42 lines
1.1 KiB
Python
42 lines
1.1 KiB
Python
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# encoding: UTF-8
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"""
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展示如何执行策略回测。
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"""
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from __future__ import division
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from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, MINUTE_DB_NAME
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if __name__ == '__main__':
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from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy
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# 创建回测引擎
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engine = BacktestingEngine()
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# 设置引擎的回测模式为K线
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engine.setBacktestingMode(engine.BAR_MODE)
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# 设置回测用的数据起始日期
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engine.setStartDate('20120101')
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# 设置产品相关参数
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engine.setSlippage(0.2) # 股指1跳
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engine.setRate(0.3/10000) # 万0.3
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engine.setSize(300) # 股指合约大小
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engine.setPriceTick(0.2) # 股指最小价格变动
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# 设置使用的历史数据库
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engine.setDatabase(MINUTE_DB_NAME, 'IF0000')
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# 在引擎中创建策略对象
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d = {'atrLength': 11}
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engine.initStrategy(AtrRsiStrategy, d)
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# 开始跑回测
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engine.runBacktesting()
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# 显示回测结果
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engine.showBacktestingResult()
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