vnpy/tests/backtesting/turtle.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "#%%\n",
    "from vnpy.app.cta_strategy.backtesting import BacktestingEngine, OptimizationSetting\n",
    "from vnpy.app.cta_strategy.strategies.atr_rsi_strategy import (\n",
    "    AtrRsiStrategy,\n",
    ")\n",
    "from datetime import datetime"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "#%%\n",
    "engine = BacktestingEngine()\n",
    "engine.set_parameters(\n",
    "    vt_symbol=\"IF88.CFFEX\",\n",
    "    interval=\"1m\",\n",
    "    start=datetime(2019, 1, 1),\n",
    "    end=datetime(2019, 4, 30),\n",
    "    rate=0.3/10000,\n",
    "    slippage=0.2,\n",
    "    size=300,\n",
    "    pricetick=0.2,\n",
    "    capital=1_000_000,\n",
    ")\n",
    "engine.add_strategy(AtrRsiStrategy, {})"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "scrolled": false
   },
   "outputs": [],
   "source": [
    "#%%\n",
    "engine.load_data()\n",
    "engine.run_backtesting()\n",
    "df = engine.calculate_result()\n",
    "engine.calculate_statistics()\n",
    "engine.show_chart()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "2019-04-15 22:19:49.696835\t参数：{'atr_length': 22}, 目标：121.19996051999999\n",
      "2019-04-15 22:19:49.709531\t参数：{'atr_length': 23}, 目标：116.54901966000013\n",
      "2019-04-15 22:19:49.710507\t参数：{'atr_length': 24}, 目标：113.29820520000014\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "[(\"{'atr_length': 22}\",\n",
       "  121.19996051999999,\n",
       "  {'start_date': datetime.date(2013, 1, 18),\n",
       "   'end_date': datetime.date(2019, 4, 11),\n",
       "   'total_days': 1514,\n",
       "   'profit_days': 763,\n",
       "   'loss_days': 750,\n",
       "   'capital': 1000000,\n",
       "   'end_balance': 2211999.6052,\n",
       "   'max_drawdown': -248787.6971999996,\n",
       "   'max_ddpercent': -12.636908338002794,\n",
       "   'total_net_pnl': 1211999.6052000003,\n",
       "   'daily_net_pnl': 800.5281408190227,\n",
       "   'total_commission': 242400.39479999998,\n",
       "   'daily_commission': 160.10594108322323,\n",
       "   'total_slippage': 481860.0,\n",
       "   'daily_slippage': 318.2694848084544,\n",
       "   'total_turnover': 8080013160.0,\n",
       "   'daily_turnover': 5336864.702774108,\n",
       "   'total_trade_count': 8031,\n",
       "   'daily_trade_count': 5.30449141347424,\n",
       "   'total_return': 121.19996051999999,\n",
       "   'annual_return': 19.212675379656538,\n",
       "   'daily_return': 0.052348808029058974,\n",
       "   'return_std': 0.9487639654919149,\n",
       "   'sharpe_ratio': 0.854779772691872,\n",
       "   'return_drawdown_ratio': 9.590950355754112}),\n",
       " (\"{'atr_length': 23}\",\n",
       "  116.54901966000013,\n",
       "  {'start_date': datetime.date(2013, 1, 18),\n",
       "   'end_date': datetime.date(2019, 4, 11),\n",
       "   'total_days': 1514,\n",
       "   'profit_days': 759,\n",
       "   'loss_days': 754,\n",
       "   'capital': 1000000,\n",
       "   'end_balance': 2165490.1966000013,\n",
       "   'max_drawdown': -232904.1239999996,\n",
       "   'max_ddpercent': -13.536251422505968,\n",
       "   'total_net_pnl': 1165490.1966000004,\n",
       "   'daily_net_pnl': 769.8085842800531,\n",
       "   'total_commission': 242769.80339999998,\n",
       "   'daily_commission': 160.34993619550858,\n",
       "   'total_slippage': 482700.0,\n",
       "   'daily_slippage': 318.82430647291943,\n",
       "   'total_turnover': 8092326780.0,\n",
       "   'daily_turnover': 5344997.873183619,\n",
       "   'total_trade_count': 8045,\n",
       "   'daily_trade_count': 5.313738441215324,\n",
       "   'total_return': 116.54901966000013,\n",
       "   'annual_return': 18.475406022721288,\n",
       "   'daily_return': 0.0509452313711608,\n",
       "   'return_std': 0.961380153488665,\n",
       "   'sharpe_ratio': 0.8209448965768181,\n",
       "   'return_drawdown_ratio': 8.610139987960078}),\n",
       " (\"{'atr_length': 24}\",\n",
       "  113.29820520000014,\n",
       "  {'start_date': datetime.date(2013, 1, 18),\n",
       "   'end_date': datetime.date(2019, 4, 11),\n",
       "   'total_days': 1514,\n",
       "   'profit_days': 760,\n",
       "   'loss_days': 753,\n",
       "   'capital': 1000000,\n",
       "   'end_balance': 2132982.0520000015,\n",
       "   'max_drawdown': -236503.9475999996,\n",
       "   'max_ddpercent': -13.23872340727957,\n",
       "   'total_net_pnl': 1132982.0520000013,\n",
       "   'daily_net_pnl': 748.3368903566719,\n",
       "   'total_commission': 242817.948,\n",
       "   'daily_commission': 160.3817357992074,\n",
       "   'total_slippage': 482700.0,\n",
       "   'daily_slippage': 318.82430647291943,\n",
       "   'total_turnover': 8093931600.0,\n",
       "   'daily_turnover': 5346057.85997358,\n",
       "   'total_trade_count': 8045,\n",
       "   'daily_trade_count': 5.313738441215324,\n",
       "   'total_return': 113.29820520000014,\n",
       "   'annual_return': 17.96008536856013,\n",
       "   'daily_return': 0.049946173936258026,\n",
       "   'return_std': 0.959328411709829,\n",
       "   'sharpe_ratio': 0.8065671672003681,\n",
       "   'return_drawdown_ratio': 8.558091419728651})]"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "setting = OptimizationSetting()\n",
    "setting.set_target(\"total_return\")\n",
    "setting.add_parameter(\"atr_length\", 22, 24, 1)\n",
    "\n",
    "engine.run_optimization(setting)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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