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{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"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.vip11 import vip11\n",
"#from vip11 import vip11"
]
},
{
"cell_type": "code",
"execution_count": 2,
"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(vip11, {})"
]
},
{
"cell_type": "code",
"execution_count": 3,
"metadata": {
"scrolled": false
},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"2024-05-09 19:26:09.616694\t开始加载历史数据\n",
"2024-05-09 19:26:09.616694\t加载进度# [0%]\n",
"2024-05-09 19:26:09.725625\t加载进度# [10%]\n",
"2024-05-09 19:26:09.769620\t加载进度## [20%]\n",
"2024-05-09 19:26:09.847551\t加载进度### [30%]\n",
"2024-05-09 19:26:09.893522\t加载进度#### [40%]\n",
"2024-05-09 19:26:09.934502\t加载进度##### [50%]\n",
"2024-05-09 19:26:09.978477\t加载进度###### [60%]\n",
"2024-05-09 19:26:10.023447\t加载进度####### [70%]\n",
"2024-05-09 19:26:10.069431\t加载进度######## [80%]\n",
"2024-05-09 19:26:10.117395\t加载进度######### [90%]\n",
"2024-05-09 19:26:10.161375\t加载进度########## [100%]\n",
"2024-05-09 19:26:10.162367\t历史数据加载完成数据量6969\n",
"2024-05-09 19:26:10.163367\t策略初始化完成\n",
"2024-05-09 19:26:10.163367\t开始回放历史数据\n",
"2024-05-09 19:26:10.184365\t回放进度= [0%]\n",
"2024-05-09 19:26:10.220336\t回放进度== [10%]\n",
"2024-05-09 19:26:10.257314\t回放进度=== [20%]\n",
"2024-05-09 19:26:10.298297\t回放进度==== [30%]\n",
"2024-05-09 19:26:10.338276\t回放进度===== [40%]\n",
"2024-05-09 19:26:10.375255\t回放进度====== [50%]\n",
"2024-05-09 19:26:10.411236\t回放进度======= [60%]\n",
"2024-05-09 19:26:10.447205\t回放进度======== [70%]\n",
"2024-05-09 19:26:10.483185\t回放进度========= [80%]\n",
"2024-05-09 19:26:10.521173\t回放进度========== [90%]\n",
"2024-05-09 19:26:10.521173\t回放进度=========== [100%]\n",
"2024-05-09 19:26:10.521173\t历史数据回放结束\n",
"2024-05-09 19:26:10.522174\t开始计算逐日盯市盈亏\n",
"2024-05-09 19:26:10.532178\t逐日盯市盈亏计算完成\n",
"2024-05-09 19:26:10.532178\t开始计算策略统计指标\n",
"2024-05-09 19:26:10.541201\t------------------------------\n",
"2024-05-09 19:26:10.541201\t首个交易日\t2020-01-03\n",
"2024-05-09 19:26:10.541201\t最后交易日\t2024-03-20\n",
"2024-05-09 19:26:10.541201\t总交易日\t1020\n",
"2024-05-09 19:26:10.541201\t盈利交易日\t278\n",
"2024-05-09 19:26:10.541201\t亏损交易日\t277\n",
"2024-05-09 19:26:10.541201\t起始资金\t100,000.00\n",
"2024-05-09 19:26:10.541201\t结束资金\t153,324.56\n",
"2024-05-09 19:26:10.541201\t总收益率\t53.32%\n",
"2024-05-09 19:26:10.541201\t年化收益\t12.55%\n",
"2024-05-09 19:26:10.541201\t最大回撤: \t-7,287.31\n",
"2024-05-09 19:26:10.541201\t百分比最大回撤: -4.66%\n",
"2024-05-09 19:26:10.541201\t最长回撤天数: \t91\n",
"2024-05-09 19:26:10.541201\t总盈亏\t53,324.56\n",
"2024-05-09 19:26:10.541201\t总手续费\t1,275.44\n",
"2024-05-09 19:26:10.541201\t总滑点\t1,420.00\n",
"2024-05-09 19:26:10.541201\t总成交金额\t8,502,940.00\n",
"2024-05-09 19:26:10.541201\t总成交笔数\t142\n",
"2024-05-09 19:26:10.541201\t日均盈亏\t52.28\n",
"2024-05-09 19:26:10.541201\t日均手续费\t1.25\n",
"2024-05-09 19:26:10.541201\t日均滑点\t1.39\n",
"2024-05-09 19:26:10.541201\t日均成交金额\t8,336.22\n",
"2024-05-09 19:26:10.541201\t日均成交笔数\t0.1392156862745098\n",
"2024-05-09 19:26:10.541201\t日均收益率\t0.04%\n",
"2024-05-09 19:26:10.541201\t收益标准差\t0.50%\n",
"2024-05-09 19:26:10.541201\tSharpe Ratio\t1.30\n",
"2024-05-09 19:26:10.541201\t收益回撤比\t11.44\n",
"2024-05-09 19:26:10.542153\t策略统计指标计算完成\n"
]
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"source": [
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"engine.calculate_statistics()\n",
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},
{
"cell_type": "code",
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"metadata": {
"scrolled": false
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{
"data": {
"text/plain": [
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]
},
"execution_count": 4,
"metadata": {},
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"source": [
"'''用于参数优化'''\n",
"# setting = OptimizationSetting()\n",
"# setting.set_target(\"sharpe_ratio\")\n",
"# setting.add_parameter(\"length\", 5, 80, 5)\n",
"# setting.add_parameter(\"M\", 5,100, 5)\n",
"# setting.add_parameter(\"smoothingFactor\", 0.1, 0.9, 0.5)\n",
"# setting.add_parameter(\"TS\", 5, 80, 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": {
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]
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