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Update backtesting.py

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1122455801 2019-03-26 15:53:22 +08:00
parent 6359fac196
commit fc1c76ce48
1 changed files with 32 additions and 26 deletions
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58
vnpy/app/cta_strategy/backtesting.py
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@ -293,7 +293,7 @@ class BacktestingEngine:
self.output("逐日盯市盈亏计算完成") self.output("逐日盯市盈亏计算完成")
return self.daily_df return self.daily_df
def calculate_statistics(self, df: DataFrame = None): def calculate_statistics(self, df: DataFrame = None, Output=True):
"""""" """"""
self.output("开始计算策略统计指标") self.output("开始计算策略统计指标")
@ -325,6 +325,7 @@ class BacktestingEngine:
daily_return = 0 daily_return = 0
return_std = 0 return_std = 0
sharpe_ratio = 0 sharpe_ratio = 0
return_drawdown_ratio = 0
else: else:
# Calculate balance related time series data # Calculate balance related time series data
df["balance"] = df["net_pnl"].cumsum() + self.capital df["balance"] = df["net_pnl"].cumsum() + self.capital
@ -373,38 +374,42 @@ class BacktestingEngine:
else: else:
sharpe_ratio = 0 sharpe_ratio = 0
return_drawdown_ratio = -total_return / max_ddpercent
# Output # Output
self.output("-" * 30) if Output:
self.output(f"首个交易日：\t{start_date}") self.output("-" * 30)
self.output(f"最后交易日：\t{end_date}") self.output(f"首个交易日：\t{start_date}")
self.output(f"最后交易日：\t{end_date}")
self.output(f"总交易日：\t{total_days}") self.output(f"总交易日：\t{total_days}")
self.output(f"盈利交易日：\t{profit_days}") self.output(f"盈利交易日：\t{profit_days}")
self.output(f"亏损交易日：\t{loss_days}") self.output(f"亏损交易日：\t{loss_days}")
self.output(f"起始资金：\t{self.capital:,.2f}") self.output(f"起始资金：\t{self.capital:,.2f}")
self.output(f"结束资金：\t{end_balance:,.2f}") self.output(f"结束资金：\t{end_balance:,.2f}")
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}")
self.output(f"总成交笔数：\t{total_trade_count}") self.output(f"总成交笔数：\t{total_trade_count}")
self.output(f"日均盈亏：\t{daily_net_pnl:,.2f}") self.output(f"日均盈亏：\t{daily_net_pnl:,.2f}")
self.output(f"日均手续费：\t{daily_commission:,.2f}") self.output(f"日均手续费：\t{daily_commission:,.2f}")
self.output(f"日均滑点：\t{daily_slippage:,.2f}") self.output(f"日均滑点：\t{daily_slippage:,.2f}")
self.output(f"日均成交金额：\t{daily_turnover:,.2f}") self.output(f"日均成交金额：\t{daily_turnover:,.2f}")
self.output(f"日均成交笔数：\t{daily_trade_count}") self.output(f"日均成交笔数：\t{daily_trade_count}")
self.output(f"日均收益率：\t{daily_return:,.2f}%") self.output(f"日均收益率：\t{daily_return:,.2f}%")
self.output(f"收益标准差：\t{return_std:,.2f}%") self.output(f"收益标准差：\t{return_std:,.2f}%")
self.output(f"Sharpe Ratio：\t{sharpe_ratio:,.2f}") self.output(f"Sharpe Ratio：\t{sharpe_ratio:,.2f}")
self.output(f"收益回撤比：\t{return_drawdown_ratio:,.2f}")
statistics = { statistics = {
"start_date": start_date, "start_date": start_date,
@ -430,6 +435,7 @@ class BacktestingEngine:
"daily_return": daily_return, "daily_return": daily_return,
"return_std": return_std, "return_std": return_std,
"sharpe_ratio": sharpe_ratio, "sharpe_ratio": sharpe_ratio,
"return_drawdown_ratio": return_drawdown_ratio,
} }
return statistics return statistics