增加交易策略、交易指标、量化库代码等文件夹

1.交易策略/3.期权策略/42_dualthrust.ipynb

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+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 1,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 加载功能模块\n",
+    "from datetime import datetime\n",
+    "\n",
+    "from vnpy.trader.constant import Interval\n",
+    "\n",
+    "from elite_optionstrategy import BacktestingEngine\n",
+    "\n",
+    "from AdvancedSpreadStrategy_dualthrust2 import AdvancedSpreadStrategy"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "设置回测的参数。参数及其含义如下 1. vt_symbol ==> 产品名称 2. interval ==> 周期 3. start ==> 开始时间 4. rate ==> 手续费 5. slippage ==> 滑点 6. size ==> 合约乘数 7. pricetick ==> 价格跳动 8. capital ==> 回测资本 9. end ==> 截止时间 10. mode ==> 回测的模式，一共有两种：BacktestingMode.BAR和BacktestingMode.TICK 11. inverse ==> 周期"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 2,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 创建回测引擎\n",
+    "engine = BacktestingEngine()\n",
+    "\n",
+    "engine.set_parameters(\n",
+    "    interval=Interval.MINUTE,\n",
+    "    start=datetime(2024, 7, 1),\n",
+    "    end=datetime(2024, 8, 30),\n",
+    "    rate=0,\n",
+    "    slippage=0.6 + (16 / 100),\n",
+    "    capital= 1000000\n",
+    ")\n",
+    "\n",
+    "\n",
+    "setting = {\n",
+    "    # \"aroon_window\": 5,\n",
+    "    \"k1\":0.3,\n",
+    "    \"k2\": 0.9,\n",
+    "    \"percent_add\": 0,\n",
+    "    \"otm_level\": 0\n",
+    "}\n",
+    "engine.add_strategy(AdvancedSpreadStrategy, setting)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "tags": []
+   },
+   "outputs": [
+    {
+     "name": "stderr",
+     "output_type": "stream",
+     "text": [
+      " 72%|███████▏  | 44/61 [02:21<00:55,  3.28s/it]"
+     ]
+    }
+   ],
+   "source": [
+    "# 历史数据回放\n",
+    "engine.run_backtesting()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 计算每日盈亏\n",
+    "engine.calculate_result()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 统计绩效结果\n",
+    "result = engine.calculate_statistics()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 显示资金图表\n",
+    "engine.show_chart()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 打印逐笔成交\n",
+    "for trade in engine.all_trades.values():\n",
+    "    print(trade.datetime, trade.vt_symbol, trade.direction.value, trade.offset.value, trade.volume, \"@\", trade.price)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3 (ipykernel)",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.10.9"
+  },
+  "vscode": {
+   "interpreter": {
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+ "nbformat": 4,
+ "nbformat_minor": 4
+}