159 lines
3.8 KiB
Plaintext
159 lines
3.8 KiB
Plaintext
{
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"cells": [
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{
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"cell_type": "code",
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"execution_count": 1,
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"metadata": {
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"collapsed": false
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},
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"outputs": [],
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"source": [
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"%matplotlib inline\n",
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"\n",
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"from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, OptimizationSetting, MINUTE_DB_NAME\n",
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"from vnpy.trader.app.ctaStrategy.strategy.strategyBollChannel import BollChannelStrategy"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 2,
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"metadata": {
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"collapsed": false
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},
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"outputs": [],
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"source": [
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"# 创建回测引擎对象\n",
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"engine = BacktestingEngine()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 3,
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"metadata": {
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"collapsed": false
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},
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"outputs": [],
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"source": [
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"# 设置回测使用的数据\n",
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"engine.setBacktestingMode(engine.BAR_MODE) # 设置引擎的回测模式为K线\n",
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"engine.setDatabase(MINUTE_DB_NAME, 'rb0000') # 设置使用的历史数据库\n",
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"engine.setStartDate('20110101') # 设置回测用的数据起始日期"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 4,
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"metadata": {
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"collapsed": true
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},
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"outputs": [],
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"source": [
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"# 配置回测引擎参数\n",
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"engine.setSlippage(1) # 设置滑点为1跳\n",
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"engine.setRate(1/10000) # 设置手续费万1\n",
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"engine.setSize(10) # 设置合约大小 \n",
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"engine.setPriceTick(1) # 设置最小价格变动 \n",
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"engine.setCapital(30000) # 设置回测本金"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 5,
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"metadata": {
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"collapsed": true
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},
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"outputs": [],
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"source": [
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"# 在引擎中创建策略对象\n",
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"d = {} # 策略参数配置\n",
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"engine.initStrategy(BollChannelStrategy, d) # 创建策略对象"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 6,
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"metadata": {
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"collapsed": false
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},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"2018-01-07 15:25:16.799000\t开始载入数据\n",
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"2018-01-07 15:25:16.805000\t载入完成，数据量：0\n",
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"2018-01-07 15:25:16.805000\t开始回测\n",
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"2018-01-07 15:25:16.805000\t策略初始化完成\n",
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"2018-01-07 15:25:16.805000\t策略启动完成\n",
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"2018-01-07 15:25:16.805000\t开始回放数据\n",
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"2018-01-07 15:25:16.806000\t数据回放结束\n"
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]
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}
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],
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"source": [
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"# 运行回测\n",
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"engine.runBacktesting()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {
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"collapsed": false
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},
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"outputs": [],
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"source": [
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"# 显示逐日回测结果\n",
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"engine.showDailyResult()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {
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"collapsed": false
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},
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"outputs": [],
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"source": [
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"# 显示逐笔回测结果\n",
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"engine.showBacktestingResult()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {
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"collapsed": false
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},
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"outputs": [],
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"source": [
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"# 显示前10条成交记录\n",
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"for i in range(10):\n",
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" d = engine.tradeDict[str(i+1)].__dict__\n",
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" print 'TradeID: %s, Time: %s, Direction: %s, Price: %s, Volume: %s' %(d['tradeID'], d['dt'], d['direction'], d['price'], d['volume'])"
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]
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": "Python 2",
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"language": "python",
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"name": "python2"
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},
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"language_info": {
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"codemirror_mode": {
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"name": "ipython",
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"version": 2
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},
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"file_extension": ".py",
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"mimetype": "text/x-python",
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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython2",
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"version": "2.7.13"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 0
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}
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