{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [
    {
     "ename": "ModuleNotFoundError",
     "evalue": "No module named 'vnpy_ctastrategy.strategies.vip09'",
     "output_type": "error",
     "traceback": [
      "\u001b[1;31m---------------------------------------------------------------------------\u001b[0m",
      "\u001b[1;31mModuleNotFoundError\u001b[0m                       Traceback (most recent call last)",
      "Cell \u001b[1;32mIn[2], line 5\u001b[0m\n\u001b[0;32m      3\u001b[0m \u001b[38;5;28;01mfrom\u001b[39;00m \u001b[38;5;21;01mvnpy\u001b[39;00m\u001b[38;5;21;01m.\u001b[39;00m\u001b[38;5;21;01mtrader\u001b[39;00m\u001b[38;5;21;01m.\u001b[39;00m\u001b[38;5;21;01moptimize\u001b[39;00m \u001b[38;5;28;01mimport\u001b[39;00m OptimizationSetting\n\u001b[0;32m      4\u001b[0m \u001b[38;5;28;01mfrom\u001b[39;00m \u001b[38;5;21;01mvnpy_ctastrategy\u001b[39;00m\u001b[38;5;21;01m.\u001b[39;00m\u001b[38;5;21;01mbacktesting\u001b[39;00m \u001b[38;5;28;01mimport\u001b[39;00m BacktestingEngine\n\u001b[1;32m----> 5\u001b[0m \u001b[38;5;28;01mfrom\u001b[39;00m \u001b[38;5;21;01mvnpy_ctastrategy\u001b[39;00m\u001b[38;5;21;01m.\u001b[39;00m\u001b[38;5;21;01mstrategies\u001b[39;00m\u001b[38;5;21;01m.\u001b[39;00m\u001b[38;5;21;01mvip09\u001b[39;00m \u001b[38;5;28;01mimport\u001b[39;00m vip09\n\u001b[0;32m      6\u001b[0m \u001b[38;5;66;03m# from vip09 import vip09\u001b[39;00m\n",
      "\u001b[1;31mModuleNotFoundError\u001b[0m: No module named 'vnpy_ctastrategy.strategies.vip09'"
     ]
    }
   ],
   "source": [
    "from datetime import datetime\n",
    "\n",
    "from vnpy.trader.optimize import OptimizationSetting\n",
    "from vnpy_ctastrategy.backtesting import BacktestingEngine\n",
    "# from vnpy_ctastrategy.strategies.vip09 import vip09\n",
    "from vip09 import vip09"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "engine = BacktestingEngine()\n",
    "engine.set_parameters(\n",
    "    vt_symbol=\"rb00.SHFE\",\n",
    "    interval=\"1m\",\n",
    "    start=datetime(2020, 1, 1),\n",
    "    end=datetime(2024, 3, 21),\n",
    "    rate=1.5/10000,\n",
    "    slippage=1,\n",
    "    size=10,\n",
    "    pricetick=1,\n",
    "    capital=1_000_00,\n",
    ")\n",
    "engine.add_strategy(vip09, {})"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "scrolled": false
   },
   "outputs": [],
   "source": [
    "engine.load_data()\n",
    "engine.run_backtesting()\n",
    "df = engine.calculate_result()\n",
    "engine.calculate_statistics()\n",
    "engine.show_chart()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "scrolled": false
   },
   "outputs": [],
   "source": [
    "'''用于参数优化'''\n",
    "# setting = OptimizationSetting()\n",
    "# setting.set_target(\"sharpe_ratio\")\n",
    "# setting.add_parameter(\"Length\", 5, 100, 5)\n",
    "# setting.add_parameter(\"N\", 5, 100, 5)\n",
    "# setting.add_parameter(\"X\", 1, 20, 1)\n",
    "# setting.add_parameter(\"TS\", 5, 100, 5)\n",
    "# from multiprocessing import cpu_count\n",
    "# # 获取 CPU 核心数量\n",
    "# num_cores = cpu_count()\n",
    "# print(f\"获取 CPU 核心数量:\",round(num_cores/2))\n",
    "# engine.run_ga_optimization(setting, max_workers=round(num_cores/2))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "scrolled": false
   },
   "outputs": [],
   "source": [
    "#engine.run_bf_optimization(setting)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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