38 lines
860 B
Python
38 lines
860 B
Python
# encoding: UTF-8
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from strategyEngine import *
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from backtestingEngine import *
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from demoStrategy import SimpleEmaStrategy
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# 回测脚本
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if __name__ == '__main__':
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symbol = 'IF1506'
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# 创建回测引擎
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be = BacktestingEngine()
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# 创建策略引擎对象
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se = StrategyEngine(be.eventEngine, be, backtesting=True)
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be.setStrategyEngine(se)
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# 初始化回测引擎
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be.connectMongo()
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be.loadDataHistory(symbol, datetime(2015,5,1), datetime.today())
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# 创建策略对象
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setting = {}
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setting['fastAlpha'] = 0.2
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setting['slowAlpha'] = 0.05
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setting['startDate'] = datetime(year=2015, month=5, day=20)
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se.createStrategy(u'EMA演示策略', symbol, SimpleEmaStrategy, setting)
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# 启动所有策略
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se.startAll()
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# 开始回测
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be.startBacktesting()
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