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Merge pull request #281 from hackerwei/dev

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result figure update
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vn.py 2017-04-09 09:29:24 +08:00 committed by GitHub
commit 273471372b
1 changed files with 31 additions and 11 deletions
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42
vn.trader/ctaStrategy/ctaBacktesting.py
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@ -481,7 +481,8 @@ class BacktestingEngine(object):
longTrade = [] # 未平仓的多头交易
shortTrade = [] # 未平仓的空头交易
posList = [0] # 新增持仓情况
tradeTimeList = [] # 新增, 交易时间戳
for trade in self.tradeDict.values():
# 多头交易
if trade.direction == DIRECTION_LONG:
@ -500,7 +501,8 @@ class BacktestingEngine(object):
exitTrade.price, exitTrade.dt,
-closedVolume, self.rate, self.slippage, self.size)
resultList.append(result)
posList.extend([-1,0])
tradeTimeList.extend([result.entryDt, result.exitDt])
# 计算未清算部分
entryTrade.volume -= closedVolume
exitTrade.volume -= closedVolume
@ -541,7 +543,8 @@ class BacktestingEngine(object):
exitTrade.price, exitTrade.dt,
closedVolume, self.rate, self.slippage, self.size)
resultList.append(result)
posList.extend([1,0])
tradeTimeList.extend([result.entryDt, result.exitDt])
# 计算未清算部分
entryTrade.volume -= closedVolume
exitTrade.volume -= closedVolume
@ -643,6 +646,8 @@ class BacktestingEngine(object):
d['averageWinning'] = averageWinning
d['averageLosing'] = averageLosing
d['profitLossRatio'] = profitLossRatio
d['posList'] = posList
d['tradeTimeList'] = tradeTimeList
return d
@ -671,19 +676,34 @@ class BacktestingEngine(object):
# 绘图
import matplotlib.pyplot as plt
pCapital = plt.subplot(3, 1, 1)
import seaborn as sns
import numpy as np
sns.set_style('whitegrid') # 设置白色风格
pCapital = plt.subplot(4, 1, 1)
pCapital.set_ylabel("capital")
pCapital.plot(d['capitalList'])
pCapital.plot(d['capitalList'], color='r', lw=0.8)
pDD = plt.subplot(3, 1, 2)
pDD = plt.subplot(4, 1, 2)
pDD.set_ylabel("DD")
pDD.bar(range(len(d['drawdownList'])), d['drawdownList'])
pDD.bar(range(len(d['drawdownList'])), d['drawdownList'], color='g')
pPnl = plt.subplot(3, 1, 3)
pPnl = plt.subplot(4, 1, 3)
pPnl.set_ylabel("pnl")
pPnl.hist(d['pnlList'], bins=50)
pPnl.hist(d['pnlList'], bins=50, color='c')
pPos = plt.subplot(4, 1, 4)
pPos.set_ylabel("Position")
if d['posList'][-1] == 0:
del d['posList'][-1]
tradeTimeIndex = [item.strftime("%m/%d %H:%M:%S") for item in d['tradeTimeList']]
xindex = np.arange(0, len(tradeTimeIndex), np.int(len(tradeTimeIndex)/10))
tradeTimeIndex = map(lambda i: tradeTimeIndex[i], xindex)
pPos.plot(d['posList'], color='k', drawstyle='steps-pre')
pPos.set_ylim(-1.2, 1.2)
# pPos.set_title(u'持仓变化')
plt.sca(pPos)
plt.tight_layout()
plt.xticks(xindex, tradeTimeIndex, rotation=30) # 旋转15
plt.show()
#----------------------------------------------------------------------