diff --git a/vn.strategy/strategydemo/backtestingEngine.py b/vn.strategy/strategydemo/backtestingEngine.py index fb4f9634..ed380e92 100644 --- a/vn.strategy/strategydemo/backtestingEngine.py +++ b/vn.strategy/strategydemo/backtestingEngine.py @@ -69,6 +69,16 @@ class BacktestingEngine(object): # 回测编号 self.Id = datetime.now().strftime('%Y%m%d-%H%M%S') + + # 回测对象 + self.symbol = '' + + # 回测开始日期 + self.startDate = None + + # 回测结束日期 + self.endDate = None + #---------------------------------------------------------------------- def setStrategyEngine(self, engine): @@ -114,16 +124,27 @@ class BacktestingEngine(object): def connectMysql(self): """连接MysqlDB""" try: - self.__mysqlConnection = MySQLdb.connect(host='vnpy.cloudapp.net', user='stockcn', - passwd='7uhb*IJN', db='stockcn', port=3306) + self.__mysqlConnection = MySQLdb.connect(host='vnpy.cloudapp.net', user='vnpy', + passwd='vnpy', db='stockcn', port=3306) self.__mysqlConnected = True self.writeLog(u'回测引擎连接MysqlDB成功') except ConnectionFailure: self.writeLog(u'回测引擎连接MysqlDB失败') + #---------------------------------------------------------------------- + def setDataHistory(self, symbol, startDate, endDate): + """设置Tick历史数据的加载要求""" + self.symbol = symbol + self.startDate = startDate + self.endDate = endDate + + #---------------------------------------------------------------------- def loadDataHistory(self, symbol, startDate, endDate): - """载入历史TICK数据,""" + """载入历史TICK数据 + 如果加载过多数据会导致加载失败,间隔不要超过半年 + """ + if not endDate: endDate = datetime.today() @@ -156,10 +177,10 @@ class BacktestingEngine(object): """看本地缓存是否存在""" # 运行路径下cache子目录 - cacheFolder = os.getcwd()+'\/cache' + cacheFolder = os.getcwd()+'/cache' # cache文件 - cacheFile = u'{0}\/{1}_{2}_{3}.pickle'.\ + cacheFile = u'{0}/{1}_{2}_{3}.pickle'.\ format(cacheFolder, symbol, startDate.strftime('%Y-%m-%d'), endDate.strftime('%Y-%m-%d')) if not os.path.isfile(cacheFile): @@ -176,14 +197,14 @@ class BacktestingEngine(object): """保存本地缓存""" # 运行路径下cache子目录 - cacheFolder = os.getcwd()+'\/cache' + cacheFolder = os.getcwd()+'/cache' # 创建cache子目录 if not os.path.isdir(cacheFolder): os.mkdir(cacheFolder) # cache 文件名 - cacheFile = u'{0}\/{1}_{2}_{3}.pickle'.\ + cacheFile = u'{0}/{1}_{2}_{3}.pickle'.\ format(cacheFolder, symbol, startDate.strftime('%Y-%m-%d'), endDate.strftime('%Y-%m-%d')) # 重复存在 返回 @@ -202,7 +223,7 @@ class BacktestingEngine(object): """从Mysql载入历史TICK数据,""" #Todo :判断开始和结束时间，如果间隔天过长，数据量会过大，需要批次提取。 try: - + self.connectMysql() if self.__mysqlConnected: @@ -381,25 +402,50 @@ class BacktestingEngine(object): def startBacktesting(self): """开始回测""" - ISOTIMEFORMAT = '%Y-%m-%d %X' + if not self.startDate: + self.writeLog(u'回测开始日期未设置。') + return + + if not self.endDate: + self.endDate = datetime.today() + + if len(self.symbol)<1: + self.writeLog(u'回测对象未设置。') + return t1 = datetime.now() - self.writeLog(u'开始回测,{0}'.format(str(t1 ))) - for data in self.listDataHistory: + # 每次获取日期周期 + intervalDays = 90 + for i in range (0,(self.endDate - self.startDate).days +1, intervalDays): + d1 = self.startDate + timedelta(days = i ) - # 记录最新的TICK数据 - self.currentData = data + if (self.endDate - d1).days > 10: + d2 = self.startDate + timedelta(days = i + intervalDays -1 ) + else: + d2 = self.endDate - # 处理限价单 - self.processLimitOrder() + # 提取历史数据 + self.loadDataHistory(self.symbol, d1, d2) - # 推送到策略引擎中 - event = Event() - event.dict_['data'] = data - self.strategyEngine.updateMarketData(event) + # 将逐笔数据推送 + for data in self.listDataHistory: + + # 记录最新的TICK数据 + self.currentData = data + + # 处理限价单 + self.processLimitOrder() + + # 推送到策略引擎中 + event = Event() + event.dict_['data'] = data + self.strategyEngine.updateMarketData(event) + + # 清空历史数据 + self.listDataHistory = [] # 保存交易到本地结果 self.saveTradeData() diff --git a/vn.strategy/strategydemo/demoBacktesting.py b/vn.strategy/strategydemo/demoBacktesting.py index b1636cb5..ac210a5e 100644 --- a/vn.strategy/strategydemo/demoBacktesting.py +++ b/vn.strategy/strategydemo/demoBacktesting.py @@ -22,7 +22,8 @@ def main(): be.connectMysql() # be.loadMongoDataHistory(symbol, datetime(2015,5,1), datetime.today()) # be.loadMongoDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14)) - be.loadDataHistory(symbol, datetime(2012,1,1), datetime(2012,1,30)) + + be.setDataHistory(symbol, datetime(2012,1,1), datetime(2012,12,31)) # 创建策略对象 setting = {} diff --git a/vn.strategy/strategydemo/demoStrategy.py b/vn.strategy/strategydemo/demoStrategy.py index 135cf8ca..9f9f8835 100644 --- a/vn.strategy/strategydemo/demoStrategy.py +++ b/vn.strategy/strategydemo/demoStrategy.py @@ -374,7 +374,7 @@ def main(): # 创建策略对象 setting = {} setting['fastAlpha'] = 0.2 - setting['slowAlpha'] = 0.09 + setting['slowAlpha'] = 0.05 # se.createStrategy(u'EMA演示策略', 'IF1506', SimpleEmaStrategy, setting) se.createStrategy(u'EMA演示策略', 'a', SimpleEmaStrategy, setting) diff --git a/vn.strategy/strategydemo/strategyEngine.py b/vn.strategy/strategydemo/strategyEngine.py index 56bccfdb..5d88b878 100644 --- a/vn.strategy/strategydemo/strategyEngine.py +++ b/vn.strategy/strategydemo/strategyEngine.py @@ -443,12 +443,12 @@ class StrategyEngine(object): """ # 保存本地pickle文件 - resultPath=os.getcwd()+'\/result' + resultPath=os.getcwd()+'/result' if not os.path.isdir(resultPath): os.mkdir(resultPath) - resultFile = u'{0}\\{1}_Bar.pickle'.format(resultPath,id) + resultFile = u'{0}/{1}_Bar.pickle'.format(resultPath,id) cache= open(resultFile, mode='w') @@ -520,12 +520,12 @@ class StrategyEngine(object): """ # 保存本地pickle文件 - resultPath=os.getcwd()+'\/result' + resultPath=os.getcwd()+'/result' if not os.path.isdir(resultPath): os.mkdir(resultPath) - resultFile = u'{0}\\{1}_Ema.pickle'.format(resultPath, id) + resultFile = u'{0}/{1}_Ema.pickle'.format(resultPath, id) cache= open(resultFile, mode='w') cPickle.dump(emaList,cache) cache.close()