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[Add] backtesting tool of CtaStrategy app

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vn.py 2019-01-24 14:13:57 +08:00
parent 9d5866e997
commit d45b82e110
6 changed files with 822 additions and 19 deletions
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1
requirements.txt
View File

@ -2,3 +2,4 @@ PyQt5
qdarkstyle
futu-api
websocket-client
peewee

762
vnpy/app/cta_strategy/backtesting.py
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@ -0,0 +1,762 @@
from typing import Any, Callable
from datetime import datetime, date
from collections import defaultdict
import numpy as np
import matplotlib.pyplot as plt
from pandas import DataFrame
from vnpy.trader.constant import Interval, Status, Direction, Exchange
from vnpy.trader.utility import round_to_pricetick
from vnpy.trader.database import DbTickData, DbBarData
from vnpy.trader.object import TradeData, OrderData
from .base import (
STOPORDER_PREFIX,
CtaOrderType,
StopOrderStatus,
EngineType,
StopOrder,
BacktestingMode,
ORDER_CTA2VT
)
from .template import CtaTemplate
class BacktestingEngine:
""""""
engine_type = EngineType.BACKTESTING
gateway_name = "BACKTESTING"
def __init__(self):
""""""
self.vt_symbol = ""
self.symbol = ""
self.exchange = None
self.start = None
self.end = None
self.rate = 0
self.slippage = 0
self.size = 1
self.pricetick = 0
self.capital = 1000000
self.mode = BacktestingMode.BAR
self.strategy = None
self.tick = None
self.bar = None
self.datetime = None
self.interval = None
self.days = 0
self.callback = None
self.history_data = []
self.stop_order_count = 0
self.stop_orders = {}
self.active_stop_orders = {}
self.limit_order_count = 0
self.limit_orders = {}
self.active_limit_orders = {}
self.trade_count = 0
self.trades = {}
self.logs = []
self.daily_results = {}
self.daily_df = None
def clear_data(self):
"""
Clear all data of last backtesting.
"""
self.strategy = None
self.tick = None
self.bar = None
self.datetime = None
self.stop_order_count = 0
self.stop_orders.clear()
self.active_stop_orders.clear()
self.limit_order_count = 0
self.limit_orders.clear()
self.active_limit_orders.clear()
self.trade_count = 0
self.trades.clear()
self.logs.clear()
self.daily_results.clear()
def set_parameters(
self,
vt_symbol: str,
interval: Interval,
start: datetime,
rate: float,
slippage: float,
size: float,
pricetick: float,
capital: int = 0,
end: datetime = None,
mode: BacktestingMode = None
):
""""""
self.mode = mode
self.vt_symbol = vt_symbol
self.rate = rate
self.slippage = slippage
self.size = size
self.pricetick = pricetick
self.symbol, exchange_str = self.vt_symbol.split(".")
self.exchange = Exchange(exchange_str)
if capital:
self.capital = capital
if mode:
self.mode = mode
def add_strategy(self, strategy_class: type, setting: dict):
""""""
self.strategy = strategy_class(
self,
strategy_class.__name__,
self.vt_symbol,
setting
)
def load_data(self):
""""""
self.output("开始加载历史数据")
if self.mode == BacktestingMode.BAR:
s = DbBarData.select().where(
(DbBarData.vt_symbol == self.vt_symbol) &
(DbBarData.interval == self.interval) &
(DbBarData.datetime >= self.start) &
(DbBarData.datetime <= self.end)
).order_by(DbBarData.datetime)
else:
s = DbTickData.select().where(
(DbTickData.vt_symbol == self.vt_symbol) &
(DbTickData.datetime >= self.start) &
(DbTickData.datetime <= self.end)
).order_by(DbTickData.datetime)
self.history_data = list(s)
self.output("历史数据加载完成")
def run_backtesting(self):
""""""
if self.mode == BacktestingMode.BAR:
func = self.new_bar
else:
func = self.new_tick
self.strategy.on_init()
# Use the first [days] of history data for initializing strategy
day_count = 0
for ix, data in enumerate(self.history_data):
if (self.datetime and data.datetime.day != self.datetime.day):
day_count += 1
if day_count >= self.days:
break
self.datetime = data.datetime
self.callback(data)
self.strategy.inited = True
self.output("策略初始化完成")
self.strategy.on_start()
self.strategy.trading = True
self.output("开始回放历史数据")
# Use the rest of history data for running backtesting
for data in self.history_data[ix:]:
func(data)
self.output("历史数据回放结束")
def calculate_result(self):
""""""
self.output("开始计算逐日盯市盈亏")
if not self.trades:
self.output("成交记录为空，无法计算")
return
# Add trade data into daily reuslt.
for trade in self.trades.values():
d = trade.datetime.date()
daily_result = self.daily_results[d]
d.add_trade(trade)
# Calculate daily result by iteration.
pre_close = 0
start_pos = 0
for daily_result in self.daily_results.values():
daily_result.calculate_pnl(
pre_close,
start_pos,
self.size,
self.rate,
self.slippage
)
pre_close = daily_result.close_price
start_pos = daily_result.end_pos
# Generate dataframe
results = defaultdict(list)
for daily_result in self.daily_results.values():
for key, value in daily_result.__dict__.items():
results[key] = value
self.daily_df = DataFrame.from_dict(results).set_index("date")
self.output("逐日盯市盈亏计算完成")
return self.daily_df
def calculate_statistics(self, df: DataFrame = None):
""""""
self.output("开始计算策略统计指标")
if not df:
df = self.daily_df
# Calculate balance related time series data
df["balance"] = df["net_pnl"].cumsum() + self.capital
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
# Calculate statistics value
start_date = df.index[0]
end_date = df.index[-1]
total_days = len(df)
profit_days = len(df[df["netPnl"]>0])
loss_days = len(df[df["netPnl"]<0])
end_balance = df["balance"].iloc[-1]
max_drawdown = df["drawdown"].min()
max_ddpercent = df["ddpercent"].min()
total_net_pnl = df["net_pnl"].sum()
daily_net_pnl = total_net_pnl / total_days
total_commission = df["commission"].sum()
daily_commission = total_commission / total_days
total_slippage = df["slippage"].sum()
daily_slippage = total_slippage / total_days
total_turnover = df["turnover"].sum()
daily_turnover = total_turnover / total_days
total_trade_count = df["trade_count"].sum()
daily_trade_count = total_trade_count / total_days
total_return = (end_balance/self.capital - 1) * 100
annual_return = total_return / total_days * 240
daily_return = df["return"].mean() * 100
return_std = df["return"].std() * 100
if return_std:
sharpe_ratio = daily_return / return_std * np.sqrt(240)
else:
sharpe_ratio = 0
# Output
# 输出统计结果
self.output("-" * 30)
self.output(f"首个交易日：\t{start_date}")
self.output(f"最后交易日：\t{end_date}")
self.output(f"总交易日：\t{total_days}")
self.output(f"盈利交易日：\t{profit_days}")
self.output(f"亏损交易日：\t{loss_days}")
self.output(f"起始资金：\t{self.capital:,.2f}")
self.output(f"结束资金：\t{end_balance:,.2f}")
self.output(f"总收益率：\t{total_return:,.2f}%")
self.output(f"年化收益：\t{annual_return:,.2f}%")
self.output(f"最大回撤: \t{max_drawdown:,.2f}%")
self.output(f"百分比最大回撤: {max_ddpercent:,.2f}%")
self.output(f"总盈亏：\t{total_net_pnl:,.2f}%")
self.output(f"总手续费：\t{total_commission:,.2f}")
self.output(f"总滑点：\t{total_slippage:,.2f}")
self.output(f"总成交金额：\t{total_turnover:,.2f}")
self.output(f"总成交笔数：\t{total_trade_count}")
self.output(f"日均盈亏：\t{daily_net_pnl:,.2f}")
self.output(f"日均手续费：\t{daily_commission:,.2f}")
self.output(f"日均滑点：\t{daily_slippage:,.2f}")
self.output(f"日均成交金额：\t{daily_turnover:,.2f}")
self.output(f"日均成交笔数：\t{daily_trade_count}")
self.output(f"日均收益率：\t{daily_return:,.2f}%")
self.output(f"收益标准差：\t{return_std:,.2f}%")
self.output(f"Sharpe Ratio：\t{sharpe_ratio:,.2f}")
statistics = {
"start_date": start_date,
"end_date": end_date,
"total_days": total_days,
"profit_days": profit_days,
"loss_days": loss_days,
"end_balance": end_balance,
"max_drawdown": max_drawdown,
"max_ddpercent": max_ddpercent,
"total_net_pnl": total_net_pnl,
"daily_net_pnl": daily_net_pnl,
"total_commission": total_commission,
"daily_commission": daily_commission,
"total_slippage": total_slippage,
"daily_slippage": daily_slippage,
"total_turnover": total_turnover,
"daily_turnover": daily_turnover,
"total_trade_count": total_trade_count,
"daily_trade_count": daily_trade_count,
"total_return": total_return,
"annual_return": annual_return,
"daily_return": daily_return,
"return_std": return_std,
"sharpe_ratio": sharpe_ratio
}
return statistics
def show_chart(self, df: DataFrame = None):
""""""
if not df:
df = self.daily_df
fig = plt.figure(figsize=(10, 16))
balance_plot = plt.subplot(4, 1, 1)
balance_plot.set_title('Balance')
df['balance'].plot(legend=True)
drawdown_plot = plt.subplot(4, 1, 2)
drawdown_plot.set_title('Drawdown')
drawdown_plot.fill_between(range(len(df)), df['drawdown'].values)
pnl_plot = plt.subplot(4, 1, 3)
pnl_plot.set_title('Daily Pnl')
df['net_pnl'].plot(kind='bar', legend=False, grid=False, xticks=[])
distribution_plot = plt.subplot(4, 1, 4)
distribution_plot.set_title('Daily Pnl Distribution')
df['net_pnl'].hist(bins=50)
plt.show()
def update_daily_close(self, price: float):
""""""
d = self.datetime.date()
daily_result = self.daily_results.get(d, None)
if daily_result:
daily_result.close_price = price
else:
self.daily_results[d] = DailyResult(d, price)
def new_bar(self, bar: DbBarData):
""""""
self.bar = bar
self.datetime = bar.datetime
self.cross_limit_order()
self.cross_stop_order()
self.strategy.on_bar(bar)
self.update_daily_close(bar.close_price)
def new_tick(self, tick: DbTickData):
""""""
self.tick = tick
self.datetime = tick.datetime
self.cross_limit_order()
self.cross_stop_order()
self.strategy.on_tick(tick)
self.update_daily_close(tick.last_price)
def cross_limit_order(self):
"""
Cross limit order with last bar/tick data.
"""
if self.mode == BacktestingMode.BAR:
long_cross_price = self.bar.low_price
short_cross_price = self.bar.high_price
long_best_price = self.bar.open_price
short_best_price = self.bar.open_price
else:
long_cross_price = self.tick.ask_price_1
short_cross_price = self.tick.bid_price_1
long_best_price = long_cross_price
short_best_price = short_cross_price
for order in self.active_limit_orders.values():
# Push order update with status "not traded" (pending).
if order.status == Status.SUBMITTING:
order.status = Status.NOTTRADED
self.strategy.on_order(order)
# Check whether limit orders can be filled.
long_cross = (
order.direction == Direction.LONG
and order.price >= long_cross_price and long_cross_price > 0
)
short_cross = (
order.direction == Direction.SHORT
and order.price <= short_cross_price and short_cross_price > 0
)
if not long_cross and not short_cross:
continue
# Push order udpate with status "all traded" (filled).
order.traded = order.volume
order.status = Status.ALLTRADED
self.strategy.on_order(order)
self.active_limit_orders.pop(order.vt_orderid)
# Push trade update
self.trade_count += 1
if long_cross:
trade_price = min(order.price, long_best_price)
pos_change = order.volume
else:
trade_price = max(order.price, short_best_price)
pos_change = -order.volume
trade = TradeData(
symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=str(self.trade_count),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.volume,
time=self.datetime.strftime("%H:%M:%S"),
gateway_name=self.gateway_name
)
trade.datetime = self.datetime
self.strategy.pos += pos_change
self.strategy.on_trade(trade)
self.trades[trade.vt_tradeid] = trade
def cross_stop_order(self):
"""
Cross stop order with last bar/tick data.
"""
if self.mode == BacktestingMode.BAR:
long_cross_price = self.bar.high_price
short_cross_price = self.bar.low_price
long_best_price = self.bar.open_price
short_best_price = self.bar.open_price
else:
long_cross_price = self.tick.last_price
short_cross_price = self.tick.last_price
long_best_price = long_cross_price
short_best_price = short_cross_price
for stop_order in self.active_stop_orders.values():
# Check whether stop order can be triggered.
long_cross = (
stop_order.direction == Direction.LONG
and stop_order.price <= long_cross_price
)
short_cross = (
stop_order.direction == Direction.SHORT
and stop_order.price >= short_cross_price
)
if not long_cross and not short_cross:
continue
# Create order data.
self.limit_order_count += 1
order = OrderData(
symbol=self.symbol,
exchange=self.exchange,
orderid=str(self.limit_order_count),
direction=stop_order.direction,
offset=stop_order.offset,
price=stop_order.price,
volume=stop_order.volume,
status=Status.ALLTRADED,
gateway_name=self.gateway_name
)
self.limit_orders[order.vt_orderid] = order
# Create trade data.
if long_cross:
trade_price = max(stop_order.price, long_best_price)
pos_change = order.volume
else:
trade_price = min(stop_order.price, short_best_price)
pos_change = -order.volume
self.trade_count += 1
trade = TradeData(
symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=str(self.trade_count),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.volume,
time=self.datetime.strftime("%H:%M:%S"),
gateway_name=self.gateway_name
)
trade.datetime = self.datetime
self.trades[trade.vt_tradeid] = trade
# Update stop order.
stop_order.vt_orderid = order.vt_orderid
stop_order.status = StopOrderStatus.TRIGGERED
# Push update to strategy.
self.strategy.on_stop_order(stop_order)
self.strategy.on_order(order)
self.strategy.pos += pos_change
self.strategy.on_trade(trade)
def load_bar(
self,
vt_symbol: str,
days: int,
interval: Interval,
callback: Callable
):
""""""
self.days = days
self.callback = callback
def load_tick(self, vt_symbol: str, days: int, callback: Callable):
""""""
self.days = days
self.callback = callback
def send_order(
self,
strategy: CtaTemplate,
order_type: CtaOrderType,
price: float,
volume: float,
stop: bool = False
):
""""""
if stop:
return self.send_stop_order(order_type, price, volume)
else:
return self.send_limit_order(order_type, price, volume)
def send_stop_order(
self,
order_type: CtaOrderType,
price: float,
volume: float
):
""""""
self.stop_order_count += 1
stop_order = StopOrder(
vt_symbol=self.vt_symbol,
order_type=order_type,
price=price,
volume=volume,
stop_orderid=f"{STOPORDER_PREFIX}.{self.stop_order_count}",
strategy_name=self.strategy.strategy_name
)
self.active_stop_orders[stop_order.stop_orderid] = stop_order
self.stop_orders[stop_order.stop_orderid] = stop_order
return stop_order.stop_orderid
def send_limit_order(
self,
order_type: CtaOrderType,
price: float,
volume: float
):
""""""
self.limit_order_count += 1
direction, offset = ORDER_CTA2VT[order_type]
order = OrderData(
symbol=self.symbol,
exchange=self.exchange,
orderid=str(self.limit_order_count),
direction=direction,
offset=offset,
price=price,
volume=volume,
status=Status.NOTTRADED,
gateway_name=self.gateway_name
)
self.active_limit_orders[order.vt_orderid] = order
self.limit_order_count[order.vt_orderid] = order
return order.vt_orderid
def cancel_order(self, vt_orderid: str):
"""
Cancel order by vt_orderid.
"""
if vt_orderid.startswith(STOPORDER_PREFIX):
self.cancel_stop_order(vt_orderid)
else:
self.cancel_limit_order(vt_orderid)
def cancel_stop_order(self, vt_orderid: str):
""""""
if vt_orderid not in self.active_stop_orders:
return
stop_order = self.active_stop_orders.pop(vt_orderid)
stop_order.status = StopOrderStatus.CANCELLED
self.strategy.on_stop_order(stop_order)
def cancel_limit_order(self, vt_orderid: str):
""""""
if vt_orderid not in self.active_limit_orders:
return
order = self.active_limit_orders.pop(vt_orderid)
order.status = Status.CANCELLED
self.strategy.on_order(order)
def cancel_all(self, strategy: CtaTemplate):
"""
Cancel all orders, both limit and stop.
"""
for vt_orderid in self.active_limit_orders.keys():
self.cancel_limit_order(vt_orderid)
for vt_orderid in self.active_stop_orders.keys():
self.cancel_stop_order(vt_orderid)
def write_log(self, msg: str, strategy: CtaTemplate = None):
"""
Write log message.
"""
msg = f"{self.datetime}\t{msg}"
self.logs.append(msg)
def get_engine_type(self):
"""
Return engine type.
"""
return self.engine_type
def put_put_strategy_event(self, strategy: CtaTemplate):
"""
Put an event to update strategy status.
"""
pass
def output(self, msg):
"""
Output message of backtesting engine.
"""
print(f"{datetime.now()}\t{msg}")
class DailyResult:
""""""
def __init__(self, date: date, close_price: float):
""""""
self.date = date
self.close_price = close_price
self.pre_close = 0
self.trades = []
self.trade_count = 0
self.start_pos = 0
self.end_pos = 0
self.turnover = 0
self.commission = 0
self.slippage = 0
self.trading_pnl = 0
self.holding_pnl = 0
self.total_pnl = 0
self.net_pnl = 0
def add_trade(self, trade: TradeData):
""""""
self.trades.append(trade)
def calculate_pnl(
self,
pre_close: float,
start_pos: float,
size: int,
rate: float,
slippage: float
):
""""""
# Holding pnl is the pnl from holding position at day start
self.start_pos = self.end_pos = start_pos
self.holding_pnl = self.start_pos * (
self.close_price - self.pre_close
) * size
# Trading pnl is the pnl from new trade during the day
self.trade_count = len(self.trades)
pos_change = 0
for trade in self.trades:
if trade.direction == Direction.LONG:
pos_change += trade.volume
else:
pos_change -= trade.volume
turnover = trade.price * trade.volume * size
self.trading_pnl += pos_change * (
self.close_price - trade.price
) * size
self.end_pos += pos_change
self.turnover += turnover
self.commission += turnover * rate
self.slippage += trade.volume * size * slippage
# Net pnl takes account of commission and slippage cost
self.total_pnl = self.trading_pnl + self.holding_pnl
self.net_pnl = self.total_pnl - self.commission - self.slippage

13
vnpy/app/cta_strategy/base.py
View File

@ -30,19 +30,26 @@ class EngineType(Enum):
BACKTESTING = "回测"
class BacktestingMode(Enum):
BAR = 1
TICK = 2
@dataclass
class StopOrder:
vt_symbol: str
order_type: CtaOrderType
direction: Direction
offset: Offset
price: float
volume: float
stop_orderid: str
strategy: Any
strategy_name: str
status: StopOrderStatus = StopOrderStatus.WAITING
vt_orderid: str = ""
def __post_init__(self):
""""""
self.direction, self.offset = ORDER_CTA2VT[self.order_type]
EVENT_CTA_LOG = 'eCtaLog'
EVENT_CTA_STRATEGY = 'eCtaStrategy'

29
vnpy/app/cta_strategy/engine.py
View File

@ -18,7 +18,7 @@ from vnpy.trader.object import (
TickData
)
from vnpy.trader.event import EVENT_TICK, EVENT_ORDER, EVENT_TRADE
from vnpy.trader.constant import Direction, Offset, Exchange, PriceType
from vnpy.trader.constant import Direction, Offset, Exchange, PriceType, Interval
from vnpy.trader.utility import get_temp_path
from .template import CtaTemplate
@ -37,6 +37,7 @@ from .base import (
class CtaEngine(BaseEngine):
""""""
engine_type = EngineType.LIVE # live trading engine
filename = "CtaStrategy.vt"
@ -47,8 +48,7 @@ class CtaEngine(BaseEngine):
event_engine,
"CtaStrategy")
self.engine_type = EngineType.LIVE # live trading engine
self.setting_file = None # setting file object
self.setting_file = None # setting file object
self.classes = {} # class_name: stategy_class
self.strategies = {} # strategy_name: strategy
@ -140,7 +140,7 @@ class CtaEngine(BaseEngine):
)
if long_triggered or short_triggered:
strategy = stop_order.strategy
strategy = self.strategies[stop_order.strategy_name]
# To get excuted immediately after stop order is
# triggered, use limit price if available, otherwise
@ -243,7 +243,7 @@ class CtaEngine(BaseEngine):
price=price,
volume=volume,
stop_orderid=stop_orderid,
strategy=strategy
strategy_name=strategy.strategy_name
)
self.stop_orders[stop_orderid] = stop_order
@ -274,7 +274,7 @@ class CtaEngine(BaseEngine):
stop_order = self.stop_orders.get(stop_orderid, None)
if not stop_order:
return
strategy = stop_order.strategy
strategy = self.strategies[stop_order.strategy_name]
# Remove from relation map.
self.stop_orders.pop(stop_orderid)
@ -326,6 +326,20 @@ class CtaEngine(BaseEngine):
""""""
return self.engine_type
def load_bar(
self,
vt_symbol: str,
days: int,
interval: Interval,
callback: Callable
):
""""""
pass
def load_tick(self, vt_symbol: str, days: int, callback: Callable):
""""""
pass
def call_strategy_func(
self,
strategy: CtaTemplate,
@ -570,7 +584,8 @@ class CtaEngine(BaseEngine):
"""
Save and close setting file.
"""
self.setting_file.close()
if self.setting_file:
self.setting_file.close()
def put_stop_order_event(self, stop_order: StopOrder):
"""

26
vnpy/app/cta_strategy/template.py
View File

@ -1,9 +1,10 @@
""""""
from abc import ABC
from typing import Any
from vnpy.trader.engine import BaseEngine
from vnpy.trader.object import TickData, OrderData, TradeData, BarData
from vnpy.trader.constant import Interval
from .base import CtaOrderType, StopOrder
@ -17,7 +18,7 @@ class CtaTemplate(ABC):
def __init__(
self,
cta_engine: BaseEngine,
cta_engine: Any,
strategy_name: str,
vt_symbol: str,
setting: dict
@ -165,7 +166,7 @@ class CtaTemplate(ABC):
"""
return self.cta_engine.send_order(self, order_type, price, volume, stop)
def cancel_order(self, vt_orderid):
def cancel_order(self, vt_orderid: str):
"""
Cancel an existing order.
"""
@ -177,7 +178,7 @@ class CtaTemplate(ABC):
"""
self.cta_engine.cancel_all(self)
def write_log(self, msg):
def write_log(self, msg: str):
"""
Write a log message.
"""
@ -189,6 +190,23 @@ class CtaTemplate(ABC):
"""
return self.cta_engine.get_engine_type()
def load_bar(
self,
days: int,
interval: Interval = Interval.MINUTE,
callback=self.on_bar
):
"""
Load historical bar data for initializing strategy.
"""
self.cta_engine.load_bar(self.vt_symbol, days, interval, callback)
def load_tick(self, days: int):
"""
Load historical tick data for initializing strategy.
"""
self.cta_engine.load_tick(self.vt_symbol, days, self.on_tick)
def put_event(self):
"""
Put an strategy data event for ui update.

8
vnpy/trader/constant.py
View File

@ -108,7 +108,7 @@ class Currency(Enum):
class Interval(Enum):
MINUTE = "1分钟"
HOUR = "1小时"
DAILY = "日线"
WEEKLY = "周线"
MINUTE = "1m"
HOUR = "1h"
DAILY = "d"
WEEKLY = "w"