172 lines
3.8 KiB
Plaintext
172 lines
3.8 KiB
Plaintext
{
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"cells": [
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{
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"cell_type": "code",
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"execution_count": 1,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 加载功能模块\n",
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"from datetime import datetime\n",
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"\n",
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"from vnpy.trader.constant import Interval\n",
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"\n",
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"from elite_optionstrategy import BacktestingEngine\n",
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"\n",
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"from AdvancedSpreadStrategy_dualthrust2 import AdvancedSpreadStrategy"
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]
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},
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"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"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 2,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 创建回测引擎\n",
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"engine = BacktestingEngine()\n",
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"\n",
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"engine.set_parameters(\n",
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" interval=Interval.MINUTE,\n",
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" start=datetime(2024, 7, 1),\n",
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" end=datetime(2024, 8, 30),\n",
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" rate=0,\n",
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" slippage=0.6 + (16 / 100),\n",
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" capital= 1000000\n",
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")\n",
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"\n",
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"\n",
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"setting = {\n",
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" # \"aroon_window\": 5,\n",
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" \"k1\":0.3,\n",
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" \"k2\": 0.9,\n",
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" \"percent_add\": 0,\n",
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" \"otm_level\": 0\n",
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"}\n",
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"engine.add_strategy(AdvancedSpreadStrategy, setting)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {
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"tags": []
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},
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"outputs": [
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{
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"name": "stderr",
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"output_type": "stream",
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"text": [
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" 72%|███████▏ | 44/61 [02:21<00:55, 3.28s/it]"
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]
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}
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],
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"source": [
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"# 历史数据回放\n",
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"engine.run_backtesting()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 计算每日盈亏\n",
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"engine.calculate_result()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 统计绩效结果\n",
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"result = engine.calculate_statistics()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 显示资金图表\n",
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"engine.show_chart()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"# 打印逐笔成交\n",
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"for trade in engine.all_trades.values():\n",
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" print(trade.datetime, trade.vt_symbol, trade.direction.value, trade.offset.value, trade.volume, \"@\", trade.price)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": []
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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},
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{
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"cell_type": "code",
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},
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{
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"cell_type": "code",
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"metadata": {},
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"outputs": [],
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"source": []
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": "Python 3 (ipykernel)",
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"language": "python",
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"name": "python3"
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},
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"language_info": {
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"codemirror_mode": {
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"name": "ipython",
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"version": 3
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},
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"file_extension": ".py",
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"mimetype": "text/x-python",
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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython3",
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"version": "3.10.9"
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},
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"vscode": {
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"interpreter": {
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"hash": "1b43cb0bd93d5abbadd54afed8252f711d4681fe6223ad6b67ffaee289648f85"
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"nbformat": 4,
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"nbformat_minor": 4
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}
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