From a11e6be3ce8448b81abfbfa34681afc30eef8902 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Fri, 3 May 2019 17:01:47 +0800 Subject: [PATCH] [Add]run ga optimization in CtaBacktester --- .flake8 | 1 + tests/backtesting/turtle.ipynb | 59 ++++++++++++++++++++++++++-- vnpy/app/cta_backtester/engine.py | 51 +++++++++++++++--------- vnpy/app/cta_backtester/ui/widget.py | 29 +++++++++++--- vnpy/app/cta_strategy/backtesting.py | 15 ++++--- 5 files changed, 121 insertions(+), 34 deletions(-) diff --git a/.flake8 b/.flake8 index ab63c931..10742c16 100644 --- a/.flake8 +++ b/.flake8 @@ -5,3 +5,4 @@ ignore = W503 line break before binary operator W293 blank line contains whitespace W291 trailing whitespace + W391 blank line at end of file diff --git a/tests/backtesting/turtle.ipynb b/tests/backtesting/turtle.ipynb index 822614f8..a3a4db10 100644 --- a/tests/backtesting/turtle.ipynb +++ b/tests/backtesting/turtle.ipynb @@ -2,7 +2,7 @@ "cells": [ { "cell_type": "code", - "execution_count": null, + "execution_count": 1, "metadata": {}, "outputs": [], "source": [ @@ -16,7 +16,7 @@ }, { "cell_type": "code", - "execution_count": null, + "execution_count": 2, "metadata": {}, "outputs": [], "source": [ @@ -54,11 +54,62 @@ }, { "cell_type": "code", - "execution_count": null, + "execution_count": 3, "metadata": { "scrolled": true }, - "outputs": [], + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + "2019-05-03 16:19:04.193703\t开始运行遗传算法，每代族群总数：11, 优良品种筛选个数：8，迭代次数：30，交叉概率：0.95，突变概率：0.050000000000000044\n", + "gen\tnevals\tmean \tstd \tmin \tmax \n", + "0 \t11 \t[0.58423524]\t[0.30377007]\t[0.13231977]\t[1.2382818]\n", + "1 \t11 \t[0.90248989]\t[0.15747112]\t[0.68707859]\t[1.2382818]\n", + "2 \t11 \t[1.09406088]\t[0.18860523]\t[0.86284921]\t[1.46762684]\n", + "3 \t11 \t[1.21413386]\t[0.12138014]\t[1.02072108]\t[1.46762684]\n", + "4 \t11 \t[1.29561806]\t[0.09930932]\t[1.2382818] \t[1.46762684]\n", + "5 \t11 \t[1.41029058]\t[0.09930932]\t[1.2382818] \t[1.46762684]\n", + "6 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "7 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "8 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "9 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "10 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "11 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "12 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "13 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "14 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "15 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "16 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "17 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "18 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "19 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "20 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "21 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "22 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "23 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "24 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "25 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "26 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "27 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "28 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "29 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "30 \t11 \t[1.46762684]\t[0.] \t[1.46762684]\t[1.46762684]\n", + "2019-05-03 16:19:58.256354\t遗传算法优化完成，耗时54秒\n" + ] + }, + { + "data": { + "text/plain": [ + "[({'atr_length': 38, 'atr_ma_length': 25}, 1.4676268402266743)]" + ] + }, + "execution_count": 3, + "metadata": {}, + "output_type": "execute_result" + } + ], "source": [ "setting = OptimizationSetting()\n", "setting.set_target(\"sharpe_ratio\")\n", diff --git a/vnpy/app/cta_backtester/engine.py b/vnpy/app/cta_backtester/engine.py index 9da8e6f7..573feefe 100644 --- a/vnpy/app/cta_backtester/engine.py +++ b/vnpy/app/cta_backtester/engine.py @@ -222,20 +222,25 @@ class BacktesterEngine(BaseEngine): return strategy_class.get_class_parameters() def run_optimization( - self, - class_name: str, - vt_symbol: str, - interval: str, - start: datetime, - end: datetime, - rate: float, - slippage: float, - size: int, - pricetick: float, - capital: int, - optimization_setting: OptimizationSetting): + self, + class_name: str, + vt_symbol: str, + interval: str, + start: datetime, + end: datetime, + rate: float, + slippage: float, + size: int, + pricetick: float, + capital: int, + optimization_setting: OptimizationSetting, + use_ga: bool + ): """""" - self.write_log("开始多进程参数优化") + if use_ga: + self.write_log("开始遗传算法参数优化") + else: + self.write_log("开始多进程参数优化") self.result_values = None @@ -260,10 +265,16 @@ class BacktesterEngine(BaseEngine): {} ) - self.result_values = engine.run_optimization( - optimization_setting, - output=False - ) + if use_ga: + self.result_values = engine.run_ga_optimization( + optimization_setting, + output=False + ) + else: + self.result_values = engine.run_optimization( + optimization_setting, + output=False + ) # Clear thread object handler. self.thread = None @@ -285,7 +296,8 @@ class BacktesterEngine(BaseEngine): size: int, pricetick: float, capital: int, - optimization_setting: OptimizationSetting + optimization_setting: OptimizationSetting, + use_ga: bool ): if self.thread: self.write_log("已有任务在运行中，请等待完成") @@ -305,7 +317,8 @@ class BacktesterEngine(BaseEngine): size, pricetick, capital, - optimization_setting + optimization_setting, + use_ga ) ) self.thread.start() diff --git a/vnpy/app/cta_backtester/ui/widget.py b/vnpy/app/cta_backtester/ui/widget.py index 74eddac9..2198c11d 100644 --- a/vnpy/app/cta_backtester/ui/widget.py +++ b/vnpy/app/cta_backtester/ui/widget.py @@ -240,7 +240,7 @@ class BacktesterManager(QtWidgets.QWidget): if i != dialog.Accepted: return - optimization_setting = dialog.get_setting() + optimization_setting, use_ga = dialog.get_setting() self.target_display = dialog.target_display self.backtester_engine.start_optimization( @@ -254,7 +254,8 @@ class BacktesterManager(QtWidgets.QWidget): size, pricetick, capital, - optimization_setting + optimization_setting, + use_ga ) self.result_button.setEnabled(False) @@ -592,6 +593,7 @@ class OptimizationSettingEditor(QtWidgets.QDialog): self.edits = {} self.optimization_setting = None + self.use_ga = False self.init_ui() @@ -642,12 +644,27 @@ class OptimizationSettingEditor(QtWidgets.QDialog): row += 1 - button = QtWidgets.QPushButton("确定") - button.clicked.connect(self.generate_setting) - grid.addWidget(button, row, 0, 1, 4) + parallel_button = QtWidgets.QPushButton("多进程优化") + parallel_button.clicked.connect(self.generate_parallel_setting) + grid.addWidget(parallel_button, row, 0, 1, 4) + + row += 1 + ga_button = QtWidgets.QPushButton("遗传算法优化") + ga_button.clicked.connect(self.generate_ga_setting) + grid.addWidget(ga_button, row, 0, 1, 4) self.setLayout(grid) + def generate_ga_setting(self): + """""" + self.use_ga = True + self.generate_setting() + + def generate_parallel_setting(self): + """""" + self.use_ga = False + self.generate_setting() + def generate_setting(self): """""" self.optimization_setting = OptimizationSetting() @@ -676,7 +693,7 @@ class OptimizationSettingEditor(QtWidgets.QDialog): def get_setting(self): """""" - return self.optimization_setting + return self.optimization_setting, self.use_ga class OptimizationResultMonitor(QtWidgets.QDialog): diff --git a/vnpy/app/cta_strategy/backtesting.py b/vnpy/app/cta_strategy/backtesting.py index bb670872..fc4875ce 100644 --- a/vnpy/app/cta_strategy/backtesting.py +++ b/vnpy/app/cta_strategy/backtesting.py @@ -601,8 +601,12 @@ class BacktestingEngine: # toolbox.register("map", pool.map) # Run ga optimization - msg = "开始运行遗传算法，每代族群总数：%s, 优良品种筛选个数：%s，迭代次数：%s，交叉概率：%s，突变概率：%s" % (pop_size, mu, ngen, cxpb, mutpb) - self.output(msg) + self.output(f"参数优化空间：{total_size}") + self.output(f"每代族群总数：{pop_size}") + self.output(f"优良筛选个数：{mu}") + self.output(f"迭代次数：{ngen}") + self.output(f"交叉概率：{cxpb:.0%}") + self.output(f"突变概率：{mutpb:.0%}") start = time() @@ -617,7 +621,7 @@ class BacktestingEngine: stats, halloffame=hof ) - + end = time() cost = int((end - start)) @@ -630,7 +634,7 @@ class BacktestingEngine: for parameter_values in hof: setting = dict(zip(parameter_keys, parameter_values)) target_value = ga_optimize(parameter_values)[0] - results.append((setting, target_value)) + results.append((setting, target_value, {})) return results @@ -1059,12 +1063,13 @@ def optimize( pricetick: float, capital: int, end: datetime, - mode: BacktestingMode, + mode: BacktestingMode ): """ Function for running in multiprocessing.pool """ engine = BacktestingEngine() + engine.set_parameters( vt_symbol=vt_symbol, interval=interval,