vnpy/tests/backtesting/turtle.ipynb

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 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#%%\n",
    "from vnpy.app.cta_strategy.backtesting import BacktestingEngine, OptimizationSetting\n",
    "from vnpy.app.cta_strategy.strategies.atr_rsi_strategy import (\n",
    "    AtrRsiStrategy,\n",
    ")\n",
    "from datetime import datetime"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#%%\n",
    "engine = BacktestingEngine()\n",
    "engine.set_parameters(\n",
    "    vt_symbol=\"IF88.CFFEX\",\n",
    "    interval=\"1m\",\n",
    "    start=datetime(2019, 1, 1),\n",
    "    end=datetime(2019, 4, 30),\n",
    "    rate=0.3/10000,\n",
    "    slippage=0.2,\n",
    "    size=300,\n",
    "    pricetick=0.2,\n",
    "    capital=1_000_000,\n",
    ")\n",
    "engine.add_strategy(AtrRsiStrategy, {})"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "scrolled": false
   },
   "outputs": [],
   "source": [
    "#%%\n",
    "engine.load_data()\n",
    "engine.run_backtesting()\n",
    "df = engine.calculate_result()\n",
    "engine.calculate_statistics()\n",
    "engine.show_chart()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "scrolled": true
   },
   "outputs": [],
   "source": [
    "setting = OptimizationSetting()\n",
    "setting.set_target(\"sharpe_ratio\")\n",
    "setting.add_parameter(\"atr_length\", 3, 39, 1)\n",
    "setting.add_parameter(\"atr_ma_length\", 10, 30, 1)\n",
    "\n",
    "engine.run_ga_optimization(setting)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "result = _"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "print(result)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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