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vnpy/examples/TurtleStrategy/run.ipynb

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[Add]新增完整海龟策略的例子examples/TurtleStrategy
2018-11-11 03:45:27 +00:00
{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"metadata": {},
"outputs": [],
"source": [
"%matplotlib inline\n",
"\n",
"from datetime import datetime\n",
[Add]增加海龟回测中的手续费和滑点计算
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"\n",
"import numpy as np\n",
[Add]新增完整海龟策略的例子examples/TurtleStrategy
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"import matplotlib.pyplot as plt\n",
"\n",
"from turtleEngine import BacktestingEngine"
]
},
{
"cell_type": "code",
[Mod]调整部分海龟命名
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"execution_count": 2,
[Add]新增完整海龟策略的例子examples/TurtleStrategy
2018-11-11 03:45:27 +00:00
"metadata": {},
[Add]增加海龟策略的测试用数据，初步完成海龟策略
2018-11-11 08:04:25 +00:00
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"16:03:53.281000:\t投资组合的合约代码['000300', '000905']\n",
"16:03:53.281000:\t投资组合的初始价值10000000\n"
]
}
],
[Add]新增完整海龟策略的例子examples/TurtleStrategy
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"source": [
"engine = BacktestingEngine()\n",
"engine.setPeriod(datetime(2015, 1, 1), datetime(2018, 11, 9))\n",
[Add]增加海龟策略的测试用数据，初步完成海龟策略
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"engine.initPortfolio('test.csv', 10000000)"
[Add]新增完整海龟策略的例子examples/TurtleStrategy
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]
},
{
"cell_type": "code",
[Mod]调整部分海龟命名
2018-11-11 07:25:59 +00:00
"execution_count": 3,
[Add]增加海龟回测中的手续费和滑点计算
2018-11-11 06:57:51 +00:00
"metadata": {
"scrolled": false
},
[Mod]调整部分海龟命名
2018-11-11 07:25:59 +00:00
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
[Add]增加海龟策略的测试用数据，初步完成海龟策略
2018-11-11 08:04:25 +00:00
"16:03:53.421000:\t000300数据加载完成，总数据量：2820\n",
"16:03:53.455000:\t000905数据加载完成，总数据量：940\n",
"16:03:53.455000:\t全部数据加载完成\n",
"16:03:53.457000:\t开始回放K线数据\n",
"16:03:53.575000:\tK线数据回放结束\n",
"16:03:53.576000:\t开始统计回测结果\n",
"16:03:53.582000:\t回测结果统计结束\n"
[Mod]调整部分海龟命名
2018-11-11 07:25:59 +00:00
]
}
],
[Add]新增完整海龟策略的例子examples/TurtleStrategy
2018-11-11 03:45:27 +00:00
"source": [
"engine.loadData()\n",
"engine.runBacktesting()\n",
"engine.calculateResult()"
]
},
{
"cell_type": "code",
[Mod]调整部分海龟命名
2018-11-11 07:25:59 +00:00
"execution_count": 4,
[Add]增加海龟策略的测试用数据，初步完成海龟策略
2018-11-11 08:04:25 +00:00
"metadata": {},
[Mod]调整部分海龟命名
2018-11-11 07:25:59 +00:00
"outputs": [
{
"data": {
"text/plain": [
[Add]增加海龟策略的测试用数据，初步完成海龟策略
2018-11-11 08:04:25 +00:00
"[<matplotlib.lines.Line2D at 0x9a6e290>]"
[Mod]调整部分海龟命名
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]
},
"execution_count": 4,
"metadata": {},
"output_type": "execute_result"
},
{
"data": {
[Add]增加海龟策略的测试用数据，初步完成海龟策略
2018-11-11 08:04:25 +00:00
"image/png": "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
[Mod]调整部分海龟命名
2018-11-11 07:25:59 +00:00
"text/plain": [
[Add]增加海龟策略的测试用数据，初步完成海龟策略
2018-11-11 08:04:25 +00:00
"<matplotlib.figure.Figure at 0x9a1c790>"
[Mod]调整部分海龟命名
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]
},
"metadata": {},
"output_type": "display_data"
}
],
[Add]新增完整海龟策略的例子examples/TurtleStrategy
2018-11-11 03:45:27 +00:00
"source": [
[Add]增加海龟策略的测试用数据，初步完成海龟策略
2018-11-11 08:04:25 +00:00
"# 汇总每日盈亏，绘制简单资金曲线\n",
[Add]新增完整海龟策略的例子examples/TurtleStrategy
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"l = [result.totalPnl for result in engine.resultList]\n",
"equity = np.cumsum(l)\n",
"plt.plot(equity)"
]
},
{
"cell_type": "code",
[Add]增加海龟策略的测试用数据，初步完成海龟策略
2018-11-11 08:04:25 +00:00
"execution_count": 5,
"metadata": {
"scrolled": false
},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"2015-04-07 00:00:00\n",
"000300 多 开仓 4213.8 1216\n",
"000300 多 开仓 4213.8 1216\n",
"000300 多 开仓 4252.8 1216\n",
"000905 多 开仓 7728.9 831\n",
"000905 多 开仓 7742.9 831\n",
"000905 多 开仓 7803.1 831\n",
"000905 多 开仓 7863.3 831\n",
"2015-04-08 00:00:00\n",
"000300 多 开仓 4294.0 1216\n",
"2015-04-09 00:00:00\n",
"000905 空 平仓 7622.5 3324\n",
"2015-04-10 00:00:00\n",
"000905 多 开仓 7921.0 712\n",
"2015-04-13 00:00:00\n",
"000905 多 开仓 7994.3 712\n",
"000905 多 开仓 8061.4 712\n",
"000905 多 开仓 8131.6 712\n",
"2015-04-15 00:00:00\n",
"000905 空 平仓 7850.8 2848\n",
"2015-04-22 00:00:00\n",
"000905 多 开仓 8192.2 570\n",
"000905 多 开仓 8280.0 570\n",
"2015-04-23 00:00:00\n",
"000905 多 开仓 8371.9 570\n",
"2015-04-27 00:00:00\n",
"000905 多 开仓 8503.6 570\n",
"2015-05-06 00:00:00\n",
"000905 空 平仓 8152.6 2280\n",
"2015-05-07 00:00:00\n",
"000300 空 平仓 4511.8 4864\n",
"2015-05-12 00:00:00\n",
"000905 多 开仓 8595.1 472\n",
"000905 多 开仓 8682.4 472\n",
"2015-05-13 00:00:00\n",
"000905 多 开仓 8788.3 472\n",
"000905 多 开仓 8894.2 472\n",
"2015-06-05 00:00:00\n",
"000300 多 开仓 5255.0 691\n",
"2015-06-08 00:00:00\n",
"000300 多 开仓 5299.2 691\n",
"2015-06-09 00:00:00\n",
"000300 多 开仓 5379.4 691\n",
"2015-06-16 00:00:00\n",
"000300 空 平仓 5090.0 2073\n",
"2015-06-19 00:00:00\n",
"000300 空 开仓 4665.6 657\n",
"000905 空 平仓 10475.9 1888\n",
"2015-06-23 00:00:00\n",
"000300 空 开仓 4589.4 657\n",
"000300 空 开仓 4513.2 657\n",
"2015-06-24 00:00:00\n",
"000300 多 平仓 4817.8 1971\n",
"2015-06-26 00:00:00\n",
"000300 空 开仓 4455.4 585\n",
"000300 空 开仓 4369.8 585\n",
"000300 空 开仓 4284.2 585\n",
"000905 空 开仓 9333.9 246\n",
"000905 空 开仓 9130.6 246\n",
"2015-06-29 00:00:00\n",
"000300 空 开仓 4198.8 585\n",
"000905 空 开仓 8927.2 246\n",
"000905 空 开仓 8723.9 246\n",
"2015-07-20 00:00:00\n",
"000905 多 平仓 8076.2 984\n",
"2015-07-24 00:00:00\n",
"000300 多 平仓 4278.2 2340\n",
"2015-08-24 00:00:00\n",
"000300 空 开仓 3454.6 583\n",
"000300 空 开仓 3452.2 583\n",
"000300 空 开仓 3366.4 583\n",
"000300 空 开仓 3280.6 583\n",
"000905 空 开仓 7255.3 238\n",
"000905 空 开仓 7051.4 238\n",
"2015-08-25 00:00:00\n",
"000905 空 开仓 6496.1 238\n",
"000905 空 开仓 6496.1 238\n",
"2015-10-08 00:00:00\n",
"000905 多 平仓 6362.0 952\n",
"2015-10-12 00:00:00\n",
"000300 多 平仓 3426.6 2332\n",
"2015-11-20 00:00:00\n",
"000905 多 开仓 7820.0 440\n",
"2015-11-26 00:00:00\n",
"000905 多 开仓 7962.2 440\n",
"2015-11-27 00:00:00\n",
"000905 空 平仓 7507.3 880\n",
"2015-12-23 00:00:00\n",
"000300 多 开仓 3891.8 1293\n",
"2015-12-28 00:00:00\n",
"000300 空 平仓 3737.2 1293\n",
"2016-01-04 00:00:00\n",
"000300 空 开仓 3571.0 1369\n",
"000300 空 开仓 3534.4 1369\n",
"000300 空 开仓 3498.0 1369\n",
"2016-01-05 00:00:00\n",
"000300 空 开仓 3382.2 1369\n",
"000905 空 开仓 6663.7 540\n",
"2016-01-06 00:00:00\n",
"000300 多 平仓 3528.2 5476\n",
"000905 多 平仓 7034.2 540\n",
"2016-01-07 00:00:00\n",
"000300 空 开仓 3377.2 1175\n",
"000300 空 开仓 3334.8 1175\n",
"000300 空 开仓 3292.2 1175\n",
"000905 空 开仓 6627.6 510\n",
"000905 空 开仓 6529.6 510\n",
"2016-01-08 00:00:00\n",
"000300 空 开仓 3249.6 1175\n",
"000905 空 开仓 6431.5 510\n",
"000905 空 开仓 6333.5 510\n",
"2016-02-17 00:00:00\n",
"000300 多 平仓 3042.0 4700\n",
"2016-03-07 00:00:00\n",
"000300 多 开仓 3128.2 1169\n",
"2016-03-18 00:00:00\n",
"000300 多 开仓 3171.0 1169\n",
"2016-03-21 00:00:00\n",
"000300 多 开仓 3213.8 1169\n",
"000300 多 开仓 3256.6 1169\n",
"2016-03-22 00:00:00\n",
"000905 多 平仓 6118.6 2040\n",
"2016-04-06 00:00:00\n",
"000905 多 开仓 6293.5 551\n",
"2016-04-13 00:00:00\n",
"000905 多 开仓 6384.2 551\n",
"2016-04-20 00:00:00\n",
"000300 空 平仓 3163.4 4676\n",
"000905 空 平仓 6021.3 1102\n",
"2016-04-28 00:00:00\n",
"000905 空 开仓 5897.7 682\n",
"2016-05-04 00:00:00\n",
"000905 多 平仓 6191.1 682\n",
"2016-05-09 00:00:00\n",
"000300 空 开仓 3107.4 1914\n",
"000300 空 开仓 3081.2 1914\n",
"000300 空 开仓 3055.2 1914\n",
"000905 空 开仓 5888.1 689\n",
"000905 空 开仓 5815.5 689\n",
"000905 空 开仓 5743.0 689\n",
"2016-05-12 00:00:00\n",
"000905 空 开仓 5647.1 689\n",
"2016-05-26 00:00:00\n",
"000300 空 开仓 3029.0 1914\n",
"2016-05-31 00:00:00\n",
"000300 多 平仓 3105.2 7656\n",
"000905 多 平仓 5853.6 2756\n",
"2016-06-06 00:00:00\n",
"000905 多 开仓 6062.1 802\n",
"2016-06-13 00:00:00\n",
"000905 空 平仓 5812.8 802\n",
"2016-06-28 00:00:00\n",
"000905 多 开仓 6067.5 765\n",
"2016-06-29 00:00:00\n",
"000905 多 开仓 6132.8 765\n",
"2016-07-04 00:00:00\n",
"000300 多 开仓 3201.8 2407\n",
"000905 多 开仓 6198.1 765\n",
"2016-07-05 00:00:00\n",
"000905 多 开仓 6263.5 765\n",
"2016-07-11 00:00:00\n",
"000300 多 开仓 3222.6 2407\n",
"2016-07-12 00:00:00\n",
"000300 多 开仓 3243.2 2407\n",
"000300 多 开仓 3264.0 2407\n",
"2016-07-27 00:00:00\n",
"000300 空 平仓 3218.2 9628\n",
"000905 空 平仓 6355.5 3060\n",
"2016-08-12 00:00:00\n",
"000300 多 开仓 3285.0 2688\n",
"2016-08-15 00:00:00\n",
"000300 多 开仓 3303.6 2688\n",
"000300 多 开仓 3322.2 2688\n",
"000300 多 开仓 3340.8 2688\n",
"2016-08-18 00:00:00\n",
"000905 多 开仓 6515.9 1048\n",
"2016-08-25 00:00:00\n",
"000905 空 平仓 6325.1 1048\n",
"2016-09-07 00:00:00\n",
"000905 多 开仓 6527.2 1183\n",
"2016-09-12 00:00:00\n",
"000300 空 平仓 3271.8 10752\n",
"000905 空 平仓 6358.1 1183\n",
"2016-09-14 00:00:00\n",
"000300 空 开仓 3234.6 2753\n",
"000905 空 开仓 6283.8 1196\n",
"2016-09-26 00:00:00\n",
"000905 空 开仓 6242.0 1196\n",
"2016-09-27 00:00:00\n",
"000300 空 开仓 3214.8 2753\n",
"2016-10-10 00:00:00\n",
"000300 多 平仓 3287.6 5506\n",
"000905 多 平仓 6409.3 2392\n",
"2016-10-19 00:00:00\n",
"000300 多 开仓 3323.4 3238\n",
"000905 多 开仓 6518.7 1396\n",
"2016-10-21 00:00:00\n",
"000300 多 开仓 3336.8 3238\n",
"2016-10-24 00:00:00\n",
"000300 多 开仓 3352.2 3238\n",
"000300 多 开仓 3367.6 3238\n",
"000905 多 开仓 6545.1 1396\n",
"2016-11-09 00:00:00\n",
"000905 空 平仓 6408.3 2792\n",
"2016-11-11 00:00:00\n",
"000905 多 开仓 6563.5 1494\n",
"2016-11-14 00:00:00\n",
"000905 多 开仓 6597.0 1494\n",
"2016-11-15 00:00:00\n",
"000905 多 开仓 6630.5 1494\n",
"2016-11-23 00:00:00\n",
"000905 多 开仓 6668.2 1494\n",
"2016-11-25 00:00:00\n",
"000905 空 平仓 6534.4 5976\n",
"2016-11-28 00:00:00\n",
"000905 多 开仓 6676.7 1609\n",
"2016-12-02 00:00:00\n",
"000905 空 平仓 6552.3 1609\n",
"2016-12-07 00:00:00\n",
"000300 空 平仓 3456.8 12952\n",
"2016-12-12 00:00:00\n",
"000905 空 开仓 6451.1 1691\n",
"000905 空 开仓 6421.5 1691\n",
"000905 空 开仓 6391.9 1691\n",
"000905 空 开仓 6362.4 1691\n",
"2017-01-04 00:00:00\n",
"000905 多 平仓 6350.3 6764\n",
"2017-01-13 00:00:00\n",
"000905 空 开仓 6190.4 1667\n",
"2017-01-16 00:00:00\n",
"000300 空 开仓 3267.0 3205\n",
"000905 空 开仓 6160.4 1667\n",
"000905 空 开仓 6130.4 1667\n",
"000905 空 开仓 6100.4 1667\n",
"2017-01-18 00:00:00\n",
"000300 多 平仓 3329.4 3205\n",
"2017-01-23 00:00:00\n",
"000300 多 开仓 3373.4 3109\n",
"2017-01-26 00:00:00\n",
"000300 多 开仓 3389.4 3109\n",
"000905 多 平仓 6220.4 6668\n",
"2017-02-09 00:00:00\n",
"000300 多 开仓 3405.6 3109\n",
"2017-02-10 00:00:00\n",
"000300 多 开仓 3421.6 3109\n",
"2017-02-20 00:00:00\n",
"000905 多 开仓 6379.8 1604\n",
"2017-02-21 00:00:00\n",
"000905 多 开仓 6411.0 1604\n",
"2017-02-22 00:00:00\n",
"000905 多 开仓 6442.1 1604\n",
"000905 多 开仓 6473.3 1604\n",
"2017-03-03 00:00:00\n",
"000300 空 平仓 3419.6 12436\n",
"2017-03-24 00:00:00\n",
"000300 多 开仓 3492.2 3692\n",
"2017-03-27 00:00:00\n",
"000300 多 开仓 3505.6 3692\n",
"2017-03-30 00:00:00\n",
"000300 空 平仓 3451.6 7384\n",
"000905 空 平仓 6445.8 6416\n",
"2017-04-06 00:00:00\n",
"000300 多 开仓 3508.0 3433\n",
"000905 多 开仓 6555.8 1628\n",
"2017-04-07 00:00:00\n",
"000300 多 开仓 3520.6 3433\n",
"000905 多 开仓 6586.5 1628\n",
"2017-04-11 00:00:00\n",
"000905 多 开仓 6617.2 1628\n",
"2017-04-17 00:00:00\n",
"000300 空 平仓 3462.2 6866\n",
"000905 空 平仓 6494.4 4884\n",
"2017-04-19 00:00:00\n",
"000300 空 开仓 3422.4 3420\n",
"000905 空 开仓 6365.4 1564\n",
"000905 空 开仓 6333.5 1564\n",
"000905 空 开仓 6301.5 1564\n",
"2017-04-24 00:00:00\n",
"000300 空 开仓 3407.8 3420\n",
"000905 空 开仓 6269.6 1564\n",
"2017-04-26 00:00:00\n",
"000300 多 平仓 3466.2 6840\n",
"2017-04-27 00:00:00\n",
"000300 空 开仓 3404.0 3243\n",
"2017-05-05 00:00:00\n",
"000300 空 开仓 3388.6 3243\n",
"000300 空 开仓 3373.2 3243\n",
"2017-05-08 00:00:00\n",
"000300 空 开仓 3357.8 3243\n",
"2017-05-16 00:00:00\n",
"000300 多 平仓 3419.4 12972\n",
"2017-05-25 00:00:00\n",
"000300 多 开仓 3466.6 3098\n",
"000300 多 开仓 3482.8 3098\n",
"2017-05-31 00:00:00\n",
"000300 多 开仓 3498.8 3098\n",
"000300 多 开仓 3515.0 3098\n",
"2017-06-08 00:00:00\n",
"000905 多 平仓 5955.0 6256\n",
"2017-07-17 00:00:00\n",
"000905 空 开仓 5923.6 1512\n",
"000905 空 开仓 5890.5 1512\n",
"2017-07-18 00:00:00\n",
"000905 空 开仓 5854.1 1512\n",
"2017-07-19 00:00:00\n",
"000905 多 平仓 5986.4 4536\n",
"2017-07-31 00:00:00\n",
"000905 多 开仓 6236.3 1311\n",
"000905 多 开仓 6274.4 1311\n",
"2017-08-02 00:00:00\n",
"000905 多 开仓 6312.5 1311\n",
"2017-08-11 00:00:00\n",
"000300 空 平仓 3688.0 12392\n",
"000905 空 平仓 6166.0 3933\n",
"2017-08-17 00:00:00\n",
"000905 多 开仓 6341.5 1345\n",
"2017-08-21 00:00:00\n",
"000905 多 开仓 6378.7 1345\n",
"2017-08-28 00:00:00\n",
"000905 多 开仓 6415.8 1345\n",
"2017-08-30 00:00:00\n",
"000905 多 开仓 6453.0 1345\n",
"2017-09-25 00:00:00\n",
"000905 空 平仓 6547.3 5380\n",
"2017-11-17 00:00:00\n",
"000905 空 开仓 6395.5 1453\n",
"000905 空 开仓 6361.1 1453\n",
"2017-11-20 00:00:00\n",
"000905 空 开仓 6326.7 1453\n",
"000905 空 开仓 6292.2 1453\n",
"2017-11-21 00:00:00\n",
"000905 多 平仓 6429.9 5812\n",
"2017-11-27 00:00:00\n",
"000905 空 开仓 6239.3 1184\n",
"000905 空 开仓 6197.1 1184\n",
"2017-12-05 00:00:00\n",
"000905 空 开仓 6154.8 1184\n",
"000905 空 开仓 6112.6 1184\n",
"2017-12-11 00:00:00\n",
"000905 多 平仓 6281.6 4736\n",
"2018-01-02 00:00:00\n",
"000300 多 开仓 4087.0 2000\n",
"2018-01-03 00:00:00\n",
"000300 多 开仓 4112.0 2000\n",
"000300 多 开仓 4137.0 2000\n",
"000905 多 开仓 6332.6 1317\n",
"000905 多 开仓 6370.6 1317\n",
"2018-01-04 00:00:00\n",
"000905 多 开仓 6408.6 1317\n",
"2018-01-08 00:00:00\n",
"000300 多 开仓 4162.0 2000\n",
"000905 多 开仓 6446.5 1317\n",
"2018-01-15 00:00:00\n",
"000905 空 平仓 6294.6 5268\n",
"2018-01-31 00:00:00\n",
"000905 空 开仓 6202.3 1466\n",
"2018-02-01 00:00:00\n",
"000300 空 平仓 4232.8 8000\n",
"000905 空 开仓 6168.2 1466\n",
"000905 空 开仓 6134.1 1466\n",
"000905 空 开仓 6100.0 1466\n",
"2018-02-09 00:00:00\n",
"000300 空 开仓 3896.2 1475\n",
"000300 空 开仓 3896.2 1475\n",
"000300 空 开仓 3887.6 1475\n",
"000300 空 开仓 3853.8 1475\n",
"2018-02-22 00:00:00\n",
"000300 多 平仓 4021.0 5900\n",
"2018-02-26 00:00:00\n",
"000905 多 平仓 6016.2 5864\n",
"2018-03-23 00:00:00\n",
"000300 空 开仓 3896.8 1674\n",
"000300 空 开仓 3896.8 1674\n",
"000300 空 开仓 3896.8 1674\n",
"000300 空 开仓 3896.8 1674\n",
"000905 空 开仓 5848.5 1154\n",
"000905 空 开仓 5805.2 1154\n",
"000905 空 开仓 5761.9 1154\n",
"2018-03-26 00:00:00\n",
"000905 空 开仓 5715.4 1154\n",
"2018-03-27 00:00:00\n",
"000905 多 平仓 5956.2 4616\n",
"2018-04-11 00:00:00\n",
"000300 多 平仓 3937.0 6696\n",
"2018-04-16 00:00:00\n",
"000300 空 开仓 3794.2 1598\n",
"2018-04-17 00:00:00\n",
"000300 空 开仓 3763.0 1598\n",
"2018-04-18 00:00:00\n",
"000300 空 开仓 3731.6 1598\n",
"2018-05-08 00:00:00\n",
"000300 多 平仓 3854.4 4794\n",
"2018-05-21 00:00:00\n",
"000300 多 开仓 3925.6 1903\n",
"000905 多 开仓 6052.7 1216\n",
"2018-05-24 00:00:00\n",
"000300 空 平仓 3841.8 1903\n",
"2018-05-25 00:00:00\n",
"000905 空 平仓 5932.1 1216\n",
"2018-05-30 00:00:00\n",
"000300 空 开仓 3732.4 2058\n",
"000905 空 开仓 5759.4 1262\n",
"000905 空 开仓 5740.1 1262\n",
"000905 空 开仓 5700.5 1262\n",
"2018-06-01 00:00:00\n",
"000905 空 开仓 5660.9 1262\n",
"2018-06-05 00:00:00\n",
"000300 多 平仓 3829.6 2058\n",
"2018-06-19 00:00:00\n",
"000300 空 开仓 3702.6 1988\n",
"000300 空 开仓 3697.0 1988\n",
"000300 空 开仓 3671.8 1988\n",
"000300 空 开仓 3646.6 1988\n",
"2018-07-18 00:00:00\n"
]
},
{
"name": "stdout",
"output_type": "stream",
"text": [
"000905 多 平仓 5216.6 5048\n",
"2018-07-23 00:00:00\n",
"000300 多 平仓 3506.2 7952\n",
"2018-08-02 00:00:00\n",
"000905 空 开仓 4897.3 1066\n",
"2018-08-06 00:00:00\n",
"000300 空 开仓 3312.8 1510\n",
"000300 空 开仓 3282.0 1510\n",
"000905 空 开仓 4850.4 1066\n",
"000905 空 开仓 4803.5 1066\n",
"2018-08-09 00:00:00\n",
"000905 多 平仓 4991.0 3198\n",
"2018-08-10 00:00:00\n",
"000300 多 平仓 3414.6 3020\n",
"2018-08-16 00:00:00\n",
"000300 空 开仓 3251.8 1458\n",
"2018-08-17 00:00:00\n",
"000905 空 开仓 4797.5 973\n",
"2018-08-20 00:00:00\n",
"000300 空 开仓 3223.4 1458\n",
"000905 空 开仓 4746.1 973\n",
"2018-08-27 00:00:00\n",
"000300 多 平仓 3360.6 2916\n",
"000905 多 平仓 4951.6 1946\n",
"2018-09-10 00:00:00\n",
"000905 空 开仓 4736.6 1087\n",
"2018-09-11 00:00:00\n",
"000905 空 开仓 4690.5 1087\n",
"2018-09-12 00:00:00\n",
"000300 空 开仓 3209.0 1654\n",
"2018-09-17 00:00:00\n",
"000905 空 开仓 4644.5 1087\n",
"000905 空 开仓 4598.5 1087\n",
"2018-09-19 00:00:00\n",
"000300 多 平仓 3330.0 1654\n",
"2018-09-21 00:00:00\n",
"000905 多 平仓 4782.6 4348\n",
"2018-09-26 00:00:00\n",
"000300 多 开仓 3416.6 1733\n",
"000300 多 开仓 3445.4 1733\n",
"2018-10-08 00:00:00\n",
"000300 空 平仓 3330.0 3466\n",
"2018-10-11 00:00:00\n",
"000300 空 开仓 3179.6 1692\n",
"000300 空 开仓 3161.8 1692\n",
"000300 空 开仓 3132.2 1692\n",
"000300 空 开仓 3102.8 1692\n",
"000905 空 开仓 4483.3 1237\n",
"000905 空 开仓 4483.3 1237\n",
"000905 空 开仓 4483.3 1237\n",
"000905 空 开仓 4463.1 1237\n",
"2018-10-22 00:00:00\n",
"000300 多 平仓 3221.0 6768\n",
"2018-11-02 00:00:00\n",
"000905 多 平仓 4375.6 4948\n"
]
}
],
"source": [
"# 查看逐笔的交易记录\n",
"for dt, l in engine.tradeDict.items():\n",
" print dt\n",
" for trade in l:\n",
" print trade.vtSymbol, trade.direction, trade.offset, trade.price, trade.volume"
]
},
{
"cell_type": "code",
"execution_count": 6,
"metadata": {
"scrolled": false
},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"2015-04-03 00:00:00 -556058.736\n",
"2015-04-07 00:00:00 -41290.496\n",
"2015-04-08 00:00:00 -669917.184\n",
"2015-04-09 00:00:00 -493815.152\n",
"2015-04-10 00:00:00 164718.296\n",
"2015-04-13 00:00:00 494400.896\n",
"2015-04-14 00:00:00 -691692.96\n",
"2015-04-15 00:00:00 -1183931.52\n",
"2015-04-16 00:00:00 647072.512\n",
"2015-04-17 00:00:00 401717.76\n",
"2015-04-20 00:00:00 -360991.488\n",
"2015-04-21 00:00:00 332308.86\n",
"2015-04-22 00:00:00 559211.99\n",
"2015-04-23 00:00:00 104738.032\n",
"2015-04-24 00:00:00 -219870.394\n",
"2015-04-27 00:00:00 671086.574\n",
"2015-04-28 00:00:00 -881810.824\n",
"2015-04-29 00:00:00 526747.64\n",
"2015-04-30 00:00:00 -24440.84\n",
"2015-05-04 00:00:00 277168.96\n",
"2015-05-05 00:00:00 -1744525.736\n",
"2015-05-06 00:00:00 -678886.568\n",
"2015-05-07 00:00:00 -404869.632\n",
"2015-05-11 00:00:00 -76022.208\n",
"2015-05-12 00:00:00 -90219.968\n",
"2015-05-13 00:00:00 74812.944\n",
"2015-05-14 00:00:00 -21779.968\n",
"2015-05-15 00:00:00 -133119.104\n",
"2015-05-18 00:00:00 303420.48\n",
"2015-05-19 00:00:00 417697.344\n",
"2015-05-20 00:00:00 287916.224\n",
"2015-05-21 00:00:00 645492.096\n",
"2015-05-22 00:00:00 300093.824\n",
"2015-05-25 00:00:00 494503.072\n",
"2015-05-26 00:00:00 629629.12\n",
"2015-05-27 00:00:00 233658.88\n",
"2015-05-28 00:00:00 -1187393.408\n",
"2015-05-29 00:00:00 185818.848\n",
"2015-06-01 00:00:00 984525.92\n",
"2015-06-02 00:00:00 751593.92\n",
"2015-06-03 00:00:00 176697.92\n",
"2015-06-04 00:00:00 -78373.584\n",
"2015-06-05 00:00:00 290723.912\n",
"2015-06-08 00:00:00 -147075.994\n",
"2015-06-09 00:00:00 -82588.984\n",
"2015-06-10 00:00:00 349570.9486\n",
"2015-06-11 00:00:00 293520.3292\n",
"2015-06-12 00:00:00 398212.6123\n",
"2015-06-15 00:00:00 -910264.9591\n",
"2015-06-16 00:00:00 -1179473.9125\n",
"2015-06-17 00:00:00 416700.1024\n",
"2015-06-18 00:00:00 -1353402.4515\n",
"2015-06-19 00:00:00 -1517295.5482\n",
"2015-06-23 00:00:00 -160417.7847\n",
"2015-06-24 00:00:00 -185343.9705\n",
"2015-06-25 00:00:00 -922472.4249\n",
"2015-06-26 00:00:00 -204613.1811\n",
"2015-06-29 00:00:00 545817.2343\n",
"2015-06-30 00:00:00 -1073225.4312\n",
"2015-07-01 00:00:00 1000949.976\n",
"2015-07-02 00:00:00 906935.5668\n",
"2015-07-03 00:00:00 991604.028\n",
"2015-07-06 00:00:00 -145950.906\n",
"2015-07-07 00:00:00 629963.8668\n",
"2015-07-08 00:00:00 778592.4552\n",
"2015-07-09 00:00:00 -838212.2424\n",
"2015-07-10 00:00:00 -831753.4104\n",
"2015-07-13 00:00:00 -689935.1556\n",
"2015-07-14 00:00:00 72403.4088\n",
"2015-07-15 00:00:00 786715.9956\n",
"2015-07-16 00:00:00 -242285.556\n",
"2015-07-17 00:00:00 -850170.27\n",
"2015-07-20 00:00:00 -141182.1\n",
"2015-07-21 00:00:00 -12621.258\n",
"2015-07-22 00:00:00 20698.002\n",
"2015-07-23 00:00:00 -283232.664\n",
"2015-07-24 00:00:00 174391.542\n",
"2015-08-21 00:00:00 -687679.028\n",
"2015-08-24 00:00:00 -242802.126\n",
"2015-08-25 00:00:00 792234.68\n",
"2015-08-26 00:00:00 271418.6544\n",
"2015-08-27 00:00:00 -626720.7044\n",
"2015-08-28 00:00:00 -686935.7296\n",
"2015-08-31 00:00:00 192475.14\n",
"2015-09-01 00:00:00 402709.2984\n",
"2015-09-02 00:00:00 35671.6116\n",
"2015-09-07 00:00:00 248993.596\n",
"2015-09-08 00:00:00 -415007.4876\n",
"2015-09-09 00:00:00 -319934.6564\n",
"2015-09-10 00:00:00 202732.3416\n",
"2015-09-11 00:00:00 -26275.0272\n",
"2015-09-14 00:00:00 576282.1476\n",
"2015-09-15 00:00:00 625950.3296\n",
"2015-09-16 00:00:00 -724882.5516\n",
"2015-09-17 00:00:00 282181.704\n",
"2015-09-18 00:00:00 -101330.092\n",
"2015-09-21 00:00:00 -336169.3228\n",
"2015-09-22 00:00:00 -115089.8036\n",
"2015-09-23 00:00:00 245139.4204\n",
"2015-09-24 00:00:00 -137402.8152\n",
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]
},
{
"name": "stdout",
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"2017-08-24 00:00:00 -118876.211\n",
"2017-08-25 00:00:00 89592.4675\n",
"2017-08-28 00:00:00 209964.184\n",
"2017-08-29 00:00:00 -126598.7975\n",
"2017-08-30 00:00:00 182813.3415\n",
"2017-08-31 00:00:00 91257.174\n",
"2017-09-01 00:00:00 301703.406\n",
"2017-09-04 00:00:00 205385.804\n",
"2017-09-05 00:00:00 38621.406\n",
"2017-09-06 00:00:00 189690.73\n",
"2017-09-07 00:00:00 -261044.594\n",
"2017-09-08 00:00:00 83854.294\n",
"2017-09-11 00:00:00 405894.1\n",
"2017-09-12 00:00:00 -30213.004\n",
"2017-09-13 00:00:00 217179.84\n",
"2017-09-14 00:00:00 -65608.562\n",
"2017-09-15 00:00:00 -269759.118\n",
"2017-09-18 00:00:00 255071.18\n",
"2017-09-19 00:00:00 -179878.686\n",
"2017-09-20 00:00:00 303713.374\n",
"2017-09-21 00:00:00 -432696.184\n",
"2017-09-22 00:00:00 -348331.328\n",
"2017-09-25 00:00:00 -442050.39\n",
"2017-11-16 00:00:00 -523104.701\n",
"2017-11-17 00:00:00 -152540.299\n",
"2017-11-20 00:00:00 -187984.1998\n",
"2017-11-21 00:00:00 -134732.6216\n",
"2017-11-24 00:00:00 -141674.3616\n",
"2017-11-28 00:00:00 -248071.68\n",
"2017-11-29 00:00:00 -45125.0816\n",
"2017-11-30 00:00:00 130115.4432\n",
"2017-12-01 00:00:00 -125471.3216\n",
"2017-12-04 00:00:00 -258429.312\n",
"2017-12-05 00:00:00 347405.9648\n",
"2017-12-06 00:00:00 -188924.2496\n",
"2017-12-07 00:00:00 176808.6144\n",
"2017-12-08 00:00:00 -692070.7328\n",
"2017-12-11 00:00:00 -393193.6128\n",
"2017-12-29 00:00:00 -112290.2\n",
"2018-01-02 00:00:00 -199423.9454\n",
"2018-01-03 00:00:00 21185.9961\n",
"2018-01-04 00:00:00 181644.3978\n",
"2018-01-05 00:00:00 -26496.1934\n",
"2018-01-08 00:00:00 242748.9231\n",
"2018-01-09 00:00:00 230810.8592\n",
"2018-01-10 00:00:00 -61577.6956\n",
"2018-01-11 00:00:00 87547.9608\n",
"2018-01-12 00:00:00 -536582.0468\n",
"2018-01-15 00:00:00 -767210.0104\n",
"2018-01-16 00:00:00 265869.6\n",
"2018-01-17 00:00:00 -82852.8\n",
"2018-01-18 00:00:00 186403.2\n",
"2018-01-19 00:00:00 111825.6\n",
"2018-01-22 00:00:00 409619.2\n",
"2018-01-23 00:00:00 368124.0\n",
"2018-01-24 00:00:00 58179.2\n",
"2018-01-25 00:00:00 -198447.2\n",
"2018-01-26 00:00:00 129761.6\n",
"2018-01-29 00:00:00 -634252.0\n",
"2018-01-30 00:00:00 -530262.172\n",
"2018-01-31 00:00:00 -429368.0374\n",
"2018-02-01 00:00:00 59935.001\n",
"2018-02-02 00:00:00 -117905.1024\n",
"2018-02-05 00:00:00 38853.6912\n",
"2018-02-06 00:00:00 1723778.508\n",
"2018-02-07 00:00:00 -41447.3384\n",
"2018-02-08 00:00:00 -1082108.42\n",
"2018-02-09 00:00:00 1240718.6072\n",
"2018-02-12 00:00:00 -1137357.942\n",
"2018-02-13 00:00:00 -490581.6664\n",
"2018-02-14 00:00:00 -608540.0296\n",
"2018-02-22 00:00:00 -1214968.9992\n",
"2018-02-23 00:00:00 -823732.4992\n",
"2018-02-26 00:00:00 -774065.592\n",
"2018-03-22 00:00:00 -1852131.6552\n",
"2018-03-23 00:00:00 -82802.1542\n",
"2018-03-26 00:00:00 -478998.9022\n",
"2018-03-27 00:00:00 -831948.6056\n",
"2018-03-28 00:00:00 472425.5664\n",
"2018-03-29 00:00:00 -343734.4728\n",
"2018-03-30 00:00:00 -29783.1384\n",
"2018-04-02 00:00:00 77531.6448\n",
"2018-04-03 00:00:00 163645.5528\n",
"2018-04-04 00:00:00 51004.1016\n",
"2018-04-09 00:00:00 12945.3768\n",
"2018-04-10 00:00:00 -562938.0768\n",
"2018-04-11 00:00:00 -74797.668\n",
"2018-04-13 00:00:00 -122956.9914\n",
"2018-04-16 00:00:00 -73289.074\n",
"2018-04-17 00:00:00 69002.5988\n",
"2018-04-18 00:00:00 -56379.9968\n",
"2018-04-19 00:00:00 -218419.434\n",
"2018-04-20 00:00:00 244439.8278\n",
"2018-04-23 00:00:00 -26229.8916\n",
"2018-04-24 00:00:00 -369918.9426\n",
"2018-04-25 00:00:00 70889.3574\n",
"2018-04-26 00:00:00 350956.2756\n",
"2018-04-27 00:00:00 -6627.2256\n",
"2018-05-02 00:00:00 -32453.4624\n",
"2018-05-03 00:00:00 -140723.076\n",
"2018-05-04 00:00:00 88219.188\n",
"2018-05-07 00:00:00 -382570.3086\n",
"2018-05-08 00:00:00 -213280.266\n",
"2018-05-18 00:00:00 -112867.7437\n",
"2018-05-22 00:00:00 -3429.0172\n",
"2018-05-23 00:00:00 -218705.2095\n",
"2018-05-24 00:00:00 -151481.1417\n",
"2018-05-25 00:00:00 -90984.8896\n",
"2018-05-29 00:00:00 -533968.981\n",
"2018-05-31 00:00:00 -552842.6372\n",
"2018-06-01 00:00:00 328010.787\n",
"2018-06-04 00:00:00 -111515.521\n",
"2018-06-05 00:00:00 -561916.023\n",
"2018-06-06 00:00:00 24332.8744\n",
"2018-06-07 00:00:00 182939.0152\n",
"2018-06-08 00:00:00 346870.796\n",
"2018-06-11 00:00:00 186505.932\n",
"2018-06-12 00:00:00 -307874.996\n",
"2018-06-13 00:00:00 435787.7824\n",
"2018-06-14 00:00:00 101393.6232\n",
"2018-06-15 00:00:00 -68044.2112\n",
"2018-06-19 00:00:00 1727602.7848\n",
"2018-06-20 00:00:00 -400069.136\n",
"2018-06-21 00:00:00 888735.1096\n",
"2018-06-22 00:00:00 -484506.488\n",
"2018-06-25 00:00:00 562222.5048\n",
"2018-06-26 00:00:00 55582.4272\n",
"2018-06-27 00:00:00 827708.7424\n",
"2018-06-28 00:00:00 558729.0768\n",
"2018-06-29 00:00:00 -1516556.408\n",
"2018-07-02 00:00:00 1217920.228\n",
"2018-07-03 00:00:00 -305011.4552\n",
"2018-07-04 00:00:00 744653.1352\n",
"2018-07-05 00:00:00 869008.732\n",
"2018-07-06 00:00:00 -250391.1552\n",
"2018-07-09 00:00:00 -1307901.2704\n",
"2018-07-10 00:00:00 -212555.1048\n",
"2018-07-11 00:00:00 983705.6344\n",
"2018-07-12 00:00:00 -1272958.484\n",
"2018-07-13 00:00:00 -252444.228\n",
"2018-07-16 00:00:00 209199.212\n",
"2018-07-17 00:00:00 72552.5968\n",
"2018-07-18 00:00:00 343272.088\n",
"2018-07-19 00:00:00 23694.5744\n",
"2018-07-20 00:00:00 -619118.864\n",
"2018-07-23 00:00:00 -261274.888\n",
"2018-08-01 00:00:00 -221806.9906\n",
"2018-08-03 00:00:00 -202543.686\n",
"2018-08-06 00:00:00 111396.1472\n",
"2018-08-07 00:00:00 -709625.992\n",
"2018-08-08 00:00:00 55031.2564\n",
"2018-08-09 00:00:00 -699483.4222\n",
"2018-08-10 00:00:00 -22617.686\n",
"2018-08-15 00:00:00 -58576.608\n",
"2018-08-16 00:00:00 -88417.6776\n",
"2018-08-17 00:00:00 4223.2735\n",
"2018-08-20 00:00:00 -83687.4271\n",
"2018-08-21 00:00:00 -288661.815\n",
"2018-08-22 00:00:00 161468.5332\n",
"2018-08-23 00:00:00 -87054.292\n",
"2018-08-24 00:00:00 -289435.9742\n",
"2018-08-27 00:00:00 -446625.9936\n",
"2018-09-07 00:00:00 -59978.3773\n",
"2018-09-10 00:00:00 -15629.1034\n",
"2018-09-11 00:00:00 -23013.1614\n",
"2018-09-12 00:00:00 19411.4286\n",
"2018-09-13 00:00:00 -116346.4528\n",
"2018-09-14 00:00:00 -3587.9958\n",
"2018-09-17 00:00:00 208633.1664\n",
"2018-09-18 00:00:00 -559568.5444\n",
"2018-09-19 00:00:00 -303335.516\n",
"2018-09-20 00:00:00 -198732.2968\n",
"2018-09-21 00:00:00 -311901.606\n",
"2018-09-25 00:00:00 -177444.2962\n",
"2018-09-27 00:00:00 -47314.7126\n",
"2018-09-28 00:00:00 -255063.6332\n",
"2018-10-08 00:00:00 -512850.5026\n",
"2018-10-10 00:00:00 -1680888.45\n",
"2018-10-12 00:00:00 -170072.5924\n",
"2018-10-15 00:00:00 689959.1236\n",
"2018-10-16 00:00:00 664611.8052\n",
"2018-10-17 00:00:00 -283648.3748\n",
"2018-10-18 00:00:00 1068480.3224\n",
"2018-10-19 00:00:00 -1737209.0496\n",
"2018-10-22 00:00:00 -1931025.1004\n",
"2018-10-23 00:00:00 393803.4032\n",
"2018-10-24 00:00:00 39918.9796\n",
"2018-10-25 00:00:00 54762.4848\n",
"2018-10-26 00:00:00 2287.4604\n",
"2018-10-29 00:00:00 353450.484\n",
"2018-10-30 00:00:00 -207899.6212\n",
"2018-10-31 00:00:00 -336510.5112\n",
"2018-11-01 00:00:00 -509882.4936\n",
"2018-11-02 00:00:00 -687583.4812\n"
]
}
],
"source": [
"# 查看每日的盈亏统计\n",
"for result in engine.resultList:\n",
" if result.totalPnl:\n",
" print result.date, result.totalPnl"
]
[Add]新增完整海龟策略的例子examples/TurtleStrategy
2018-11-11 03:45:27 +00:00
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 2",
"language": "python",
"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": "2.7.14"
}
},
"nbformat": 4,
"nbformat_minor": 2
}
Reference in New Issue Copy Permalink