4330 lines
92 KiB
Plaintext
4330 lines
92 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": [
|
||
"from datetime import datetime\n",
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"\n",
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"from vnpy.trader.optimize import OptimizationSetting\n",
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"from vnpy_ctastrategy.backtesting import BacktestingEngine\n",
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"#from vnpy_ctastrategy.strategies.vip13 import vip13\n",
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"from vip15 import vip15"
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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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"engine = BacktestingEngine()\n",
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"engine.set_parameters(\n",
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" vt_symbol=\"rb888.SHFE\",\n",
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" interval=\"1h\",\n",
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" start=datetime(2020, 1, 1),\n",
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" end=datetime(2024, 3, 21),\n",
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" rate=1.5/10000,\n",
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" slippage=1,\n",
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" size=10,\n",
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" pricetick=1,\n",
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" capital=1_000_000,\n",
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")\n",
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"engine.add_strategy(vip15, {})"
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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": 3,
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"metadata": {
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"scrolled": false
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},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"2024-09-29 22:34:33.788661\t开始加载历史数据\n",
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"2024-09-29 22:34:33.788661\t加载进度：# [0%]\n",
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||
"2024-09-29 22:34:33.853620\t加载进度：# [10%]\n",
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||
"2024-09-29 22:34:33.853620\t加载进度：## [20%]\n",
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||
"2024-09-29 22:34:33.854618\t加载进度：### [30%]\n",
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||
"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",
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"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",
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||
"2024-09-29 22:34:34.104221\t开始回放历史数据\n",
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||
"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",
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||
"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",
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||
"2024-09-29 22:34:34.802487\t首个交易日：\t2022-01-18\n",
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||
"2024-09-29 22:34:34.802487\t最后交易日：\t2024-03-20\n",
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||
"2024-09-29 22:34:34.802487\t总交易日：\t525\n",
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||
"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"
|
||
]
|
||
},
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||
{
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"data": {
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|
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||
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|
||
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||
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"2023-04-07",
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||
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"2023-04-13",
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||
"2023-04-14",
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"2023-04-18",
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"2023-04-19",
|
||
"2023-04-20",
|
||
"2023-04-21",
|
||
"2023-04-24",
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"title": {
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"xaxis": {
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"automargin": true,
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"gridcolor": "white",
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"linecolor": "white",
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"ticks": "",
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"title": {
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"standoff": 15
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},
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"zerolinecolor": "white",
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"zerolinewidth": 2
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"yaxis": {
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"automargin": true,
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"gridcolor": "white",
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"linecolor": "white",
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"ticks": "",
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"title": {
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"standoff": 15
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},
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"zerolinecolor": "white",
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"zerolinewidth": 2
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]
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"xaxis2": {
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0,
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"xaxis3": {
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"xaxis4": {
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"anchor": "y4",
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1
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]
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},
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"yaxis": {
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"anchor": "x",
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"domain": [
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0.7949999999999999,
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1
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]
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},
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"yaxis2": {
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"anchor": "x2",
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"domain": [
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0.53,
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]
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},
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"yaxis3": {
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"anchor": "x3",
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"yaxis4": {
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}
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}
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}
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},
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"metadata": {},
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"output_type": "display_data"
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}
|
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],
|
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"source": [
|
||
"engine.load_data()\n",
|
||
"engine.run_backtesting()\n",
|
||
"df = engine.calculate_result()\n",
|
||
"engine.calculate_statistics()\n",
|
||
"engine.show_chart()"
|
||
]
|
||
},
|
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{
|
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"cell_type": "code",
|
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"execution_count": 4,
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"metadata": {
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"scrolled": false
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},
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"outputs": [
|
||
{
|
||
"data": {
|
||
"text/plain": [
|
||
"'用于参数优化'"
|
||
]
|
||
},
|
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"execution_count": 4,
|
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"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
|
||
}
|