{ "cells": [ { "cell_type": "code", "execution_count": 5, "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 网格策略 import MoveSpaceStrategy" ] }, { "cell_type": "code", "execution_count": 6, "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_00,\n", ")\n", "engine.add_strategy(MoveSpaceStrategy, {})" ] }, { "cell_type": "code", "execution_count": 7, "metadata": { "scrolled": false }, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "2024-08-05 10:46:30.013222\t开始加载历史数据\n", "2024-08-05 10:46:30.013222\t加载进度:# [0%]\n", "2024-08-05 10:46:30.013222\t加载进度:# [10%]\n", "2024-08-05 10:46:30.013222\t加载进度:## [20%]\n", "2024-08-05 10:46:30.013222\t加载进度:### [30%]\n", "2024-08-05 10:46:30.013222\t加载进度:#### [40%]\n", "2024-08-05 10:46:30.013222\t加载进度:##### [50%]\n", "2024-08-05 10:46:30.013222\t加载进度:###### [60%]\n", "2024-08-05 10:46:30.013222\t加载进度:####### [70%]\n", "2024-08-05 10:46:30.013222\t加载进度:######## [80%]\n", "2024-08-05 10:46:30.014197\t加载进度:######### [90%]\n", "2024-08-05 10:46:30.014197\t加载进度:########## [100%]\n", "2024-08-05 10:46:30.014197\t历史数据加载完成,数据量:6969\n", "2024-08-05 10:46:30.015217\t策略初始化完成\n", "2024-08-05 10:46:30.015217\t开始回放历史数据\n", "2024-08-05 10:46:30.055200\t回放进度:= [0%]\n", "2024-08-05 10:46:30.094174\t回放进度:== [10%]\n", "2024-08-05 10:46:30.142149\t回放进度:=== [20%]\n", "2024-08-05 10:46:30.198785\t回放进度:==== [30%]\n", "2024-08-05 10:46:30.255170\t回放进度:===== [40%]\n", "2024-08-05 10:46:30.308137\t回放进度:====== [50%]\n", "2024-08-05 10:46:30.358109\t回放进度:======= [60%]\n", "2024-08-05 10:46:30.409053\t回放进度:======== [70%]\n", "2024-08-05 10:46:30.456056\t回放进度:========= [80%]\n", "2024-08-05 10:46:30.506026\t回放进度:========== [90%]\n", "2024-08-05 10:46:30.507045\t回放进度:=========== [100%]\n", "2024-08-05 10:46:30.507045\t历史数据回放结束\n", "2024-08-05 10:46:30.507045\t开始计算逐日盯市盈亏\n", "2024-08-05 10:46:30.520989\t逐日盯市盈亏计算完成\n", "2024-08-05 10:46:30.521989\t开始计算策略统计指标\n", "2024-08-05 10:46:30.530712\t------------------------------\n", "2024-08-05 10:46:30.530712\t首个交易日:\t2020-01-16\n", "2024-08-05 10:46:30.530712\t最后交易日:\t2024-03-20\n", "2024-08-05 10:46:30.530712\t总交易日:\t1011\n", "2024-08-05 10:46:30.530712\t盈利交易日:\t503\n", "2024-08-05 10:46:30.530712\t亏损交易日:\t447\n", "2024-08-05 10:46:30.530712\t起始资金:\t100,000.00\n", "2024-08-05 10:46:30.530712\t结束资金:\t187,437.05\n", "2024-08-05 10:46:30.530712\t总收益率:\t87.44%\n", "2024-08-05 10:46:30.530712\t年化收益:\t20.76%\n", "2024-08-05 10:46:30.530712\t最大回撤: \t-54,625.22\n", "2024-08-05 10:46:30.530712\t百分比最大回撤: -30.85%\n", "2024-08-05 10:46:30.530712\t最长回撤天数: \t174\n", "2024-08-05 10:46:30.530712\t总盈亏:\t87,437.05\n", "2024-08-05 10:46:30.530712\t总手续费:\t27,682.95\n", "2024-08-05 10:46:30.530712\t总滑点:\t37,110.00\n", "2024-08-05 10:46:30.530712\t总成交金额:\t184,552,970.00\n", "2024-08-05 10:46:30.530712\t总成交笔数:\t1829\n", "2024-08-05 10:46:30.530712\t日均盈亏:\t86.49\n", "2024-08-05 10:46:30.530712\t日均手续费:\t27.38\n", "2024-08-05 10:46:30.530712\t日均滑点:\t36.71\n", "2024-08-05 10:46:30.530712\t日均成交金额:\t182,544.98\n", "2024-08-05 10:46:30.530712\t日均成交笔数:\t1.8090999010880318\n", "2024-08-05 10:46:30.530712\t日均收益率:\t0.06%\n", "2024-08-05 10:46:30.530712\t收益标准差:\t1.98%\n", "2024-08-05 10:46:30.530712\tSharpe Ratio:\t0.49\n", "2024-08-05 10:46:30.530712\t收益回撤比:\t2.83\n", "2024-08-05 10:46:30.531685\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": 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setting = OptimizationSetting()\n", "# setting.set_target(\"sharpe_ratio\")\n", "# setting.add_parameter(\"periods\", 5, 100, 5)\n", "# setting.add_parameter(\"multiplier\", 1,10, 1)\n", "# setting.add_parameter(\"grid_step\", 4, 20, 2)\n", "# setting.add_parameter(\"grid_length\", 4, 20, 2)\n", "# setting.add_parameter(\"zhiying_count\", 1,5,1)\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": 9, "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 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