From ab9d99d725eeb54eea57f3ce8a48836f00a42a49 Mon Sep 17 00:00:00 2001 From: chenxy123 Date: Thu, 28 Jul 2016 21:58:28 +0800 Subject: [PATCH] =?UTF-8?q?=E5=A2=9E=E5=8A=A0CTA=E6=A8=A1=E5=9D=97?= =?UTF-8?q?=E5=9B=9E=E6=B5=8B=E5=BC=95=E6=93=8E=E4=B8=AD=E7=9A=84=E7=81=B5?= =?UTF-8?q?=E6=B4=BB=E6=89=8B=E6=95=B0=E8=AE=A1=E7=AE=97=E5=8A=9F=E8=83=BD?= =?UTF-8?q?=EF=BC=8C=E5=85=81=E8=AE=B8=E6=AF=8F=E6=AC=A1=E5=A7=94=E6=89=98?= =?UTF-8?q?=E7=9A=84=E6=95=B0=E9=87=8F=E4=B8=8D=E4=B8=80=E6=A0=B7=EF=BC=8C?= =?UTF-8?q?=E5=AE=9E=E7=8E=B0=E8=87=AA=E5=8A=A8=E6=AF=94=E8=BE=83=E6=B8=85?= =?UTF-8?q?=E7=AE=97?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vn.trader/ctaAlgo/ctaBacktesting.py | 120 +++++++++++++++++++++------- 1 file changed, 89 insertions(+), 31 deletions(-) diff --git a/vn.trader/ctaAlgo/ctaBacktesting.py b/vn.trader/ctaAlgo/ctaBacktesting.py index 50a8027b..fd9fe736 100644 --- a/vn.trader/ctaAlgo/ctaBacktesting.py +++ b/vn.trader/ctaAlgo/ctaBacktesting.py @@ -455,7 +455,8 @@ class BacktestingEngine(object): self.output(u'计算回测结果') # 首先基于回测后的成交记录，计算每笔交易的盈亏 - resultDict = OrderedDict() # 交易结果记录 + resultList = [] # 交易结果列表 + longTrade = [] # 未平仓的多头交易 shortTrade = [] # 未平仓的空头交易 @@ -467,26 +468,83 @@ class BacktestingEngine(object): longTrade.append(trade) # 当前多头交易为平空 else: - entryTrade = shortTrade.pop(0) - - result = TradingResult(entryTrade.price, trade.price, -trade.volume, - self.rate, self.slippage, self.size) - resultDict[trade.dt] = result + while True: + entryTrade = shortTrade[0] + exitTrade = trade + + # 清算开平仓交易 + closedVolume = min(exitTrade.volume, entryTrade.volume) + result = TradingResult(entryTrade.price, entryTrade.dt, + exitTrade.price, exitTrade.dt, + -closedVolume, self.rate, self.slippage, self.size) + resultList.append(result) + + # 计算未清算部分 + entryTrade.volume -= closedVolume + exitTrade.volume -= closedVolume + + # 如果开仓交易已经全部清算，则从列表中移除 + if not entryTrade.volume: + shortTrade.pop(0) + + # 如果平仓交易已经全部清算，则退出循环 + if not exitTrade.volume: + break + + # 如果平仓交易未全部清算， + if exitTrade.volume: + # 且开仓交易已经全部清算完，则平仓交易剩余的部分 + # 等于新的反向开仓交易，添加到队列中 + if not shortTrade: + longTrade.append(exitTrade) + break + # 如果开仓交易还有剩余，则进入下一轮循环 + else: + pass + # 空头交易 else: # 如果尚无多头交易 if not longTrade: shortTrade.append(trade) # 当前空头交易为平多 - else: - entryTrade = longTrade.pop(0) - - result = TradingResult(entryTrade.price, trade.price, trade.volume, - self.rate, self.slippage, self.size) - resultDict[trade.dt] = result + else: + while True: + entryTrade = longTrade[0] + exitTrade = trade + + # 清算开平仓交易 + closedVolume = min(exitTrade.volume, entryTrade.volume) + result = TradingResult(entryTrade.price, entryTrade.dt, + exitTrade.price, exitTrade.dt, + -closedVolume, self.rate, self.slippage, self.size) + resultList.append(result) + + # 计算未清算部分 + entryTrade.volume -= closedVolume + exitTrade.volume -= closedVolume + + # 如果开仓交易已经全部清算，则从列表中移除 + if not entryTrade.volume: + longTrade.pop(0) + + # 如果平仓交易已经全部清算，则退出循环 + if not exitTrade.volume: + break + + # 如果平仓交易未全部清算， + if exitTrade.volume: + # 且开仓交易已经全部清算完，则平仓交易剩余的部分 + # 等于新的反向开仓交易，添加到队列中 + if not longTrade: + shortTrade.append(exitTrade) + break + # 如果开仓交易还有剩余，则进入下一轮循环 + else: + pass # 检查是否有交易 - if not resultDict: + if not resultList: self.output(u'无交易结果') return {} @@ -505,18 +563,13 @@ class BacktestingEngine(object): capitalList = [] # 盈亏汇总的时间序列 drawdownList = [] # 回撤的时间序列 - winningResult = 0 # 盈利次数 - losingResult = 0 # 亏损次数 - totalWinning = 0 # 总盈利金额 - totalLosing = 0 # 总亏损金额 - - for time, result in resultDict.items(): + for result in resultList: capital += result.pnl maxCapital = max(capital, maxCapital) drawdown = capital - maxCapital pnlList.append(result.pnl) - timeList.append(time) + timeList.append(result.exitDt) # 交易的时间戳使用平仓时间 capitalList.append(capital) drawdownList.append(drawdown) @@ -537,7 +590,7 @@ class BacktestingEngine(object): averageWinning = totalWinning/winningResult # 平均每笔盈利 averageLosing = totalLosing/losingResult # 平均每笔亏损 profitLossRatio = -averageWinning/averageLosing # 盈亏比 - + # 返回回测结果 d = {} d['capital'] = capital @@ -550,7 +603,7 @@ class BacktestingEngine(object): d['timeList'] = timeList d['pnlList'] = pnlList d['capitalList'] = capitalList - d['drawdownList'] = drawdownList + d['drawdownList'] = drawdownList d['winningRate'] = winningRate d['averageWinning'] = averageWinning d['averageLosing'] = averageLosing @@ -580,7 +633,7 @@ class BacktestingEngine(object): self.output(u'平均每笔盈利\t%s' %formatNumber(d['averageWinning'])) self.output(u'平均每笔亏损\t%s' %formatNumber(d['averageLosing'])) self.output(u'盈亏比：\t%s' %formatNumber(d['profitLossRatio'])) - + # 绘图 import matplotlib.pyplot as plt @@ -674,17 +727,22 @@ class TradingResult(object): """每笔交易的结果""" #---------------------------------------------------------------------- - def __init__(self, entry, exit, volume, rate, slippage, size): + def __init__(self, entryPrice, entryDt, exitPrice, + exitDt, volume, rate, slippage, size): """Constructor""" - self.entry = entry # 开仓价格 - self.exit = exit # 平仓价格 + self.entryPrice = entryPrice # 开仓价格 + self.exitPrice = exitPrice # 平仓价格 + + self.entryDt = entryDt # 开仓时间datetime + self.exitDt = exitDt # 平仓时间 + self.volume = volume # 交易数量（+/-代表方向） - self.turnover = (self.entry+self.exit)*size*abs(volume) # 成交金额 - self.commission = self.turnover*rate # 手续费成本 - self.slippage = slippage*2*size*abs(volume) # 滑点成本 - self.pnl = ((self.exit - self.entry) * volume * size - - self.commission - self.slippage) # 净盈亏 + self.turnover = (self.entryPrice+self.exitPrice)*size*abs(volume) # 成交金额 + self.commission = self.turnover*rate # 手续费成本 + self.slippage = slippage*2*size*abs(volume) # 滑点成本 + self.pnl = ((self.exitPrice - self.entryPrice) * volume * size + - self.commission - self.slippage) # 净盈亏 ########################################################################