28 lines
802 B
Python
28 lines
802 B
Python
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from vnpy.app.cta_strategy.backtesting import BacktestingEngine, OptimizationSetting
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from vnpy.app.cta_strategy.strategies.atr_rsi_strategy import (
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AtrRsiStrategy,
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)
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from datetime import datetime
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if __name__ == "__main__":
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engine = BacktestingEngine()
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engine.set_parameters(
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vt_symbol="IF88.CFFEX",
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interval="1m",
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start=datetime(2019, 1, 1),
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end=datetime(2019, 4, 30),
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rate=0.3 / 10000,
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slippage=0.2,
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size=300,
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pricetick=0.2,
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capital=1_000_000,
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)
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engine.add_strategy(AtrRsiStrategy, {})
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setting = OptimizationSetting()
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setting.set_target("sharpe_ratio")
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setting.add_parameter("atr_length", 3, 39, 1)
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setting.add_parameter("atr_ma_length", 10, 30, 1)
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engine.run_ga_optimization(setting)
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