{ "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 short_restrike_strategy import ShortRestrikeStrategy" ] }, { "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(2021, 1, 1),\n", " end=datetime(2022, 12, 31),\n", " rate=0,\n", " slippage=0.6 + (16 / 100),\n", ")\n", "\n", "engine.add_strategy(ShortRestrikeStrategy, {})" ] }, { "cell_type": "code", "execution_count": 3, "metadata": { "tags": [] }, "outputs": [ { "name": "stderr", "output_type": "stream", "text": [ "100%|██████████| 729/729 [29:56<00:00, 2.46s/it]\n" ] } ], "source": [ "# 历史数据回放\n", "engine.run_backtesting()" ] }, { "cell_type": "code", "execution_count": 4, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "2024-02-16 15:20:29.101254\t开始计算逐日盯市盈亏\n", "2024-02-16 15:20:29.108106\t逐日盯市盈亏计算完成\n" ] }, { "data": { "text/html": [ "
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trade_countturnovercommissionslippagetrading_pnlholding_pnltotal_pnlnet_pnl
date
2021-01-04217780.00.0152.0800.00.0800.0648.0
2021-01-0500.00.00.00.0-4900.0-4900.0-4900.0
2021-01-0600.00.00.00.0-3500.0-3500.0-3500.0
2021-01-0700.00.00.00.0-9620.0-9620.0-9620.0
2021-01-0800.00.00.00.03080.03080.03080.0
...........................
2022-12-2600.00.00.00.01080.01080.01080.0
2022-12-2700.00.00.00.02960.02960.02960.0
2022-12-2800.00.00.00.0-360.0-360.0-360.0
2022-12-2900.00.00.00.0-580.0-580.0-580.0
2022-12-3000.00.00.00.01540.01540.01540.0
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485 rows × 8 columns

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" ], "text/plain": [ " trade_count turnover commission slippage trading_pnl \\\n", "date \n", "2021-01-04 2 17780.0 0.0 152.0 800.0 \n", "2021-01-05 0 0.0 0.0 0.0 0.0 \n", "2021-01-06 0 0.0 0.0 0.0 0.0 \n", "2021-01-07 0 0.0 0.0 0.0 0.0 \n", "2021-01-08 0 0.0 0.0 0.0 0.0 \n", "... ... ... ... ... ... \n", "2022-12-26 0 0.0 0.0 0.0 0.0 \n", "2022-12-27 0 0.0 0.0 0.0 0.0 \n", "2022-12-28 0 0.0 0.0 0.0 0.0 \n", "2022-12-29 0 0.0 0.0 0.0 0.0 \n", "2022-12-30 0 0.0 0.0 0.0 0.0 \n", "\n", " holding_pnl total_pnl net_pnl \n", "date \n", "2021-01-04 0.0 800.0 648.0 \n", "2021-01-05 -4900.0 -4900.0 -4900.0 \n", "2021-01-06 -3500.0 -3500.0 -3500.0 \n", "2021-01-07 -9620.0 -9620.0 -9620.0 \n", "2021-01-08 3080.0 3080.0 3080.0 \n", "... ... ... ... \n", "2022-12-26 1080.0 1080.0 1080.0 \n", "2022-12-27 2960.0 2960.0 2960.0 \n", "2022-12-28 -360.0 -360.0 -360.0 \n", "2022-12-29 -580.0 -580.0 -580.0 \n", "2022-12-30 1540.0 1540.0 1540.0 \n", "\n", "[485 rows x 8 columns]" ] }, "execution_count": 4, "metadata": {}, "output_type": "execute_result" } ], "source": [ "# 计算每日盈亏\n", "engine.calculate_result()" ] }, { "cell_type": "code", "execution_count": 5, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "2024-02-16 15:20:29.131594\t开始计算策略统计指标\n", "2024-02-16 15:20:29.137398\t------------------------------\n", "2024-02-16 15:20:29.138425\t首个交易日:\t2021-01-04 00:00:00\n", "2024-02-16 15:20:29.138425\t最后交易日:\t2022-12-30 00:00:00\n", "2024-02-16 15:20:29.138425\t总交易日:\t485\n", "2024-02-16 15:20:29.138425\t盈利交易日:\t294\n", "2024-02-16 15:20:29.138425\t亏损交易日:\t190\n", "2024-02-16 15:20:29.138425\t起始资金:\t1,000,000.00\n", "2024-02-16 15:20:29.138425\t结束资金:\t1,087,072.00\n", "2024-02-16 15:20:29.138425\t总收益率:\t8.71%\n", "2024-02-16 15:20:29.138425\t年化收益:\t4.31%\n", "2024-02-16 15:20:29.138425\t最大回撤: \t-48,868.00\n", "2024-02-16 15:20:29.138425\t最大回撤%: \t-4.54%\n", "2024-02-16 15:20:29.138425\t总盈亏:\t87,072.00\n", "2024-02-16 15:20:29.138425\t总手续费:\t0.00\n", "2024-02-16 15:20:29.138425\t总滑点:\t4,408.00\n", "2024-02-16 15:20:29.138425\t总成交金额:\t641,940.00\n", "2024-02-16 15:20:29.138425\t总成交笔数:\t58\n", "2024-02-16 15:20:29.138425\t日均盈亏:\t179.53\n", "2024-02-16 15:20:29.138425\t日均手续费:\t0.00\n", "2024-02-16 15:20:29.138425\t日均滑点:\t9.09\n", "2024-02-16 15:20:29.138425\t日均成交金额:\t1,323.59\n", "2024-02-16 15:20:29.138425\t日均成交笔数:\t0.11958762886597939\n", "2024-02-16 15:20:29.138425\t日均收益率:\t0.02%\n", "2024-02-16 15:20:29.138425\t收益标准差:\t0.34%\n", "2024-02-16 15:20:29.138425\tSharpe Ratio:\t0.77\n", "2024-02-16 15:20:29.138425\t收益回撤比:\t1.78\n", "2024-02-16 15:20:29.138425\t策略统计指标计算完成\n" ] } ], "source": [ "# 统计绩效结果\n", "result = engine.calculate_statistics()" ] }, { "cell_type": "code", "execution_count": 6, "metadata": {}, "outputs": [ { "data": { "text/html": [ " \n", " " ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "application/vnd.plotly.v1+json": { "config": { "plotlyServerURL": "https://plot.ly" }, "data": [ { "mode": 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" ] }, "metadata": {}, "output_type": "display_data" } ], "source": [ "# 显示资金图表\n", "engine.show_chart()" ] }, { "cell_type": "code", "execution_count": 7, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "2021-01-04 09:31:00+08:00 IO2101-P-5200.CFFEX 空 开 1 @ 72.0\n", "2021-01-04 09:31:00+08:00 IO2101-C-5200.CFFEX 空 开 1 @ 105.8\n", "2021-01-18 09:31:00+08:00 IO2102-C-5500.CFFEX 空 开 1 @ 128.6\n", "2021-01-18 09:31:00+08:00 IO2102-P-5500.CFFEX 空 开 1 @ 170.2\n", "2021-02-22 09:31:00+08:00 IO2103-C-5800.CFFEX 空 开 1 @ 123.0\n", "2021-02-22 09:31:00+08:00 IO2103-P-5800.CFFEX 空 开 1 @ 164.6\n", "2021-02-26 09:36:00+08:00 IO2103-C-5300.CFFEX 空 开 1 @ 169.8\n", "2021-02-26 09:36:00+08:00 IO2103-P-5300.CFFEX 空 开 1 @ 122.4\n", "2021-02-26 09:36:00+08:00 IO2103-C-5800.CFFEX 多 平 1 @ 26.4\n", "2021-02-26 09:36:00+08:00 IO2103-P-5800.CFFEX 多 平 1 @ 478.8\n", "2021-03-22 09:31:00+08:00 IO2104-P-4950.CFFEX 空 开 1 @ 121.2\n", "2021-03-22 09:31:00+08:00 IO2104-C-4950.CFFEX 空 开 1 @ 115.8\n", "2021-04-19 09:31:00+08:00 IO2105-P-4950.CFFEX 空 开 1 @ 123.0\n", "2021-04-19 09:31:00+08:00 IO2105-C-4950.CFFEX 空 开 1 @ 107.6\n", "2021-05-24 09:31:00+08:00 IO2106-P-5100.CFFEX 空 开 1 @ 100.8\n", "2021-05-24 09:31:00+08:00 IO2106-C-5100.CFFEX 空 开 1 @ 118.0\n", "2021-06-21 09:31:00+08:00 IO2107-P-5100.CFFEX 空 开 1 @ 123.8\n", "2021-06-21 09:31:00+08:00 IO2107-C-5100.CFFEX 空 开 1 @ 85.2\n", "2021-07-19 09:31:00+08:00 IO2108-P-5100.CFFEX 空 开 1 @ 132.0\n", "2021-07-19 09:31:00+08:00 IO2108-C-5100.CFFEX 空 开 1 @ 81.2\n", "2021-08-23 09:31:00+08:00 IO2109-P-4750.CFFEX 空 开 1 @ 102.4\n", "2021-08-23 09:31:00+08:00 IO2109-C-4750.CFFEX 空 开 1 @ 97.4\n", "2021-09-22 09:31:00+08:00 IO2110-P-4800.CFFEX 空 开 1 @ 96.8\n", "2021-09-22 09:31:00+08:00 IO2110-C-4800.CFFEX 空 开 1 @ 103.4\n", "2021-10-18 09:31:00+08:00 IO2111-P-4900.CFFEX 空 开 1 @ 90.8\n", "2021-10-18 09:31:00+08:00 IO2111-C-4900.CFFEX 空 开 1 @ 110.2\n", "2021-11-22 09:31:00+08:00 IO2112-C-4900.CFFEX 空 开 1 @ 84.4\n", "2021-11-22 09:31:00+08:00 IO2112-P-4900.CFFEX 空 开 1 @ 81.6\n", "2021-12-20 09:31:00+08:00 IO2201-C-5000.CFFEX 空 开 1 @ 78.4\n", "2021-12-20 09:31:00+08:00 IO2201-P-5000.CFFEX 空 开 1 @ 101.0\n", "2022-01-24 09:31:00+08:00 IO2202-P-4800.CFFEX 空 开 1 @ 91.0\n", "2022-01-24 09:31:00+08:00 IO2202-C-4800.CFFEX 空 开 1 @ 74.6\n", "2022-02-21 09:31:00+08:00 IO2203-C-4650.CFFEX 空 开 1 @ 69.2\n", "2022-02-21 09:31:00+08:00 IO2203-P-4650.CFFEX 空 开 1 @ 77.6\n", "2022-03-09 13:23:00+08:00 IO2203-C-4650.CFFEX 多 平 1 @ 1.6\n", "2022-03-09 13:23:00+08:00 IO2203-P-4650.CFFEX 多 平 1 @ 480.6\n", "2022-03-09 13:23:00+08:00 IO2203-C-4150.CFFEX 空 开 1 @ 90.4\n", "2022-03-09 13:23:00+08:00 IO2203-P-4150.CFFEX 空 开 1 @ 68.8\n", "2022-03-21 09:31:00+08:00 IO2204-C-4250.CFFEX 空 开 1 @ 94.0\n", "2022-03-21 09:31:00+08:00 IO2204-P-4250.CFFEX 空 开 1 @ 113.8\n", "2022-04-18 09:31:00+08:00 IO2205-C-4150.CFFEX 空 开 1 @ 92.2\n", "2022-04-18 09:31:00+08:00 IO2205-P-4150.CFFEX 空 开 1 @ 110.0\n", "2022-05-23 09:31:00+08:00 IO2206-P-4050.CFFEX 空 开 1 @ 92.4\n", "2022-05-23 09:31:00+08:00 IO2206-C-4050.CFFEX 空 开 1 @ 96.8\n", "2022-06-20 09:31:00+08:00 IO2207-C-4300.CFFEX 空 开 1 @ 95.6\n", "2022-06-20 09:31:00+08:00 IO2207-P-4300.CFFEX 空 开 1 @ 109.8\n", "2022-07-18 09:31:00+08:00 IO2208-C-4250.CFFEX 空 开 1 @ 97.4\n", "2022-07-18 09:31:00+08:00 IO2208-P-4250.CFFEX 空 开 1 @ 114.2\n", "2022-08-22 09:31:00+08:00 IO2209-C-4150.CFFEX 空 开 1 @ 73.4\n", "2022-08-22 09:31:00+08:00 IO2209-P-4150.CFFEX 空 开 1 @ 87.0\n", "2022-09-19 09:31:00+08:00 IO2210-C-3950.CFFEX 空 开 1 @ 78.6\n", "2022-09-19 09:31:00+08:00 IO2210-P-3950.CFFEX 空 开 1 @ 88.4\n", "2022-10-24 09:31:00+08:00 IO2211-C-3700.CFFEX 空 开 1 @ 95.2\n", "2022-10-24 09:31:00+08:00 IO2211-P-3700.CFFEX 空 开 1 @ 73.8\n", "2022-11-21 09:31:00+08:00 IO2212-P-3750.CFFEX 空 开 1 @ 83.6\n", "2022-11-21 09:31:00+08:00 IO2212-C-3750.CFFEX 空 开 1 @ 85.2\n", "2022-12-19 09:31:00+08:00 IO2301-P-4000.CFFEX 空 开 1 @ 95.4\n", "2022-12-19 09:31:00+08:00 IO2301-C-4000.CFFEX 空 开 1 @ 72.2\n" ] } ], "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, "metadata": {}, "outputs": [], "source": [] } ], "metadata": { "kernelspec": { "display_name": "Python 3 (ipykernel)", "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" }, "vscode": { "interpreter": { "hash": "1b43cb0bd93d5abbadd54afed8252f711d4681fe6223ad6b67ffaee289648f85" } } }, "nbformat": 4, "nbformat_minor": 4 }