vnpy/examples/CtaBacktesting/backtesting_portfolio.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": [
    "%matplotlib inline\n",
    "\n",
    "from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, MINUTE_DB_NAME\n",
    "\n",
    "def runBacktesting(strategyClass, settingDict, symbol, \n",
    "                   startDate, endDate, slippage, \n",
    "                   rate, size, priceTick):\n",
    "    \"\"\"运行单标的回测\"\"\"\n",
    "    engine = BacktestingEngine()\n",
    "    engine.setBacktestingMode(engine.BAR_MODE)\n",
    "    engine.setDatabase(MINUTE_DB_NAME, symbol)\n",
    "    engine.setStartDate(startDate)\n",
    "    engine.setEndDate(endDate)\n",
    "    engine.setSlippage(slippage)\n",
    "    engine.setRate(rate)   \n",
    "    engine.setSize(size)         \n",
    "    engine.setPriceTick(priceTick)\n",
    "    \n",
    "    engine.initStrategy(strategyClass, settingDict)\n",
    "    engine.runBacktesting()\n",
    "    df = engine.calculateDailyResult()\n",
    "    return df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "2017-11-30 08:58:50.792000\t开始载入数据\n",
      "2017-11-30 08:58:50.948000\t载入完成，数据量：348690\n",
      "2017-11-30 08:58:50.948000\t开始回测\n",
      "2017-11-30 08:58:50.989000\t策略初始化完成\n",
      "2017-11-30 08:58:50.989000\t策略启动完成\n",
      "2017-11-30 08:58:50.989000\t开始回放数据\n",
      "2017-11-30 08:59:21.510000\t数据回放结束\n",
      "2017-11-30 08:59:21.510000\t计算按日统计结果\n"
     ]
    }
   ],
   "source": [
    "# 运行IF回测，交易1手\n",
    "from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy\n",
    "df1 = runBacktesting(AtrRsiStrategy, {}, 'IF0000', \n",
    "                     '20120101', '20170630', 0.2, \n",
    "                     0.3/10000, 300, 0.2)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "2017-11-30 08:59:21.585000\t开始载入数据\n",
      "2017-11-30 08:59:21.745000\t载入完成，数据量：370838\n",
      "2017-11-30 08:59:21.745000\t开始回测\n",
      "2017-11-30 08:59:21.754000\t策略初始化完成\n",
      "2017-11-30 08:59:21.754000\t策略启动完成\n",
      "2017-11-30 08:59:21.754000\t开始回放数据\n",
      "2017-11-30 08:59:38.014000\t数据回放结束\n",
      "2017-11-30 08:59:38.014000\t计算按日统计结果\n"
     ]
    }
   ],
   "source": [
    "# 运行rb回测，交易16手\n",
    "from vnpy.trader.app.ctaStrategy.strategy.strategyBollChannel import BollChannelStrategy\n",
    "settingDict = {'fixedSize': 16}\n",
    "df2 = runBacktesting(BollChannelStrategy, settingDict, 'rb0000', \n",
    "                     '20120101', '20170630', 1, \n",
    "                     1/10000, 10, 1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "2017-11-30 09:42:39.063000\t------------------------------\n",
      "2017-11-30 09:42:39.064000\t首个交易日：\t2012-01-11\n",
      "2017-11-30 09:42:39.064000\t最后交易日：\t2017-06-30\n",
      "2017-11-30 09:42:39.064000\t总交易日：\t1328\n",
      "2017-11-30 09:42:39.064000\t盈利交易日\t676\n",
      "2017-11-30 09:42:39.064000\t亏损交易日：\t652\n",
      "2017-11-30 09:42:39.064000\t起始资金：\t1000000\n",
      "2017-11-30 09:42:39.064000\t结束资金：\t2,446,304.82\n",
      "2017-11-30 09:42:39.064000\t总收益率：\t144.63\n",
      "2017-11-30 09:42:39.064000\t总盈亏：\t1,446,304.82\n",
      "2017-11-30 09:42:39.064000\t最大回撤: \t-155,832.39\n",
      "2017-11-30 09:42:39.064000\t总手续费：\t216,395.18\n",
      "2017-11-30 09:42:39.064000\t总滑点：\t555,500.0\n",
      "2017-11-30 09:42:39.064000\t总成交金额：\t7,517,158,420.0\n",
      "2017-11-30 09:42:39.064000\t总成交笔数：\t8,160.0\n",
      "2017-11-30 09:42:39.064000\t日均盈亏：\t1,089.08\n",
      "2017-11-30 09:42:39.064000\t日均手续费：\t162.95\n",
      "2017-11-30 09:42:39.064000\t日均滑点：\t418.3\n",
      "2017-11-30 09:42:39.064000\t日均成交金额：\t5,660,510.86\n",
      "2017-11-30 09:42:39.064000\t日均成交笔数：\t6.14\n",
      "2017-11-30 09:42:39.064000\t日均收益率：\t0.07%\n",
      "2017-11-30 09:42:39.064000\t收益标准差：\t0.97%\n",
      "2017-11-30 09:42:39.064000\tSharpe Ratio：\t1.09\n"
     ]
    },
    {
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       "<matplotlib.figure.Figure at 0x153df130>"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "# 合并获得组合回测结果\n",
    "dfp = df1 + df2\n",
    "\n",
    "# 注意如果被抛弃的交易日位于回测的前后，即两者不重合的日期中，则不会影响组合曲线正确性\n",
    "# 但是如果被抛弃的交易日位于回测的中部，即两者重合的日期中，组合曲线会出现错误（丢失交易日）\n",
    "dfp = dfp.dropna()   \n",
    "\n",
    "# 创建回测引擎，并设置组合回测初始资金后，显示结果\n",
    "engine = BacktestingEngine()\n",
    "engine.setCapital(1000000)\n",
    "dfp, result = engine.calculateDailyStatistics(dfp)\n",
    "engine.showDailyResult(dfp, result)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": []
  }
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