[Add]backtesting function for cta strategy

requirements.txt

@@ -7,3 +7,4 @@ numpy
 pandas
 matplotlib
 seaborn
+jupyter

tests/backtesting/.ipynb_checkpoints/turtle-checkpoint.ipynb

@@ -0,0 +1,6 @@
+{
+ "cells": [],
+ "metadata": {},
+ "nbformat": 4,
+ "nbformat_minor": 2
+}

tests/backtesting/turtle.ipynb

@@ -0,0 +1,54 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 1,
+   "metadata": {},
+   "outputs": [
+    {
+     "ename": "SyntaxError",
+     "evalue": "invalid syntax (backtesting.py, line 890)",
+     "output_type": "error",
+     "traceback": [
+      "Traceback \u001b[1;36m(most recent call last)\u001b[0m:\n",
+      "  File \u001b[0;32m\"c:\\miniconda3\\lib\\site-packages\\IPython\\core\\interactiveshell.py\"\u001b[0m, line \u001b[0;32m3267\u001b[0m, in \u001b[0;35mrun_code\u001b[0m\n    exec(code_obj, self.user_global_ns, self.user_ns)\n",
+      "\u001b[1;36m  File \u001b[1;32m\"<ipython-input-1-fa539d7a6775>\"\u001b[1;36m, line \u001b[1;32m1\u001b[1;36m, in \u001b[1;35m<module>\u001b[1;36m\u001b[0m\n\u001b[1;33m    from vnpy.app.cta_strategy.backtesting import BacktestingEngine\u001b[0m\n",
+      "\u001b[1;36m  File \u001b[1;32m\"C:\\Github\\vnpy\\vnpy\\app\\cta_strategy\\backtesting.py\"\u001b[1;36m, line \u001b[1;32m890\u001b[0m\n\u001b[1;33m    rate=rate,\u001b[0m\n\u001b[1;37m       ^\u001b[0m\n\u001b[1;31mSyntaxError\u001b[0m\u001b[1;31m:\u001b[0m invalid syntax\n"
+     ]
+    }
+   ],
+   "source": [
+    "from vnpy.app.cta_strategy.backtesting import BacktestingEngine\n",
+    "from vnpy.app.cta_strategy.strategies.turtle_signal_strategy import TurtleSignalStrategy"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.7.1"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 2
+}

tests/backtesting/turtle.py

@@ -0,0 +1,29 @@
+#%%
+from vnpy.app.cta_strategy.backtesting import BacktestingEngine
+from vnpy.app.cta_strategy.strategies.turtle_signal_strategy import (
+    TurtleSignalStrategy,
+)
+from datetime import datetime
+
+#%%
+engine = BacktestingEngine()
+engine.set_parameters(
+    vt_symbol="IF88.CFFEX",
+    interval="1m",
+    start=datetime(2013, 1, 1),
+    end=datetime(2019, 1, 30),
+    rate=0,
+    slippage=0,
+    size=300,
+    pricetick=0.2,
+    capital=1_000_000,
+)
+
+#%%
+engine.add_strategy(TurtleSignalStrategy, {})
+engine.load_data()
+engine.run_backtesting()
+df = engine.calculate_result()
+engine.calculate_statistics()
+engine.show_chart()
+

vnpy/app/cta_strategy/backtesting.py

@@ -4,6 +4,7 @@ from typing import Callable
 from itertools import product
 import multiprocessing
 
+import numpy as np
 import matplotlib.pyplot as plt
 import seaborn as sns
 from pandas import DataFrame
@@ -27,6 +28,60 @@ from .template import CtaTemplate
 sns.set_style("whitegrid")
 
 
+
+class OptimizationSetting:
+    """
+    Setting for runnning optimization.
+    """
+
+    def __init__(self):
+        """"""
+        self.params = {}
+        self.target = ""
+
+    def add_parameter(
+        self, name: str, start: float, end: float = None, step: float = None
+    ):
+        """"""
+        if not end and not step:
+            self.params[name] = [start]
+            return
+
+        if start >= end:
+            print("参数优化起始点必须小于终止点")
+            return
+
+        if step <= 0:
+            print("参数优化步进必须大于0")
+            return
+
+        value = start
+        value_list = []
+
+        while value <= end:
+            value_list.append(value)
+            value += step
+
+        self.params[name] = value_list
+    
+    def set_target(self, target: str):
+        """"""
+        self.target = target
+
+    def generate_setting(self):
+        """"""
+        keys = self.params.keys()
+        values = self.params.values()
+        products = list(product(*values))
+
+        settings = []
+        for product in products:
+            setting = dict(zip(keys, product))
+            settings.append(setting)
+        
+        return settings
+
+
 class BacktestingEngine:
     """"""
 
@@ -108,15 +163,17 @@ class BacktestingEngine:
         pricetick: float,
         capital: int = 0,
         end: datetime = None,
-        mode: BacktestingMode = None,
+        mode: BacktestingMode = BacktestingMode.BAR,
     ):
         """"""
         self.mode = mode  # 1
         self.vt_symbol = vt_symbol  # 2
+        self.interval = interval
         self.rate = rate  # 3
         self.slippage = slippage  # 4
         self.size = size  #
         self.pricetick = pricetick  #
+        self.start = start
 
         self.symbol, exchange_str = self.vt_symbol.split(".")
         self.exchange = Exchange(exchange_str)
@@ -124,6 +181,9 @@ class BacktestingEngine:
         if capital:
             self.capital = capital
         
+        if end:
+            self.end = end
+
         if mode:
             self.mode = mode
 
@@ -162,7 +222,7 @@ class BacktestingEngine:
 
         self.history_data = list(s)
 
-        self.output("历史数据加载完成")
+        self.output(f"历史数据加载完成，数据量：{len(self.history_data)}")
 
     def run_backtesting(self):
         """"""
@@ -209,7 +269,7 @@ class BacktestingEngine:
         for trade in self.trades.values():
             d = trade.datetime.date()
             daily_result = self.daily_results[d]
-            d.add_trade(trade)
+            daily_result.add_trade(trade)
 
         # Calculate daily result by iteration.
         pre_close = 0
@@ -228,7 +288,7 @@ class BacktestingEngine:
 
         for daily_result in self.daily_results.values():
             for key, value in daily_result.__dict__.items():
-                results[key] = value
+                results[key].append(value)
 
         self.daily_df = DataFrame.from_dict(results).set_index("date")
 
@@ -258,8 +318,8 @@ class BacktestingEngine:
         end_date = df.index[-1]
 
         total_days = len(df)
-        profit_days = len(df[df["netPnl"] > 0])
+        profit_days = len(df[df["net_pnl"] > 0])
-        loss_days = len(df[df["netPnl"] < 0])
+        loss_days = len(df[df["net_pnl"] < 0])
 
         end_balance = df["balance"].iloc[-1]
         max_drawdown = df["drawdown"].min()
@@ -418,7 +478,7 @@ class BacktestingEngine:
 
         # Sort results and output
         result_values = [result.get() for result in results]
-        result_values.sort(reverse=True, key=lambda result:result[1])
+        result_values.sort(reverse=True, key=lambda result: result[1])
 
         for value in result_values:
             msg = f"参数：{value[0]}, 目标：{value[1]}"
@@ -426,9 +486,6 @@ class BacktestingEngine:
 
         return result_values
 
-        return resultList
-
-
     def update_daily_close(self, price: float):
         """"""
         d = self.datetime.date()
@@ -476,7 +533,7 @@ class BacktestingEngine:
             long_best_price = long_cross_price
             short_best_price = short_cross_price
 
-        for order in self.active_limit_orders.values():
+        for order in list(self.active_limit_orders.values()):
             # Push order update with status "not traded" (pending).
             if order.status == Status.SUBMITTING:
                 order.status = Status.NOTTRADED
@@ -549,7 +606,7 @@ class BacktestingEngine:
             long_best_price = long_cross_price
             short_best_price = short_cross_price
 
-        for stop_order in self.active_stop_orders.values():
+        for stop_order in list(self.active_stop_orders.values()):
             # Check whether stop order can be triggered.
             long_cross = (
                 stop_order.direction == Direction.LONG
@@ -611,6 +668,8 @@ class BacktestingEngine:
             stop_order.vt_orderid = order.vt_orderid
             stop_order.status = StopOrderStatus.TRIGGERED
 
+            self.active_stop_orders.pop(stop_order.stop_orderid)
+
             # Push update to strategy.
             self.strategy.on_stop_order(stop_order)
             self.strategy.on_order(order)
@@ -715,10 +774,12 @@ class BacktestingEngine:
         """
         Cancel all orders, both limit and stop.
         """
-        for vt_orderid in self.active_limit_orders.keys():
+        vt_orderids = list(self.active_limit_orders.keys())
+        for vt_orderid in vt_orderids:
             self.cancel_limit_order(vt_orderid)
 
-        for vt_orderid in self.active_stop_orders.keys():
+        stop_orderids = list(self.active_stop_orders.keys())
+        for vt_orderid in stop_orderids:
             self.cancel_stop_order(vt_orderid)
 
     def write_log(self, msg: str, strategy: CtaTemplate = None):
@@ -734,7 +795,7 @@ class BacktestingEngine:
         """
         return self.engine_type
 
-    def put_put_strategy_event(self, strategy: CtaTemplate):
+    def put_strategy_event(self, strategy: CtaTemplate):
         """
         Put an event to update strategy status.
         """
@@ -810,60 +871,6 @@ class DailyResult:
         self.net_pnl = self.total_pnl - self.commission - self.slippage
 
 
-class OptimizationSetting:
-    """
-    Setting for runnning optimization.
-    """
-
-    def __init__(self):
-        """"""
-        self.params = {}
-        self.target = ""
-
-    def add_parameter(
-        self, name: str, start: float, end: float = None, step: float = None
-    ):
-        """"""
-        if not end and not step:
-            self.params[name] = [start]
-            return
-
-        if start >= end:
-            print("参数优化起始点必须小于终止点")
-            return
-
-        if step <= 0:
-            print("参数优化步进必须大于0")
-            return
-
-        value = start
-        value_list = []
-
-        while value <= end:
-            value_list.append(value)
-            value += step
-
-        self.params[name] = value_list
-    
-    def set_target(self, target: str):
-        """"""
-        self.target = target
-
-    def generate_setting(self):
-        """"""
-        keys = self.params.keys()
-        values = self.params.values()
-        products = list(product(*values))
-
-        settings = []
-        for product in products:
-            setting = dict(zip(keys, product))
-            settings.append(setting)
-        
-        return settings
-
-
-
 def optimize(
     target_name: str,
     strategy_class: CtaTemplate, 
@@ -886,7 +893,7 @@ def optimize(
     engine.set_parameters(
         vt_symbol=vt_symbol,
         interval=interval,
-        start=start
+        start=start,
         rate=rate,
         slippage=slippage,
         size=size,

vnpy/app/cta_strategy/base.py

@@ -8,14 +8,14 @@ from enum import Enum
 from vnpy.trader.constant import Direction, Offset
 
 APP_NAME = "CtaStrategy"
-STOPORDER_PREFIX = "STOP."
+STOPORDER_PREFIX = "STOP"
 
 
 class CtaOrderType(Enum):
     BUY = "买开"
-    SELL = "买开"
+    SELL = "卖平"
-    SHORT = "买开"
+    SHORT = "卖开"
-    COVER = "买开"
+    COVER = "买平"
 
 
 class StopOrderStatus(Enum):

vnpy/app/cta_strategy/strategies/turtle_signal_strategy.py

@@ -38,7 +38,7 @@ class TurtleSignalStrategy(CtaTemplate):
 
     def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
         """"""
-        super(DoubleMaStrategy, self).__init__(
+        super(TurtleSignalStrategy, self).__init__(
             cta_engine, strategy_name, vt_symbol, setting
         )
 
@@ -50,6 +50,7 @@ class TurtleSignalStrategy(CtaTemplate):
         Callback when strategy is inited.
         """
         self.write_log("策略初始化")
+        self.load_bar(20)
 
     def on_start(self):
         """
@@ -83,22 +84,22 @@ class TurtleSignalStrategy(CtaTemplate):
         self.exit_up, self.exit_down = self.am.donchian(self.exit_window)
 
         if not self.pos:
-            self.atr_value = self.am.atr(self.atr_value)
+            self.atr_value = self.am.atr(self.atr_window)
 
             self.long_entry = 0
             self.short_entry = 0
             self.long_stop = 0
             self.short_stop = 0
 
-            self.send_buy_orders(self.long_entry)
+            self.send_buy_orders(self.entry_up)
-            self.send_short_orders(self.short_entry)
+            self.send_short_orders(self.entry_down)
-        elif self.pos < 0:
+        elif self.pos > 0:
             self.send_buy_orders(self.long_entry)
 
             sell_price = max(self.long_stop, self.exit_down)
             self.sell(sell_price, abs(self.pos), True)
 
-        elif self.pos > 0:
+        elif self.pos < 0:
             self.send_short_orders(self.short_entry)
 
             cover_price = min(self.short_stop, self.exit_up)
@@ -110,7 +111,7 @@ class TurtleSignalStrategy(CtaTemplate):
         """
         Callback of new trade data update.
         """
-        if trade.dierction == Direction.LONG:
+        if trade.direction == Direction.LONG:
             self.long_entry = trade.price
             self.long_stop = self.long_entry - 2 * self.atr_value
         else:

vnpy/app/cta_strategy/template.py

@@ -169,9 +169,13 @@ class CtaTemplate(ABC):
         """
         Send a new order.
         """
-        return self.cta_engine.send_order(
+        if self.trading:
+            vt_orderid = self.cta_engine.send_order(
                 self, order_type, price, volume, stop
             )
+        else:
+            vt_orderid = ""
+        return vt_orderid
 
     def cancel_order(self, vt_orderid: str):
         """

vnpy/gateway/ib/ib_gateway.py

@@ -16,15 +16,6 @@ from ibapi.order_state import OrderState
 from ibapi.ticktype import TickType
 from ibapi.wrapper import EWrapper
 
-from vnpy.trader.constant import (
-    Currency,
-    Direction,
-    Exchange,
-    OptionType,
-    PriceType,
-    Product,
-    Status,
-)
 from vnpy.trader.gateway import BaseGateway
 from vnpy.trader.object import (
     AccountData,
@@ -414,7 +405,7 @@ class IbApi(EWrapper):
         pos = PositionData(
             symbol=contract.conId,
             exchange=EXCHANGE_IB2VT.get(contract.exchange, contract.exchange),
-            direction=DIRECTION_NET,
+            direction=Direction.NET,
             volume=position,
             price=averageCost,
             pnl=unrealizedPNL,
@@ -430,9 +421,7 @@ class IbApi(EWrapper):
         for account in self.accounts.values():
             self.gateway.on_account(copy(account))
 
-    def contractDetails(
+    def contractDetails(self, reqId: int, contractDetails: ContractDetails):  # pylint: disable=invalid-name
-        self, reqId: int, contractDetails: ContractDetails
-    ):  # pylint: disable=invalid-name
         """
         Callback of contract data update.
         """

vnpy/trader/database.py

@@ -1,13 +1,6 @@
 """"""
 
-from peewee import (
+from peewee import SqliteDatabase, Model, CharField, DateTimeField, FloatField
-    SqliteDatabase,
-    Model,
-    CharField,
-    DateTimeField,
-    FloatField,
-    IntegerField,
-)
 
 from .constant import Exchange, Interval
 from .object import BarData, TickData
@@ -73,10 +66,10 @@ class DbBarData(Model):
             datetime=self.datetime,
             interval=Interval(self.interval),
             volume=self.volume,
-            open_price=open_price,
+            open_price=self.open_price,
-            high_price=high_price,
+            high_price=self.high_price,
-            low_price=low_price,
+            low_price=self.low_price,
-            close_price=close_price,
+            close_price=self.close_price,
             gateway_name=self.gateway_name,
         )
         return bar

vnpy/trader/event.py

@@ -2,7 +2,7 @@
 Event type string used in VN Trader.
 """
 
-from vnpy.event import EVENT_TIMER
+from vnpy.event import EVENT_TIMER  # noqa
 
 EVENT_TICK = "eTick."
 EVENT_TRADE = "eTrade."

vnpy/trader/gateway.py

@@ -6,7 +6,15 @@ from abc import ABC, abstractmethod
 from typing import Any
 
 from vnpy.event import Event, EventEngine
-from .event import EVENT_ACCOUNT, EVENT_CONTRACT, EVENT_LOG, EVENT_CONTRACT
+from .event import (
+    EVENT_TICK,
+    EVENT_TRADE,
+    EVENT_ORDER,
+    EVENT_POSITION,
+    EVENT_ACCOUNT,
+    EVENT_CONTRACT,
+    EVENT_LOG,
+)
 from .object import (
     TickData,
     OrderData,
@@ -17,7 +25,7 @@ from .object import (
     LogData,
     OrderRequest,
     CancelRequest,
-    SubscribeRequest
+    SubscribeRequest,
 )
 
 

vnpy/trader/utility.py

@@ -224,10 +224,10 @@ class ArrayManager(object):
         self.close_array[:-1] = self.close_array[1:]
         self.volume_array[:-1] = self.volume_array[1:]
 
-        self.open_array[-1] = bar.open
+        self.open_array[-1] = bar.open_price
-        self.high_array[-1] = bar.high
+        self.high_array[-1] = bar.high_price
-        self.low_array[-1] = bar.low
+        self.low_array[-1] = bar.low_price
-        self.close_array[-1] = bar.close
+        self.close_array[-1] = bar.close_price
         self.volume_array[-1] = bar.volume
 
     @property