修改回测模型，支持多次逐步加仓
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msincenselee
parent
f79a63d19d
commit
5a3ad183a0
@ -22,6 +22,7 @@ from vtConstant import *
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from vtGateway import VtOrderData, VtTradeData
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from vtFunction import loadMongoSetting
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import logging
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import copy
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########################################################################
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class BacktestingEngine(object):
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@ -86,6 +87,8 @@ class BacktestingEngine(object):
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self.bar = None
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self.dt = None # 最新的时间
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self.gatewayName = u'BackTest'
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self.usageCompounding = False # 是否使用简单复利
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#----------------------------------------------------------------------
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def setStartDate(self, startDate='20100416', initDays=10):
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@ -903,6 +906,12 @@ class BacktestingEngine(object):
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def calculateBacktestingResult(self):
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"""
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计算回测结果
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Modified by Incense Lee
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增加了支持逐步加仓的计算：
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例如，前面共有6次开仓（1手开仓+5次加仓，每次1手），平仓只有1次（六手）。那么，交易次数是6次（开仓+平仓）。
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暂不支持每次加仓数目不一致的核对（因为比较复杂）
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增加组合的支持。
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"""
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self.output(u'计算回测结果')
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@ -911,7 +920,9 @@ class BacktestingEngine(object):
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longTrade = [] # 未平仓的多头交易
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shortTrade = [] # 未平仓的空头交易
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i = 0
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i = 1
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tradeUnit = 1
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longid = EMPTY_STRING
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shortid = EMPTY_STRING
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@ -920,9 +931,6 @@ class BacktestingEngine(object):
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trade = self.tradeDict[tradeid]
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if tradeid == '127':
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pass
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# 多头交易
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if trade.direction == DIRECTION_LONG:
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# 如果尚无空头交易
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@ -931,18 +939,46 @@ class BacktestingEngine(object):
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longid = tradeid
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# 当前多头交易为平空
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else:
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entryTrade = shortTrade.pop(0)
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gId = i # 交易组（多个平仓数为一组）
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gt = 1 # 组合的交易次数
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gr = None # 组合的交易结果
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result = TradingResult(entryTrade.price, trade.price, -trade.volume,
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self.rate, self.slippage, self.size)
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if trade.volume >tradeUnit:
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self.writeCtaLog(u'平仓数{0},组合编号:{1}'.format(trade.volume,gId))
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gt = int(trade.volume/tradeUnit)
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resultDict[trade.dt] = result
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for tv in range(gt):
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i = i+1
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self.writeCtaLog(u'{6}.{7}.开空{0},short:{1},{8}.平空{2},cover:{3},vol:{4},净盈亏:{5}'
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.format(entryTrade.tradeTime, entryTrade.price,
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trade.tradeTime,trade.price, trade.volume,result.pnl,
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i,shortid,tradeid))
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entryTrade = shortTrade.pop(0)
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result = TradingResult(entryTrade.price, trade.price, -tradeUnit,
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self.rate, self.slippage, self.size, groupId=gId)
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if tv == 0:
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if gt==1:
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resultDict[entryTrade.dt] = result
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else:
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gr = copy.deepcopy(result)
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else:
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gr.turnover = gr.turnover + result.turnover
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gr.commission = gr.commission + result.commission
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gr.slippage = gr.slippage + result.slippage
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gr.pnl = gr.pnl + result.pnl
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if tv == gt -1:
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gr.volume = trade.volume
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resultDict[entryTrade.dt] = gr
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self.writeCtaLog(u'{9}@{6} [{7}:开空{0},short:{1}]-[{8}:平空{2},cover:{3},vol:{4}],净盈亏:{5}'
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.format(entryTrade.tradeTime, entryTrade.price,
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trade.tradeTime, trade.price, tradeUnit, result.pnl,
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i, shortid, tradeid,gId))
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i = i+1
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if type(gr) != type(None):
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self.writeCtaLog(u'组合净盈亏:{0}'.format(gr.pnl))
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self.writeCtaLog(u'-------------')
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# 空头交易
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else:
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@ -952,17 +988,47 @@ class BacktestingEngine(object):
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shortid = tradeid
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# 当前空头交易为平多
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else:
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entryTrade = longTrade.pop(0)
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gId = i # 交易组（多个平仓数为一组）
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gt = 1 # 组合的交易次数
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gr = None # 组合的交易结果
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result = TradingResult(entryTrade.price, trade.price, trade.volume,
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self.rate, self.slippage, self.size)
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resultDict[trade.dt] = result
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if trade.volume >tradeUnit:
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self.writeCtaLog(u'平仓数{0},组合编号:{1}'.format(trade.volume,gId))
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gt = int(trade.volume/tradeUnit)
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i = i+1
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self.writeCtaLog(u'{6}.{7}开多{0},buy:{1},{8}.平多{2},sell:{3},vol:{4},净盈亏：{5}'
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.format(entryTrade.tradeTime, entryTrade.price,
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trade.tradeTime,trade.price, trade.volume,result.pnl,
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i,longid,tradeid))
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for tv in range(gt):
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entryTrade = longTrade.pop(0)
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result = TradingResult(entryTrade.price, trade.price, tradeUnit,
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self.rate, self.slippage, self.size, groupId= gId)
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if tv == 0:
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if gt==1:
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resultDict[entryTrade.dt] = result
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else:
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gr = copy.deepcopy(result)
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else:
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gr.turnover = gr.turnover + result.turnover
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gr.commission = gr.commission + result.commission
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gr.slippage = gr.slippage + result.slippage
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gr.pnl = gr.pnl + result.pnl
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if tv == gt -1:
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gr.volume = trade.volume
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resultDict[entryTrade.dt] = gr
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self.writeCtaLog(u'{9}@{6} [{7}:开多{0},buy:{1}]-[{8}.平多{2},sell:{3},vol:{4}],净盈亏：{5}'
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.format(entryTrade.tradeTime, entryTrade.price,
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trade.tradeTime,trade.price, tradeUnit, result.pnl,
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i, longid, tradeid, gId))
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i = i+1
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if type(gr) != type(None):
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self.writeCtaLog(u'组合净盈亏:{0}'.format(gr.pnl))
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self.writeCtaLog(u'-------------')
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# 检查是否有交易
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if not resultDict:
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@ -970,9 +1036,15 @@ class BacktestingEngine(object):
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return {}
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# 然后基于每笔交易的结果，我们可以计算具体的盈亏曲线和最大回撤等
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capital = 0 # 资金
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maxCapital = 0 # 资金最高净值
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initCapital = 40000 # 期初资金
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capital = initCapital # 资金
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maxCapital = initCapital # 资金最高净值
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drawdown = 0 # 回撤
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maxPnl = 0 # 最高盈利
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minPnl = 0 # 最大亏损
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maxVolume = 1 # 最大仓位数
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compounding = 1 # 简单的复利基数（如果资金是期初资金的x倍，就扩大开仓比例,例如3w开1手，6w开2手，12w开4手)
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wins = 0
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totalResult = 0 # 总成交数量
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totalTurnover = 0 # 总成交金额（合约面值）
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@ -983,27 +1055,42 @@ class BacktestingEngine(object):
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pnlList = [] # 每笔盈亏序列
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capitalList = [] # 盈亏汇总的时间序列
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drawdownList = [] # 回撤的时间序列
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drawdownRateList = [] # 最大回撤比例的时间序列
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for time, result in resultDict.items():
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capital += result.pnl
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# 是否使用简单复利
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if self.usageCompounding:
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compounding = int(capital/initCapital)
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if result.pnl > 0:
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wins += 1
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capital += result.pnl*compounding
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maxCapital = max(capital, maxCapital)
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maxVolume = max(maxVolume, result.volume*compounding)
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drawdown = capital - maxCapital
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drawdownRate = round(float(drawdown*100/maxCapital),4)
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pnlList.append(result.pnl)
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pnlList.append(result.pnl*compounding)
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timeList.append(time)
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capitalList.append(capital)
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drawdownList.append(drawdown)
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drawdownRateList.append(drawdownRate)
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totalResult += 1
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totalTurnover += result.turnover
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totalCommission += result.commission
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totalSlippage += result.slippage
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totalTurnover += result.turnover*compounding
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totalCommission += result.commission*compounding
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totalSlippage += result.slippage*compounding
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# 返回回测结果
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d = {}
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d['capital'] = capital
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d['initCapital'] = initCapital
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d['capital'] = capital - initCapital
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d['maxCapital'] = maxCapital
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d['drawdown'] = drawdown
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d['maxPnl'] = max(pnlList)
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d['minPnl'] = min(pnlList)
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d['maxVolume'] = maxVolume
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d['totalResult'] = totalResult
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d['totalTurnover'] = totalTurnover
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d['totalCommission'] = totalCommission
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@ -1012,6 +1099,8 @@ class BacktestingEngine(object):
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d['pnlList'] = pnlList
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d['capitalList'] = capitalList
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d['drawdownList'] = drawdownList
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d['drawdownRateList'] = drawdownRateList
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d['winRate'] = round(100*wins/len(pnlList),4)
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return d
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#----------------------------------------------------------------------
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@ -1028,8 +1117,17 @@ class BacktestingEngine(object):
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self.output(u'最后一笔交易：\t%s' % d['timeList'][-1])
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self.output(u'总交易次数：\t%s' % formatNumber(d['totalResult']))
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self.output(u'期初资金：\t%s' % formatNumber(d['initCapital']))
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self.output(u'总盈亏：\t%s' % formatNumber(d['capital']))
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self.output(u'最大回撤: \t%s' % formatNumber(min(d['drawdownList'])))
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self.output(u'资金最高净值：\t%s' % formatNumber(d['maxCapital']))
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self.output(u'每笔最大盈利：\t%s' % formatNumber(d['maxPnl']))
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self.output(u'每笔最大亏损：\t%s' % formatNumber(d['minPnl']))
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self.output(u'净值最大回撤: \t%s' % formatNumber(min(d['drawdownList'])))
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self.output(u'净值最大回撤率: \t%s' % formatNumber(min(d['drawdownRateList'])))
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self.output(u'胜率：\t%s' % formatNumber(d['winRate']))
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self.output(u'最大持仓：\t%s' % formatNumber(d['maxVolume']))
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self.output(u'平均每笔盈利：\t%s' %formatNumber(d['capital']/d['totalResult']))
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self.output(u'平均每笔滑点成本：\t%s' %formatNumber(d['totalSlippage']/d['totalResult']))
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@ -1128,11 +1226,12 @@ class TradingResult(object):
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"""每笔交易的结果"""
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#----------------------------------------------------------------------
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def __init__(self, entry, exit, volume, rate, slippage, size):
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def __init__(self, entry, exit, volume, rate, slippage, size, groupId):
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"""Constructor"""
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self.entry = entry # 开仓价格
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self.exit = exit # 平仓价格
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self.volume = volume # 交易数量（+/-代表方向）
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self.groupId = groupId # 主交易ID（针对多手平仓）
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self.turnover = (self.entry+self.exit)*size # 成交金额
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self.commission =round(float(self.turnover*rate),4) # 手续费成本
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