121 lines
2.7 KiB
Plaintext
121 lines
2.7 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": 1,
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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.spread_trading.backtesting import BacktestingEngine\n",
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"from vnpy.app.spread_trading.strategies.statistical_arbitrage_strategy import (\n",
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" StatisticalArbitrageStrategy\n",
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")\n",
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"from vnpy.app.spread_trading.base import LegData, SpreadData\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": 2,
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"metadata": {},
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"outputs": [],
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"source": [
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"spread = SpreadData(\n",
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" name=\"IF-Spread\",\n",
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" legs=[LegData(\"IF1911.CFFEX\"), LegData(\"IF1912.CFFEX\")],\n",
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" price_multipliers={\"IF1911.CFFEX\": 1, \"IF1912.CFFEX\": -1},\n",
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" trading_multipliers={\"IF1911.CFFEX\": 1, \"IF1912.CFFEX\": -1},\n",
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" active_symbol=\"IF1911.CFFEX\",\n",
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" inverse_contracts={\"IF1911.CFFEX\": False, \"IF1912.CFFEX\": False},\n",
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" min_volume=1\n",
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")"
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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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"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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" spread=spread,\n",
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" interval=\"1m\",\n",
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" start=datetime(2019, 6, 10),\n",
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" end=datetime(2019, 11, 10),\n",
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" rate=0,\n",
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" slippage=0,\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(StatisticalArbitrageStrategy, {})"
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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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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"2019-11-10 16:09:03.822440\t开始加载历史数据\n"
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]
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}
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],
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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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"outputs": [],
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"source": [
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"for trade in engine.trades.values():\n",
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" print(trade)"
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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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}
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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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