{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "%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"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "scrolled": false
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "投资组合的合约代码['IF99', 'I99', 'CU99', 'TA99']\n",
      "投资组合的初始价值10000000\n",
      "IF99数据加载完成，总数据量：1185\n",
      "I99数据加载完成，总数据量：1185\n",
      "CU99数据加载完成，总数据量：1185\n",
      "TA99数据加载完成，总数据量：1185\n",
      "全部数据加载完成\n",
      "开始回放K线数据\n",
      "K线数据回放结束\n",
      "开始统计回测结果\n",
      "------------------------------\n",
      "首个交易日：\t2014-01-02 00:00:00\n",
      "最后交易日：\t2018-11-09 00:00:00\n",
      "总交易日：\t1185\n",
      "盈利交易日\t523\n",
      "亏损交易日：\t552\n",
      "起始资金：\t10000000\n",
      "结束资金：\t54,093,646.23\n",
      "总收益率：\t440.94%\n",
      "年化收益：\t37.23%\n",
      "总盈亏：\t44,093,646.23\n",
      "最大回撤: \t-7,822,360.7\n",
      "百分比最大回撤: -18.09%\n",
      "总手续费：\t607,834.31\n",
      "总滑点：\t170,572.2\n",
      "总成交笔数：\t571.0\n",
      "日均盈亏：\t37,209.83\n",
      "日均手续费：\t512.94\n",
      "日均滑点：\t143.94\n",
      "日均成交笔数：\t0.0\n",
      "日均收益率：\t0.16%\n",
      "收益标准差：\t1.6%\n",
      "Sharpe Ratio：\t1.5\n"
     ]
    }
   ],
   "source": [
    "engine = BacktestingEngine()\n",
    "engine.setPeriod(datetime(2014, 1, 1), datetime(2018, 12, 30))\n",
    "engine.initPortfolio('setting.csv', 10000000)\n",
    "\n",
    "engine.loadData()\n",
    "engine.runBacktesting()\n",
    "engine.showResult()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "scrolled": false
   },
   "outputs": [],
   "source": [
    "tradeList = engine.getTradeData('000300')\n",
    "for trade in tradeList:\n",
    "    print '%s %s %s %s@%s' %(trade.vtSymbol, trade.direction, trade.offset,\n",
    "                             trade.volume, trade.price)"
   ]
  }
 ],
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