[Add]增加多策略组合回测的Jupyter Notebook

examples/CtaBacktesting/.ipynb_checkpoints/backtesting_portfolio-checkpoint.ipynb

@@ -0,0 +1,131 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 1,
+   "metadata": {
+    "collapsed": true
+   },
+   "outputs": [],
+   "source": [
+    "%matplotlib inline\n",
+    "\n",
+    "from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, MINUTE_DB_NAME\n",
+    "\n",
+    "def runBacktesting(strategyClass, settingDict, symbol, \n",
+    "                   startDate, endDate, slippage, \n",
+    "                   rate, size, priceTick):\n",
+    "    \"\"\"运行单标的回测\"\"\"\n",
+    "    engine = BacktestingEngine()\n",
+    "    engine.setBacktestingMode(engine.BAR_MODE)\n",
+    "    engine.setDatabase(MINUTE_DB_NAME, symbol)\n",
+    "    engine.setStartDate(startDate)\n",
+    "    engine.setEndDate(endDate)\n",
+    "    engine.setSlippage(slippage)\n",
+    "    engine.setRate(rate)   \n",
+    "    engine.setSize(size)         \n",
+    "    engine.setPriceTick(priceTick)\n",
+    "    \n",
+    "    engine.initStrategy(strategyClass, settingDict)\n",
+    "    engine.runBacktesting()\n",
+    "    df = engine.calculateDailyResult()\n",
+    "    return df"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 2,
+   "metadata": {
+    "collapsed": false
+   },
+   "outputs": [
+    {
+     "ename": "SyntaxError",
+     "evalue": "EOL while scanning string literal (<ipython-input-2-50e7df42c47d>, line 4)",
+     "output_type": "error",
+     "traceback": [
+      "\u001b[1;36m  File \u001b[1;32m\"<ipython-input-2-50e7df42c47d>\"\u001b[1;36m, line \u001b[1;32m4\u001b[0m\n\u001b[1;33m    '20120101', '20170630, 0.2,\u001b[0m\n\u001b[1;37m                               ^\u001b[0m\n\u001b[1;31mSyntaxError\u001b[0m\u001b[1;31m:\u001b[0m EOL while scanning string literal\n"
+     ]
+    }
+   ],
+   "source": [
+    "# 运行IF回测，交易1手\n",
+    "from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy\n",
+    "df1 = runBacktesting(AtrRsiStrategy, {}, 'IF0000', \n",
+    "                     '20120101', '20170630', 0.2, \n",
+    "                     0.3/10000, 300, 0.2)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "collapsed": false
+   },
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "2017-10-07 23:23:57.497000\t开始载入数据\n",
+      "2017-10-07 23:23:57.617000\t载入完成，数据量：300224\n",
+      "2017-10-07 23:23:57.617000\t开始回测\n",
+      "2017-10-07 23:23:57.625000\t策略初始化完成\n",
+      "2017-10-07 23:23:57.625000\t策略启动完成\n",
+      "2017-10-07 23:23:57.625000\t开始回放数据\n"
+     ]
+    }
+   ],
+   "source": [
+    "# 运行rb回测，交易16手\n",
+    "from vnpy.trader.app.ctaStrategy.strategy.strategyBollChannel import BollChannelStrategy\n",
+    "settingDict = {'fixedSize': 16}\n",
+    "df2 = runBacktesting(BollChannelStrategy, settingDict, 'rb0000', \n",
+    "                     '20120101', '20170630', 1, \n",
+    "                     1/10000, 10, 1)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "collapsed": false
+   },
+   "outputs": [],
+   "source": [
+    "# 合并获得组合回测结果\n",
+    "dfp = df1 + df2\n",
+    "\n",
+    "# 注意如果被抛弃的交易日位于回测的前后，即两者不重合的日期中，则不会影响组合曲线正确性\n",
+    "# 但是如果被抛弃的交易日位于回测的中部，即两者重合的日期中，组合曲线会出现错误（丢失交易日）\n",
+    "dfp = dfp.dropna()   \n",
+    "\n",
+    "# 创建回测引擎，并设置组合回测初始资金后，显示结果\n",
+    "engine = BacktestingEngine()\n",
+    "engine.setCapital(1000000)\n",
+    "engine.showDailyResult(dfp)"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 2",
+   "language": "python",
+   "name": "python2"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 2
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython2",
+   "version": "2.7.13"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 0
+}

examples/CtaBacktesting/.ipynb_checkpoints/backtesting_rb-checkpoint.ipynb

@@ -90,7 +90,7 @@
    "outputs": [],
    "source": [
     "# 显示逐日回测结果\n",
-    "df = engine.showDailyResult()"
+    "engine.showDailyResult()"
    ]
   },
   {

examples/CtaBacktesting/backtesting_IF.ipynb

@@ -90,7 +90,7 @@
    "outputs": [],
    "source": [
     "# 显示逐日回测结果\n",
-    "df = engine.showDailyResult()"
+    "engine.showDailyResult()"
    ]
   },
   {

examples/CtaBacktesting/backtesting_rb.ipynb

@@ -90,7 +90,7 @@
    "outputs": [],
    "source": [
     "# 显示逐日回测结果\n",
-    "df = engine.showDailyResult()"
+    "engine.showDailyResult()"
    ]
   },
   {

vnpy/trader/app/ctaStrategy/ctaBacktesting.py

@@ -948,7 +948,7 @@ class BacktestingEngine(object):
     #----------------------------------------------------------------------
     def showDailyResult(self, df=None):
         """显示按日统计的交易结果"""
-        if not df:
+        if df is None:
             df = self.calculateDailyResult()
 
         df['balance'] = df['netPnl'].cumsum() + self.capital