{
 "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,
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   "outputs": [],
   "source": []
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   "execution_count": null,
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   "cell_type": "code",
   "execution_count": null,
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