From e5c08509568aadac08621727407b3833b44d4d54 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 11 Nov 2018 14:57:51 +0800 Subject: [PATCH] =?UTF-8?q?[Add]=E5=A2=9E=E5=8A=A0=E6=B5=B7=E9=BE=9F?= =?UTF-8?q?=E5=9B=9E=E6=B5=8B=E4=B8=AD=E7=9A=84=E6=89=8B=E7=BB=AD=E8=B4=B9?= =?UTF-8?q?=E5=92=8C=E6=BB=91=E7=82=B9=E8=AE=A1=E7=AE=97?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../.ipynb_checkpoints/run-checkpoint.ipynb | 113 ++++------- examples/TurtleStrategy/run.ipynb | 186 ++---------------- examples/TurtleStrategy/turtleEngine.py | 10 + examples/TurtleStrategy/turtleStrategy.py | 1 - 4 files changed, 63 insertions(+), 247 deletions(-) diff --git a/examples/TurtleStrategy/.ipynb_checkpoints/run-checkpoint.ipynb b/examples/TurtleStrategy/.ipynb_checkpoints/run-checkpoint.ipynb index 38a3e42a..b17f25a5 100644 --- a/examples/TurtleStrategy/.ipynb_checkpoints/run-checkpoint.ipynb +++ b/examples/TurtleStrategy/.ipynb_checkpoints/run-checkpoint.ipynb @@ -6,13 +6,11 @@ "metadata": {}, "outputs": [], "source": [ - "import sys\n", - "reload(sys)\n", - "\n", - "\n", "%matplotlib inline\n", "\n", "from datetime import datetime\n", + "\n", + "import numpy as np\n", "import matplotlib.pyplot as plt\n", "\n", "from turtleEngine import BacktestingEngine" @@ -22,28 +20,33 @@ "cell_type": "code", "execution_count": 2, "metadata": {}, - "outputs": [], + "outputs": [ + { + "ename": "TypeError", + "evalue": "coercing to Unicode: need string or buffer, int found", + "output_type": "error", + "traceback": [ + "\u001b[1;31m---------------------------------------------------------------------------\u001b[0m", + "\u001b[1;31mTypeError\u001b[0m Traceback (most recent call last)", + "\u001b[1;32m\u001b[0m in \u001b[0;36m\u001b[1;34m()\u001b[0m\n\u001b[0;32m 1\u001b[0m \u001b[0mengine\u001b[0m \u001b[1;33m=\u001b[0m \u001b[0mBacktestingEngine\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 2\u001b[0m \u001b[0mengine\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0msetPeriod\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mdatetime\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;36m2015\u001b[0m\u001b[1;33m,\u001b[0m \u001b[1;36m1\u001b[0m\u001b[1;33m,\u001b[0m \u001b[1;36m1\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mdatetime\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;36m2018\u001b[0m\u001b[1;33m,\u001b[0m \u001b[1;36m11\u001b[0m\u001b[1;33m,\u001b[0m \u001b[1;36m9\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m----> 3\u001b[1;33m \u001b[0mengine\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0minitPortfolio\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;36m10000000\u001b[0m\u001b[1;33m,\u001b[0m \u001b[1;34m'setting.csv'\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m", + "\u001b[1;32mC:\\Github\\vnpy\\examples\\TurtleStrategy\\turtleEngine.py\u001b[0m in \u001b[0;36minitPortfolio\u001b[1;34m(self, filename, portfolioValue)\u001b[0m\n\u001b[0;32m 60\u001b[0m \u001b[1;32mdef\u001b[0m \u001b[0minitPortfolio\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mself\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mfilename\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mportfolioValue\u001b[0m\u001b[1;33m=\u001b[0m\u001b[1;36m10000000\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 61\u001b[0m \u001b[1;34m\"\"\"\"\"\"\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m---> 62\u001b[1;33m \u001b[1;32mwith\u001b[0m \u001b[0mopen\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mfilename\u001b[0m\u001b[1;33m)\u001b[0m \u001b[1;32mas\u001b[0m \u001b[0mf\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m\u001b[0;32m 63\u001b[0m \u001b[0mr\u001b[0m \u001b[1;33m=\u001b[0m \u001b[0mDictReader\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mf\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 64\u001b[0m \u001b[1;32mfor\u001b[0m \u001b[0md\u001b[0m \u001b[1;32min\u001b[0m \u001b[0mr\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n", + "\u001b[1;31mTypeError\u001b[0m: coercing to Unicode: need string or buffer, int found" + ] + } + ], "source": [ - "l = ['IF99'] #, 'CU99', 'I99', 'TA99']\n", "engine = BacktestingEngine()\n", "engine.setPeriod(datetime(2015, 1, 1), datetime(2018, 11, 9))\n", - "engine.initPortfolio(l)" + "engine.initPortfolio('setting.csv')" ] }, { "cell_type": "code", - "execution_count": 3, - "metadata": {}, - "outputs": [ - { - "name": "stdout", - "output_type": "stream", - "text": [ - "11:39:12.298000:IF99数据加载完成，总数据量：940\n", - "11:39:12.299000:全部数据加载完成\n" - ] - } - ], + "execution_count": null, + "metadata": { + "scrolled": false + }, + "outputs": [], "source": [ "engine.loadData()\n", "engine.runBacktesting()\n", @@ -52,34 +55,16 @@ }, { "cell_type": "code", - "execution_count": 4, - "metadata": {}, - "outputs": [ - { - "name": "stdout", - "output_type": "stream", - "text": [ - "2015-06-08 00:00:00\n" - ] - }, - { - "ename": "UnicodeDecodeError", - "evalue": "'ascii' codec can't decode byte 0xe5 in position 0: ordinal not in range(128)", - "output_type": "error", - "traceback": [ - "\u001b[1;31m---------------------------------------------------------------------------\u001b[0m", - "\u001b[1;31mUnicodeDecodeError\u001b[0m Traceback (most recent call last)", - "\u001b[1;32m\u001b[0m in \u001b[0;36m\u001b[1;34m()\u001b[0m\n\u001b[0;32m 2\u001b[0m \u001b[1;32mprint\u001b[0m \u001b[0mdt\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 3\u001b[0m \u001b[1;32mfor\u001b[0m \u001b[0mtrade\u001b[0m \u001b[1;32min\u001b[0m \u001b[0ml\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m----> 4\u001b[1;33m \u001b[1;32mprint\u001b[0m \u001b[0mtrade\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m", - "\u001b[1;32mC:\\Github\\vnpy\\examples\\TurtleStrategy\\turtleEngine.py\u001b[0m in \u001b[0;36m__str__\u001b[1;34m(self)\u001b[0m\n\u001b[0;32m 134\u001b[0m \u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0moffset\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mencode\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;34m'UTF-8'\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m,\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 135\u001b[0m \u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mvolume\u001b[0m\u001b[1;33m,\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m--> 136\u001b[1;33m self.price)\n\u001b[0m\u001b[0;32m 137\u001b[0m \u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 138\u001b[0m \u001b[1;33m\u001b[0m\u001b[0m\n", - "\u001b[1;31mUnicodeDecodeError\u001b[0m: 'ascii' codec can't decode byte 0xe5 in position 0: ordinal not in range(128)" - ] - } - ], + "execution_count": null, + "metadata": { + "scrolled": false + }, + "outputs": [], "source": [ "for dt, l in engine.tradeDict.items():\n", " print dt\n", " for trade in l:\n", - " print trade" + " print trade.vtSymbol, trade.direction, trade.offset, trade.price, trade.volume" ] }, { @@ -91,29 +76,16 @@ "outputs": [], "source": [ "for result in engine.resultList:\n", - " print result.date, result.totalPnl" + " if result.totalPnl:\n", + " print result.date, result.totalPnl" ] }, { "cell_type": "code", "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "import numpy as np" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, + "metadata": { + "scrolled": true + }, "outputs": [], "source": [ "l = [result.totalPnl for result in engine.resultList]\n", @@ -121,25 +93,6 @@ "plt.plot(equity)" ] }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "for data in engine.dataDict.values():\n", - " print data" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "print trade." - ] - }, { "cell_type": "code", "execution_count": null, diff --git a/examples/TurtleStrategy/run.ipynb b/examples/TurtleStrategy/run.ipynb index 70eb452e..a1862ccf 100644 --- a/examples/TurtleStrategy/run.ipynb +++ b/examples/TurtleStrategy/run.ipynb @@ -6,13 +6,11 @@ "metadata": {}, "outputs": [], "source": [ - "import sys\n", - "reload(sys)\n", - "\n", - "\n", "%matplotlib inline\n", "\n", "from datetime import datetime\n", + "\n", + "import numpy as np\n", "import matplotlib.pyplot as plt\n", "\n", "from turtleEngine import BacktestingEngine" @@ -20,30 +18,22 @@ }, { "cell_type": "code", - "execution_count": 2, + "execution_count": null, "metadata": {}, "outputs": [], "source": [ - "l = ['IF99'] #, 'CU99', 'I99', 'TA99']\n", "engine = BacktestingEngine()\n", "engine.setPeriod(datetime(2015, 1, 1), datetime(2018, 11, 9))\n", - "engine.initPortfolio(l)" + "engine.initPortfolio('setting.csv', 10000000)" ] }, { "cell_type": "code", - "execution_count": 3, - "metadata": {}, - "outputs": [ - { - "name": "stdout", - "output_type": "stream", - "text": [ - "11:39:12.298000:IF99数据加载完成，总数据量：940\n", - "11:39:12.299000:全部数据加载完成\n" - ] - } - ], + "execution_count": null, + "metadata": { + "scrolled": false + }, + "outputs": [], "source": [ "engine.loadData()\n", "engine.runBacktesting()\n", @@ -52,122 +42,11 @@ }, { "cell_type": "code", - "execution_count": 5, - "metadata": {}, - "outputs": [ - { - "name": "stdout", - "output_type": "stream", - "text": [ - "2015-06-08 00:00:00\n", - "IF99 多 开仓 5370.6182 1\n", - "IF99 多 开仓 5370.6182 1\n", - "2015-06-17 00:00:00\n", - "IF99 空 平仓 4994.5359289007665 1\n", - "IF99 空 平仓 4994.5359289007665 1\n", - "2015-10-12 00:00:00\n", - "IF99 多 开仓 3341.0982 1\n", - "2015-10-26 00:00:00\n", - "IF99 多 开仓 3424.5987371468213 1\n", - "2015-11-04 00:00:00\n", - "IF99 多 开仓 3508.099274293643 1\n", - "2015-11-05 00:00:00\n", - "IF99 多 开仓 3591.5998114404642 1\n", - "2015-11-23 00:00:00\n", - "IF99 空 平仓 3603.8898 4\n", - "2015-12-21 00:00:00\n", - "IF99 多 开仓 3786.5235 1\n", - "2015-12-23 00:00:00\n", - "IF99 多 开仓 3834.280588057014 1\n", - "2015-12-28 00:00:00\n", - "IF99 空 平仓 3643.2522358289566 2\n", - "2016-03-07 00:00:00\n", - "IF99 多 开仓 3027.3054 1\n", - "IF99 多 开仓 3074.3983619185256 1\n", - "2016-03-18 00:00:00\n", - "IF99 多 开仓 3121.4913238370505 1\n", - "2016-03-21 00:00:00\n", - "IF99 多 开仓 3168.584285755576 1\n", - "2016-04-20 00:00:00\n", - "IF99 空 平仓 3105.8006 4\n", - "2016-07-07 00:00:00\n", - "IF99 多 开仓 3166.5061 1\n", - "2016-07-11 00:00:00\n", - "IF99 多 开仓 3194.9341606344988 1\n", - "IF99 多 开仓 3192.2685 1\n", - "2016-07-12 00:00:00\n", - "IF99 多 开仓 3223.3622212689975 1\n", - "2016-07-27 00:00:00\n", - "IF99 空 平仓 3173.5677 4\n", - "2016-08-11 00:00:00\n", - "IF99 多 开仓 3245.6871 1\n", - "2016-08-12 00:00:00\n", - "IF99 多 开仓 3268.4782362989677 1\n", - "IF99 多 开仓 3274.5309 1\n", - "2016-08-15 00:00:00\n", - "IF99 多 开仓 3291.269372597935 1\n", - "2016-08-25 00:00:00\n", - "IF99 空 平仓 3251.8034639734847 4\n", - "2016-10-19 00:00:00\n", - "IF99 多 开仓 3294.1809 1\n", - "2016-10-24 00:00:00\n", - "IF99 多 开仓 3313.0011487826814 1\n", - "IF99 多 开仓 3331.821397565363 1\n", - "IF99 多 开仓 3350.6416463480446 1\n", - "2016-12-07 00:00:00\n", - "IF99 空 平仓 3432.9777 4\n", - "2017-03-24 00:00:00\n", - "IF99 多 开仓 3468.6291 1\n", - "2017-03-30 00:00:00\n", - "IF99 空 平仓 3406.5561141656326 1\n", - "2017-04-05 00:00:00\n", - "IF99 多 开仓 3474.3432 1\n", - "IF99 多 开仓 3491.1258202647214 1\n", - "IF99 多 开仓 3474.3432 1\n", - "IF99 多 开仓 3491.1258202647214 1\n", - "2017-04-17 00:00:00\n", - "IF99 空 平仓 3440.7779594705567 3\n", - "IF99 空 平仓 3440.7779594705567 1\n", - "2017-05-25 00:00:00\n", - "IF99 多 开仓 3433.5201 1\n", - "IF99 多 开仓 3449.826458335901 1\n", - "IF99 多 开仓 3466.1328166718017 1\n", - "2017-05-26 00:00:00\n", - "IF99 多 开仓 3482.4391750077025 1\n", - "2017-06-15 00:00:00\n", - "IF99 空 平仓 3498.115614786368 4\n", - "2017-06-22 00:00:00\n", - "IF99 多 开仓 3579.0624 1\n", - "2017-06-26 00:00:00\n", - "IF99 多 开仓 3597.53568462007 1\n", - "IF99 多 开仓 3616.0089692401393 1\n", - "IF99 多 开仓 3634.4822538602093 1\n", - "2017-08-11 00:00:00\n", - "IF99 空 平仓 3656.9743 4\n", - "2018-01-02 00:00:00\n", - "IF99 多 开仓 4105.3543 1\n", - "2018-01-03 00:00:00\n", - "IF99 多 开仓 4132.444330290369 1\n", - "2018-01-08 00:00:00\n", - "IF99 多 开仓 4159.534360580738 1\n", - "2018-01-09 00:00:00\n", - "IF99 多 开仓 4186.624390871108 1\n", - "2018-02-01 00:00:00\n", - "IF99 空 平仓 4253.1416 4\n", - "2018-07-24 00:00:00\n", - "IF99 多 开仓 3507.8183 1\n", - "IF99 多 开仓 3547.101357149508 1\n", - "2018-08-02 00:00:00\n", - "IF99 空 平仓 3389.9691285514746 2\n", - "2018-09-21 00:00:00\n", - "IF99 多 开仓 3407.2856 1\n", - "2018-09-26 00:00:00\n", - "IF99 多 开仓 3438.7157642602238 1\n", - "2018-10-08 00:00:00\n", - "IF99 空 平仓 3312.9951072193303 2\n" - ] - } - ], + "execution_count": null, + "metadata": { + "scrolled": false + }, + "outputs": [], "source": [ "for dt, l in engine.tradeDict.items():\n", " print dt\n", @@ -184,29 +63,16 @@ "outputs": [], "source": [ "for result in engine.resultList:\n", - " print result.date, result.totalPnl" + " if result.totalPnl:\n", + " print result.date, result.totalPnl" ] }, { "cell_type": "code", "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "import numpy as np" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, + "metadata": { + "scrolled": true + }, "outputs": [], "source": [ "l = [result.totalPnl for result in engine.resultList]\n", @@ -219,19 +85,7 @@ "execution_count": null, "metadata": {}, "outputs": [], - "source": [ - "for data in engine.dataDict.values():\n", - " print data" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "print trade." - ] + "source": [] }, { "cell_type": "code", diff --git a/examples/TurtleStrategy/turtleEngine.py b/examples/TurtleStrategy/turtleEngine.py index 3a87c400..129f3590 100644 --- a/examples/TurtleStrategy/turtleEngine.py +++ b/examples/TurtleStrategy/turtleEngine.py @@ -203,12 +203,22 @@ class DailyResult(object): close = self.closeDict[vtSymbol] size = SIZE_DICT[vtSymbol] + slippage = SLIPPAGE_DICT[vtSymbol] + variableCommission = VARIABLE_COMMISSION_DICT[vtSymbol] + fixedCommission = FIXED_COMMISSION_DICT[vtSymbol] + for trade in l: if trade.direction == DIRECTION_LONG: side = 1 else: side = -1 + + commissionCost = (trade.volume * fixedCommission + + trade.volume * trade.price * variableCommission) + slippageCost = trade.volume * slippage + pnl = (close - trade.price) * trade.volume * side * size + pnl -= (commissionCost + slippageCost) self.tradingPnl += pnl #---------------------------------------------------------------------- diff --git a/examples/TurtleStrategy/turtleStrategy.py b/examples/TurtleStrategy/turtleStrategy.py index 09c274ce..3d885eec 100644 --- a/examples/TurtleStrategy/turtleStrategy.py +++ b/examples/TurtleStrategy/turtleStrategy.py @@ -253,7 +253,6 @@ class TurtleSignal(object): tradePrice = min(self.bar.open, price) return tradePrice - ########################################################################