wehub-resource-sync
1959 lines
54 KiB
Plaintext
1959 lines
54 KiB
Plaintext
{
|
||
"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",
|
||
"2019-01-04",
|
||
"2019-01-07",
|
||
"2019-01-08",
|
||
"2019-01-09",
|
||
"2019-01-10",
|
||
"2019-01-11",
|
||
"2019-01-14",
|
||
"2019-01-15",
|
||
"2019-01-16",
|
||
"2019-01-17",
|
||
"2019-01-18",
|
||
"2019-01-21",
|
||
"2019-01-22",
|
||
"2019-01-23",
|
||
"2019-01-24",
|
||
"2019-01-25",
|
||
"2019-01-28",
|
||
"2019-01-29",
|
||
"2019-01-30",
|
||
"2019-01-31",
|
||
"2019-02-01",
|
||
"2019-02-11",
|
||
"2019-02-12",
|
||
"2019-02-13",
|
||
"2019-02-14",
|
||
"2019-02-15",
|
||
"2019-02-18",
|
||
"2019-02-19",
|
||
"2019-02-20",
|
||
"2019-02-21",
|
||
"2019-02-22",
|
||
"2019-02-25",
|
||
"2019-02-26",
|
||
"2019-02-27",
|
||
"2019-02-28",
|
||
"2019-03-01",
|
||
"2019-03-04",
|
||
"2019-03-05",
|
||
"2019-03-06",
|
||
"2019-03-07",
|
||
"2019-03-08",
|
||
"2019-03-11",
|
||
"2019-03-12",
|
||
"2019-03-13",
|
||
"2019-03-14",
|
||
"2019-03-15",
|
||
"2019-03-18",
|
||
"2019-03-19",
|
||
"2019-03-20",
|
||
"2019-03-21",
|
||
"2019-03-22",
|
||
"2019-03-25",
|
||
"2019-03-26",
|
||
"2019-03-27",
|
||
"2019-03-28",
|
||
"2019-03-29",
|
||
"2019-04-01",
|
||
"2019-04-02",
|
||
"2019-04-03",
|
||
"2019-04-04",
|
||
"2019-04-08",
|
||
"2019-04-09",
|
||
"2019-04-10",
|
||
"2019-04-11",
|
||
"2019-04-12",
|
||
"2019-04-15",
|
||
"2019-04-16",
|
||
"2019-04-17",
|
||
"2019-04-18",
|
||
"2019-04-19",
|
||
"2019-04-22",
|
||
"2019-04-23",
|
||
"2019-04-24",
|
||
"2019-04-25",
|
||
"2019-04-26",
|
||
"2019-04-29",
|
||
"2019-04-30"
|
||
],
|
||
"xaxis": "x",
|
||
"y": [
|
||
1003796.0518000001,
|
||
999389.6998000002,
|
||
995342.0086,
|
||
987113.9818000001,
|
||
982931.4046,
|
||
985261.2214000002,
|
||
982894.7638,
|
||
980064.4888,
|
||
973241.341,
|
||
982738.0059999999,
|
||
974474.0967999999,
|
||
974881.6293999997,
|
||
977988.4744,
|
||
982263.3286,
|
||
994083.3286,
|
||
988654.27,
|
||
979461.151,
|
||
987575.9206,
|
||
990844.6065999998,
|
||
988369.4175999998,
|
||
978093.7443999999,
|
||
974177.3889999999,
|
||
986371.6545999999,
|
||
999631.6545999999,
|
||
1005871.6545999999,
|
||
1028431.6545999999,
|
||
1021853.5348,
|
||
1035424.5046,
|
||
1042826.9643999999,
|
||
1039411.9504000001,
|
||
1014537.7366,
|
||
1032727.369,
|
||
1046988.7642,
|
||
1091942.2336000002,
|
||
1076594.338,
|
||
1071707.0745999997,
|
||
1049716.2484,
|
||
1048904.6535999998,
|
||
1076370.6502,
|
||
1046785.7289999997,
|
||
1044523.3737999998,
|
||
1042688.4844,
|
||
1070256.0507999999,
|
||
1047724.7439999997,
|
||
1076293.8099999996,
|
||
1066599.8031999995,
|
||
1046766.5433999994,
|
||
1047746.3943999994,
|
||
1076671.0227999995,
|
||
1076074.0311999994,
|
||
1079983.9725999993,
|
||
1045206.0249999992,
|
||
1045516.3191999991,
|
||
1019557.6701999994,
|
||
1014587.1717999993,
|
||
998228.0973999992,
|
||
998538.6681999991,
|
||
1033223.6655999991,
|
||
1044866.1279999991,
|
||
1033767.3405999991,
|
||
1048828.113399999,
|
||
1050115.123599999,
|
||
1053080.205399999,
|
||
1058688.835599999,
|
||
1070776.2477999988,
|
||
1065163.7889999987,
|
||
1066574.3469999987,
|
||
1097351.7963999987,
|
||
1108151.2293999987,
|
||
1086126.4419999986,
|
||
1074423.3135999986,
|
||
1103999.6343999985,
|
||
1086686.3163999985,
|
||
1083656.0331999986,
|
||
1085936.5197999985,
|
||
1098536.7867999985,
|
||
1091164.3617999984,
|
||
1078935.5307999987,
|
||
1051703.3613999987
|
||
],
|
||
"yaxis": "y"
|
||
},
|
||
{
|
||
"fill": "tozeroy",
|
||
"fillcolor": "red",
|
||
"mode": "lines",
|
||
"name": "Drawdown",
|
||
"type": "scatter",
|
||
"x": [
|
||
"2019-01-02",
|
||
"2019-01-03",
|
||
"2019-01-04",
|
||
"2019-01-07",
|
||
"2019-01-08",
|
||
"2019-01-09",
|
||
"2019-01-10",
|
||
"2019-01-11",
|
||
"2019-01-14",
|
||
"2019-01-15",
|
||
"2019-01-16",
|
||
"2019-01-17",
|
||
"2019-01-18",
|
||
"2019-01-21",
|
||
"2019-01-22",
|
||
"2019-01-23",
|
||
"2019-01-24",
|
||
"2019-01-25",
|
||
"2019-01-28",
|
||
"2019-01-29",
|
||
"2019-01-30",
|
||
"2019-01-31",
|
||
"2019-02-01",
|
||
"2019-02-11",
|
||
"2019-02-12",
|
||
"2019-02-13",
|
||
"2019-02-14",
|
||
"2019-02-15",
|
||
"2019-02-18",
|
||
"2019-02-19",
|
||
"2019-02-20",
|
||
"2019-02-21",
|
||
"2019-02-22",
|
||
"2019-02-25",
|
||
"2019-02-26",
|
||
"2019-02-27",
|
||
"2019-02-28",
|
||
"2019-03-01",
|
||
"2019-03-04",
|
||
"2019-03-05",
|
||
"2019-03-06",
|
||
"2019-03-07",
|
||
"2019-03-08",
|
||
"2019-03-11",
|
||
"2019-03-12",
|
||
"2019-03-13",
|
||
"2019-03-14",
|
||
"2019-03-15",
|
||
"2019-03-18",
|
||
"2019-03-19",
|
||
"2019-03-20",
|
||
"2019-03-21",
|
||
"2019-03-22",
|
||
"2019-03-25",
|
||
"2019-03-26",
|
||
"2019-03-27",
|
||
"2019-03-28",
|
||
"2019-03-29",
|
||
"2019-04-01",
|
||
"2019-04-02",
|
||
"2019-04-03",
|
||
"2019-04-04",
|
||
"2019-04-08",
|
||
"2019-04-09",
|
||
"2019-04-10",
|
||
"2019-04-11",
|
||
"2019-04-12",
|
||
"2019-04-15",
|
||
"2019-04-16",
|
||
"2019-04-17",
|
||
"2019-04-18",
|
||
"2019-04-19",
|
||
"2019-04-22",
|
||
"2019-04-23",
|
||
"2019-04-24",
|
||
"2019-04-25",
|
||
"2019-04-26",
|
||
"2019-04-29",
|
||
"2019-04-30"
|
||
],
|
||
"xaxis": "x2",
|
||
"y": [
|
||
0,
|
||
-4406.351999999955,
|
||
-8454.04320000019,
|
||
-16682.070000000065,
|
||
-20864.647200000123,
|
||
-18534.830399999977,
|
||
-20901.288000000175,
|
||
-23731.563000000082,
|
||
-30554.710800000117,
|
||
-21058.045800000196,
|
||
-29321.95500000019,
|
||
-28914.42240000039,
|
||
-25807.577400000184,
|
||
-21532.723200000124,
|
||
-9712.723200000124,
|
||
-15141.781800000113,
|
||
-24334.900800000178,
|
||
-16220.131200000178,
|
||
-12951.445200000308,
|
||
-15426.63420000032,
|
||
-25702.30740000028,
|
||
-29618.662800000282,
|
||
-17424.39720000024,
|
||
-4164.3972000002395,
|
||
0,
|
||
0,
|
||
-6578.119799999869,
|
||
0,
|
||
0,
|
||
-3415.01399999985,
|
||
-28289.227799999993,
|
||
-10099.595399999991,
|
||
0,
|
||
0,
|
||
-15347.895600000164,
|
||
-20235.15900000045,
|
||
-42225.98520000023,
|
||
-43037.58000000031,
|
||
-15571.58340000012,
|
||
-45156.50460000045,
|
||
-47418.859800000326,
|
||
-49253.749200000195,
|
||
-21686.1828000003,
|
||
-44217.48960000044,
|
||
-15648.423600000562,
|
||
-25342.430400000652,
|
||
-45175.69020000077,
|
||
-44195.839200000744,
|
||
-15271.2108000007,
|
||
-15868.202400000766,
|
||
-11958.261000000872,
|
||
-46736.208600000944,
|
||
-46425.91440000106,
|
||
-72384.5634000008,
|
||
-77355.06180000084,
|
||
-93714.136200001,
|
||
-93403.56540000101,
|
||
-58718.56800000102,
|
||
-47076.10560000106,
|
||
-58174.89300000109,
|
||
-43114.12020000117,
|
||
-41827.11000000127,
|
||
-38862.02820000122,
|
||
-33253.39800000121,
|
||
-21165.985800001305,
|
||
-26778.444600001443,
|
||
-25367.886600001482,
|
||
0,
|
||
0,
|
||
-22024.78740000003,
|
||
-33727.915800000075,
|
||
-4151.595000000205,
|
||
-21464.913000000175,
|
||
-24495.196200000122,
|
||
-22214.709600000177,
|
||
-9614.442600000184,
|
||
-16986.86760000023,
|
||
-29215.698600000003,
|
||
-56447.86800000002
|
||
],
|
||
"yaxis": "y2"
|
||
},
|
||
{
|
||
"name": "Daily Pnl",
|
||
"type": "bar",
|
||
"xaxis": "x3",
|
||
"y": [
|
||
3796.0518000001366,
|
||
-4406.352,
|
||
-4047.6912000001894,
|
||
-8228.026799999918,
|
||
-4182.577200000027,
|
||
2329.8168000001638,
|
||
-2366.457600000191,
|
||
-2830.2749999999182,
|
||
-6823.147800000082,
|
||
9496.664999999946,
|
||
-8263.9092,
|
||
407.5325999998636,
|
||
3106.8450000001367,
|
||
4274.854200000054,
|
||
11820.000000000027,
|
||
-5429.0586,
|
||
-9193.119,
|
||
8114.769599999972,
|
||
3268.6859999998637,
|
||
-2475.1889999999726,
|
||
-10275.673199999972,
|
||
-3916.355400000027,
|
||
12194.265600000082,
|
||
13259.999999999945,
|
||
6240.000000000055,
|
||
22559.999999999945,
|
||
-6578.1197999999185,
|
||
13570.969800000055,
|
||
7402.45979999992,
|
||
-3415.013999999891,
|
||
-24874.213800000052,
|
||
18189.632399999948,
|
||
14261.395200000059,
|
||
44953.46940000012,
|
||
-15347.895600000224,
|
||
-4887.263400000187,
|
||
-21990.826199999894,
|
||
-811.59479999992,
|
||
27465.99660000008,
|
||
-29584.921200000324,
|
||
-2262.3551999998344,
|
||
-1834.8893999998636,
|
||
27567.566399999778,
|
||
-22531.30680000008,
|
||
28569.06599999989,
|
||
-9694.006800000026,
|
||
-19833.259800000087,
|
||
979.850999999971,
|
||
28924.6284,
|
||
-596.9916000000273,
|
||
3909.941399999918,
|
||
-34777.94760000006,
|
||
310.2941999999182,
|
||
-25958.648999999838,
|
||
-4970.498400000024,
|
||
-16359.074400000081,
|
||
310.5707999999454,
|
||
34684.99739999994,
|
||
11642.462399999975,
|
||
-11098.787400000054,
|
||
15060.77279999992,
|
||
1287.0102,
|
||
2965.0818,
|
||
5608.630199999972,
|
||
12087.412199999919,
|
||
-5612.4588,
|
||
1410.5579999999727,
|
||
30777.449399999892,
|
||
10799.433000000066,
|
||
-22024.78740000014,
|
||
-11703.128400000081,
|
||
29576.320800000027,
|
||
-17313.318000000058,
|
||
-3030.2832,
|
||
2280.4866,
|
||
12600.26699999997,
|
||
-7372.42500000008,
|
||
-12228.830999999807,
|
||
-27232.169400000028
|
||
],
|
||
"yaxis": "y3"
|
||
},
|
||
{
|
||
"name": "Days",
|
||
"nbinsx": 100,
|
||
"type": "histogram",
|
||
"x": [
|
||
3796.0518000001366,
|
||
-4406.352,
|
||
-4047.6912000001894,
|
||
-8228.026799999918,
|
||
-4182.577200000027,
|
||
2329.8168000001638,
|
||
-2366.457600000191,
|
||
-2830.2749999999182,
|
||
-6823.147800000082,
|
||
9496.664999999946,
|
||
-8263.9092,
|
||
407.5325999998636,
|
||
3106.8450000001367,
|
||
4274.854200000054,
|
||
11820.000000000027,
|
||
-5429.0586,
|
||
-9193.119,
|
||
8114.769599999972,
|
||
3268.6859999998637,
|
||
-2475.1889999999726,
|
||
-10275.673199999972,
|
||
-3916.355400000027,
|
||
12194.265600000082,
|
||
13259.999999999945,
|
||
6240.000000000055,
|
||
22559.999999999945,
|
||
-6578.1197999999185,
|
||
13570.969800000055,
|
||
7402.45979999992,
|
||
-3415.013999999891,
|
||
-24874.213800000052,
|
||
18189.632399999948,
|
||
14261.395200000059,
|
||
44953.46940000012,
|
||
-15347.895600000224,
|
||
-4887.263400000187,
|
||
-21990.826199999894,
|
||
-811.59479999992,
|
||
27465.99660000008,
|
||
-29584.921200000324,
|
||
-2262.3551999998344,
|
||
-1834.8893999998636,
|
||
27567.566399999778,
|
||
-22531.30680000008,
|
||
28569.06599999989,
|
||
-9694.006800000026,
|
||
-19833.259800000087,
|
||
979.850999999971,
|
||
28924.6284,
|
||
-596.9916000000273,
|
||
3909.941399999918,
|
||
-34777.94760000006,
|
||
310.2941999999182,
|
||
-25958.648999999838,
|
||
-4970.498400000024,
|
||
-16359.074400000081,
|
||
310.5707999999454,
|
||
34684.99739999994,
|
||
11642.462399999975,
|
||
-11098.787400000054,
|
||
15060.77279999992,
|
||
1287.0102,
|
||
2965.0818,
|
||
5608.630199999972,
|
||
12087.412199999919,
|
||
-5612.4588,
|
||
1410.5579999999727,
|
||
30777.449399999892,
|
||
10799.433000000066,
|
||
-22024.78740000014,
|
||
-11703.128400000081,
|
||
29576.320800000027,
|
||
-17313.318000000058,
|
||
-3030.2832,
|
||
2280.4866,
|
||
12600.26699999997,
|
||
-7372.42500000008,
|
||
-12228.830999999807,
|
||
-27232.169400000028
|
||
],
|
||
"xaxis": "x4",
|
||
"yaxis": "y4"
|
||
}
|
||
],
|
||
"layout": {
|
||
"annotations": [
|
||
{
|
||
"font": {
|
||
"size": 16
|
||
},
|
||
"showarrow": false,
|
||
"text": "Balance",
|
||
"x": 0.5,
|
||
"xanchor": "center",
|
||
"xref": "paper",
|
||
"y": 1,
|
||
"yanchor": "bottom",
|
||
"yref": "paper"
|
||
},
|
||
{
|
||
"font": {
|
||
"size": 16
|
||
},
|
||
"showarrow": false,
|
||
"text": "Drawdown",
|
||
"x": 0.5,
|
||
"xanchor": "center",
|
||
"xref": "paper",
|
||
"y": 0.7350000000000001,
|
||
"yanchor": "bottom",
|
||
"yref": "paper"
|
||
},
|
||
{
|
||
"font": {
|
||
"size": 16
|
||
},
|
||
"showarrow": false,
|
||
"text": "Daily Pnl",
|
||
"x": 0.5,
|
||
"xanchor": "center",
|
||
"xref": "paper",
|
||
"y": 0.47000000000000003,
|
||
"yanchor": "bottom",
|
||
"yref": "paper"
|
||
},
|
||
{
|
||
"font": {
|
||
"size": 16
|
||
},
|
||
"showarrow": false,
|
||
"text": "Pnl Distribution",
|
||
"x": 0.5,
|
||
"xanchor": "center",
|
||
"xref": "paper",
|
||
"y": 0.20500000000000002,
|
||
"yanchor": "bottom",
|
||
"yref": "paper"
|
||
}
|
||
],
|
||
"height": 1000,
|
||
"template": {
|
||
"data": {
|
||
"bar": [
|
||
{
|
||
"error_x": {
|
||
"color": "#2a3f5f"
|
||
},
|
||
"error_y": {
|
||
"color": "#2a3f5f"
|
||
},
|
||
"marker": {
|
||
"line": {
|
||
"color": "#E5ECF6",
|
||
"width": 0.5
|
||
},
|
||
"pattern": {
|
||
"fillmode": "overlay",
|
||
"size": 10,
|
||
"solidity": 0.2
|
||
}
|
||
},
|
||
"type": "bar"
|
||
}
|
||
],
|
||
"barpolar": [
|
||
{
|
||
"marker": {
|
||
"line": {
|
||
"color": "#E5ECF6",
|
||
"width": 0.5
|
||
},
|
||
"pattern": {
|
||
"fillmode": "overlay",
|
||
"size": 10,
|
||
"solidity": 0.2
|
||
}
|
||
},
|
||
"type": "barpolar"
|
||
}
|
||
],
|
||
"carpet": [
|
||
{
|
||
"aaxis": {
|
||
"endlinecolor": "#2a3f5f",
|
||
"gridcolor": "white",
|
||
"linecolor": "white",
|
||
"minorgridcolor": "white",
|
||
"startlinecolor": "#2a3f5f"
|
||
},
|
||
"baxis": {
|
||
"endlinecolor": "#2a3f5f",
|
||
"gridcolor": "white",
|
||
"linecolor": "white",
|
||
"minorgridcolor": "white",
|
||
"startlinecolor": "#2a3f5f"
|
||
},
|
||
"type": "carpet"
|
||
}
|
||
],
|
||
"choropleth": [
|
||
{
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
},
|
||
"type": "choropleth"
|
||
}
|
||
],
|
||
"contour": [
|
||
{
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
},
|
||
"colorscale": [
|
||
[
|
||
0,
|
||
"#0d0887"
|
||
],
|
||
[
|
||
0.1111111111111111,
|
||
"#46039f"
|
||
],
|
||
[
|
||
0.2222222222222222,
|
||
"#7201a8"
|
||
],
|
||
[
|
||
0.3333333333333333,
|
||
"#9c179e"
|
||
],
|
||
[
|
||
0.4444444444444444,
|
||
"#bd3786"
|
||
],
|
||
[
|
||
0.5555555555555556,
|
||
"#d8576b"
|
||
],
|
||
[
|
||
0.6666666666666666,
|
||
"#ed7953"
|
||
],
|
||
[
|
||
0.7777777777777778,
|
||
"#fb9f3a"
|
||
],
|
||
[
|
||
0.8888888888888888,
|
||
"#fdca26"
|
||
],
|
||
[
|
||
1,
|
||
"#f0f921"
|
||
]
|
||
],
|
||
"type": "contour"
|
||
}
|
||
],
|
||
"contourcarpet": [
|
||
{
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
},
|
||
"type": "contourcarpet"
|
||
}
|
||
],
|
||
"heatmap": [
|
||
{
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
},
|
||
"colorscale": [
|
||
[
|
||
0,
|
||
"#0d0887"
|
||
],
|
||
[
|
||
0.1111111111111111,
|
||
"#46039f"
|
||
],
|
||
[
|
||
0.2222222222222222,
|
||
"#7201a8"
|
||
],
|
||
[
|
||
0.3333333333333333,
|
||
"#9c179e"
|
||
],
|
||
[
|
||
0.4444444444444444,
|
||
"#bd3786"
|
||
],
|
||
[
|
||
0.5555555555555556,
|
||
"#d8576b"
|
||
],
|
||
[
|
||
0.6666666666666666,
|
||
"#ed7953"
|
||
],
|
||
[
|
||
0.7777777777777778,
|
||
"#fb9f3a"
|
||
],
|
||
[
|
||
0.8888888888888888,
|
||
"#fdca26"
|
||
],
|
||
[
|
||
1,
|
||
"#f0f921"
|
||
]
|
||
],
|
||
"type": "heatmap"
|
||
}
|
||
],
|
||
"heatmapgl": [
|
||
{
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
},
|
||
"colorscale": [
|
||
[
|
||
0,
|
||
"#0d0887"
|
||
],
|
||
[
|
||
0.1111111111111111,
|
||
"#46039f"
|
||
],
|
||
[
|
||
0.2222222222222222,
|
||
"#7201a8"
|
||
],
|
||
[
|
||
0.3333333333333333,
|
||
"#9c179e"
|
||
],
|
||
[
|
||
0.4444444444444444,
|
||
"#bd3786"
|
||
],
|
||
[
|
||
0.5555555555555556,
|
||
"#d8576b"
|
||
],
|
||
[
|
||
0.6666666666666666,
|
||
"#ed7953"
|
||
],
|
||
[
|
||
0.7777777777777778,
|
||
"#fb9f3a"
|
||
],
|
||
[
|
||
0.8888888888888888,
|
||
"#fdca26"
|
||
],
|
||
[
|
||
1,
|
||
"#f0f921"
|
||
]
|
||
],
|
||
"type": "heatmapgl"
|
||
}
|
||
],
|
||
"histogram": [
|
||
{
|
||
"marker": {
|
||
"pattern": {
|
||
"fillmode": "overlay",
|
||
"size": 10,
|
||
"solidity": 0.2
|
||
}
|
||
},
|
||
"type": "histogram"
|
||
}
|
||
],
|
||
"histogram2d": [
|
||
{
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
},
|
||
"colorscale": [
|
||
[
|
||
0,
|
||
"#0d0887"
|
||
],
|
||
[
|
||
0.1111111111111111,
|
||
"#46039f"
|
||
],
|
||
[
|
||
0.2222222222222222,
|
||
"#7201a8"
|
||
],
|
||
[
|
||
0.3333333333333333,
|
||
"#9c179e"
|
||
],
|
||
[
|
||
0.4444444444444444,
|
||
"#bd3786"
|
||
],
|
||
[
|
||
0.5555555555555556,
|
||
"#d8576b"
|
||
],
|
||
[
|
||
0.6666666666666666,
|
||
"#ed7953"
|
||
],
|
||
[
|
||
0.7777777777777778,
|
||
"#fb9f3a"
|
||
],
|
||
[
|
||
0.8888888888888888,
|
||
"#fdca26"
|
||
],
|
||
[
|
||
1,
|
||
"#f0f921"
|
||
]
|
||
],
|
||
"type": "histogram2d"
|
||
}
|
||
],
|
||
"histogram2dcontour": [
|
||
{
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
},
|
||
"colorscale": [
|
||
[
|
||
0,
|
||
"#0d0887"
|
||
],
|
||
[
|
||
0.1111111111111111,
|
||
"#46039f"
|
||
],
|
||
[
|
||
0.2222222222222222,
|
||
"#7201a8"
|
||
],
|
||
[
|
||
0.3333333333333333,
|
||
"#9c179e"
|
||
],
|
||
[
|
||
0.4444444444444444,
|
||
"#bd3786"
|
||
],
|
||
[
|
||
0.5555555555555556,
|
||
"#d8576b"
|
||
],
|
||
[
|
||
0.6666666666666666,
|
||
"#ed7953"
|
||
],
|
||
[
|
||
0.7777777777777778,
|
||
"#fb9f3a"
|
||
],
|
||
[
|
||
0.8888888888888888,
|
||
"#fdca26"
|
||
],
|
||
[
|
||
1,
|
||
"#f0f921"
|
||
]
|
||
],
|
||
"type": "histogram2dcontour"
|
||
}
|
||
],
|
||
"mesh3d": [
|
||
{
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
},
|
||
"type": "mesh3d"
|
||
}
|
||
],
|
||
"parcoords": [
|
||
{
|
||
"line": {
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
}
|
||
},
|
||
"type": "parcoords"
|
||
}
|
||
],
|
||
"pie": [
|
||
{
|
||
"automargin": true,
|
||
"type": "pie"
|
||
}
|
||
],
|
||
"scatter": [
|
||
{
|
||
"fillpattern": {
|
||
"fillmode": "overlay",
|
||
"size": 10,
|
||
"solidity": 0.2
|
||
},
|
||
"type": "scatter"
|
||
}
|
||
],
|
||
"scatter3d": [
|
||
{
|
||
"line": {
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
}
|
||
},
|
||
"marker": {
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
}
|
||
},
|
||
"type": "scatter3d"
|
||
}
|
||
],
|
||
"scattercarpet": [
|
||
{
|
||
"marker": {
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
}
|
||
},
|
||
"type": "scattercarpet"
|
||
}
|
||
],
|
||
"scattergeo": [
|
||
{
|
||
"marker": {
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
}
|
||
},
|
||
"type": "scattergeo"
|
||
}
|
||
],
|
||
"scattergl": [
|
||
{
|
||
"marker": {
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
}
|
||
},
|
||
"type": "scattergl"
|
||
}
|
||
],
|
||
"scattermapbox": [
|
||
{
|
||
"marker": {
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
}
|
||
},
|
||
"type": "scattermapbox"
|
||
}
|
||
],
|
||
"scatterpolar": [
|
||
{
|
||
"marker": {
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
}
|
||
},
|
||
"type": "scatterpolar"
|
||
}
|
||
],
|
||
"scatterpolargl": [
|
||
{
|
||
"marker": {
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
}
|
||
},
|
||
"type": "scatterpolargl"
|
||
}
|
||
],
|
||
"scatterternary": [
|
||
{
|
||
"marker": {
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
}
|
||
},
|
||
"type": "scatterternary"
|
||
}
|
||
],
|
||
"surface": [
|
||
{
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
},
|
||
"colorscale": [
|
||
[
|
||
0,
|
||
"#0d0887"
|
||
],
|
||
[
|
||
0.1111111111111111,
|
||
"#46039f"
|
||
],
|
||
[
|
||
0.2222222222222222,
|
||
"#7201a8"
|
||
],
|
||
[
|
||
0.3333333333333333,
|
||
"#9c179e"
|
||
],
|
||
[
|
||
0.4444444444444444,
|
||
"#bd3786"
|
||
],
|
||
[
|
||
0.5555555555555556,
|
||
"#d8576b"
|
||
],
|
||
[
|
||
0.6666666666666666,
|
||
"#ed7953"
|
||
],
|
||
[
|
||
0.7777777777777778,
|
||
"#fb9f3a"
|
||
],
|
||
[
|
||
0.8888888888888888,
|
||
"#fdca26"
|
||
],
|
||
[
|
||
1,
|
||
"#f0f921"
|
||
]
|
||
],
|
||
"type": "surface"
|
||
}
|
||
],
|
||
"table": [
|
||
{
|
||
"cells": {
|
||
"fill": {
|
||
"color": "#EBF0F8"
|
||
},
|
||
"line": {
|
||
"color": "white"
|
||
}
|
||
},
|
||
"header": {
|
||
"fill": {
|
||
"color": "#C8D4E3"
|
||
},
|
||
"line": {
|
||
"color": "white"
|
||
}
|
||
},
|
||
"type": "table"
|
||
}
|
||
]
|
||
},
|
||
"layout": {
|
||
"annotationdefaults": {
|
||
"arrowcolor": "#2a3f5f",
|
||
"arrowhead": 0,
|
||
"arrowwidth": 1
|
||
},
|
||
"autotypenumbers": "strict",
|
||
"coloraxis": {
|
||
"colorbar": {
|
||
"outlinewidth": 0,
|
||
"ticks": ""
|
||
}
|
||
},
|
||
"colorscale": {
|
||
"diverging": [
|
||
[
|
||
0,
|
||
"#8e0152"
|
||
],
|
||
[
|
||
0.1,
|
||
"#c51b7d"
|
||
],
|
||
[
|
||
0.2,
|
||
"#de77ae"
|
||
],
|
||
[
|
||
0.3,
|
||
"#f1b6da"
|
||
],
|
||
[
|
||
0.4,
|
||
"#fde0ef"
|
||
],
|
||
[
|
||
0.5,
|
||
"#f7f7f7"
|
||
],
|
||
[
|
||
0.6,
|
||
"#e6f5d0"
|
||
],
|
||
[
|
||
0.7,
|
||
"#b8e186"
|
||
],
|
||
[
|
||
0.8,
|
||
"#7fbc41"
|
||
],
|
||
[
|
||
0.9,
|
||
"#4d9221"
|
||
],
|
||
[
|
||
1,
|
||
"#276419"
|
||
]
|
||
],
|
||
"sequential": [
|
||
[
|
||
0,
|
||
"#0d0887"
|
||
],
|
||
[
|
||
0.1111111111111111,
|
||
"#46039f"
|
||
],
|
||
[
|
||
0.2222222222222222,
|
||
"#7201a8"
|
||
],
|
||
[
|
||
0.3333333333333333,
|
||
"#9c179e"
|
||
],
|
||
[
|
||
0.4444444444444444,
|
||
"#bd3786"
|
||
],
|
||
[
|
||
0.5555555555555556,
|
||
"#d8576b"
|
||
],
|
||
[
|
||
0.6666666666666666,
|
||
"#ed7953"
|
||
],
|
||
[
|
||
0.7777777777777778,
|
||
"#fb9f3a"
|
||
],
|
||
[
|
||
0.8888888888888888,
|
||
"#fdca26"
|
||
],
|
||
[
|
||
1,
|
||
"#f0f921"
|
||
]
|
||
],
|
||
"sequentialminus": [
|
||
[
|
||
0,
|
||
"#0d0887"
|
||
],
|
||
[
|
||
0.1111111111111111,
|
||
"#46039f"
|
||
],
|
||
[
|
||
0.2222222222222222,
|
||
"#7201a8"
|
||
],
|
||
[
|
||
0.3333333333333333,
|
||
"#9c179e"
|
||
],
|
||
[
|
||
0.4444444444444444,
|
||
"#bd3786"
|
||
],
|
||
[
|
||
0.5555555555555556,
|
||
"#d8576b"
|
||
],
|
||
[
|
||
0.6666666666666666,
|
||
"#ed7953"
|
||
],
|
||
[
|
||
0.7777777777777778,
|
||
"#fb9f3a"
|
||
],
|
||
[
|
||
0.8888888888888888,
|
||
"#fdca26"
|
||
],
|
||
[
|
||
1,
|
||
"#f0f921"
|
||
]
|
||
]
|
||
},
|
||
"colorway": [
|
||
"#636efa",
|
||
"#EF553B",
|
||
"#00cc96",
|
||
"#ab63fa",
|
||
"#FFA15A",
|
||
"#19d3f3",
|
||
"#FF6692",
|
||
"#B6E880",
|
||
"#FF97FF",
|
||
"#FECB52"
|
||
],
|
||
"font": {
|
||
"color": "#2a3f5f"
|
||
},
|
||
"geo": {
|
||
"bgcolor": "white",
|
||
"lakecolor": "white",
|
||
"landcolor": "#E5ECF6",
|
||
"showlakes": true,
|
||
"showland": true,
|
||
"subunitcolor": "white"
|
||
},
|
||
"hoverlabel": {
|
||
"align": "left"
|
||
},
|
||
"hovermode": "closest",
|
||
"mapbox": {
|
||
"style": "light"
|
||
},
|
||
"paper_bgcolor": "white",
|
||
"plot_bgcolor": "#E5ECF6",
|
||
"polar": {
|
||
"angularaxis": {
|
||
"gridcolor": "white",
|
||
"linecolor": "white",
|
||
"ticks": ""
|
||
},
|
||
"bgcolor": "#E5ECF6",
|
||
"radialaxis": {
|
||
"gridcolor": "white",
|
||
"linecolor": "white",
|
||
"ticks": ""
|
||
}
|
||
},
|
||
"scene": {
|
||
"xaxis": {
|
||
"backgroundcolor": "#E5ECF6",
|
||
"gridcolor": "white",
|
||
"gridwidth": 2,
|
||
"linecolor": "white",
|
||
"showbackground": true,
|
||
"ticks": "",
|
||
"zerolinecolor": "white"
|
||
},
|
||
"yaxis": {
|
||
"backgroundcolor": "#E5ECF6",
|
||
"gridcolor": "white",
|
||
"gridwidth": 2,
|
||
"linecolor": "white",
|
||
"showbackground": true,
|
||
"ticks": "",
|
||
"zerolinecolor": "white"
|
||
},
|
||
"zaxis": {
|
||
"backgroundcolor": "#E5ECF6",
|
||
"gridcolor": "white",
|
||
"gridwidth": 2,
|
||
"linecolor": "white",
|
||
"showbackground": true,
|
||
"ticks": "",
|
||
"zerolinecolor": "white"
|
||
}
|
||
},
|
||
"shapedefaults": {
|
||
"line": {
|
||
"color": "#2a3f5f"
|
||
}
|
||
},
|
||
"ternary": {
|
||
"aaxis": {
|
||
"gridcolor": "white",
|
||
"linecolor": "white",
|
||
"ticks": ""
|
||
},
|
||
"baxis": {
|
||
"gridcolor": "white",
|
||
"linecolor": "white",
|
||
"ticks": ""
|
||
},
|
||
"bgcolor": "#E5ECF6",
|
||
"caxis": {
|
||
"gridcolor": "white",
|
||
"linecolor": "white",
|
||
"ticks": ""
|
||
}
|
||
},
|
||
"title": {
|
||
"x": 0.05
|
||
},
|
||
"xaxis": {
|
||
"automargin": true,
|
||
"gridcolor": "white",
|
||
"linecolor": "white",
|
||
"ticks": "",
|
||
"title": {
|
||
"standoff": 15
|
||
},
|
||
"zerolinecolor": "white",
|
||
"zerolinewidth": 2
|
||
},
|
||
"yaxis": {
|
||
"automargin": true,
|
||
"gridcolor": "white",
|
||
"linecolor": "white",
|
||
"ticks": "",
|
||
"title": {
|
||
"standoff": 15
|
||
},
|
||
"zerolinecolor": "white",
|
||
"zerolinewidth": 2
|
||
}
|
||
}
|
||
},
|
||
"width": 1000,
|
||
"xaxis": {
|
||
"anchor": "y",
|
||
"domain": [
|
||
0,
|
||
1
|
||
]
|
||
},
|
||
"xaxis2": {
|
||
"anchor": "y2",
|
||
"domain": [
|
||
0,
|
||
1
|
||
]
|
||
},
|
||
"xaxis3": {
|
||
"anchor": "y3",
|
||
"domain": [
|
||
0,
|
||
1
|
||
]
|
||
},
|
||
"xaxis4": {
|
||
"anchor": "y4",
|
||
"domain": [
|
||
0,
|
||
1
|
||
]
|
||
},
|
||
"yaxis": {
|
||
"anchor": "x",
|
||
"domain": [
|
||
0.7949999999999999,
|
||
1
|
||
]
|
||
},
|
||
"yaxis2": {
|
||
"anchor": "x2",
|
||
"domain": [
|
||
0.53,
|
||
0.7350000000000001
|
||
]
|
||
},
|
||
"yaxis3": {
|
||
"anchor": "x3",
|
||
"domain": [
|
||
0.265,
|
||
0.47000000000000003
|
||
]
|
||
},
|
||
"yaxis4": {
|
||
"anchor": "x4",
|
||
"domain": [
|
||
0,
|
||
0.20500000000000002
|
||
]
|
||
}
|
||
}
|
||
}
|
||
},
|
||
"metadata": {},
|
||
"output_type": "display_data"
|
||
}
|
||
],
|
||
"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": 5,
|
||
"metadata": {
|
||
"scrolled": false
|
||
},
|
||
"outputs": [
|
||
{
|
||
"name": "stdout",
|
||
"output_type": "stream",
|
||
"text": [
|
||
"2025-06-16 20:52:12.736299\t开始执行遗传算法优化\n",
|
||
"2025-06-16 20:52:12.737296\t参数优化空间：9\n",
|
||
"2025-06-16 20:52:12.737296\t每代族群总数：100\n",
|
||
"2025-06-16 20:52:12.737296\t优良筛选个数：80\n",
|
||
"2025-06-16 20:52:12.737296\t迭代次数：30\n",
|
||
"2025-06-16 20:52:12.737296\t交叉概率：95%\n",
|
||
"2025-06-16 20:52:12.737296\t突变概率：5%\n",
|
||
"2025-06-16 20:52:12.737296\t个体突变概率：100%\n",
|
||
"gen\tnevals\n",
|
||
"0 \t100 \n",
|
||
"1 \t100 \n",
|
||
"2 \t100 \n",
|
||
"3 \t100 \n",
|
||
"4 \t100 \n",
|
||
"5 \t100 \n",
|
||
"6 \t100 \n",
|
||
"7 \t100 \n",
|
||
"8 \t100 \n",
|
||
"9 \t100 \n",
|
||
"10 \t100 \n",
|
||
"11 \t100 \n",
|
||
"12 \t100 \n",
|
||
"13 \t100 \n",
|
||
"14 \t100 \n",
|
||
"15 \t100 \n",
|
||
"16 \t100 \n",
|
||
"17 \t100 \n",
|
||
"18 \t100 \n",
|
||
"19 \t100 \n",
|
||
"20 \t100 \n",
|
||
"21 \t100 \n",
|
||
"22 \t100 \n",
|
||
"23 \t100 \n",
|
||
"24 \t100 \n",
|
||
"25 \t100 \n",
|
||
"26 \t100 \n",
|
||
"27 \t100 \n",
|
||
"28 \t100 \n",
|
||
"29 \t100 \n",
|
||
"30 \t100 \n",
|
||
"2025-06-16 20:52:26.338670\t遗传算法优化完成，耗时13秒\n",
|
||
"2025-06-16 20:52:26.462433\t参数：{'atr_length': 25, 'atr_ma_length': 20}, 目标：2.0127186461733073\n",
|
||
"2025-06-16 20:52:26.463435\t参数：{'atr_length': 27, 'atr_ma_length': 20}, 目标：1.972733364131168\n",
|
||
"2025-06-16 20:52:26.463435\t参数：{'atr_length': 26, 'atr_ma_length': 20}, 目标：1.927735865279324\n",
|
||
"2025-06-16 20:52:26.463435\t参数：{'atr_length': 27, 'atr_ma_length': 30}, 目标：1.273993651024933\n",
|
||
"2025-06-16 20:52:26.463435\t参数：{'atr_length': 25, 'atr_ma_length': 30}, 目标：1.220296323588909\n",
|
||
"2025-06-16 20:52:26.463435\t参数：{'atr_length': 26, 'atr_ma_length': 30}, 目标：1.100003635114256\n",
|
||
"2025-06-16 20:52:26.463435\t参数：{'atr_length': 27, 'atr_ma_length': 10}, 目标：0.7261753437654116\n",
|
||
"2025-06-16 20:52:26.463435\t参数：{'atr_length': 26, 'atr_ma_length': 10}, 目标：0.5706887229122534\n",
|
||
"2025-06-16 20:52:26.463435\t参数：{'atr_length': 25, 'atr_ma_length': 10}, 目标：0.46478426808123563\n"
|
||
]
|
||
},
|
||
{
|
||
"data": {
|
||
"text/plain": [
|
||
"[({'atr_length': 25, 'atr_ma_length': 20},\n",
|
||
" 2.0127186461733073,\n",
|
||
" {'start_date': datetime.date(2019, 1, 2),\n",
|
||
" 'end_date': datetime.date(2019, 4, 30),\n",
|
||
" 'total_days': 79,\n",
|
||
" 'profit_days': 38,\n",
|
||
" 'loss_days': 41,\n",
|
||
" 'capital': 1000000,\n",
|
||
" 'end_balance': 1157730.3249999983,\n",
|
||
" 'max_drawdown': -56901.58860000118,\n",
|
||
" 'max_ddpercent': -5.230378359138127,\n",
|
||
" 'max_drawdown_duration': 31,\n",
|
||
" 'total_net_pnl': 157730.32499999838,\n",
|
||
" 'daily_net_pnl': 1996.5863924050427,\n",
|
||
" 'total_commission': 12249.674999999997,\n",
|
||
" 'daily_commission': 155.05917721518983,\n",
|
||
" 'total_slippage': 27540.0,\n",
|
||
" 'daily_slippage': 348.60759493670884,\n",
|
||
" 'total_turnover': 408322500.0,\n",
|
||
" 'daily_turnover': 5168639.24050633,\n",
|
||
" 'total_trade_count': 459,\n",
|
||
" 'daily_trade_count': 5.810126582278481,\n",
|
||
" 'total_return': 15.77303249999984,\n",
|
||
" 'annual_return': 47.91807341772103,\n",
|
||
" 'daily_return': 0.1853942684361968,\n",
|
||
" 'return_std': 1.4269831811830316,\n",
|
||
" 'sharpe_ratio': 2.0127186461733073,\n",
|
||
" 'ewm_sharpe': 2.0847989170594987,\n",
|
||
" 'return_drawdown_ratio': 3.015658030253657}),\n",
|
||
" ({'atr_length': 27, 'atr_ma_length': 20},\n",
|
||
" 1.972733364131168,\n",
|
||
" {'start_date': datetime.date(2019, 1, 2),\n",
|
||
" 'end_date': datetime.date(2019, 4, 30),\n",
|
||
" 'total_days': 79,\n",
|
||
" 'profit_days': 40,\n",
|
||
" 'loss_days': 39,\n",
|
||
" 'capital': 1000000,\n",
|
||
" 'end_balance': 1152267.1455999983,\n",
|
||
" 'max_drawdown': -49582.891800000914,\n",
|
||
" 'max_ddpercent': -4.569238197913546,\n",
|
||
" 'max_drawdown_duration': 31,\n",
|
||
" 'total_net_pnl': 152267.1455999984,\n",
|
||
" 'daily_net_pnl': 1927.4322227847897,\n",
|
||
" 'total_commission': 12372.854399999998,\n",
|
||
" 'daily_commission': 156.61841012658226,\n",
|
||
" 'total_slippage': 27780.0,\n",
|
||
" 'daily_slippage': 351.6455696202532,\n",
|
||
" 'total_turnover': 412428480.0,\n",
|
||
" 'daily_turnover': 5220613.670886076,\n",
|
||
" 'total_trade_count': 463,\n",
|
||
" 'daily_trade_count': 5.860759493670886,\n",
|
||
" 'total_return': 15.22671455999982,\n",
|
||
" 'annual_return': 46.258373346834894,\n",
|
||
" 'daily_return': 0.17940687672394376,\n",
|
||
" 'return_std': 1.4088875027526955,\n",
|
||
" 'sharpe_ratio': 1.972733364131168,\n",
|
||
" 'ewm_sharpe': 2.026542024055209,\n",
|
||
" 'return_drawdown_ratio': 3.332440529572917}),\n",
|
||
" ({'atr_length': 26, 'atr_ma_length': 20},\n",
|
||
" 1.927735865279324,\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': 1147643.3271999985,\n",
|
||
" 'max_drawdown': -50666.8596000009,\n",
|
||
" 'max_ddpercent': -4.666033619086949,\n",
|
||
" 'max_drawdown_duration': 31,\n",
|
||
" 'total_net_pnl': 147643.32719999852,\n",
|
||
" 'daily_net_pnl': 1868.9028759493483,\n",
|
||
" 'total_commission': 12316.672799999998,\n",
|
||
" 'daily_commission': 155.90725063291137,\n",
|
||
" 'total_slippage': 27660.0,\n",
|
||
" 'daily_slippage': 350.126582278481,\n",
|
||
" 'total_turnover': 410555760.0,\n",
|
||
" 'daily_turnover': 5196908.354430379,\n",
|
||
" 'total_trade_count': 461,\n",
|
||
" 'daily_trade_count': 5.8354430379746836,\n",
|
||
" 'total_return': 14.764332719999862,\n",
|
||
" 'annual_return': 44.85366902278439,\n",
|
||
" 'daily_return': 0.17431716333002323,\n",
|
||
" 'return_std': 1.4008713178918295,\n",
|
||
" 'sharpe_ratio': 1.927735865279324,\n",
|
||
" 'ewm_sharpe': 1.9723836768576808,\n",
|
||
" 'return_drawdown_ratio': 3.164214818256914}),\n",
|
||
" ({'atr_length': 27, 'atr_ma_length': 30},\n",
|
||
" 1.273993651024933,\n",
|
||
" {'start_date': datetime.date(2019, 1, 2),\n",
|
||
" 'end_date': datetime.date(2019, 4, 30),\n",
|
||
" 'total_days': 79,\n",
|
||
" 'profit_days': 38,\n",
|
||
" 'loss_days': 41,\n",
|
||
" 'capital': 1000000,\n",
|
||
" 'end_balance': 1094503.6569999983,\n",
|
||
" 'max_drawdown': -77433.63960000011,\n",
|
||
" 'max_ddpercent': -6.607319335654653,\n",
|
||
" 'max_drawdown_duration': 11,\n",
|
||
" 'total_net_pnl': 94503.65699999814,\n",
|
||
" 'daily_net_pnl': 1196.2488227847866,\n",
|
||
" 'total_commission': 12356.342999999999,\n",
|
||
" 'daily_commission': 156.40940506329113,\n",
|
||
" 'total_slippage': 27660.0,\n",
|
||
" 'daily_slippage': 350.126582278481,\n",
|
||
" 'total_turnover': 411878100.0,\n",
|
||
" 'daily_turnover': 5213646.835443038,\n",
|
||
" 'total_trade_count': 461,\n",
|
||
" 'daily_trade_count': 5.8354430379746836,\n",
|
||
" 'total_return': 9.450365699999818,\n",
|
||
" 'annual_return': 28.70997174683489,\n",
|
||
" 'daily_return': 0.11430503699608949,\n",
|
||
" 'return_std': 1.3899645553722253,\n",
|
||
" 'sharpe_ratio': 1.273993651024933,\n",
|
||
" 'ewm_sharpe': 1.1696997763268426,\n",
|
||
" 'return_drawdown_ratio': 1.4302874161088925}),\n",
|
||
" ({'atr_length': 25, 'atr_ma_length': 30},\n",
|
||
" 1.220296323588909,\n",
|
||
" {'start_date': datetime.date(2019, 1, 2),\n",
|
||
" 'end_date': datetime.date(2019, 4, 30),\n",
|
||
" 'total_days': 79,\n",
|
||
" 'profit_days': 36,\n",
|
||
" 'loss_days': 43,\n",
|
||
" 'capital': 1000000,\n",
|
||
" 'end_balance': 1094928.4857999983,\n",
|
||
" 'max_drawdown': -76113.6000000001,\n",
|
||
" 'max_ddpercent': -6.499646846424227,\n",
|
||
" 'max_drawdown_duration': 11,\n",
|
||
" 'total_net_pnl': 94928.48579999819,\n",
|
||
" 'daily_net_pnl': 1201.6264025316227,\n",
|
||
" 'total_commission': 12291.5142,\n",
|
||
" 'daily_commission': 155.58878734177216,\n",
|
||
" 'total_slippage': 27540.0,\n",
|
||
" 'daily_slippage': 348.60759493670884,\n",
|
||
" 'total_turnover': 409717140.0,\n",
|
||
" 'daily_turnover': 5186292.911392405,\n",
|
||
" 'total_trade_count': 459,\n",
|
||
" 'daily_trade_count': 5.810126582278481,\n",
|
||
" 'total_return': 9.492848579999835,\n",
|
||
" 'annual_return': 28.839033660758993,\n",
|
||
" 'daily_return': 0.11479626754936274,\n",
|
||
" 'return_std': 1.4573641625596836,\n",
|
||
" 'sharpe_ratio': 1.220296323588909,\n",
|
||
" 'ewm_sharpe': 1.153717453838036,\n",
|
||
" 'return_drawdown_ratio': 1.4605175949247635}),\n",
|
||
" ({'atr_length': 26, 'atr_ma_length': 30},\n",
|
||
" 1.100003635114256,\n",
|
||
" {'start_date': datetime.date(2019, 1, 2),\n",
|
||
" 'end_date': datetime.date(2019, 4, 30),\n",
|
||
" 'total_days': 79,\n",
|
||
" 'profit_days': 37,\n",
|
||
" 'loss_days': 42,\n",
|
||
" 'capital': 1000000,\n",
|
||
" 'end_balance': 1082878.4175999982,\n",
|
||
" 'max_drawdown': -76113.6000000001,\n",
|
||
" 'max_ddpercent': -6.567223832793394,\n",
|
||
" 'max_drawdown_duration': 11,\n",
|
||
" 'total_net_pnl': 82878.4175999981,\n",
|
||
" 'daily_net_pnl': 1049.093893670862,\n",
|
||
" 'total_commission': 12401.5824,\n",
|
||
" 'daily_commission': 156.98205569620254,\n",
|
||
" 'total_slippage': 27780.0,\n",
|
||
" 'daily_slippage': 351.6455696202532,\n",
|
||
" 'total_turnover': 413386080.0,\n",
|
||
" 'daily_turnover': 5232735.189873418,\n",
|
||
" 'total_trade_count': 463,\n",
|
||
" 'daily_trade_count': 5.860759493670886,\n",
|
||
" 'total_return': 8.287841759999814,\n",
|
||
" 'annual_return': 25.1782534481007,\n",
|
||
" 'daily_return': 0.10078822438750101,\n",
|
||
" 'return_std': 1.4194539075539052,\n",
|
||
" 'sharpe_ratio': 1.100003635114256,\n",
|
||
" 'ewm_sharpe': 1.025155295553051,\n",
|
||
" 'return_drawdown_ratio': 1.2620008044517266}),\n",
|
||
" ({'atr_length': 27, 'atr_ma_length': 10},\n",
|
||
" 0.7261753437654116,\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': 1057831.2345999987,\n",
|
||
" 'max_drawdown': -90713.4234000009,\n",
|
||
" 'max_ddpercent': -8.259369529539693,\n",
|
||
" 'max_drawdown_duration': 30,\n",
|
||
" 'total_net_pnl': 57831.23459999873,\n",
|
||
" 'daily_net_pnl': 732.0409443037814,\n",
|
||
" 'total_commission': 13388.765399999998,\n",
|
||
" 'daily_commission': 169.47804303797466,\n",
|
||
" 'total_slippage': 29940.0,\n",
|
||
" 'daily_slippage': 378.9873417721519,\n",
|
||
" 'total_turnover': 446292180.0,\n",
|
||
" 'daily_turnover': 5649268.101265823,\n",
|
||
" 'total_trade_count': 499,\n",
|
||
" 'daily_trade_count': 6.3164556962025316,\n",
|
||
" 'total_return': 5.783123459999873,\n",
|
||
" 'annual_return': 17.56898266329075,\n",
|
||
" 'daily_return': 0.07116557860996443,\n",
|
||
" 'return_std': 1.5182178967984687,\n",
|
||
" 'sharpe_ratio': 0.7261753437654116,\n",
|
||
" 'ewm_sharpe': 0.6534432099800027,\n",
|
||
" 'return_drawdown_ratio': 0.7001894562673932}),\n",
|
||
" ({'atr_length': 26, 'atr_ma_length': 10},\n",
|
||
" 0.5706887229122534,\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': 1045896.9177999987,\n",
|
||
" 'max_drawdown': -102407.73300000094,\n",
|
||
" 'max_ddpercent': -9.32616310918827,\n",
|
||
" 'max_drawdown_duration': 30,\n",
|
||
" 'total_net_pnl': 45896.91779999864,\n",
|
||
" 'daily_net_pnl': 580.9736430379575,\n",
|
||
" 'total_commission': 13443.082199999999,\n",
|
||
" 'daily_commission': 170.1655974683544,\n",
|
||
" 'total_slippage': 30060.0,\n",
|
||
" 'daily_slippage': 380.50632911392404,\n",
|
||
" 'total_turnover': 448102740.0,\n",
|
||
" 'daily_turnover': 5672186.582278481,\n",
|
||
" 'total_trade_count': 501,\n",
|
||
" 'daily_trade_count': 6.341772151898734,\n",
|
||
" 'total_return': 4.58969177999986,\n",
|
||
" 'annual_return': 13.943367432910968,\n",
|
||
" 'daily_return': 0.05680355928871988,\n",
|
||
" 'return_std': 1.5419911436683065,\n",
|
||
" 'sharpe_ratio': 0.5706887229122534,\n",
|
||
" 'ewm_sharpe': 0.504537957914293,\n",
|
||
" '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
|
||
}
|