113 lines
2.9 KiB
Plaintext
113 lines
2.9 KiB
Plaintext
{
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"cells": [
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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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"outputs": [],
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"source": [
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"%matplotlib inline\n",
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"\n",
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"from datetime import datetime\n",
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"\n",
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"import numpy as np\n",
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"import matplotlib.pyplot as plt\n",
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"\n",
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"from turtleEngine import 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": null,
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"metadata": {
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"scrolled": 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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"投资组合的合约代码['IF99', 'I99', 'CU99', 'TA99']\n",
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"投资组合的初始价值10000000\n",
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"IF99数据加载完成，总数据量：1185\n",
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"I99数据加载完成，总数据量：1185\n",
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"CU99数据加载完成，总数据量：1185\n",
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"TA99数据加载完成，总数据量：1185\n",
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"全部数据加载完成\n",
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"开始回放K线数据\n",
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"K线数据回放结束\n",
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"开始统计回测结果\n",
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"------------------------------\n",
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"首个交易日：\t2014-01-02 00:00:00\n",
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"最后交易日：\t2018-11-09 00:00:00\n",
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"总交易日：\t1185\n",
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"盈利交易日\t523\n",
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"亏损交易日：\t552\n",
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"起始资金：\t10000000\n",
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"结束资金：\t54,093,646.23\n",
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"总收益率：\t440.94%\n",
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"年化收益：\t37.23%\n",
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"总盈亏：\t44,093,646.23\n",
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"最大回撤: \t-7,822,360.7\n",
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"百分比最大回撤: -18.09%\n",
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"总手续费：\t607,834.31\n",
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"总滑点：\t170,572.2\n",
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"总成交笔数：\t571.0\n",
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"日均盈亏：\t37,209.83\n",
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"日均手续费：\t512.94\n",
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"日均滑点：\t143.94\n",
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"日均成交笔数：\t0.0\n",
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"日均收益率：\t0.16%\n",
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"收益标准差：\t1.6%\n",
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"Sharpe Ratio：\t1.5\n"
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]
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}
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],
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"source": [
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"engine = BacktestingEngine()\n",
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"engine.setPeriod(datetime(2014, 1, 1), datetime(2018, 12, 30))\n",
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"engine.initPortfolio('setting.csv', 10000000)\n",
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"\n",
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"engine.loadData()\n",
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"engine.runBacktesting()\n",
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"engine.showResult()"
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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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"scrolled": false
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},
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"outputs": [],
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"source": [
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"tradeList = engine.getTradeData('000300')\n",
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"for trade in tradeList:\n",
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" print '%s %s %s %s@%s' %(trade.vtSymbol, trade.direction, trade.offset,\n",
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" trade.volume, trade.price)"
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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": "2.7.14"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 2
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}
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