[Mod]修改CTA策略模块的回测目标函数支持使用SharpeRatio
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vn.py
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0bbb321306
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e14e35cbef
@ -956,11 +956,8 @@ class BacktestingEngine(object):
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return resultDf
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#----------------------------------------------------------------------
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def showDailyResult(self, df=None):
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"""显示按日统计的交易结果"""
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if df is None:
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df = self.calculateDailyResult()
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def calculateDailyStatistics(self, df):
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"""计算按日统计的结果"""
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df['balance'] = df['netPnl'].cumsum() + self.capital
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df['return'] = (np.log(df['balance']) - np.log(df['balance'].shift(1))).fillna(0)
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df['highlevel'] = df['balance'].rolling(min_periods=1,window=len(df),center=False).max()
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@ -1000,37 +997,71 @@ class BacktestingEngine(object):
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sharpeRatio = dailyReturn / returnStd * np.sqrt(240)
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else:
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sharpeRatio = 0
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# 返回结果
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result = {
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'startDate': startDate,
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'endDate': endDate,
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'totalDays': totalDays,
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'profitDays': profitDays,
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'lossDays': lossDays,
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'endBalance': endBalance,
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'maxDrawdown': maxDrawdown,
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'totalNetPnl': totalNetPnl,
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'dailyNetPnl': dailyNetPnl,
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'totalCommission': totalCommission,
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'dailyCommission': dailyCommission,
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'totalSlippage': totalSlippage,
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'dailySlippage': dailySlippage,
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'totalTurnover': totalTurnover,
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'dailyTurnover': dailyTurnover,
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'totalTradeCount': totalTradeCount,
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'dailyTradeCount': dailyTradeCount,
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'totalReturn': totalReturn,
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'dailyReturn': dailyReturn,
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'returnStd': returnStd,
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'sharpeRatio': sharpeRatio
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}
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return df, result
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#----------------------------------------------------------------------
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def showDailyResult(self, df=None, result=None):
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"""显示按日统计的交易结果"""
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if df is None:
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df = self.calculateDailyResult()
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df, result = self.calculateDailyStatistics(df)
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# 输出统计结果
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self.output('-' * 30)
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self.output(u'首个交易日：\t%s' % startDate)
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self.output(u'最后交易日：\t%s' % endDate)
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self.output(u'首个交易日：\t%s' % result['startDate'])
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self.output(u'最后交易日：\t%s' % result['endDate'])
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self.output(u'总交易日：\t%s' % totalDays)
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self.output(u'盈利交易日\t%s' % profitDays)
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self.output(u'亏损交易日：\t%s' % lossDays)
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self.output(u'总交易日：\t%s' % result['totalDays'])
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self.output(u'盈利交易日\t%s' % result['profitDays'])
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self.output(u'亏损交易日：\t%s' % result['lossDays'])
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self.output(u'起始资金：\t%s' % self.capital)
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self.output(u'结束资金：\t%s' % formatNumber(endBalance))
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self.output(u'结束资金：\t%s' % formatNumber(result['endBalance']))
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self.output(u'总收益率：\t%s' % formatNumber(totalReturn))
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self.output(u'总盈亏：\t%s' % formatNumber(totalNetPnl))
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self.output(u'最大回撤: \t%s' % formatNumber(maxDrawdown))
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self.output(u'总收益率：\t%s' % formatNumber(result['totalReturn']))
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self.output(u'总盈亏：\t%s' % formatNumber(result['totalNetPnl']))
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self.output(u'最大回撤: \t%s' % formatNumber(result['maxDrawdown']))
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self.output(u'总手续费：\t%s' % formatNumber(totalCommission))
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self.output(u'总滑点：\t%s' % formatNumber(totalSlippage))
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self.output(u'总成交金额：\t%s' % formatNumber(totalTurnover))
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self.output(u'总成交笔数：\t%s' % formatNumber(totalTradeCount))
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self.output(u'总手续费：\t%s' % formatNumber(result['totalCommission']))
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self.output(u'总滑点：\t%s' % formatNumber(result['totalSlippage']))
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self.output(u'总成交金额：\t%s' % formatNumber(result['totalTurnover']))
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self.output(u'总成交笔数：\t%s' % formatNumber(result['totalTradeCount']))
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self.output(u'日均盈亏：\t%s' % formatNumber(dailyNetPnl))
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self.output(u'日均手续费：\t%s' % formatNumber(dailyCommission))
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self.output(u'日均滑点：\t%s' % formatNumber(dailySlippage))
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self.output(u'日均成交金额：\t%s' % formatNumber(dailyTurnover))
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self.output(u'日均成交笔数：\t%s' % formatNumber(dailyTradeCount))
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self.output(u'日均盈亏：\t%s' % formatNumber(result['dailyNetPnl']))
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self.output(u'日均手续费：\t%s' % formatNumber(result['dailyCommission']))
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self.output(u'日均滑点：\t%s' % formatNumber(result['dailySlippage']))
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self.output(u'日均成交金额：\t%s' % formatNumber(result['dailyTurnover']))
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self.output(u'日均成交笔数：\t%s' % formatNumber(result['dailyTradeCount']))
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self.output(u'日均收益率：\t%s%%' % formatNumber(dailyReturn))
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self.output(u'收益标准差：\t%s%%' % formatNumber(returnStd))
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self.output(u'Sharpe Ratio：\t%s' % formatNumber(sharpeRatio))
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self.output(u'日均收益率：\t%s%%' % formatNumber(result['dailyReturn']))
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self.output(u'收益标准差：\t%s%%' % formatNumber(result['returnStd']))
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self.output(u'Sharpe Ratio：\t%s' % formatNumber(result['sharpeRatio']))
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# 绘图
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fig = plt.figure(figsize=(10, 16))
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@ -1225,7 +1256,9 @@ def optimize(strategyClass, setting, targetName,
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engine.initStrategy(strategyClass, setting)
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engine.runBacktesting()
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d = engine.calculateBacktestingResult()
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df = engine.calculateDailyResult()
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df, d = engine.calculateDailyStatistics(df)
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try:
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targetValue = d[targetName]
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except KeyError:
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@ -1,3 +1,161 @@
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# encoding: UTF-8
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from collections import OrderedDict
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from vnpy.trader.vtConstant import *
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from vnpy.trader.vtObject import VtTickData
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########################################################################
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class OmInstrument(VtTickData):
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"""交易合约对象"""
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#----------------------------------------------------------------------
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def __init__(self, contract):
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"""Constructor"""
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super(OmInstrument, self).__init__()
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# 初始化合约信息
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self.exchange = contract.exchange
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self.vtSymbol = contract.vtSymbol
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self.size = contract.size
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self.priceTick = contract.priceTick
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self.gatewayName = contract.gatewayName
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# 中间价
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self.midPrice = EMPTY_FLOAT
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# 持仓数据
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self.longPos = EMPTY_INT
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self.shortPos = EMPTY_INT
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self.netPos = EMPTY_INT
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#----------------------------------------------------------------------
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def newTick(self, tick):
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"""行情更新"""
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if not self.tickInited:
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self.date = tick.date
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self.openPrice = tick.openPrice
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self.upperLimit = tick.upperLimit
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self.lowerLimit = tick.lowerLimit
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self.tickInited = True
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self.lastPrice = tick.lastPrice
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self.volume = tick.volume
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self.openInterest = tick.openInterest
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self.time = tick.time
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self.bidPrice1 = tick.bidPrice1
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self.askPrice1 = tick.askPrice1
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self.bidVolume1 = tick.bidVolume1
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self.askVolume1 = tick.askVolume1
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#----------------------------------------------------------------------
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def newTrade(self, trade):
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"""成交更新"""
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if trade.direction is DIRECTION_LONG:
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if trade.offset is OFFSET_OPEN:
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self.longPos += trade.volume
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else:
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self.shortPos -= trade.volume
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else:
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if trade.offset is OFFSET_OPEN:
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self.shortPos += trade.volume
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else:
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self.longPos -= trade.volume
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self.calculateNetPos()
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#----------------------------------------------------------------------
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def newPos(self, pos):
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"""持仓更新"""
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if pos.direction is DIRECTION_LONG:
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self.longPos = pos.position
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else:
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self.shortPos = pos.position
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self.calculateNetPos()
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#----------------------------------------------------------------------
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def calculateNetPos(self):
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"""计算净持仓"""
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self.netPos = self.longPos - self.shortPos
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########################################################################
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class OmUnderlying(OmInstrument):
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"""标的物"""
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#----------------------------------------------------------------------
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def __init__(self, contract, chainList):
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"""Constructor"""
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super(OmUnderlying, self).__init__(contract)
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# 以该合约为标的物的期权链字典
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self.chainDict = OrderedDict((chain.symbol, chain) for chain in chainList)
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# 希腊值
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self.theoDelta = EMPTY_FLOAT # 理论delta值
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self.posDelta = EMPTY_FLOAT # 持仓delta值
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#----------------------------------------------------------------------
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def newTick(self, tick):
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"""行情更新"""
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super(OmUnderlying, self).newTick(tick)
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self.theoDelta = self.size * self.midPrice / 100
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# 遍历推送自己的行情到期权链中
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for chain in self.chainList:
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chain.newUnderlyingTick()
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#----------------------------------------------------------------------
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def newTrade(self, trade):
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"""成交更新"""
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super(OmUnderlying, self).newTrade(trade)
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self.calculatePosGreeks()
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#----------------------------------------------------------------------
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def newPos(self, pos):
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"""持仓更新"""
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super(OmUnderlying, self).newPos(pos)
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self.calculatePosGreeks()
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#----------------------------------------------------------------------
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def init(self, contract, chainList):
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"""初始化"""
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super(OmUnderlying, self).init(contract)
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self.chainList = chainList
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self.chainDict = OrderedDict([(chain.symbol, chain) for chain in chainList])
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#----------------------------------------------------------------------
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def calculatePosGreeks(self):
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"""计算持仓希腊值"""
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self.posDelta = self.theoDelta * self.netPos
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########################################################################
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class OmEquity(OmUnderlying):
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"""股票"""
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#----------------------------------------------------------------------
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def __init__(self, contract, chainList):
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"""Constructor"""
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super(OmEquity, self).__init__(contract, chainList)
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########################################################################
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class OmFutures(OmUnderlying):
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"""期货"""
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#----------------------------------------------------------------------
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def __init__(self, contract, chainList):
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"""Constructor"""
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super(OmFutures, self).__init__(contract, chainList)
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