{ "cells": [ { "cell_type": "code", "execution_count": 1, "metadata": {}, "outputs": [], "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.vip13 import vip13\n", "from vip15 import vip15" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [], "source": [ "engine = BacktestingEngine()\n", "engine.set_parameters(\n", " vt_symbol=\"rb888.SHFE\",\n", " interval=\"1h\",\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_000,\n", ")\n", "engine.add_strategy(vip15, {})" ] }, { "cell_type": "code", "execution_count": 3, "metadata": { "scrolled": false }, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "2024-09-29 22:34:33.788661\t开始加载历史数据\n", "2024-09-29 22:34:33.788661\t加载进度：# [0%]\n", "2024-09-29 22:34:33.853620\t加载进度：# [10%]\n", "2024-09-29 22:34:33.853620\t加载进度：## [20%]\n", "2024-09-29 22:34:33.854618\t加载进度：### [30%]\n", "2024-09-29 22:34:33.855628\t加载进度：#### [40%]\n", "2024-09-29 22:34:33.866613\t加载进度：##### [50%]\n", "2024-09-29 22:34:33.909587\t加载进度：###### [60%]\n", "2024-09-29 22:34:33.977511\t加载进度：####### [70%]\n", "2024-09-29 22:34:34.018482\t加载进度：######## [80%]\n", "2024-09-29 22:34:34.061343\t加载进度：######### [90%]\n", "2024-09-29 22:34:34.102180\t加载进度：########## [100%]\n", "2024-09-29 22:34:34.103216\t历史数据加载完成，数据量：3715\n", "2024-09-29 22:34:34.104221\t策略初始化完成\n", "2024-09-29 22:34:34.104221\t开始回放历史数据\n", "2024-09-29 22:34:34.135183\t回放进度：= [0%]\n", "2024-09-29 22:34:34.207123\t回放进度：== [10%]\n", "2024-09-29 22:34:34.282082\t回放进度：=== [20%]\n", "2024-09-29 22:34:34.354018\t回放进度：==== [30%]\n", "2024-09-29 22:34:34.425928\t回放进度：===== [40%]\n", "2024-09-29 22:34:34.497910\t回放进度：====== [50%]\n", "2024-09-29 22:34:34.568851\t回放进度：======= [60%]\n", "2024-09-29 22:34:34.640947\t回放进度：======== [70%]\n", "2024-09-29 22:34:34.712557\t回放进度：========= [80%]\n", "2024-09-29 22:34:34.785462\t回放进度：========== [90%]\n", "2024-09-29 22:34:34.786504\t回放进度：=========== [100%]\n", "2024-09-29 22:34:34.786504\t历史数据回放结束\n", "2024-09-29 22:34:34.787461\t开始计算逐日盯市盈亏\n", "2024-09-29 22:34:34.793493\t逐日盯市盈亏计算完成\n", "2024-09-29 22:34:34.794456\t开始计算策略统计指标\n", "2024-09-29 22:34:34.802487\t------------------------------\n", "2024-09-29 22:34:34.802487\t首个交易日：\t2022-01-18\n", "2024-09-29 22:34:34.802487\t最后交易日：\t2024-03-20\n", "2024-09-29 22:34:34.802487\t总交易日：\t525\n", "2024-09-29 22:34:34.802487\t盈利交易日：\t26\n", "2024-09-29 22:34:34.802487\t亏损交易日：\t34\n", "2024-09-29 22:34:34.802487\t起始资金：\t1,000,000.00\n", "2024-09-29 22:34:34.802487\t结束资金：\t1,006,013.98\n", "2024-09-29 22:34:34.802487\t总收益率：\t0.60%\n", "2024-09-29 22:34:34.802487\t年化收益：\t0.27%\n", "2024-09-29 22:34:34.802487\t最大回撤: \t-2,484.98\n", "2024-09-29 22:34:34.802487\t百分比最大回撤: -0.25%\n", "2024-09-29 22:34:34.802487\t最长回撤天数: \t139\n", "2024-09-29 22:34:34.802487\t总盈亏：\t6,013.98\n", "2024-09-29 22:34:34.802487\t总手续费：\t376.02\n", "2024-09-29 22:34:34.802487\t总滑点：\t600.00\n", "2024-09-29 22:34:34.802487\t总成交金额：\t2,506,830.00\n", "2024-09-29 22:34:34.802487\t总成交笔数：\t58\n", "2024-09-29 22:34:34.802487\t日均盈亏：\t11.46\n", "2024-09-29 22:34:34.802487\t日均手续费：\t0.72\n", "2024-09-29 22:34:34.802487\t日均滑点：\t1.14\n", "2024-09-29 22:34:34.802487\t日均成交金额：\t4,774.91\n", "2024-09-29 22:34:34.802487\t日均成交笔数：\t0.11047619047619048\n", "2024-09-29 22:34:34.802487\t日均收益率：\t0.00%\n", "2024-09-29 22:34:34.802487\t收益标准差：\t0.02%\n", "2024-09-29 22:34:34.802487\tSharpe Ratio：\t1.07\n", "2024-09-29 22:34:34.802487\t收益回撤比：\t2.43\n", "2024-09-29 22:34:34.803487\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": [ "2022-01-18", "2022-01-19", "2022-01-20", 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"width": 1000, "xaxis": { "anchor": "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 ] } } } }, "metadata": {}, "output_type": "display_data" } ], "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": 4, "metadata": { "scrolled": false }, "outputs": [ { "data": { "text/plain": [ "'用于参数优化'" ] }, "execution_count": 4, "metadata": {}, "output_type": "execute_result" } ], "source": [ "'''用于参数优化'''\n", "# setting = OptimizationSetting()\n", "# setting.set_target(\"sharpe_ratio\")\n", "# setting.add_parameter(\"period\", 5, 100, 5)\n", "# setting.add_parameter(\"pds\", 2,50, 2)\n", "# setting.add_parameter(\"trailing_stop_rate\", 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": 5, "metadata": { "scrolled": false }, "outputs": [], "source": [ "# engine.run_bf_optimization(setting)" ] }, { "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": "3.10.9 (heads/new_nsis-dirty:06eefe2, Jan 11 2023, 23:06:02) [MSC v.1934 64 bit (AMD64)]" }, "vscode": { "interpreter": { "hash": "1b43cb0bd93d5abbadd54afed8252f711d4681fe6223ad6b67ffaee289648f85" } } }, "nbformat": 4, "nbformat_minor": 2 }