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[Mod]修复之前海龟策略回测中的每日盈亏计算bug

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vn.py 2018-11-13 16:11:35 +08:00
parent 7675bf8a2e
commit 270847132a
5 changed files with 682 additions and 1281 deletions
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688
examples/TurtleStrategy/.ipynb_checkpoints/run-checkpoint.ipynb
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1229
examples/TurtleStrategy/run.ipynb
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18
examples/TurtleStrategy/turtleEngine.py
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@ -108,18 +108,18 @@ class BacktestingEngine(object):
for dt, barDict in self.dataDict.items():
self.currentDt = dt
result = DailyResult(dt)
result.updatePos(self.portfolio.posDict)
previousResult = self.result
self.result = DailyResult(dt)
self.result.updatePos(self.portfolio.posDict)
self.resultList.append(self.result)
if previousResult:
self.result.updatePreviousClose(previousResult.closeDict)
for bar in barDict.values():
self.portfolio.onBar(bar)
result.updateBar(bar)
if self.result:
result.updatePreviousClose(self.result.closeDict)
self.resultList.append(result)
self.result = result
self.result.updateBar(bar)
self.writeLog(u'K线数据回放结束')

4
examples/TurtleStrategy/turtleStrategy.py
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@ -104,6 +104,7 @@ class TurtleSignal(object):
# 优先检查平仓
if self.unit > 0:
longExit = max(self.longStop, self.exitDown)
if bar.low <= longExit:
self.sell(longExit)
return
@ -164,11 +165,13 @@ class TurtleSignal(object):
self.longEntry2 = self.entryUp + self.atrVolatility * 0.5
self.longEntry3 = self.entryUp + self.atrVolatility * 1
self.longEntry4 = self.entryUp + self.atrVolatility * 1.5
self.longStop = 0
self.shortEntry1 = self.entryDown
self.shortEntry2 = self.entryDown - self.atrVolatility * 0.5
self.shortEntry3 = self.entryDown - self.atrVolatility * 1
self.shortEntry4 = self.entryDown - self.atrVolatility * 1.5
self.shortStop = 0
#----------------------------------------------------------------------
def newSignal(self, direction, offset, price, volume):
@ -391,5 +394,6 @@ class TurtlePortfolio(object):
self.totalShort += unit
# 向回测引擎中发单记录
#self.engine.sendOrder(vtSymbol, direction, offset, price, volume)
self.engine.sendOrder(vtSymbol, direction, offset, price, volume*multiplier)

14
vnpy/trader/app/ctaStrategy/strategy/strategyTurtleTrading.py
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@ -115,6 +115,8 @@ class TurtleTradingStrategy(CtaTemplate):
# 计算指标数值
self.entryUp, self.entryDown = self.am.donchian(self.entryWindow)
self.exitUp, self.exitDown = self.am.donchian(self.exitWindow)
if not self.pos:
self.atrVolatility = self.am.atr(self.atrWindow)
# 判断是否要进行交易
@ -132,18 +134,16 @@ class TurtleTradingStrategy(CtaTemplate):
self.sendBuyOrders(self.longEntry)
# 止损逻辑
self.longStop = self.longEntry - self.atrVolatility * 2
self.longStop = max(self.longStop, self.exitDown)
self.sell(self.longStop, abs(self.pos), True)
sellPrice = max(self.longStop, self.exitDown)
self.sell(sellPrice, abs(self.pos), True)
elif self.pos < 0:
# 加仓逻辑
self.sendShortOrders(self.shortEntry)
# 止损逻辑
self.shortStop = self.shortEntry + self.atrVolatility * 2
self.shortStop = min(self.shortStop, self.exitUp)
self.cover(self.shortStop, abs(self.pos), True)
coverPrice = min(self.shortStop, self.exitUp)
self.cover(coverPrice, abs(self.pos), True)
# 同步数据到数据库
self.saveSyncData()
@ -161,8 +161,10 @@ class TurtleTradingStrategy(CtaTemplate):
"""成交推送"""
if trade.direction == DIRECTION_LONG:
self.longEntry = trade.price
self.longStop = self.longEntry - self.atrVolatility * 2
else:
self.shortEntry = trade.price
self.shortStop = self.shortEntry + self.atrVolatility * 2
# 发出状态更新事件
self.putEvent()