chore: import upstream snapshot with attribution

2026-07-13 12:07:23 +08:00
commit 9c7a92f663
190 changed files with 88544 additions and 0 deletions
@@ -0,0 +1,130 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 1,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "from vnpy.trader.optimize import OptimizationSetting\n",
+    "from vnpy_spreadtrading.backtesting import BacktestingEngine\n",
+    "from vnpy_spreadtrading.strategies.statistical_arbitrage_strategy import (\n",
+    "    StatisticalArbitrageStrategy\n",
+    ")\n",
+    "from vnpy_spreadtrading.base import LegData, SpreadData\n",
+    "from datetime import datetime"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 2,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "spread = SpreadData(\n",
+    "    name=\"IF-Spread\",\n",
+    "    legs=[LegData(\"IF1911.CFFEX\"), LegData(\"IF1912.CFFEX\")],\n",
+    "    variable_symbols={\"A\": \"IF1911.CFFEX\", \"B\": \"IF1912.CFFEX\"},\n",
+    "    variable_directions={\"A\": 1, \"B\": -1},\n",
+    "    price_formula=\"A-B\",\n",
+    "    trading_multipliers={\"IF1911.CFFEX\": 1, \"IF1912.CFFEX\": 1},\n",
+    "    active_symbol=\"IF1911.CFFEX\",\n",
+    "    min_volume=1,\n",
+    "    compile_formula=False                          # 回测时不编译公式，compile_formula传False，从而支持多进程优化\n",
+    ")"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 3,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "engine = BacktestingEngine()\n",
+    "engine.set_parameters(\n",
+    "    spread=spread,\n",
+    "    interval=\"1m\",\n",
+    "    start=datetime(2019, 6, 10),\n",
+    "    end=datetime(2019, 11, 10),\n",
+    "    rate=0,\n",
+    "    slippage=0,\n",
+    "    size=300,\n",
+    "    pricetick=0.2,\n",
+    "    capital=1_000_000,\n",
+    ")\n",
+    "engine.add_strategy(StatisticalArbitrageStrategy, {})"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "scrolled": false
+   },
+   "outputs": [],
+   "source": [
+    "engine.load_data()\n",
+    "engine.run_backtesting()\n",
+    "df = engine.calculate_result()\n",
+    "engine.calculate_statistics()\n",
+    "engine.show_chart()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "scrolled": false
+   },
+   "outputs": [],
+   "source": [
+    "for trade in engine.trades.values():\n",
+    "    print(trade)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "setting = OptimizationSetting()\n",
+    "setting.set_target(\"sharpe_ratio\")\n",
+    "setting.add_parameter(\"boll_window\", 10, 30, 1)\n",
+    "setting.add_parameter(\"boll_dev\", 1, 3, 1)\n",
+    "\n",
+    "engine.run_ga_optimization(setting)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "engine.run_bf_optimization(setting)"
+   ]
+  }
+ ],
+ "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": "3.7.1"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 2
+}