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[Fix] bug in calculating daily result of cta backtesting

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This commit is contained in:
vn.py 2019-02-15 16:05:34 +08:00
parent cbdecf7edf
commit e29345503b
2 changed files with 5 additions and 3 deletions
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6
vnpy/app/cta_strategy/backtesting.py
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@ -365,10 +365,10 @@ class BacktestingEngine:
self.output(f"总收益率：\t{total_return:,.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"年化收益：\t{annual_return:,.2f}%")
self.output(f"最大回撤: \t{max_drawdown:,.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"百分比最大回撤: {max_ddpercent:,.2f}%")
self.output(f"总盈亏：\t{total_net_pnl:,.2f}%") self.output(f"总盈亏：\t{total_net_pnl:,.2f}")
self.output(f"总手续费：\t{total_commission:,.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"总滑点：\t{total_slippage:,.2f}")
self.output(f"总成交金额：\t{total_turnover:,.2f}") self.output(f"总成交金额：\t{total_turnover:,.2f}")
@ -846,6 +846,8 @@ class DailyResult:
slippage: float, slippage: float,
): ):
"""""" """"""
self.pre_close = pre_close
# Holding pnl is the pnl from holding position at day start # Holding pnl is the pnl from holding position at day start
self.start_pos = start_pos self.start_pos = start_pos
self.end_pos = start_pos self.end_pos = start_pos

2
vnpy/trader/database.py
View File

@ -45,7 +45,7 @@ class DbBarData(Model):
db_bar.symbol = bar.symbol db_bar.symbol = bar.symbol
db_bar.exchange = bar.exchange.value db_bar.exchange = bar.exchange.value
db_bar.datetime = bar.datetime db_bar.datetime = bar.datetime
db_bar.interval = bar.interval db_bar.interval = bar.interval.value
db_bar.volume = bar.volume db_bar.volume = bar.volume
db_bar.open_price = bar.open_price db_bar.open_price = bar.open_price
db_bar.high_price = bar.high_price db_bar.high_price = bar.high_price