[Add]新增CTA回测的百分比最大回撤和年化收益率

vnpy/trader/app/ctaStrategy/ctaBacktesting.py

@@ -971,6 +971,7 @@ class BacktestingEngine(object):
         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']        
+        df['ddPercent'] = df['drawdown'] / df['highlevel'] * 100
         
         # 计算统计结果
         startDate = df.index[0]
@@ -982,6 +983,7 @@ class BacktestingEngine(object):
         
         endBalance = df['balance'].iloc[-1]
         maxDrawdown = df['drawdown'].min()
+        maxDdPercent = df['ddPercent'].min()
         
         totalNetPnl = df['netPnl'].sum()
         dailyNetPnl = totalNetPnl / totalDays
@@ -999,6 +1001,7 @@ class BacktestingEngine(object):
         dailyTradeCount = totalTradeCount / totalDays
         
         totalReturn = (endBalance/self.capital - 1) * 100
+        annualizedReturn = totalReturn / totalDays * 240
         dailyReturn = df['return'].mean() * 100
         returnStd = df['return'].std() * 100
         
@@ -1016,6 +1019,7 @@ class BacktestingEngine(object):
             'lossDays': lossDays,
             'endBalance': endBalance,
             'maxDrawdown': maxDrawdown,
+            'maxDdPercent': maxDdPercent,
             'totalNetPnl': totalNetPnl,
             'dailyNetPnl': dailyNetPnl,
             'totalCommission': totalCommission,
@@ -1027,6 +1031,7 @@ class BacktestingEngine(object):
             'totalTradeCount': totalTradeCount,
             'dailyTradeCount': dailyTradeCount,
             'totalReturn': totalReturn,
+            'annualizedReturn': annualizedReturn,
             'dailyReturn': dailyReturn,
             'returnStd': returnStd,
             'sharpeRatio': sharpeRatio
@@ -1053,9 +1058,11 @@ class BacktestingEngine(object):
         self.output(u'起始资金：\t%s' % self.capital)
         self.output(u'结束资金：\t%s' % formatNumber(result['endBalance']))
     
-        self.output(u'总收益率：\t%s' % formatNumber(result['totalReturn']))
+        self.output(u'总收益率：\t%s%%' % formatNumber(result['totalReturn']))
+        self.output(u'年化收益：\t%s%%' % formatNumber(result['annualizedReturn']))
         self.output(u'总盈亏：\t%s' % formatNumber(result['totalNetPnl']))
-        self.output(u'最大回撤: \t%s' % formatNumber(result['maxDrawdown']))      
+        self.output(u'最大回撤: \t%s' % formatNumber(result['maxDrawdown']))   
+        self.output(u'百分比最大回撤: %s%%' % formatNumber(result['maxDdPercent']))   
         
         self.output(u'总手续费：\t%s' % formatNumber(result['totalCommission']))
         self.output(u'总滑点：\t%s' % formatNumber(result['totalSlippage']))