, 4, 30),\n",
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" rate=1/10000,\n",
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" slippage=1,\n",
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" size=10,\n",
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" pricetick=1,\n",
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" capital=1_000_000,\n",
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" )"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 5,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"2019-06-10 23:38:00.683004\t开始计算策略统计指标\n",
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"2019-06-10 23:38:00.799241\t------------------------------\n",
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"2019-06-10 23:38:00.799241\t首个交易日：\t2019-01-16\n",
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"2019-06-10 23:38:00.799241\t最后交易日：\t2019-04-19\n",
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"2019-06-10 23:38:00.799241\t总交易日：\t62\n",
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"2019-06-10 23:38:00.799241\t盈利交易日：\t31\n",
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"2019-06-10 23:38:00.799241\t亏损交易日：\t31\n",
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"2019-06-10 23:38:00.799241\t起始资金：\t1,000,000.00\n",
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"2019-06-10 23:38:00.799241\t结束资金：\t1,094,312.31\n",
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"2019-06-10 23:38:00.799241\t总收益率：\t9.43%\n",
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"2019-06-10 23:38:00.799241\t年化收益：\t36.51%\n",
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"2019-06-10 23:38:00.799241\t最大回撤: \t-119,944.93\n",
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"2019-06-10 23:38:00.799241\t百分比最大回撤: -10.84%\n",
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"2019-06-10 23:38:00.799241\t总盈亏：\t94,312.31\n",
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"2019-06-10 23:38:00.799241\t总手续费：\t11,787.69\n",
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"2019-06-10 23:38:00.799241\t总滑点：\t23,500.00\n",
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"2019-06-10 23:38:00.799241\t总成交金额：\t333,377,980.00\n",
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"2019-06-10 23:38:00.799241\t总成交笔数：\t320.0\n",
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"2019-06-10 23:38:00.799241\t日均盈亏：\t1,521.17\n",
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"2019-06-10 23:38:00.799241\t日均手续费：\t190.12\n",
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"2019-06-10 23:38:00.799241\t日均滑点：\t379.03\n",
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"2019-06-10 23:38:00.799241\t日均成交金额：\t5,377,064.19\n",
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"2019-06-10 23:38:00.799241\t日均成交笔数：\t5.161290322580645\n",
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"2019-06-10 23:38:00.800195\t日均收益率：\t0.14%\n",
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"2019-06-10 23:38:00.800195\t收益标准差：\t1.86%\n",
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"2019-06-10 23:38:00.800195\tSharpe Ratio：\t1.20\n",
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"2019-06-10 23:38:00.800195\t收益回撤比：\t0.87\n"
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]
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},
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{
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"data": {
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"image/png": "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"text/plain": [
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"<Figure size 720x1152 with 4 Axes>"
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]
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},
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"metadata": {
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"needs_background": "light"
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},
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"output_type": "display_data"
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}
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],
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"source": [
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"dfp = df1 + df2\n",
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"dfp =dfp.dropna() \n",
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"show_portafolio(dfp)"
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]
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},
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{
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|||
|
|
"cell_type": "code",
|
|||
|
|
"execution_count": null,
|
|||
|
|
"metadata": {},
|
|||
|
|
"outputs": [],
|
|||
|
|
"source": []
|
|||
|
|
}
|
|||
|
|
],
|
|||
|
|
"metadata": {
|
|||
|
|
"kernelspec": {
|
|||
|
|
"display_name": "Python 3",
|
|||
|
|
"language": "python",
|
|||
|
|
"name": "python3"
|
|||
|
|
},
|
|||
|
|
"language_info": {
|
|||
|
|
"codemirror_mode": {
|
|||
|
|
"name": "ipython",
|
|||
|
|
"version": 3
|
|||
|
|
},
|
|||
|
|
"file_extension": ".py",
|
|||
|
|
"mimetype": "text/x-python",
|
|||
|
|
"name": "python",
|
|||
|
|
"nbconvert_exporter": "python",
|
|||
|
|
"pygments_lexer": "ipython3",
|
|||
|
|
"version": "3.7.1"
|
|||
|
|
},
|
|||
|
|
"toc": {
|
|||
|
|
"base_numbering": 1,
|
|||
|
|
"nav_menu": {},
|
|||
|
|
"number_sections": true,
|
|||
|
|
"sideBar": true,
|
|||
|
|
"skip_h1_title": false,
|
|||
|
|
"title_cell": "Table of Contents",
|
|||
|
|
"title_sidebar": "Contents",
|
|||
|
|
"toc_cell": false,
|
|||
|
|
"toc_position": {},
|
|||
|
|
"toc_section_display": true,
|
|||
|
|
"toc_window_display": false
|
|||
|
|
}
|
|||
|
|
},
|
|||
|
|
"nbformat": 4,
|
|||
|
|
"nbformat_minor": 2
|
|||
|
|
}
|