diff --git a/vn.trader/ctaAlgo/ctaBacktesting.py b/vn.trader/ctaAlgo/ctaBacktesting.py index 44a35bee..520d1aa7 100644 --- a/vn.trader/ctaAlgo/ctaBacktesting.py +++ b/vn.trader/ctaAlgo/ctaBacktesting.py @@ -39,6 +39,9 @@ class BacktestingEngine(object): TICK_MODE = 'tick' BAR_MODE = 'bar' + REALTIME_MODE ='RealTime' # 逐笔交易计算资金，供策略获取资金容量，计算开仓数量 + FINAL_MODE = 'Final' # 最后才统计交易，不适合按照百分比等开仓数量计算 + #---------------------------------------------------------------------- def __init__(self): """Constructor""" @@ -54,7 +57,7 @@ class BacktestingEngine(object): # 回测相关 self.strategy = None # 回测策略 self.mode = self.BAR_MODE # 回测模式，默认为K线 - + self.slippage = 0 # 回测时假设的滑点 self.rate = 0 # 回测时假设的佣金比例（适用于百分比佣金） self.size = 1 # 合约大小，默认为1 @@ -88,7 +91,44 @@ class BacktestingEngine(object): self.dt = None # 最新的时间 self.gatewayName = u'BackTest' - self.usageCompounding = False # 是否使用简单复利 + + # 费用情况 + self.avaliable = EMPTY_FLOAT + self.percent = EMPTY_FLOAT + self.percentLimit = 30 # 投资仓位比例上限 + + # 回测计算相关 + self.calculateMode = self.FINAL_MODE + self.usageCompounding = False # 是否使用简单复利 （只针对FINAL_MODE有效） + + self.initCapital = 10000 # 期初资金 + self.capital = self.initCapital # 资金 （相当于Balance） + self.maxCapital = self.initCapital # 资金最高净值 + + self.maxPnl = 0 # 最高盈利 + self.minPnl = 0 # 最大亏损 + self.maxVolume = 1 # 最大仓位数 + self.wins = 0 # 盈利次数 + + self.totalResult = 0 # 总成交数量 + self.totalTurnover = 0 # 总成交金额（合约面值） + self.totalCommission = 0 # 总手续费 + self.totalSlippage = 0 # 总滑点 + + self.timeList = [] # 时间序列 + self.pnlList = [] # 每笔盈亏序列 + self.capitalList = [] # 盈亏汇总的时间序列 + self.drawdownList = [] # 回撤的时间序列 + self.drawdownRateList = [] # 最大回撤比例的时间序列 + + + def getAccountInfo(self): + """返回账号的实时权益，可用资金，仓位比例,投资仓位比例上限""" + if self.capital == EMPTY_FLOAT: + self.percent = EMPTY_FLOAT + + return self.capital, self.avaliable, self.percent, self.percentLimit + #---------------------------------------------------------------------- def setStartDate(self, startDate='20100416', initDays=10): @@ -452,6 +492,9 @@ class BacktestingEngine(object): """运行回测（使用本地csv数据) added by IncenseLee """ + + self.capital = self.initCapital # 更新设置期初资金 + if not filename: self.writeCtaLog(u'请指定回测数据文件') return @@ -517,6 +560,7 @@ class BacktestingEngine(object): """运行回测(使用Mysql数据） added by IncenseLee """ + self.capital = self.initCapital # 更新设置期初资金 if not self.dataStartDate: self.writeCtaLog(u'回测开始日期未设置。') @@ -587,6 +631,9 @@ class BacktestingEngine(object): #---------------------------------------------------------------------- def runBacktesting(self): """运行回测""" + + self.capital = self.initCapital # 更新设置期初资金 + # 载入历史数据 self.loadHistoryData() @@ -800,6 +847,9 @@ class BacktestingEngine(object): # 从字典中删除该限价单 del self.workingLimitOrderDict[orderID] + + if self.calculateMode == self.REALTIME_MODE: + self.realtimeCalculate() #---------------------------------------------------------------------- def crossStopOrder(self): @@ -871,7 +921,11 @@ class BacktestingEngine(object): self.limitOrderDict[orderID] = order # 从字典中删除该限价单 - del self.workingStopOrderDict[stopOrderID] + del self.workingStopOrderDict[stopOrderID] + + if self.calculateMode == self.REALTIME_MODE: + self.realtimeCalculate() + #---------------------------------------------------------------------- def insertData(self, dbName, collectionName, data): @@ -902,6 +956,268 @@ class BacktestingEngine(object): """输出内容""" print str(datetime.now()) + "\t" + content + def realtimeCalculate(self): + """实时计算交易结果""" + + resultDict = OrderedDict() # 交易结果记录 + + longTrade = [] # 未平仓的多头交易 + shortTrade = [] # 未平仓的空头交易 + longid = EMPTY_STRING + shortid = EMPTY_STRING + + for tradeid in self.tradeDict.keys(): + trade = self.tradeDict[tradeid] + # 多头交易 + if trade.direction == DIRECTION_LONG: + # 如果尚无空头交易 + if not shortTrade: + longTrade.append(trade) + longid = tradeid + + # 当前多头交易为平空 + else: + gId = tradeid # 交易组（多个平仓数为一组） + gr = None # 组合的交易结果 + + coverVolume = trade.volume + + while coverVolume > 0: + if len(shortTrade)==0: + self.writeCtaLog(u'异常，没有开空仓的数据') + break + + # 从未平仓的空头交易 + entryTrade = shortTrade.pop(0) + + # 开空volume，不大于平仓volume + if coverVolume >= entryTrade.volume: + coverVolume = coverVolume - entryTrade.volume + result = TradingResult(entryTrade.price, trade.price, -entryTrade.volume, + self.rate, self.slippage, self.size, groupId=gId) + + self.writeCtaLog(u'{6} [{7}:开空{0},short:{1}]-[{8}:平空{2},cover:{3},vol:{4}],净盈亏:{5}' + .format(entryTrade.tradeTime, entryTrade.price, + trade.tradeTime, trade.price, entryTrade.volume, result.pnl, + gId, shortid, tradeid)) + + if type(gr) == type(None): + if coverVolume > 0: + # 属于组合 + gr = copy.deepcopy(result) + + # 删除开空交易单 + del self.tradeDict[entryTrade.tradeID] + + else: + # 不属于组合 + resultDict[entryTrade.dt] = result + + # 删除平空交易单， + del self.tradeDict[trade.tradeID] + # 删除开空交易单 + del self.tradeDict[entryTrade.tradeID] + + else: + # 更新组合的数据 + gr.turnover = gr.turnover + result.turnover + gr.commission = gr.commission + result.commission + gr.slippage = gr.slippage + result.slippage + gr.pnl = gr.pnl + result.pnl + + # 删除开空交易单 + del self.tradeDict[entryTrade.tradeID] + + # 所有仓位平完 + if coverVolume == 0: + gr.volume = trade.volume + resultDict[entryTrade.dt] = gr + # 删除平空交易单， + del self.tradeDict[trade.tradeID] + + + # 开空volume,大于平仓volume，需要更新减少tradeDict的数量。 + else: + shortVolume = entryTrade.volume - coverVolume + + result = TradingResult(entryTrade.price, trade.price, -coverVolume, + self.rate, self.slippage, self.size, groupId=gId) + + self.writeCtaLog(u'{6} [{7}:开空{0},short:{1}]-[{8}:平空{2},cover:{3},vol:{4}],净盈亏:{5}' + .format(entryTrade.tradeTime, entryTrade.price, + trade.tradeTime, trade.price, coverVolume, result.pnl, + gId, shortid, tradeid)) + + # 更新（减少）开仓单的volume + entryTrade.volume = shortVolume + + coverVolume = 0 + + if type(gr) == type(None): + resultDict[entryTrade.dt] = result + + else: + # 更新组合的数据 + gr.turnover = gr.turnover + result.turnover + gr.commission = gr.commission + result.commission + gr.slippage = gr.slippage + result.slippage + gr.pnl = gr.pnl + result.pnl + gr.volume = trade.volume + resultDict[entryTrade.dt] = gr + + # 删除平空交易单， + del self.tradeDict[trade.tradeID] + + + if type(gr) != type(None): + self.writeCtaLog(u'组合净盈亏:{0}'.format(gr.pnl)) + + self.writeCtaLog(u'-------------') + + # 空头交易 + else: + # 如果尚无多头交易 + if not longTrade: + shortTrade.append(trade) + shortid = tradeid + # 当前空头交易为平多 + else: + gId = tradeid # 交易组（多个平仓数为一组） + gr = None # 组合的交易结果 + + sellVolume = trade.volume + + while sellVolume > 0: + if len(longTrade)==0: + self.writeCtaLog(u'异常，没有开多单') + break + + entryTrade = longTrade.pop(0) + + # 开多volume，不大于平仓volume + if sellVolume >= entryTrade.volume: + sellVolume = sellVolume - entryTrade.volume + + result = TradingResult(entryTrade.price, trade.price, entryTrade.volume, + self.rate, self.slippage, self.size, groupId= gId) + + self.writeCtaLog(u'{6} [{7}:开多{0},buy:{1}]-[{8}.平多{2},sell:{3},vol:{4}],净盈亏：{5}' + .format(entryTrade.tradeTime, entryTrade.price, + trade.tradeTime,trade.price, entryTrade.volume, result.pnl, + gId, longid, tradeid)) + + if type(gr) == type(None): + if sellVolume > 0: + # 属于组合 + gr = copy.deepcopy(result) + # 删除开多交易单 + del self.tradeDict[entryTrade.tradeID] + + else: + # 不属于组合 + resultDict[entryTrade.dt] = result + + # 删除平多交易单， + del self.tradeDict[trade.tradeID] + # 删除开多交易单 + del self.tradeDict[entryTrade.tradeID] + + else: + # 更新组合的数据 + gr.turnover = gr.turnover + result.turnover + gr.commission = gr.commission + result.commission + gr.slippage = gr.slippage + result.slippage + gr.pnl = gr.pnl + result.pnl + + # 删除开多交易单 + del self.tradeDict[entryTrade.tradeID] + + if sellVolume == 0: + gr.volume = trade.volume + resultDict[entryTrade.dt] = gr + # 删除平多交易单， + del self.tradeDict[trade.tradeID] + + # 开多volume,大于平仓volume，需要更新减少tradeDict的数量。 + else: + longVolume = entryTrade.volume -sellVolume + + result = TradingResult(entryTrade.price, trade.price, sellVolume, + self.rate, self.slippage, self.size, groupId= gId) + + self.writeCtaLog(u'{6} [{7}:开多{0},buy:{1}]-[{8}.平多{2},sell:{3},vol:{4}],净盈亏：{5}' + .format(entryTrade.tradeTime, entryTrade.price, + trade.tradeTime,trade.price, sellVolume, result.pnl, + gId, longid, tradeid)) + + # 减少开多volume + entryTrade.volume = longVolume + + sellVolume = 0 + + if type(gr) == type(None): + resultDict[entryTrade.dt] = result + + else: + # 更新组合的数据 + gr.turnover = gr.turnover + result.turnover + gr.commission = gr.commission + result.commission + gr.slippage = gr.slippage + result.slippage + gr.pnl = gr.pnl + result.pnl + gr.volume = trade.volume + resultDict[entryTrade.dt] = gr + + # 删除平多交易单， + del self.tradeDict[trade.tradeID] + + if type(gr) != type(None): + self.writeCtaLog(u'组合净盈亏:{0}'.format(gr.pnl)) + + self.writeCtaLog(u'-------------') + + # 检查是否有平交易 + if not resultDict: + # Todo:计算仓位比例 + occupyMoney = EMPTY_FLOAT + + if len(longTrade) > 0: + for t in longTrade: + occupyMoney += t.price * abs(t.volume) * self.size*0.11 + + if len(shortTrade)>0: + for t in longTrade: + occupyMoney += t.price * abs(t.volume) * self.size*0.11 + + + self.avaliable = self.capital - occupyMoney + self.percent = round(float(self.avaliable*100/self.capital),2) + + return + + for time, result in resultDict.items(): + + if result.pnl > 0: + self.wins += 1 + self.capital += result.pnl + self.maxCapital = max(self.capital, self.maxCapital) + self.maxVolume = max(self.maxVolume, result.volume) + drawdown = self.capital - self.maxCapital + drawdownRate = round(float(drawdown*100/self.maxCapital),4) + + self.pnlList.append(result.pnl) + self.timeList.append(time) + self.capitalList.append(self.capital) + self.drawdownList.append(drawdown) + self.drawdownRateList.append(drawdownRate) + + self.totalResult += 1 + self.totalTurnover += result.turnover + self.totalCommission += result.commission + self.totalSlippage += result.slippage + + self.output(u'[{5}]Vol:{0},盈亏:{1},回撤:{2}/{3},权益:{4}'. + format(abs(result.volume), result.pnl, drawdown, drawdownRate, self.capital, result.groupId)) + #---------------------------------------------------------------------- def calculateBacktestingResult(self): """ @@ -911,7 +1227,10 @@ class BacktestingEngine(object): 例如，前面共有6次开仓（1手开仓+5次加仓，每次1手），平仓只有1次（六手）。那么，交易次数是6次（开仓+平仓）。 暂不支持每次加仓数目不一致的核对（因为比较复杂） - 增加组合的支持。 + 增加组合的支持。（组合中，仍然按照1手逐步加仓和多手平仓的方法，即使启用了复利模式，也仍然按照这个规则，只是在计算收益时才乘以系数） + + 增加期初权益，每次交易后的权益，可用资金，仓位比例。 + """ self.output(u'计算回测结果') @@ -1036,77 +1355,86 @@ class BacktestingEngine(object): return {} # 然后基于每笔交易的结果，我们可以计算具体的盈亏曲线和最大回撤等 + + """ initCapital = 40000 # 期初资金 capital = initCapital # 资金 maxCapital = initCapital # 资金最高净值 - drawdown = 0 # 回撤 + maxPnl = 0 # 最高盈利 minPnl = 0 # 最大亏损 maxVolume = 1 # 最大仓位数 - compounding = 1 # 简单的复利基数（如果资金是期初资金的x倍，就扩大开仓比例,例如3w开1手，6w开2手，12w开4手) + wins = 0 - + totalResult = 0 # 总成交数量 totalTurnover = 0 # 总成交金额（合约面值） totalCommission = 0 # 总手续费 totalSlippage = 0 # 总滑点 - + timeList = [] # 时间序列 pnlList = [] # 每笔盈亏序列 capitalList = [] # 盈亏汇总的时间序列 drawdownList = [] # 回撤的时间序列 drawdownRateList = [] # 最大回撤比例的时间序列 - + """ + drawdown = 0 # 回撤 + compounding = 1 # 简单的复利基数（如果资金是期初资金的x倍，就扩大开仓比例,例如3w开1手，6w开2手，12w开4手) + for time, result in resultDict.items(): # 是否使用简单复利 if self.usageCompounding: - compounding = int(capital/initCapital) + compounding = int(self.capital/self.initCapital) if result.pnl > 0: - wins += 1 - capital += result.pnl*compounding - maxCapital = max(capital, maxCapital) - maxVolume = max(maxVolume, result.volume*compounding) - drawdown = capital - maxCapital - drawdownRate = round(float(drawdown*100/maxCapital),4) - - pnlList.append(result.pnl*compounding) - timeList.append(time) - capitalList.append(capital) - drawdownList.append(drawdown) - drawdownRateList.append(drawdownRate) - - totalResult += 1 - totalTurnover += result.turnover*compounding - totalCommission += result.commission*compounding - totalSlippage += result.slippage*compounding + self.wins += 1 + self.capital += result.pnl*compounding + self.maxCapital = max(self.capital, self.maxCapital) + self.maxVolume = max(self.maxVolume, result.volume*compounding) + drawdown = self.capital - self.maxCapital + drawdownRate = round(float(drawdown*100/self.maxCapital),4) + self.pnlList.append(result.pnl*compounding) + self.timeList.append(time) + self.capitalList.append(self.capital) + self.drawdownList.append(drawdown) + self.drawdownRateList.append(drawdownRate) + + self.totalResult += 1 + self.totalTurnover += result.turnover*compounding + self.totalCommission += result.commission*compounding + self.totalSlippage += result.slippage*compounding + + def getResult(self): # 返回回测结果 d = {} - d['initCapital'] = initCapital - d['capital'] = capital - initCapital - d['maxCapital'] = maxCapital - d['drawdown'] = drawdown - d['maxPnl'] = max(pnlList) - d['minPnl'] = min(pnlList) - d['maxVolume'] = maxVolume - d['totalResult'] = totalResult - d['totalTurnover'] = totalTurnover - d['totalCommission'] = totalCommission - d['totalSlippage'] = totalSlippage - d['timeList'] = timeList - d['pnlList'] = pnlList - d['capitalList'] = capitalList - d['drawdownList'] = drawdownList - d['drawdownRateList'] = drawdownRateList - d['winRate'] = round(100*wins/len(pnlList),4) + d['initCapital'] = self.initCapital + d['capital'] = self.capital - self.initCapital + d['maxCapital'] = self.maxCapital + + d['maxPnl'] = max(self.pnlList) + d['minPnl'] = min(self.pnlList) + d['maxVolume'] = self.maxVolume + d['totalResult'] = self.totalResult + d['totalTurnover'] = self.totalTurnover + d['totalCommission'] = self.totalCommission + d['totalSlippage'] = self.totalSlippage + d['timeList'] = self.timeList + d['pnlList'] = self.pnlList + d['capitalList'] = self.capitalList + d['drawdownList'] = self.drawdownList + d['drawdownRateList'] = self.drawdownRateList + d['winRate'] = round(100*self.wins/len(self.pnlList),4) return d #---------------------------------------------------------------------- def showBacktestingResult(self): """显示回测结果""" - d = self.calculateBacktestingResult() + if self.calculateMode != self.REALTIME_MODE : + self.calculateBacktestingResult() + + d = self.getResult() if len(d)== 0: self.output(u'无交易结果')