def test(detail):
def get_first_n_lines(string, n):
lines = string.splitlines()
n = min(n, len(lines))
return '\n'.join(lines[:n])
#gc.set_debug(gc.DEBUG_UNCOLLECTABLE | gc.DEBUG_SAVEALL)
start_time = time.time()
with codecs.open('../test/testcode7.py', 'r', 'utf-8') as f:
code = f.read()
user = User('10032')
backtest = Backtesting(user, 'test', code, ['EURUSD'], 'M30', '2015-01-01', '2016-01-01')
print(backtest.progress)
for _ in range(4):
backtest.start()
print(backtest.get_performance().trade_summary)
if detail:
translator = DataframeTranslator()
user_dir = UserDirectory(user)
print(user_dir.get_sys_func_list())
print(backtest.get_profit_records()) # 获取浮动收益曲线
print(backtest.get_parameters()) # 获取策略中的参数（用于优化）
performance = backtest.get_performance() # 获取策略的各项指标
print('trade_info:\n%s' % performance._manager.trade_info)
print('trade_summary:\n%s' % performance.trade_summary)
print('trade_details:\n%s' % performance.trade_details)
print(translator.dumps(performance._manager.trade_info))
print(translator.dumps(performance.trade_details))
print('strategy_summary:\n%s' % performance.strategy_summary)
print('optimize_info:\n%s' % performance.optimize_info)
print('info_on_home_page\n%s' % performance.get_info_on_home_page())
print(performance.get_factor_list())
# print(performance.yield_curve)
print('ar:\n%s' % performance.ar) # 年化收益率
print('risk_free_rate:\n%s' % performance._manager.risk_free_rate) # 无风险收益率
print('volatility:\n%s' % performance.volatility) # 波动率
print('sharpe_ratio:\n%s' % performance.sharpe_ratio) # sharpe比率
print('max_drawdown:\n%s' % performance.max_drawdown) # 最大回测
print('trade_position\n%s' % performance.trade_positions) # 交易仓位
print(time.time() - start_time)
# print('output:\n%s' % get_first_n_lines(backtest.get_output(), 100))
print(time.time() - start_time)
print(backtest.progress)
paras = {'handle': {'times': {'start': 10, 'end': 10, 'step': 1}}}
optimize = backtest.optimize(paras, None, None)
print('optimize\n%s' % optimize)
print(time.time() - start_time)
del backtest
performance = None
optimize = None
def test(detail):
def get_first_n_lines(string, n):
lines = string.splitlines()
n = min(n, len(lines))
return '\n'.join(lines[:n])
#gc.set_debug(gc.DEBUG_UNCOLLECTABLE | gc.DEBUG_SAVEALL)
start_time = time.time()
with codecs.open('../test/testcode7.py', 'r', 'utf-8') as f:
code = f.read()
user = User('10032')
backtest = Backtesting(user, 'test', code, ['EURUSD'], 'M30', '2015-01-01',
'2016-01-01')
print(backtest.progress)
for _ in range(4):
backtest.start()
print(backtest.get_performance().trade_summary)
if detail:
translator = DataframeTranslator()
user_dir = UserDirectory(user)
print(user_dir.get_sys_func_list())
print(backtest.get_profit_records()) # 获取浮动收益曲线
print(backtest.get_parameters()) # 获取策略中的参数（用于优化）
performance = backtest.get_performance() # 获取策略的各项指标
print('trade_info:\n%s' % performance._manager.trade_info)
print('trade_summary:\n%s' % performance.trade_summary)
print('trade_details:\n%s' % performance.trade_details)
print(translator.dumps(performance._manager.trade_info))
print(translator.dumps(performance.trade_details))
print('strategy_summary:\n%s' % performance.strategy_summary)
print('optimize_info:\n%s' % performance.optimize_info)
print('info_on_home_page\n%s' % performance.get_info_on_home_page())
print(performance.get_factor_list())
# print(performance.yield_curve)
print('ar:\n%s' % performance.ar) # 年化收益率
print('risk_free_rate:\n%s' %
performance._manager.risk_free_rate) # 无风险收益率
print('volatility:\n%s' % performance.volatility) # 波动率
print('sharpe_ratio:\n%s' % performance.sharpe_ratio) # sharpe比率
print('max_drawdown:\n%s' % performance.max_drawdown) # 最大回测
print('trade_position\n%s' % performance.trade_positions) # 交易仓位
print(time.time() - start_time)
# print('output:\n%s' % get_first_n_lines(backtest.get_output(), 100))
print(time.time() - start_time)
print(backtest.progress)
paras = {'handle': {'times': {'start': 10, 'end': 10, 'step': 1}}}
optimize = backtest.optimize(paras, None, None)
print('optimize\n%s' % optimize)
print(time.time() - start_time)
del backtest
performance = None
optimize = None
def run_backest(kwargs):
try:
file = kwargs.pop('code')
with codecs.open(file, 'r', 'utf-8') as f:
code = f.read()
f.close()
user = '******'
parameters = kwargs.pop('paras')
start_time = kwargs.pop('start_time')
end_time = kwargs.pop('end_time')
symbol = kwargs.pop('symbol')
time_frame = kwargs.pop('time_frame')
log = kwargs.pop('log')
backtest = Backtesting(user, 'test', code, [symbol], time_frame, start_time, end_time)
if log:
handle = logging.FileHandler(log, encoding='utf-8')
logger = logging.getLogger('backtest')
logger.addHandler(handle)
logger.setLevel(logging.INFO)
backtest.set_logger(logger)
backtest.start(paras=parameters)
performance = backtest.get_performance()
result = performance.optimize_info
temp = pd.Series({signal + '.' + k: v for signal, paras in parameters.items() for k, v in paras.items()})
result = pd.concat([temp, result])
backtest.log(backtest.time("绩效计算完毕，耗时:{0}"), logging.INFO)
return result
except Exception as e:
print("Error: {0}, Para: {1}".format(e, parameters))
print(traceback.format_exc())
return None
def run_backtest(file, config):
cache = StrategyPerformanceJsonCache(user) # TODO 修改为JSON
try:
with codecs.open(file, 'r', 'utf-8') as f:
code = f.read()
f.close()
backtesting = Backtesting(**config)
backtesting.set_code(code)
backtesting.start()
performance = backtesting.get_performance()
cache.put_performance(performance)
cache.put('setting', json.dumps(backtesting.get_setting())) # TODO 修改为JSON
output = get_output(user, name)
result = {'stat': 'OK', 'result': performance.yield_curve,
'performance': performance.info_on_home_page}
except SlaverThreadError as e:
tb_message = get_user_friendly_traceback(*e.get_exc())
result = {"stat": "FALSE", "error": string_to_html('\n'.join(tb_message))}
except Exception:
tb_message = get_user_friendly_traceback(*sys.exc_info())
result = {"stat": "FALSE", "error": string_to_html('\n'.join(tb_message))}
finally:
output = get_output(user, name)
result['output'] = string_to_html(output)
cache.put('response', json.dumps(result))
def run_backest(**parameters):
with codecs.open('../test/testcode9.py', 'r', 'utf-8') as f:
code = f.read()
user = User('10032')
backtest = Backtesting(user, 'test', code, ['EURUSD'], 'M30', '2015-01-02', '2015-03-01')
backtest.start(paras=parameters)
performance = backtest.get_performance()
print(performance.trade_summary)
def run_backest(**parameters):
with codecs.open("../test/testcode9.py", "r", "utf-8") as f:
code = f.read()
user = User("10032")
backtest = Backtesting(user, "test", code, ["EURUSD"], "M30", "2015-01-02", "2015-03-01")
backtest.start(paras=parameters)
performance = backtest.get_performance()
print(performance.trade_summary)
def run_backest(**parameters):
with codecs.open('../test/testcode9.py', 'r', 'utf-8') as f:
code = f.read()
user = User('10032')
backtest = Backtesting(user, 'test', code, ['EURUSD'], 'M30', '2015-01-02',
'2015-03-01')
backtest.start(paras=parameters)
performance = backtest.get_performance()
print(performance.trade_summary)
def run_backest(**parameters):
with codecs.open('../test/testcode9.py', 'r', 'utf-8') as f:
code = f.read()
user = '******'
backtest = Backtesting(user, 'test', code, ['EURUSD'], 'M30', '2015-01-02', '2015-03-01')
backtest.start(paras=parameters)
performance = backtest.get_performance()
result = performance.optimize_info
temp = pd.Series({signal + '.' + k: v for signal, paras in parameters.items() for k, v in paras.items()})
result = pd.concat([temp, result])
backtest.log(backtest.time("绩效计算完毕，耗时：{0}"), logging.INFO)
return result
def backtest(conn, *args):
try:
user = args[0]
backtesting = Backtesting(*args)
backtesting.start()
performance = backtesting.get_performance()
cache = StrategyPerformanceJsonCache(user)
cache.put_performance(performance)
cache.put('setting', json.dumps(backtesting.get_setting()))
conn.put({"stat": "OK"})
except SlaverThreadError as e:
tb_message = get_user_friendly_traceback(*e.get_exc())
conn.put({"stat": "FALSE", "error": string_to_html('\n'.join(tb_message))})
except Exception:
tb_message = get_user_friendly_traceback(*sys.exc_info())
conn.put({"stat": "FALSE", "error": string_to_html('\n'.join(tb_message))})
def backtest(conn, *args):
try:
config = BfConfig(**{v[0]: v[1] for v in zip(["user", "name", "symbols", "time_frame", "start_time",
"end_time", "commission", "slippage"], args)})
config.trading_mode = TradingMode.on_tick
user = User(config.user)
code = get_strategy(user, "LastBacktest").content
backtesting = Backtesting()
backtesting.set_code(code)
backtesting.set_config(config)
backtesting.start()
performance = backtesting.get_performance()
cache = StrategyPerformanceJsonCache(user.user_id)
cache.put_performance(performance)
cache.put('setting', json.dumps(backtesting.get_setting()))
conn.put({"stat": "OK"})
except SlaverThreadError as e:
tb_message = get_user_friendly_traceback(*e.get_exc())
conn.put({"stat": "FALSE", "error": string_to_html('\n'.join(tb_message))})
except Exception:
tb_message = get_user_friendly_traceback(*sys.exc_info())
conn.put({"stat": "FALSE", "error": string_to_html('\n'.join(tb_message))})
def run_backtest(user, name, file, symbols, time_frame, start_time, end_time, commission, slippage):
cache = StrategyPerformanceJsonCache(user) # TODO 修改为JSON
try:
with codecs.open(file, 'r', 'utf-8') as f:
code = f.read()
f.close()
backtesting = Backtesting(user, name, code, symbols, time_frame, start_time, end_time, commission, slippage)
backtesting.start()
performance = backtesting.get_performance()
cache.put_performance(performance)
cache.put('setting', json.dumps(backtesting.get_setting())) # TODO 修改为JSON
output = get_output(user, name)
result = {'stat': 'OK', 'result': performance.yield_curve,
'performance': performance.info_on_home_page}
except SlaverThreadError as e:
tb_message = get_user_friendly_traceback(*e.get_exc())
result = {"stat": "FALSE", "error": string_to_html('\n'.join(tb_message))}
except Exception:
tb_message = get_user_friendly_traceback(*sys.exc_info())
result = {"stat": "FALSE", "error": string_to_html('\n'.join(tb_message))}
finally:
output = get_output(user, name)
result['output'] = string_to_html(output)
cache.put('response', json.dumps(result))