CTA回测增加基于日线的统计功能
This commit is contained in:
vn.py
parent
096992c5ba
commit
83052b0db1
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
@ -10,9 +10,20 @@ from datetime import datetime, timedelta
|
||||
from collections import OrderedDict
|
||||
from itertools import product
|
||||
import multiprocessing
|
||||
import pymongo
|
||||
import copy
|
||||
|
||||
import pymongo
|
||||
import pandas as pd
|
||||
import numpy as np
|
||||
import matplotlib.pyplot as plt
|
||||
|
||||
# 如果安装了seaborn则设置为白色风格
|
||||
try:
|
||||
import seaborn as sns
|
||||
sns.set_style('whitegrid')
|
||||
except ImportError:
|
||||
pass
|
||||
|
||||
from vnpy.trader.vtGlobal import globalSetting
|
||||
from vnpy.trader.vtObject import VtTickData, VtBarData
|
||||
from vnpy.trader.vtConstant import *
|
||||
@ -51,6 +62,7 @@ class BacktestingEngine(object):
|
||||
self.initDays = 0
|
||||
self.endDate = ''
|
||||
|
||||
self.capital = 1000000 # 回测时的起始本金（默认100万）
|
||||
self.slippage = 0 # 回测时假设的滑点
|
||||
self.rate = 0 # 回测时假设的佣金比例（适用于百分比佣金）
|
||||
self.size = 1 # 合约大小，默认为1
|
||||
@ -139,6 +151,11 @@ class BacktestingEngine(object):
|
||||
self.dbName = dbName
|
||||
self.symbol = symbol
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def setCapital(self, capital):
|
||||
"""设置资本金"""
|
||||
self.capital = capital
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def setSlippage(self, slippage):
|
||||
"""设置滑点点数"""
|
||||
@ -244,7 +261,7 @@ class BacktestingEngine(object):
|
||||
self.crossStopOrder() # 再撮合停止单
|
||||
self.strategy.onBar(bar) # 推送K线到策略中
|
||||
|
||||
self.updateDailyClose(bar.datetime, bar.closePrice)
|
||||
self.updateDailyClose(bar.datetime, bar.close)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def newTick(self, tick):
|
||||
@ -645,6 +662,22 @@ class BacktestingEngine(object):
|
||||
else:
|
||||
pass
|
||||
|
||||
# 到最后交易日尚未平仓的交易，则以最后价格平仓
|
||||
if self.mode == self.BAR_MODE:
|
||||
endPrice = self.bar.close
|
||||
else:
|
||||
endPrice = self.tick.lastPrice
|
||||
|
||||
for trade in longTrade:
|
||||
result = TradingResult(trade.price, trade.dt, endPrice, self.dt,
|
||||
trade.volume, self.rate, self.slippage, self.size)
|
||||
resultList.append(result)
|
||||
|
||||
for trade in shortTrade:
|
||||
result = TradingResult(trade.price, trade.dt, endPrice, self.dt,
|
||||
-trade.volume, self.rate, self.slippage, self.size)
|
||||
resultList.append(result)
|
||||
|
||||
# 检查是否有交易
|
||||
if not resultList:
|
||||
self.output(u'无交易结果')
|
||||
@ -752,14 +785,7 @@ class BacktestingEngine(object):
|
||||
self.output(u'盈亏比：\t%s' %formatNumber(d['profitLossRatio']))
|
||||
|
||||
# 绘图
|
||||
import matplotlib.pyplot as plt
|
||||
import numpy as np
|
||||
|
||||
try:
|
||||
import seaborn as sns # 如果安装了seaborn则设置为白色风格
|
||||
sns.set_style('whitegrid')
|
||||
except ImportError:
|
||||
pass
|
||||
fig = plt.figure(figsize=(10, 16))
|
||||
|
||||
pCapital = plt.subplot(4, 1, 1)
|
||||
pCapital.set_ylabel("capital")
|
||||
@ -881,6 +907,138 @@ class BacktestingEngine(object):
|
||||
else:
|
||||
self.dailyResultDict[date].closePrice = price
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def calculateDailyResult(self):
|
||||
"""计算按日统计的交易结果"""
|
||||
self.output(u'计算按日统计结果')
|
||||
|
||||
# 将成交添加到每日交易结果中
|
||||
for trade in self.tradeDict.values():
|
||||
date = trade.dt.date()
|
||||
dailyResult = self.dailyResultDict[date]
|
||||
dailyResult.addTrade(trade)
|
||||
|
||||
# 遍历计算每日结果
|
||||
previousClose = 0
|
||||
openPosition = 0
|
||||
for dailyResult in self.dailyResultDict.values():
|
||||
dailyResult.previousClose = previousClose
|
||||
previousClose = dailyResult.closePrice
|
||||
|
||||
dailyResult.calculatePnl(openPosition, self.size, self.rate, self.slippage )
|
||||
openPosition = dailyResult.closePosition
|
||||
|
||||
# 生成DataFrame
|
||||
resultDict = {k:[] for k in dailyResult.__dict__.keys()}
|
||||
for dailyResult in self.dailyResultDict.values():
|
||||
for k, v in dailyResult.__dict__.items():
|
||||
resultDict[k].append(v)
|
||||
|
||||
resultDf = pd.DataFrame.from_dict(resultDict)
|
||||
|
||||
# 计算衍生数据
|
||||
resultDf = resultDf.set_index('date')
|
||||
|
||||
return resultDf
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def showDailyResult(self, df=None):
|
||||
"""显示按日统计的交易结果"""
|
||||
if not df:
|
||||
df = self.calculateDailyResult()
|
||||
|
||||
df['balance'] = df['netPnl'].cumsum() + self.capital
|
||||
df['return'] = (np.log(df['balance']) - np.log(df['balance'].shift(1))).fillna(0)
|
||||
df['highlevel'] = df['balance'].rolling(min_periods=1,window=len(df),center=False).max()
|
||||
df['drawdown'] = df['balance'] - df['highlevel']
|
||||
|
||||
# 计算统计结果
|
||||
startDate = df.index[0]
|
||||
endDate = df.index[-1]
|
||||
|
||||
totalDays = len(df)
|
||||
profitDays = len(df[df['netPnl']>0])
|
||||
lossDays = len(df[df['netPnl']<0])
|
||||
|
||||
endBalance = df['balance'].iloc[-1]
|
||||
maxDrawdown = df['drawdown'].min()
|
||||
|
||||
totalNetPnl = df['netPnl'].sum()
|
||||
dailyNetPnl = totalNetPnl / totalDays
|
||||
|
||||
totalCommission = df['commission'].sum()
|
||||
dailyCommission = totalCommission / totalDays
|
||||
|
||||
totalSlippage = df['slippage'].sum()
|
||||
dailySlippage = totalSlippage / totalDays
|
||||
|
||||
totalTurnover = df['turnover'].sum()
|
||||
dailyTurnover = totalTurnover / totalDays
|
||||
|
||||
totalTradeCount = df['tradeCount'].sum()
|
||||
dailyTradeCount = totalTradeCount / totalDays
|
||||
|
||||
totalReturn = (endBalance/self.capital - 1) * 100
|
||||
dailyReturn = df['return'].mean() * 100
|
||||
returnStd = df['return'].std() * 100
|
||||
|
||||
if returnStd:
|
||||
sharpeRatio = dailyReturn / returnStd * np.sqrt(240)
|
||||
else:
|
||||
sharpeRatio = 0
|
||||
|
||||
# 输出统计结果
|
||||
self.output('-' * 30)
|
||||
self.output(u'首个交易日：\t%s' % startDate)
|
||||
self.output(u'最后交易日：\t%s' % endDate)
|
||||
|
||||
self.output(u'总交易日：\t%s' % totalDays)
|
||||
self.output(u'盈利交易日\t%s' % profitDays)
|
||||
self.output(u'亏损交易日：\t%s' % lossDays)
|
||||
|
||||
self.output(u'起始资金：\t%s' % self.capital)
|
||||
self.output(u'结束资金：\t%s' % formatNumber(endBalance))
|
||||
|
||||
self.output(u'总收益率：\t%s' % formatNumber(totalReturn))
|
||||
self.output(u'总盈亏：\t%s' % formatNumber(totalNetPnl))
|
||||
self.output(u'最大回撤: \t%s' % formatNumber(maxDrawdown))
|
||||
|
||||
self.output(u'总手续费：\t%s' % formatNumber(totalCommission))
|
||||
self.output(u'总滑点：\t%s' % formatNumber(totalSlippage))
|
||||
self.output(u'总成交金额：\t%s' % formatNumber(totalTurnover))
|
||||
self.output(u'总成交笔数：\t%s' % formatNumber(totalTradeCount))
|
||||
|
||||
self.output(u'日均盈亏：\t%s' % formatNumber(dailyNetPnl))
|
||||
self.output(u'日均手续费：\t%s' % formatNumber(dailyCommission))
|
||||
self.output(u'日均滑点：\t%s' % formatNumber(dailySlippage))
|
||||
self.output(u'日均成交金额：\t%s' % formatNumber(dailyTurnover))
|
||||
self.output(u'日均成交笔数：\t%s' % formatNumber(dailyTradeCount))
|
||||
|
||||
self.output(u'日均收益率：\t%s%%' % formatNumber(dailyReturn))
|
||||
self.output(u'收益标准差：\t%s%%' % formatNumber(returnStd))
|
||||
self.output(u'Sharpe Ratio：\t%s' % formatNumber(sharpeRatio))
|
||||
|
||||
# 绘图
|
||||
fig = plt.figure(figsize=(10, 16))
|
||||
|
||||
pBalance = plt.subplot(4, 1, 1)
|
||||
pBalance.set_title('Balance')
|
||||
df['balance'].plot(legend=True)
|
||||
|
||||
pDrawdown = plt.subplot(4, 1, 2)
|
||||
pDrawdown.set_title('Drawdown')
|
||||
pDrawdown.fill_between(range(len(df)), df['drawdown'].values)
|
||||
|
||||
pPnl = plt.subplot(4, 1, 3)
|
||||
pPnl.set_title('Daily Pnl')
|
||||
df['netPnl'].plot(kind='bar', legend=False, grid=False, xticks=[])
|
||||
|
||||
pKDE = plt.subplot(4, 1, 4)
|
||||
pKDE.set_title('Daily Pnl Distribution')
|
||||
df['netPnl'].hist(bins=50)
|
||||
|
||||
plt.show()
|
||||
|
||||
|
||||
########################################################################
|
||||
class TradingResult(object):
|
||||
@ -914,33 +1072,59 @@ class DailyResult(object):
|
||||
"""Constructor"""
|
||||
self.date = date # 日期
|
||||
self.closePrice = closePrice # 当日收盘价
|
||||
self.previousCloase = 0 # 昨日收盘价
|
||||
self.previousClose = 0 # 昨日收盘价
|
||||
|
||||
self.tradeList = [] # 成交列表
|
||||
self.tradeCount = 0 # 成交数量
|
||||
|
||||
self.openPosition = 0 # 开盘时的持仓
|
||||
self.closePosition = 0 # 收盘时的持仓
|
||||
|
||||
self.tradingPnl = 0 # 交易盈亏
|
||||
self.positionPnl = 0 # 持仓盈亏
|
||||
self.totalPnl = 0 # 总盈亏
|
||||
|
||||
self.turnover = 0 # 成交量
|
||||
self.commission = 0 # 手续费
|
||||
self.slippage = 0 # 滑点
|
||||
self.netPnl = 0 # 净盈亏
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def calculatePnl(self):
|
||||
"""计算盈亏"""
|
||||
def addTrade(self, trade):
|
||||
"""添加交易"""
|
||||
self.tradeList.append(trade)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def calculatePnl(self, openPosition=0, size=1, rate=0, slippage=0):
|
||||
"""
|
||||
计算盈亏
|
||||
size: 合约乘数
|
||||
rate：手续费率
|
||||
slippage：滑点点数
|
||||
"""
|
||||
# 持仓部分
|
||||
self.positionPnl = self.openPosition * (self.closePrice - self.previousCloase)
|
||||
self.openPosition = openPosition
|
||||
self.positionPnl = self.openPosition * (self.closePrice - self.previousClose) * size
|
||||
self.closePosition = self.openPosition
|
||||
|
||||
# 交易部分
|
||||
self.tradeCount = len(self.tradeList)
|
||||
|
||||
for trade in self.tradeList:
|
||||
if trade.direction == DIRECTION_LONG:
|
||||
posChange = trade.volume
|
||||
else:
|
||||
posChange = -trade.volume
|
||||
|
||||
self.tradingPnl += posChange * (self.closePrice - trade.price)
|
||||
self.tradingPnl += posChange * (self.closePrice - trade.price) * size
|
||||
self.closePosition += posChange
|
||||
self.turnover += trade.price * trade.volume * size
|
||||
self.commission += trade.price * trade.volume * size * rate
|
||||
self.slippage += trade.volume * size * slippage
|
||||
|
||||
# 汇总
|
||||
self.totalPnl = self.tradingPnl + self.positionPnl
|
||||
self.netPnl = self.totalPnl - self.commission - self.slippage
|
||||
|
||||
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user