{ "cells": [ { "cell_type": "code", "execution_count": 37, "metadata": {}, "outputs": [], "source": [ "#%%\n", "from datetime import datetime\n", "from importlib import reload\n", "from vnpy.app.portfolio_strategy import BacktestingEngine\n", "from vnpy.trader.constant import Interval\n", "\n", "symbols = {\n", " \"SHFE\": [\"CU\", \"AL\", \"ZN\", \"PB\", \"NI\", \"SN\", \"AU\", \"AG\", \"RB\", \"HC\", \"BU\", \"RU\",],\n", " \"DCE\": [\"C\", \"CS\", \"A\", \"B\", \"M\", \"Y\", \"P\", \"BB\", \"JD\", \"L\", \"V\", \"PP\", \"J\", \"JM\", \"I\"],\n", " \"CZCE\": [\"SR\", \"CF\", \"CY\", \"PM\",\"WH\", \"RI\", \"LR\", \"JR\",\"OI\", \"RS\", \"RM\", \"TA\", \"MA\", \"FG\", \"SF\", \"ZC\", \"SM\"],\n", "}\n", "contract_type = \"99\" # 99代表指数合约" ] }, { "cell_type": "code", "execution_count": 38, "metadata": {}, "outputs": [], "source": [ "def generate_all_vt_symbols(symbols, contract_type):\n", " \"\"\"\n", " 合成回测用的vt_symbol列表\n", " vt_symbol 格式：合约代码.交易所 （ej：AG99.SHFE）\n", " \"\"\"\n", " vt_symbols = []\n", " for k, v in symbols.items():\n", " for i in v:\n", " symbol = i + contract_type + \".\" + k\n", " vt_symbols.append(symbol)\n", " return vt_symbols" ] }, { "cell_type": "code", "execution_count": 39, "metadata": {}, "outputs": [], "source": [ "def set_ratios(num, vt_symbols):\n", " \"\"\"\n", " 设置每个vt_symbol的回测参数,最终返回字典格式\n", " 用于设置手续费，滑点，合约规模，price tick\n", " \"\"\"\n", " d = {}\n", " for i in vt_symbols:\n", " d[i] = num\n", " return d" ] }, { "cell_type": "code", "execution_count": 40, "metadata": {}, "outputs": [], "source": [ "def show_result(\n", " vt_symbols,\n", " strategy,\n", " setting={},\n", " show_chart=True\n", "):\n", " # 1）创建回测引擎对象\n", " engine = BacktestingEngine()\n", " # 2）设置回测参数\n", " engine.set_parameters(\n", " vt_symbols=vt_symbols,\n", " interval=Interval.DAILY,\n", " start=datetime(2006, 1, 1),\n", " end=datetime(2020, 12, 30),\n", " rates=set_ratios(1/1000, vt_symbols), # 设置每个合约的手续费，字典格式\n", " slippages=set_ratios(0, vt_symbols), #滑点，字典格式\n", " sizes=set_ratios(1, vt_symbols), #合约规模，字典格式\n", " priceticks=set_ratios(0.01, vt_symbols), #最小价格跳动，字典格式\n", " capital=5_000_000,\n", " )\n", " # 3）添加策略\n", " engine.add_strategy(strategy, setting)\n", " # 4）加载历史数据\n", " engine.load_data()\n", " # 5）跑回测，基于事件引擎逐条回放，得到成交记录\n", " engine.run_backtesting()\n", " # 6）基于逐日盯市规则和成交记录，得到组合资金曲线\n", " df = engine.calculate_result()\n", " # 7）基于资金曲线，计算策略回测指标，如收益率，夏普比率\n", " engine.calculate_statistics()\n", " # 8）画图\n", " if show_chart:\n", " engine.show_chart()" ] }, { "cell_type": "code", "execution_count": 41, "metadata": {}, "outputs": [], "source": [ "# 生成可交易合约\n", "all_vt_symbols = generate_all_vt_symbols(symbols, contract_type)" ] }, { "cell_type": "code", "execution_count": 43, "metadata": { "scrolled": false }, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "2021-01-30 20:55:28.164325\t开始加载历史数据\n", "2021-01-30 20:55:28.449355\tCU99.SHFE历史数据加载完成，数据量：3646\n", "2021-01-30 20:55:28.732356\tAL99.SHFE历史数据加载完成，数据量：3646\n", "2021-01-30 20:55:29.229354\tZN99.SHFE历史数据加载完成，数据量：3353\n", "2021-01-30 20:55:29.451360\tPB99.SHFE历史数据加载完成，数据量：2379\n", "2021-01-30 20:55:29.620353\tNI99.SHFE历史数据加载完成，数据量：1407\n", "2021-01-30 20:55:29.791353\tSN99.SHFE历史数据加载完成，数据量：1407\n", "2021-01-30 20:55:30.048324\tAU99.SHFE历史数据加载完成，数据量：3158\n", "2021-01-30 20:55:30.251323\tAG99.SHFE历史数据加载完成，数据量：2106\n", "2021-01-30 20:55:30.494352\tRB99.SHFE历史数据加载完成，数据量：2863\n", "2021-01-30 20:55:30.672356\tHC99.SHFE历史数据加载完成，数据量：1655\n", "2021-01-30 20:55:30.860352\tBU99.SHFE历史数据加载完成，数据量：1766\n", "2021-01-30 20:55:31.143355\tRU99.SHFE历史数据加载完成，数据量：3646\n", "2021-01-30 20:55:31.424355\tC99.DCE历史数据加载完成，数据量：3646\n", "2021-01-30 20:55:31.594352\tCS99.DCE历史数据加载完成，数据量：1470\n", "2021-01-30 20:55:31.935351\tA99.DCE历史数据加载完成，数据量：3646\n", "2021-01-30 20:55:32.235353\tB99.DCE历史数据加载完成，数据量：3646\n", "2021-01-30 20:55:32.515364\tM99.DCE历史数据加载完成，数据量：3646\n", "2021-01-30 20:55:32.795355\tY99.DCE历史数据加载完成，数据量：3643\n", "2021-01-30 20:55:33.058353\tP99.DCE历史数据加载完成，数据量：3208\n", "2021-01-30 20:55:33.253357\tBB99.DCE历史数据加载完成，数据量：1724\n", "2021-01-30 20:55:33.443324\tJD99.DCE历史数据加载完成，数据量：1744\n", "2021-01-30 20:55:33.704362\tL99.DCE历史数据加载完成，数据量：3267\n", "2021-01-30 20:55:33.957352\tV99.DCE历史数据加载完成，数据量：2824\n", "2021-01-30 20:55:34.149325\tPP99.DCE历史数据加载完成，数据量：1670\n", "2021-01-30 20:55:34.367356\tJ99.DCE历史数据加载完成，数据量：2365\n", "2021-01-30 20:55:34.558352\tJM99.DCE历史数据加载完成，数据量：1894\n", "2021-01-30 20:55:34.744358\tI99.DCE历史数据加载完成，数据量：1759\n", "2021-01-30 20:55:35.114357\tSR99.CZCE历史数据加载完成，数据量：3644\n", "2021-01-30 20:55:35.402352\tCF99.CZCE历史数据加载完成，数据量：3646\n", "2021-01-30 20:55:35.546355\tCY99.CZCE历史数据加载完成，数据量：820\n", "2021-01-30 20:55:35.760355\tPM99.CZCE历史数据加载完成，数据量：2178\n", "2021-01-30 20:55:35.958352\tWH99.CZCE历史数据加载完成，数据量：2054\n", "2021-01-30 20:55:36.171330\tRI99.CZCE历史数据加载完成，数据量：2054\n", "2021-01-30 20:55:36.363353\tLR99.CZCE历史数据加载完成，数据量：1582\n", "2021-01-30 20:55:36.552352\tJR99.CZCE历史数据加载完成，数据量：1738\n", "2021-01-30 20:55:36.753322\tOI99.CZCE历史数据加载完成，数据量：2060\n", "2021-01-30 20:55:36.952353\tRS99.CZCE历史数据加载完成，数据量：1946\n", "2021-01-30 20:55:37.158353\tRM99.CZCE历史数据加载完成，数据量：1946\n", "2021-01-30 20:55:37.428352\tTA99.CZCE历史数据加载完成，数据量：3415\n", "2021-01-30 20:55:37.606353\tMA99.CZCE历史数据加载完成，数据量：1597\n", "2021-01-30 20:55:37.802324\tFG99.CZCE历史数据加载完成，数据量：1965\n", "2021-01-30 20:55:37.984323\tSF99.CZCE历史数据加载完成，数据量：1559\n", "2021-01-30 20:55:38.159322\tZC99.CZCE历史数据加载完成，数据量：1373\n", "2021-01-30 20:55:38.344353\tSM99.CZCE历史数据加载完成，数据量：1559\n", "2021-01-30 20:55:38.344353\t所有历史数据加载完成\n", "2021-01-30 20:55:38.348328\t策略初始化完成\n", "2021-01-30 20:55:38.348328\t开始回放历史数据\n", "2021-01-30 20:55:39.840353\t历史数据回放结束\n", "2021-01-30 20:55:39.840353\t开始计算逐日盯市盈亏\n", "2021-01-30 20:55:40.070355\t逐日盯市盈亏计算完成\n", "2021-01-30 20:55:40.070355\t开始计算策略统计指标\n", "2021-01-30 20:55:40.078350\t------------------------------\n", "2021-01-30 20:55:40.078350\t首个交易日：\t2006-01-04\n", "2021-01-30 20:55:40.078350\t最后交易日：\t2020-12-30\n", "2021-01-30 20:55:40.078350\t总交易日：\t3646\n", "2021-01-30 20:55:40.078350\t盈利交易日：\t1932\n", "2021-01-30 20:55:40.078350\t亏损交易日：\t1693\n", "2021-01-30 20:55:40.078350\t起始资金：\t5,000,000.00\n", "2021-01-30 20:55:40.078350\t结束资金：\t26,487,030.08\n", "2021-01-30 20:55:40.078350\t总收益率：\t429.74%\n", "2021-01-30 20:55:40.078350\t年化收益：\t28.29%\n", "2021-01-30 20:55:40.078350\t最大回撤: \t-5,029,287.18\n", "2021-01-30 20:55:40.079323\t百分比最大回撤: -17.46%\n", "2021-01-30 20:55:40.079323\t最长回撤天数: \t814\n", "2021-01-30 20:55:40.079323\t总盈亏：\t21,487,030.08\n", "2021-01-30 20:55:40.079323\t总手续费：\t10,172,059.86\n", "2021-01-30 20:55:40.079323\t总滑点：\t0.00\n", "2021-01-30 20:55:40.079323\t总成交金额：\t10,172,059,857.84\n", "2021-01-30 20:55:40.079323\t总成交笔数：\t9897\n", "2021-01-30 20:55:40.079323\t日均盈亏：\t5,893.32\n", "2021-01-30 20:55:40.079323\t日均手续费：\t2,789.92\n", "2021-01-30 20:55:40.079323\t日均滑点：\t0.00\n", "2021-01-30 20:55:40.079323\t日均成交金额：\t2,789,923.16\n", "2021-01-30 20:55:40.079323\t日均成交笔数：\t2.7144816236972025\n", "2021-01-30 20:55:40.079323\t日均收益率：\t0.05%\n", "2021-01-30 20:55:40.079323\t收益标准差：\t0.86%\n", "2021-01-30 20:55:40.079323\tSharpe Ratio：\t0.82\n", "2021-01-30 20:55:40.079323\t收益回撤比：\t4.27\n", "2021-01-30 20:55:40.079323\t策略统计指标计算完成\n" ] }, { "data": { "application/vnd.plotly.v1+json": { "config": { "plotlyServerURL": "https://plot.ly" }, "data": [ { "mode": "lines", "name": "Balance", "type": "scatter", "x": [ "2006-01-04", "2006-01-05", "2006-01-06", "2006-01-09", "2006-01-10", "2006-01-11", "2006-01-12", "2006-01-13", "2006-01-16", "2006-01-17", "2006-01-18", "2006-01-19", "2006-01-20", "2006-01-23", "2006-01-24", "2006-01-25", "2006-02-06", "2006-02-07", "2006-02-08", "2006-02-09", "2006-02-10", "2006-02-13", "2006-02-14", "2006-02-15", "2006-02-16", "2006-02-17", "2006-02-20", "2006-02-21", "2006-02-22", "2006-02-23", "2006-02-24", "2006-02-27", "2006-02-28", "2006-03-01", 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"y", "domain": [ 0, 1 ] }, "xaxis2": { "anchor": "y2", "domain": [ 0, 1 ] }, "xaxis3": { "anchor": "y3", "domain": [ 0, 1 ] }, "xaxis4": { "anchor": "y4", "domain": [ 0, 1 ] }, "yaxis": { "anchor": "x", "domain": [ 0.7949999999999999, 1 ] }, "yaxis2": { "anchor": "x2", "domain": [ 0.53, 0.7350000000000001 ] }, "yaxis3": { "anchor": "x3", "domain": [ 0.265, 0.47000000000000003 ] }, "yaxis4": { "anchor": "x4", "domain": [ 0, 0.20500000000000002 ] } } }, "text/html": [ "
" ] }, "metadata": {}, "output_type": "display_data" } ], "source": [ "# 加载策略，一键回测\n", "import return10_strategy\n", "reload(return10_strategy)\n", "show_result(all_vt_symbols ,return10_strategy.Return10Strategy)" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] } ], "metadata": { "kernelspec": { "display_name": "Python 3", "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": "3.7.1" } }, "nbformat": 4, "nbformat_minor": 2 }