{
 "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)"
   ]
  }
 ],
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