{ "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.atr_rsi_strategy import AtrRsiStrategy" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [], "source": [ "engine = BacktestingEngine()\n", "engine.set_parameters(\n", " vt_symbol=\"IF888.CFFEX\",\n", " interval=\"1m\",\n", " start=datetime(2019, 1, 1),\n", " end=datetime(2019, 4, 30),\n", " rate=0.3/10000,\n", " slippage=0.2,\n", " size=300,\n", " pricetick=0.2,\n", " capital=1_000_000,\n", ")\n", "engine.add_strategy(AtrRsiStrategy, {})" ] }, { "cell_type": "code", "execution_count": 4, "metadata": { "scrolled": false }, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "2025-06-16 20:52:03.097314\t开始加载历史数据\n", "2025-06-16 20:52:03.097314\t加载进度：# [0%]\n", "2025-06-16 20:52:05.032964\t加载进度：# [9%]\n", "2025-06-16 20:52:05.103266\t加载进度：## [18%]\n", "2025-06-16 20:52:05.165507\t加载进度：### [28%]\n", "2025-06-16 20:52:05.225147\t加载进度：#### [37%]\n", "2025-06-16 20:52:05.293374\t加载进度：##### [46%]\n", "2025-06-16 20:52:05.428085\t加载进度：###### [55%]\n", "2025-06-16 20:52:05.494678\t加载进度：####### [65%]\n", "2025-06-16 20:52:05.561114\t加载进度：######## [74%]\n", "2025-06-16 20:52:05.621792\t加载进度：######### [83%]\n", "2025-06-16 20:52:05.687958\t加载进度：########## [92%]\n", "2025-06-16 20:52:05.751452\t历史数据加载完成，数据量：18960\n", "2025-06-16 20:52:05.840570\t策略初始化完成\n", "2025-06-16 20:52:05.840570\t开始回放历史数据\n", "2025-06-16 20:52:05.909744\t回放进度：= [0%]\n", "2025-06-16 20:52:05.979275\t回放进度：== [10%]\n", "2025-06-16 20:52:06.047814\t回放进度：=== [20%]\n", "2025-06-16 20:52:06.123807\t回放进度：==== [30%]\n", "2025-06-16 20:52:06.191131\t回放进度：===== [40%]\n", "2025-06-16 20:52:06.267813\t回放进度：====== [50%]\n", "2025-06-16 20:52:06.337686\t回放进度：======= [60%]\n", "2025-06-16 20:52:06.406952\t回放进度：======== [70%]\n", "2025-06-16 20:52:06.460610\t回放进度：========= [80%]\n", "2025-06-16 20:52:06.512522\t回放进度：========== [90%]\n", "2025-06-16 20:52:06.512522\t历史数据回放结束\n", "2025-06-16 20:52:06.513522\t开始计算逐日盯市盈亏\n", "2025-06-16 20:52:06.532825\t逐日盯市盈亏计算完成\n", "2025-06-16 20:52:06.532825\t开始计算策略统计指标\n", "2025-06-16 20:52:06.546318\t------------------------------\n", "2025-06-16 20:52:06.546318\t首个交易日：\t2019-01-02\n", "2025-06-16 20:52:06.546318\t最后交易日：\t2019-04-30\n", "2025-06-16 20:52:06.546318\t总交易日：\t79\n", "2025-06-16 20:52:06.546318\t盈利交易日：\t39\n", "2025-06-16 20:52:06.546318\t亏损交易日：\t40\n", "2025-06-16 20:52:06.546318\t起始资金：\t1,000,000.00\n", "2025-06-16 20:52:06.546318\t结束资金：\t1,051,703.36\n", "2025-06-16 20:52:06.546318\t总收益率：\t5.17%\n", "2025-06-16 20:52:06.546318\t年化收益：\t15.71%\n", "2025-06-16 20:52:06.546318\t最大回撤: \t-93,714.14\n", "2025-06-16 20:52:06.546318\t百分比最大回撤: -8.58%\n", "2025-06-16 20:52:06.546318\t最大回撤天数: \t30\n", "2025-06-16 20:52:06.546318\t总盈亏：\t51,703.36\n", "2025-06-16 20:52:06.546318\t总手续费：\t13,396.64\n", "2025-06-16 20:52:06.546318\t总滑点：\t29,940.00\n", "2025-06-16 20:52:06.546318\t总成交金额：\t446,554,620.00\n", "2025-06-16 20:52:06.546318\t总成交笔数：\t499\n", "2025-06-16 20:52:06.546318\t日均盈亏：\t654.47\n", "2025-06-16 20:52:06.546318\t日均手续费：\t169.58\n", "2025-06-16 20:52:06.546318\t日均滑点：\t378.99\n", "2025-06-16 20:52:06.546318\t日均成交金额：\t5,652,590.13\n", "2025-06-16 20:52:06.546318\t日均成交笔数：\t6.3164556962025316\n", "2025-06-16 20:52:06.546318\t日均收益率：\t0.06%\n", "2025-06-16 20:52:06.546318\t收益标准差：\t1.48%\n", "2025-06-16 20:52:06.546318\tSharpe Ratio：\t0.67\n", "2025-06-16 20:52:06.546318\tEWM Sharpe：\t0.59\n", "2025-06-16 20:52:06.546318\t收益回撤比：\t0.60\n", "2025-06-16 20:52:06.547317\t策略统计指标计算完成\n" ] }, { "data": { "application/vnd.plotly.v1+json": { "config": { "plotlyServerURL": "https://plot.ly" }, "data": [ { "mode": "lines", "name": "Balance", "type": "scatter", "x": [ "2019-01-02", "2019-01-03", 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'return_drawdown_ratio': 0.49213076441672243}),\n", " ({'atr_length': 25, 'atr_ma_length': 10},\n", " 0.46478426808123563,\n", " {'start_date': datetime.date(2019, 1, 2),\n", " 'end_date': datetime.date(2019, 4, 30),\n", " 'total_days': 79,\n", " 'profit_days': 39,\n", " 'loss_days': 40,\n", " 'capital': 1000000,\n", " 'end_balance': 1037256.6585999986,\n", " 'max_drawdown': -110927.99580000085,\n", " 'max_ddpercent': -10.103198434300957,\n", " 'max_drawdown_duration': 30,\n", " 'total_net_pnl': 37256.65859999858,\n", " 'daily_net_pnl': 471.6032734177035,\n", " 'total_commission': 13443.341399999998,\n", " 'daily_commission': 170.16887848101263,\n", " 'total_slippage': 30060.0,\n", " 'daily_slippage': 380.50632911392404,\n", " 'total_turnover': 448111380.0,\n", " 'daily_turnover': 5672295.949367088,\n", " 'total_trade_count': 501,\n", " 'daily_trade_count': 6.341772151898734,\n", " 'total_return': 3.7256658599998493,\n", " 'annual_return': 11.31847856202486,\n", " 'daily_return': 0.046303037575705135,\n", " 'return_std': 1.5433473611303774,\n", " 'sharpe_ratio': 0.46478426808123563,\n", " 'ewm_sharpe': 0.39342110236894756,\n", " 'return_drawdown_ratio': 0.36876102990821136})]" ] }, "execution_count": 5, "metadata": {}, "output_type": "execute_result" } ], "source": [ "setting = OptimizationSetting()\n", "setting.set_target(\"sharpe_ratio\")\n", "setting.add_parameter(\"atr_length\", 25, 27, 1)\n", "setting.add_parameter(\"atr_ma_length\", 10, 30, 10)\n", "\n", "engine.run_ga_optimization(setting)" ] }, { "cell_type": "code", "execution_count": null, "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": "3.10.2" } }, "nbformat": 4, "nbformat_minor": 2 }