wehub-resource-sync
131 lines
3.2 KiB
Plaintext
131 lines
3.2 KiB
Plaintext
{
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"cells": [
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{
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"cell_type": "code",
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"execution_count": 1,
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"metadata": {},
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"outputs": [],
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"source": [
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"from vnpy.trader.optimize import OptimizationSetting\n",
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"from vnpy_spreadtrading.backtesting import BacktestingEngine\n",
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"from vnpy_spreadtrading.strategies.statistical_arbitrage_strategy import (\n",
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" StatisticalArbitrageStrategy\n",
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")\n",
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"from vnpy_spreadtrading.base import LegData, SpreadData\n",
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"from datetime import datetime"
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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": 2,
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"metadata": {},
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"outputs": [],
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"source": [
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"spread = SpreadData(\n",
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" name=\"IF-Spread\",\n",
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" legs=[LegData(\"IF1911.CFFEX\"), LegData(\"IF1912.CFFEX\")],\n",
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" variable_symbols={\"A\": \"IF1911.CFFEX\", \"B\": \"IF1912.CFFEX\"},\n",
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" variable_directions={\"A\": 1, \"B\": -1},\n",
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" price_formula=\"A-B\",\n",
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" trading_multipliers={\"IF1911.CFFEX\": 1, \"IF1912.CFFEX\": 1},\n",
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" active_symbol=\"IF1911.CFFEX\",\n",
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" min_volume=1,\n",
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" 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",
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")"
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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": 3,
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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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" spread=spread,\n",
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" interval=\"1m\",\n",
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" start=datetime(2019, 6, 10),\n",
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" end=datetime(2019, 11, 10),\n",
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" rate=0,\n",
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" slippage=0,\n",
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" size=300,\n",
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" pricetick=0.2,\n",
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" capital=1_000_000,\n",
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")\n",
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"engine.add_strategy(StatisticalArbitrageStrategy, {})"
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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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"scrolled": false
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},
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"outputs": [],
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"source": [
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"for trade in engine.trades.values():\n",
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" print(trade)"
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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": "3.7.1"
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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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