2017-06-02 13:44:28 +00:00
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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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"collapsed": false
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},
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"outputs": [],
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"source": [
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"%matplotlib inline\n",
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"\n",
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"from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, OptimizationSetting, MINUTE_DB_NAME\n",
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"from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy"
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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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"collapsed": true
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},
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"outputs": [],
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"source": [
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"# 创建回测引擎对象\n",
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"engine = BacktestingEngine()"
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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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"collapsed": false
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},
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"outputs": [],
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"source": [
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"# 设置回测使用的数据\n",
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"engine.setBacktestingMode(engine.BAR_MODE) # 设置引擎的回测模式为K线\n",
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"engine.setDatabase(MINUTE_DB_NAME, 'IF0000') # 设置使用的历史数据库\n",
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"engine.setStartDate('20120101') # 设置回测用的数据起始日期"
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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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"collapsed": true
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},
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"outputs": [],
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"source": [
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"# 配置回测引擎参数\n",
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"engine.setSlippage(0.2) # 设置滑点为股指1跳\n",
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"engine.setRate(0.3/10000) # 设置手续费万0.3\n",
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"engine.setSize(300) # 设置股指合约大小 \n",
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"engine.setPriceTick(0.2) # 设置股指最小价格变动 "
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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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"collapsed": true
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},
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"outputs": [],
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"source": [
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"# 在引擎中创建策略对象\n",
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"d = {'atrLength': 11} # 策略参数配置\n",
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"engine.initStrategy(AtrRsiStrategy, d) # 创建策略对象"
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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": 6,
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"metadata": {
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"collapsed": false
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},
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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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2017-07-07 09:59:31 +00:00
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"2017-07-06 23:15:17.471000\t开始载入数据\n",
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"2017-07-06 23:15:17.485000\t载入完成，数据量：0\n",
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"2017-07-06 23:15:17.485000\t开始回测\n",
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"2017-07-06 23:15:17.485000\t策略初始化完成\n",
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"2017-07-06 23:15:17.485000\t策略启动完成\n",
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"2017-07-06 23:15:17.485000\t开始回放数据\n",
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"2017-07-06 23:15:17.486000\t数据回放结束\n"
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2017-06-02 13:44:28 +00:00
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]
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}
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],
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"source": [
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"# 运行回测\n",
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"engine.runBacktesting() # 运行回测"
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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": 7,
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"metadata": {
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"collapsed": false
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},
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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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"2017-06-02 16:09:14.068000\t计算回测结果\n",
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"2017-06-02 16:09:14.134000\t------------------------------\n",
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"2017-06-02 16:09:14.134000\t第一笔交易：\t2012-01-11 10:18:00\n",
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"2017-06-02 16:09:14.134000\t最后一笔交易：\t2017-03-20 09:31:00\n",
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"2017-06-02 16:09:14.134000\t总交易次数：\t3,749.0\n",
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"2017-06-02 16:09:14.134000\t总盈亏：\t683,717.31\n",
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"2017-06-02 16:09:14.134000\t最大回撤: \t-215,542.46\n",
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"2017-06-02 16:09:14.134000\t平均每笔盈利：\t182.37\n",
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"2017-06-02 16:09:14.134000\t平均每笔滑点：\t120.0\n",
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"2017-06-02 16:09:14.134000\t平均每笔佣金：\t57.75\n",
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"2017-06-02 16:09:14.134000\t胜率\t\t37.24%\n",
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"2017-06-02 16:09:14.134000\t盈利交易平均值\t8,539.01\n",
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"2017-06-02 16:09:14.134000\t亏损交易平均值\t-4,775.5\n",
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"2017-06-02 16:09:14.134000\t盈亏比：\t1.79\n"
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]
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},
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{
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"data": {
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"text/plain": [
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"<matplotlib.figure.Figure at 0x206d91f0>"
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]
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},
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"metadata": {},
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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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"# 显示回测结果\n",
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"engine.showBacktestingResult()"
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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": 8,
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"metadata": {
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"collapsed": false
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},
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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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"{'orderID': '1', 'direction': u'\\u591a', 'gatewayName': '', 'tradeID': '1', 'exchange': '', 'symbol': '', 'volume': 0, 'tradeTime': '2012-01-11 09:18:00', 'rawData': None, 'vtTradeID': '1', 'offset': u'\\u5f00\\u4ed3', 'vtOrderID': '1', 'dt': datetime.datetime(2012, 1, 11, 9, 18), 'price': 2464.4, 'vtSymbol': ''}\n",
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"{'orderID': '2', 'direction': u'\\u7a7a', 'gatewayName': '', 'tradeID': '2', 'exchange': '', 'symbol': '', 'volume': 0, 'tradeTime': '2012-01-11 10:18:00', 'rawData': None, 'vtTradeID': '2', 'offset': u'\\u5e73\\u4ed3', 'vtOrderID': '2', 'dt': datetime.datetime(2012, 1, 11, 10, 18), 'price': 2448.8, 'vtSymbol': ''}\n",
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"{'orderID': '3', 'direction': u'\\u7a7a', 'gatewayName': '', 'tradeID': '3', 'exchange': '', 'symbol': '', 'volume': 0, 'tradeTime': '2012-01-11 10:19:00', 'rawData': None, 'vtTradeID': '3', 'offset': u'\\u5f00\\u4ed3', 'vtOrderID': '3', 'dt': datetime.datetime(2012, 1, 11, 10, 19), 'price': 2448.4, 'vtSymbol': ''}\n",
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"{'orderID': '4', 'direction': u'\\u591a', 'gatewayName': '', 'tradeID': '4', 'exchange': '', 'symbol': '', 'volume': 0, 'tradeTime': '2012-01-11 14:21:00', 'rawData': None, 'vtTradeID': '4', 'offset': u'\\u5e73\\u4ed3', 'vtOrderID': '4', 'dt': datetime.datetime(2012, 1, 11, 14, 21), 'price': 2456.2000000000003, 'vtSymbol': ''}\n",
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|
|
|
|
|
"{'orderID': '5', 'direction': u'\\u591a', 'gatewayName': '', 'tradeID': '5', 'exchange': '', 'symbol': '', 'volume': 0, 'tradeTime': '2012-01-11 14:22:00', 'rawData': None, 'vtTradeID': '5', 'offset': u'\\u5f00\\u4ed3', 'vtOrderID': '5', 'dt': datetime.datetime(2012, 1, 11, 14, 22), 'price': 2455.6, 'vtSymbol': ''}\n",
|
|
|
|
|
|
"{'orderID': '6', 'direction': u'\\u7a7a', 'gatewayName': '', 'tradeID': '6', 'exchange': '', 'symbol': '', 'volume': 0, 'tradeTime': '2012-01-11 14:57:00', 'rawData': None, 'vtTradeID': '6', 'offset': u'\\u5e73\\u4ed3', 'vtOrderID': '6', 'dt': datetime.datetime(2012, 1, 11, 14, 57), 'price': 2444.0, 'vtSymbol': ''}\n",
|
|
|
|
|
|
"{'orderID': '7', 'direction': u'\\u7a7a', 'gatewayName': '', 'tradeID': '7', 'exchange': '', 'symbol': '', 'volume': 0, 'tradeTime': '2012-01-11 14:58:00', 'rawData': None, 'vtTradeID': '7', 'offset': u'\\u5f00\\u4ed3', 'vtOrderID': '7', 'dt': datetime.datetime(2012, 1, 11, 14, 58), 'price': 2445.8, 'vtSymbol': ''}\n",
|
|
|
|
|
|
"{'orderID': '8', 'direction': u'\\u591a', 'gatewayName': '', 'tradeID': '8', 'exchange': '', 'symbol': '', 'volume': 0, 'tradeTime': '2012-01-12 09:51:00', 'rawData': None, 'vtTradeID': '8', 'offset': u'\\u5e73\\u4ed3', 'vtOrderID': '8', 'dt': datetime.datetime(2012, 1, 12, 9, 51), 'price': 2452.8, 'vtSymbol': ''}\n",
|
|
|
|
|
|
"{'orderID': '9', 'direction': u'\\u591a', 'gatewayName': '', 'tradeID': '9', 'exchange': '', 'symbol': '', 'volume': 0, 'tradeTime': '2012-01-12 09:52:00', 'rawData': None, 'vtTradeID': '9', 'offset': u'\\u5f00\\u4ed3', 'vtOrderID': '9', 'dt': datetime.datetime(2012, 1, 12, 9, 52), 'price': 2452.0, 'vtSymbol': ''}\n",
|
|
|
|
|
|
"{'orderID': '10', 'direction': u'\\u7a7a', 'gatewayName': '', 'tradeID': '10', 'exchange': '', 'symbol': '', 'volume': 0, 'tradeTime': '2012-01-12 10:31:00', 'rawData': None, 'vtTradeID': '10', 'offset': u'\\u5e73\\u4ed3', 'vtOrderID': '10', 'dt': datetime.datetime(2012, 1, 12, 10, 31), 'price': 2455.2000000000003, 'vtSymbol': ''}\n"
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]
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}
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],
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|
"source": [
|
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|
|
"# 显示前10条成交记录\n",
|
|
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|
|
|
"for i in range(10):\n",
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|
|
" print engine.tradeDict[str(i+1)].__dict__"
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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": 11,
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"metadata": {
|
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"collapsed": false
|
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},
|
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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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"2017-06-02 16:13:08.744000\t------------------------------\n",
|
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|
"2017-06-02 16:13:08.744000\t优化结果：\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.744000\t{'rsiLength': 5, 'atrMa': 20, 'atrLength': 20}: 957797.864155\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.744000\t{'rsiLength': 5, 'atrMa': 25, 'atrLength': 20}: 957797.864155\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.744000\t{'rsiLength': 5, 'atrMa': 30, 'atrLength': 20}: 957797.864155\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.744000\t{'rsiLength': 5, 'atrMa': 20, 'atrLength': 18}: 883361.518728\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.744000\t{'rsiLength': 5, 'atrMa': 25, 'atrLength': 18}: 883361.518728\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.744000\t{'rsiLength': 5, 'atrMa': 30, 'atrLength': 18}: 883361.518728\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.744000\t{'rsiLength': 5, 'atrMa': 20, 'atrLength': 16}: 790520.582818\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.744000\t{'rsiLength': 5, 'atrMa': 25, 'atrLength': 16}: 790520.582818\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.744000\t{'rsiLength': 5, 'atrMa': 30, 'atrLength': 16}: 790520.582818\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.745000\t{'rsiLength': 5, 'atrMa': 20, 'atrLength': 14}: 768931.704634\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.745000\t{'rsiLength': 5, 'atrMa': 25, 'atrLength': 14}: 768931.704634\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.745000\t{'rsiLength': 5, 'atrMa': 30, 'atrLength': 14}: 768931.704634\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.745000\t{'rsiLength': 5, 'atrMa': 20, 'atrLength': 12}: 758396.03149\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.745000\t{'rsiLength': 5, 'atrMa': 25, 'atrLength': 12}: 758396.03149\n",
|
|
|
|
|
|
"2017-06-02 16:13:08.745000\t{'rsiLength': 5, 'atrMa': 30, 'atrLength': 12}: 758396.03149\n"
|
|
|
|
|
|
]
|
|
|
|
|
|
},
|
|
|
|
|
|
{
|
|
|
|
|
|
"ename": "NameError",
|
|
|
|
|
|
"evalue": "name 'start' is not defined",
|
|
|
|
|
|
"output_type": "error",
|
|
|
|
|
|
"traceback": [
|
|
|
|
|
|
"\u001b[1;31m---------------------------------------------------------------------------\u001b[0m",
|
|
|
|
|
|
"\u001b[1;31mNameError\u001b[0m Traceback (most recent call last)",
|
|
|
|
|
|
"\u001b[1;32m<ipython-input-11-19c5bd4ce28f>\u001b[0m in \u001b[0;36m<module>\u001b[1;34m()\u001b[0m\n\u001b[0;32m 9\u001b[0m \u001b[1;32mimport\u001b[0m \u001b[0mtime\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 10\u001b[0m \u001b[0mengine\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mrunParallelOptimization\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mAtrRsiStrategy\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0msetting\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m---> 11\u001b[1;33m \u001b[1;32mprint\u001b[0m \u001b[1;34mu'耗时：%s'\u001b[0m \u001b[1;33m%\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mtime\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mtime\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m-\u001b[0m\u001b[0mstart\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m",
|
|
|
|
|
|
"\u001b[1;31mNameError\u001b[0m: name 'start' is not defined"
|
|
|
|
|
|
]
|
|
|
|
|
|
}
|
|
|
|
|
|
],
|
|
|
|
|
|
"source": [
|
|
|
|
|
|
"# 优化配置\n",
|
|
|
|
|
|
"setting = OptimizationSetting() # 新建一个优化任务设置对象\n",
|
|
|
|
|
|
"setting.setOptimizeTarget('capital') # 设置优化排序的目标是策略净盈利\n",
|
|
|
|
|
|
"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\n",
|
|
|
|
|
|
"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\n",
|
|
|
|
|
|
"setting.addParameter('rsiLength', 5) # 增加一个固定数值的参数\n",
|
|
|
|
|
|
"\n",
|
|
|
|
|
|
"# 执行多进程优化\n",
|
|
|
|
|
|
"import time\n",
|
|
|
|
|
|
"engine.runParallelOptimization(AtrRsiStrategy, setting)\n",
|
|
|
|
|
|
"print u'耗时：%s' %(time.time()-start)"
|
|
|
|
|
|
]
|
|
|
|
|
|
},
|
|
|
|
|
|
{
|
|
|
|
|
|
"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
|
|
|
|
|
|
}
|
