2017-10-07 02:58:37 +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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2017-10-08 14:32:07 +00:00
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"execution_count": 1,
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2017-10-07 02:58:37 +00:00
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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.strategyBollChannel import BollChannelStrategy"
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]
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},
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{
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"cell_type": "code",
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2017-10-08 14:32:07 +00:00
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"execution_count": 2,
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2017-10-07 02:58:37 +00:00
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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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"# 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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2017-10-08 14:32:07 +00:00
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"execution_count": 3,
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2017-10-07 02:58:37 +00:00
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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, 'rb0000') # 设置使用的历史数据库\n",
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"engine.setStartDate('20110101') # 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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2017-10-08 14:32:07 +00:00
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"execution_count": 4,
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2017-10-07 02:58:37 +00:00
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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(1) # 设置滑点为1跳\n",
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"engine.setRate(1/10000) # 设置手续费万1\n",
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"engine.setSize(10) # 设置合约大小 \n",
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"engine.setPriceTick(1) # 设置最小价格变动 \n",
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"engine.setCapital(30000) # 设置回测本金"
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]
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},
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{
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"cell_type": "code",
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2017-10-08 14:32:07 +00:00
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"execution_count": 5,
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2017-10-07 02:58:37 +00:00
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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 = {} # 策略参数配置\n",
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"engine.initStrategy(BollChannelStrategy, 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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2017-10-08 14:32:07 +00:00
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"execution_count": 6,
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2017-10-07 02:58:37 +00:00
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"metadata": {
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"collapsed": false
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},
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2017-10-08 14:32:07 +00:00
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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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2017-10-09 05:21:17 +00:00
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"2017-10-09 13:17:45.620000\t开始载入数据\n",
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"2017-10-09 13:17:45.810000\t载入完成，数据量：448128\n",
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"2017-10-09 13:17:45.810000\t开始回测\n",
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"2017-10-09 13:17:45.817000\t策略初始化完成\n",
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"2017-10-09 13:17:45.817000\t策略启动完成\n",
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"2017-10-09 13:17:45.817000\t开始回放数据\n",
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"2017-10-09 13:18:06.398000\t数据回放结束\n"
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2017-10-08 14:32:07 +00:00
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]
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}
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],
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2017-10-07 02:58:37 +00:00
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"source": [
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"# 运行回测\n",
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"engine.runBacktesting()"
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]
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},
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{
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"cell_type": "code",
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2017-10-08 14:32:07 +00:00
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"execution_count": 7,
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2017-10-07 02:58:37 +00:00
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"metadata": {
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"collapsed": false
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},
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2017-10-08 14:32:07 +00:00
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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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2017-10-09 05:21:17 +00:00
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"2017-10-09 13:18:06.404000\t计算按日统计结果\n",
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"2017-10-09 13:18:06.447000\t------------------------------\n",
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"2017-10-09 13:18:06.447000\t首个交易日：\t2011-01-11\n",
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"2017-10-09 13:18:06.447000\t最后交易日：\t2017-10-09\n",
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"2017-10-09 13:18:06.447000\t总交易日：\t1638\n",
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"2017-10-09 13:18:06.447000\t盈利交易日\t702\n",
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"2017-10-09 13:18:06.447000\t亏损交易日：\t728\n",
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"2017-10-09 13:18:06.447000\t起始资金：\t30000\n",
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"2017-10-09 13:18:06.447000\t结束资金：\t76,760.0\n",
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"2017-10-09 13:18:06.447000\t总收益率：\t155.87\n",
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"2017-10-09 13:18:06.447000\t总盈亏：\t46,760.0\n",
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"2017-10-09 13:18:06.447000\t最大回撤: \t-6,300.0\n",
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"2017-10-09 13:18:06.447000\t总手续费：\t0.0\n",
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"2017-10-09 13:18:06.447000\t总滑点：\t7,930.0\n",
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"2017-10-09 13:18:06.447000\t总成交金额：\t24,882,330.0\n",
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"2017-10-09 13:18:06.447000\t总成交笔数：\t793.0\n",
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"2017-10-09 13:18:06.447000\t日均盈亏：\t28.55\n",
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"2017-10-09 13:18:06.447000\t日均手续费：\t0.0\n",
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"2017-10-09 13:18:06.447000\t日均滑点：\t4.84\n",
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"2017-10-09 13:18:06.447000\t日均成交金额：\t15,190.68\n",
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"2017-10-09 13:18:06.447000\t日均成交笔数：\t0.48\n",
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"2017-10-09 13:18:06.447000\t日均收益率：\t0.06%\n",
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"2017-10-09 13:18:06.447000\t收益标准差：\t0.71%\n",
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"2017-10-09 13:18:06.447000\tSharpe Ratio：\t1.26\n"
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2017-10-08 14:32:07 +00:00
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]
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},
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{
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"data": {
|
2017-10-09 05:21:17 +00:00
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"image/png": "iVBORw0KGgoAAAANSUhEUgAAAnYAAAOlCAYAAADgiarMAAAABHNCSVQICAgIfAhkiAAAAAlwSFlz\nAAALEgAACxIB0t1+/AAAIABJREFUeJzs3XlcVXX+x/EXiKhwUUmzNBq3tDSpHLBwiazsl02LaWMu\n7atatplri2K5paFTqZVjjeUWWNo201RW4hg5KklUho3ilpiKKxcVUM7vj0+XJTVQLlyW9/Px4HHu\n/Z5zz/2er2kfvsvn6+c4joOIiIiIVHr+vq6AiIiIiHiHAjsRERGRKkKBnYiIiEgVocBOREREpIpQ\nYCciIiJSRSiwExEREakiAnxdARGR4mzfvp1rrrmG888/H8dxOHbsGEFBQYwYMYI///nPJ/3cqFGj\naN26Nffcc0851lZExHcU2IlIpVC7dm2WLFmS//6TTz5h1KhRfPrppz6slYhIxaLATkQqpX379tGo\nUSMAxo0bx/fff09WVhaO4zBu3Djat29f5Pp3332X+Ph4jh49yv79+3nwwQfp27cvS5Ys4fPPP8ff\n358tW7ZQs2ZNJk+ezHnnnUdGRgZjxowhLS2NGjVq0KdPH+644w7cbjfjx4/n559/5ujRo3Ts2JHh\nw4fj76/ZLSLiWwrsRKRSOHLkCD179sRxHA4ePMju3buZOXMmycnJZGRkEBcXB8CsWbOYNWsWr776\nav5nDx06xLvvvsvf//536tWrx3fffcc999xD3759AVizZg0ff/wxjRo1Yty4cbzxxhtMnDiRmJgY\nmjdvzowZM3C73fTr14+uXbvy6quv0q5dOyZOnEheXh4jR47kzTff5P777/dJ24iIeCiwE5FK4fdD\nsWvXruWBBx7ggw8+4LHHHmPhwoVs3bqVVatW4XK5inw2KCiI1157ja+++ootW7bw008/cfjw4fzz\nF154YX7vX9u2bfn8888B+OabbxgxYgQALpeLjz76CIBly5bx/fffs2jRIgCys7Px8/Mru4cXESkh\nBXYiUim1b9+e5s2bs3r1ambOnMm9995Lt27daNGiRX4A5rFz50769OlDnz59iIyM5NprryUhISH/\nfK1atfJf+/n54dlCOyCg6D+R27ZtIzQ0lLy8PF566SVatGgBgNvtLqvHFBE5JZoQIiKVgifY8ti0\naRObN2/mk08+4aqrrqJv3760a9eOL774gry8vCLXfv/995xxxhkMGjSIzp0789VXX53wnr/XqVMn\nFi9eDEBmZiZ33303W7dupUuXLsyZMweAnJwcBg4cyPz58730pCIip089diJSKeTk5NCzZ0/AAjLP\nIonWrVvz5JNP0qNHD2rUqEFkZCSfffZZkc9efvnlvPfee1x77bUEBwcTHh7OGWecwZYtW/7wO599\n9lliYmK46aabcByHgQMH0rZtW55++mkmTJjAjTfeyNGjR+ncubPm14lIheDnFPcrq4iIiIhUCsX2\n2B09epQRI0awfft2AgICeP7556lRowYjR47E39+fVq1aMWbMGADi4+OJi4ujZs2aDBw4kK5du5Kd\nnc2wYcPYs2cPLpeLSZMmERoaSnJyMhMmTCAgIIBOnToxePDgMn9YERERkaqs2Dl2CQkJ5OXl8c47\n7/DQQw8xbdo0Jk6cyJAhQ5g3bx55eXksXbqUjIwM5s6dS1xcHLNnzyY2Npbc3FwWLlxI69atmT9/\nPj169GDmzJkAxMTEMHXqVBYsWEBKSgqpqall/rAiIiIiVVmxgV2zZs04duwYjuOQmZlJQEAA69at\nIzIyEoDo6GgSExNJSUkhIiKCgIAAXC4XzZo1IzU1laSkJKKjo/OvXblyJW63m9zcXMLCwgDo0qUL\niYmJZfiYIiIiIlVfsUOxwcHB/PLLL3Tv3p39+/fz2muvsWbNmiLn3W43WVlZhISE5JcHBQXll3ty\nSgUHB5OZmVmkrPB3iIiIiMjpKzawmzNnDpdffjlPPPEEO3fu5I477iA3Nzf/fFZWFnXr1sXlchXJ\n5VS4PCsrK78sJCQkPxj8/bUnkpSUdNoPJyIiIlLeIiIifPbdxQZ29erVy0/SGRISwtGjR2nbti2r\nVq3i0ksvZfny5URFRREeHs60adPIyckhOzubtLQ0WrVqRfv27UlISCA8PJyEhAQiIyNxuVwEBgay\nbds2wsLCWLFixR8unvBlA1V26enpNGnSxNfVqBLUlt6jtvQOtaP3qC29p6q1ZXY2FMphXoRnw5m8\nvILXvu6QKjawu+uuu3jqqae47bbbOHr0KEOHDuXCCy/kmWeeITc3l5YtW9K9e3f8/Py444476N+/\nP47jMGTIEAIDA+nXrx8jRoygf//+BAYGEhsbC8DYsWMZOnQoeXl5dO7cmYsuuqjMH1ZERESkpDIy\n4MwzIT0dGjcues5xICgIDh2ChATo2tUnVTxOsYFdUFAQf/vb344rnzt37nFlvXv3pnfv3kXKateu\nzUsvvXTctRdddFH+pt0iIiIivnDkCLz0EgwZAjk5Fqx5et/++187fvMN9Ohhr199FQYOtJ68vDwr\n//nnShTYiYiIiFQVx47BypXQubO9/+ILGDnSfgCuuw7atIHWrWHbNiv7/ntITgZ/fxg3Di67DM45\nB+rXh5Yt4eBB3zzLiSiwExERkWrjnXfg9tutty0nB6ZPtyBt+3Y7/8kn9lOvHnTsCPfeC0uWQGAg\n7NtngeHy5fCXv9g1ISEVK7ArNo+diIiISFWxdKkd//lPqF0b/v1vaNr0+OsaNIBNm+CJJ+Dcc2H1\natiwwc4NHQpt20JoKNStCwcOlF/9i6PATkRERKoNz7y5+Hg7DhliPXBvvgmPPWZlc+dCeDj88gu0\naAG/bZp1nMhIO1+RNs9SYCciIiIV3m23wbp1pb/Pzp3wwAMWvD32GMTGQo0acM89cOONdk1YGHzw\ngc23CwqyHjuAW2+F55+HtDSYNcuCwq5dYeNGW1RREWiOnYiIiFRojgMLFtiCh7ZtT/8+2dk2H+7a\na+Hvf7c5coW1bGnHrl0tjUnh/HVDh8KgQdZDBxYcenz+OURH2/3OP//06+cN6rETERGRCu23DazY\nu7fkCxXuv9/SlnTpYosfBg+Gt9+24dM//xnat4dLLy36mWbNLIgEqFPHVsF6TJlSENT9XvPmNldv\nypRTeqwyocCuDKxatYobPf25JXTBBRewf//+MqqRiIhI5bVnjx2fffb4XjaPH36wQO6jj+z9G2/Y\n8euvoVcvmDEDfvwRbr7ZArFvv4Xrr/deHS+8ENau9d79TpcCuwrCz5MNUURERABbtJCcDIsWHX/u\nyBHo1s3OQ0FQ5Vn1+nvnnGPBX/36ZVPXikJz7MpIVlYWjz76KFu3bqVu3bo899xzADz33HMcOnSI\nXbt20aZNG6ZNm0ZgYCDOb32/hw8fJiYmhi1btrB//36Cg4OJjY2lWbNm3HHHHbRv355vv/2W9PR0\nIiMjmTx5MgBfffUVL730Eo7jUKdOHWJiYrjgggv44YcfGDZsGIcPH8bf35/BgwfTtaKkxxYRETmJ\nffvg4YdtQcPSpZZ/rm9fO5eXZz1vX3xhQ6ovvmiLHJo1g/fes2TDwcGWaDgjAzZvtnlz8+fbEG1V\nph67MrJz507uu+8+3n//fW644QaGDx/OokWL6NmzJ++88w6fffYZ27ZtIyEhocjnli9fTt26dXnn\nnXf497//Tbt27Zg3b17++W3btjFv3jw++ugjVq5cyapVq9izZw/Dhw/nhRde4IMPPuC+++5j6tSp\nHDx4kMmTJzNlyhQWL17MzJkziYmJ4ddffy3v5hARETkld95px2PHLGDr08cCOoAvv4Tvviu4duZM\ncLtte699+6BJE5uXt3q1XZucDFFRdq1ngURVVWV67Nq1s7HzsnLhhdaFW1Lnn38+F198MQA9e/Yk\nJiaGN998k+TkZGbPns3mzZvZvXs3WZ4Zob+59tprOffcc5k3bx5btmxh1apVtG/fPv/8lVdeCUBw\ncDBNmzblwIEDfPvtt7R
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2017-10-08 14:32:07 +00:00
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"text/plain": [
|
2017-10-09 05:21:17 +00:00
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"<matplotlib.figure.Figure at 0x11f0e910>"
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2017-10-08 14:32:07 +00:00
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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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],
|
2017-10-07 02:58:37 +00:00
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"source": [
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"# 显示逐日回测结果\n",
|
2017-10-07 15:25:59 +00:00
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"engine.showDailyResult()"
|
2017-10-07 02:58:37 +00:00
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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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"collapsed": false
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},
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"outputs": [],
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"source": [
|
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"# 显示逐笔回测结果\n",
|
|
|
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|
|
"engine.showBacktestingResult()"
|
|
|
|
|
|
]
|
|
|
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},
|
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|
|
{
|
|
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|
|
|
"cell_type": "code",
|
|
|
|
|
|
"execution_count": null,
|
|
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|
|
"metadata": {
|
|
|
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"collapsed": false
|
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|
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},
|
|
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|
|
|
"outputs": [],
|
|
|
|
|
|
"source": [
|
|
|
|
|
|
"# 显示前10条成交记录\n",
|
|
|
|
|
|
"for i in range(10):\n",
|
|
|
|
|
|
" d = engine.tradeDict[str(i+1)].__dict__\n",
|
|
|
|
|
|
" print 'TradeID: %s, Time: %s, Direction: %s, Price: %s, Volume: %s' %(d['tradeID'], d['dt'], d['direction'], d['price'], d['volume'])"
|
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|
|
]
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|
|
}
|
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|
|
],
|
|
|
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|
|
"metadata": {
|
|
|
|
|
|
"kernelspec": {
|
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|
|
"display_name": "Python 2",
|
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|
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|
|
"language": "python",
|
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|
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|
|
"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
|
|
|
|
|
|
}
|
