wehub-resource-sync
117 lines
2.7 KiB
Plaintext
117 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": 28,
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"metadata": {},
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"outputs": [],
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"source": [
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"from datetime import datetime\n",
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"\n",
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"from vnpy_portfoliostrategy import BacktestingEngine\n",
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"from vnpy.trader.constant import Interval\n",
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"from vnpy.trader.optimize import OptimizationSetting\n",
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"\n",
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"from vnpy_portfoliostrategy.strategies.pair_trading_strategy import PairTradingStrategy"
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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": 29,
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"metadata": {},
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"outputs": [],
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"source": [
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"engine = BacktestingEngine()\n",
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"engine.set_parameters(\n",
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" vt_symbols=[\"y888.DCE\", \"p888.DCE\"],\n",
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" interval=Interval.MINUTE,\n",
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" start=datetime(2019, 1, 1),\n",
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" end=datetime(2020, 4, 30),\n",
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" rates={\n",
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" \"y888.DCE\": 0/10000,\n",
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" \"p888.DCE\": 0/10000\n",
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" },\n",
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" slippages={\n",
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" \"y888.DCE\": 0,\n",
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" \"p888.DCE\": 0\n",
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" },\n",
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" sizes={\n",
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" \"y888.DCE\": 10,\n",
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" \"p888.DCE\": 10\n",
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" },\n",
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" priceticks={\n",
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" \"y888.DCE\": 1,\n",
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" \"p888.DCE\": 1\n",
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" },\n",
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" capital=1_000_000,\n",
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")\n",
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"\n",
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"setting = {\n",
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" \"boll_window\": 20,\n",
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" \"boll_dev\": 1,\n",
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"}\n",
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"engine.add_strategy(PairTradingStrategy, setting)"
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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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"scrolled": false
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},
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"outputs": [],
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"source": [
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"engine.load_data()\n",
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"engine.run_backtesting()\n",
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"df = engine.calculate_result()\n",
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"engine.calculate_statistics()\n",
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"engine.show_chart()"
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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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"setting = OptimizationSetting()\n",
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"setting.set_target(\"sharpe_ratio\")\n",
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"setting.add_parameter(\"boll_window\", 10, 30, 1)\n",
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"setting.add_parameter(\"boll_dev\", 1, 3, 1)\n",
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"\n",
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"engine.run_ga_optimization(setting)"
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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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"engine.run_bf_optimization(setting)"
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]
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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",
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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": "3.7.4"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 2
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}
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