[Fix] close #2160

vnpy/app/cta_strategy/backtesting.py

@@ -25,6 +25,7 @@ from .base import (
     STOPORDER_PREFIX,
     StopOrder,
     StopOrderStatus,
+    INTERVAL_DELTA_MAP
 )
 from .template import CtaTemplate
 
@@ -221,6 +222,7 @@ class BacktestingEngine:
         # Load 30 days of data each time and allow for progress update
         progress_delta = timedelta(days=30)
         total_delta = self.end - self.start
+        interval_delta = INTERVAL_DELTA_MAP[self.interval]
 
         start = self.start
         end = self.start + progress_delta
@@ -252,8 +254,11 @@ class BacktestingEngine:
             progress_bar = "#" * int(progress * 10)
             self.output(f"加载进度：{progress_bar} [{progress:.0%}]")
 
-            start = end
-            end += progress_delta
+            start = end + interval_delta
+            end += (progress_delta + interval_delta)
+
+            if data:
+                print(data[0].datetime, data[-1].datetime)
 
         self.output(f"历史数据加载完成，数据量：{len(self.history_data)}")
 
@@ -354,6 +359,7 @@ class BacktestingEngine:
             end_balance = 0
             max_drawdown = 0
             max_ddpercent = 0
+            max_drawdown_duration = 0
             total_net_pnl = 0
             daily_net_pnl = 0
             total_commission = 0

vnpy/app/cta_strategy/base.py

@@ -4,8 +4,9 @@ Defines constants and objects used in CtaStrategy App.
 
 from dataclasses import dataclass, field
 from enum import Enum
+from datetime import timedelta
 
-from vnpy.trader.constant import Direction, Offset
+from vnpy.trader.constant import Direction, Offset, Interval
 
 APP_NAME = "CtaStrategy"
 STOPORDER_PREFIX = "STOP"
@@ -44,3 +45,9 @@ class StopOrder:
 EVENT_CTA_LOG = "eCtaLog"
 EVENT_CTA_STRATEGY = "eCtaStrategy"
 EVENT_CTA_STOPORDER = "eCtaStopOrder"
+
+INTERVAL_DELTA_MAP = {
+    Interval.MINUTE: timedelta(minutes=1),
+    Interval.HOUR: timedelta(hours=1),
+    Interval.DAILY: timedelta(days=1),
+}