94 lines
2.0 KiB
Plaintext
94 lines
2.0 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": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"#%%\n",
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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 (\n",
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" AtrRsiStrategy,\n",
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")\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": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"#%%\n",
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"engine = BacktestingEngine()\n",
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"engine.set_parameters(\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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")\n",
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"engine.add_strategy(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": null,
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"metadata": {
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"scrolled": false
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},
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"outputs": [],
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"source": [
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"#%%\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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"engine.calculate_statistics()\n",
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"engine.show_chart()"
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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": null,
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"metadata": {
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"scrolled": true
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},
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"outputs": [],
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"source": [
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"setting = OptimizationSetting()\n",
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"setting.set_target(\"sharpe_ratio\")\n",
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"setting.add_parameter(\"atr_length\", 3, 39, 1)\n",
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"setting.add_parameter(\"atr_ma_length\", 10, 30, 1)\n",
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"\n",
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"engine.run_ga_optimization(setting)"
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]
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": "Python 3",
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"language": "python",
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"name": "python3"
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},
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"language_info": {
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"codemirror_mode": {
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"name": "ipython",
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"version": 3
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},
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"file_extension": ".py",
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"mimetype": "text/x-python",
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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython3",
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"version": "3.7.1"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 2
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}
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