137 lines
2.7 KiB
Plaintext
137 lines
2.7 KiB
Plaintext
{
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"cells": [
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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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"# 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 buy_option_strategy import BuyOptionStrategy"
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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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"# 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(2022, 1, 1),\n",
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" end=datetime(2022, 1, 28),\n",
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" rate=0,\n",
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" slippage=0.6 + (16 / 100),\n",
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")\n",
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"\n",
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"engine.add_strategy(BuyOptionStrategy, {})"
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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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"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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"# 获取引擎内最新交易日的策略对象\n",
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"strategy = engine.strategy"
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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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"# 获取策略内部对象\n",
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"portfolio = strategy.get_portfolio(\"IO\")"
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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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"# 查看ChainData\n",
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"chain = portfolio.get_chain_by_level(0)\n",
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"chain"
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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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"chain.calculate_synthetic()"
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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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"# 查看OptionData\n",
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"option = chain.get_option_by_level(cp=1, level=0)\n",
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"option"
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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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"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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