修改回测模块和实盘模块，增加策略中，获取当前资金权益，支持按照比例方式计算开仓数量，支持加仓减仓模式。
This commit is contained in:
msincenselee
parent
5a3ad183a0
commit
e23b84e212
@ -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"""
|
||||
@ -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()
|
||||
|
||||
@ -801,6 +848,9 @@ 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):
|
||||
"""基于最新数据撮合停止单"""
|
||||
@ -873,6 +923,10 @@ class BacktestingEngine(object):
|
||||
# 从字典中删除该限价单
|
||||
del self.workingStopOrderDict[stopOrderID]
|
||||
|
||||
if self.calculateMode == self.REALTIME_MODE:
|
||||
self.realtimeCalculate()
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def insertData(self, dbName, collectionName, data):
|
||||
"""考虑到回测中不允许向数据库插入数据，防止实盘交易中的一些代码出错"""
|
||||
@ -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')
|
||||
|
||||
@ -1036,14 +1355,16 @@ 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
|
||||
@ -1056,57 +1377,64 @@ class BacktestingEngine(object):
|
||||
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)
|
||||
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)
|
||||
|
||||
pnlList.append(result.pnl*compounding)
|
||||
timeList.append(time)
|
||||
capitalList.append(capital)
|
||||
drawdownList.append(drawdown)
|
||||
drawdownRateList.append(drawdownRate)
|
||||
self.pnlList.append(result.pnl*compounding)
|
||||
self.timeList.append(time)
|
||||
self.capitalList.append(self.capital)
|
||||
self.drawdownList.append(drawdown)
|
||||
self.drawdownRateList.append(drawdownRate)
|
||||
|
||||
totalResult += 1
|
||||
totalTurnover += result.turnover*compounding
|
||||
totalCommission += result.commission*compounding
|
||||
totalSlippage += result.slippage*compounding
|
||||
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')
|
||||
|
||||
Loading…
Reference in New Issue
Block a user