class Backtest(QA_Backtest):
def __init__(self, market_type, frequence, start, end, code_list, commission_fee):
super().__init__(market_type, frequence, start, end, code_list, commission_fee)
self.user = QA_User()
mastrategy = MAStrategy()
self.portfolio, self.account = self.user.register_account(mastrategy)
QA_util_log_info(self.user.get_portfolio(self.portfolio).accounts)
QA_util_log_info(self.user.get_portfolio(
self.portfolio).get_account(self.account).cash)
def after_success(self):
QA_util_log_info(self.user.get_portfolio(self.portfolio).get_account(
self.account).history_table)
class QA_Backtest():
"""BACKTEST
BACKTEST的主要目的:
- 引入时间轴环境,获取全部的数据,然后按生成器将数据迭代插入回测的BROKER
(这一个过程是模拟在真实情况中市场的时间变化和价格变化)
- BROKER有了新数据以后 会通知MARKET交易前置,MARKET告知已经注册的所有的ACCOUNT 有新的市场数据
- ACCOUNT 获取了新的市场函数,并将其插入他已有的数据中(update)
- ACCOUNT 底下注册的策略STRATEGY根据新的市场函数,产生新的买卖判断,综合生成信号
- 买卖判断通过交易前置发送给对应的BROKER,进行交易
- BROKER发送SETTLE指令 结束这一个bar的所有交易,进行清算
- 账户也进行清算,更新持仓,可卖,可用现金等
- 迭代循环直至结束回测
- 回测去计算这段时间的各个账户收益,并给出综合的最终结果
"""
def __init__(
self,
market_type,
frequence,
start,
end,
code_list,
commission_fee,
):
self.user = QA_User()
self.if_settled = False
self.account = None
self.portfolio = None
self.market = QA_Market()
self.market_type = market_type
self.frequence = frequence
self.broker = QA_BacktestBroker(commission_fee)
self.broker_name = 'backtest_broker'
self.start = start
self.end = end
self.code_list = code_list
if self.market_type is MARKET_TYPE.STOCK_CN and self.frequence is FREQUENCE.DAY:
self.ingest_data = QA_fetch_stock_day_adv(
self.code_list, self.start, self.end).to_qfq().panel_gen
elif self.market_type is MARKET_TYPE.STOCK_CN and self.frequence[
-3:] == 'min':
self.ingest_data = QA_fetch_stock_min_adv(
self.code_list, self.start, self.end,
self.frequence).to_qfq().panel_gen
def _generate_account(self):
"""generate a simple account
"""
self.account, self.portfolio = self.user.generate_simpleaccount()
def start_market(self):
"""start the market thread and register backtest broker thread
"""
self.market.start()
self.market.register(self.broker_name, self.broker)
self.market.login(self.broker_name, self.account.account_cookie,
self.account)
def run(self):
"""generator driven data flow
"""
# 如果出现了日期的改变 才会进行结算的事件
_date = None
for data in self.ingest_data:
date = data.date[0]
if self.market_type is MARKET_TYPE.STOCK_CN:
if _date != date:
self.market._settle(self.broker_name)
elif self.market_type in [
MARKET_TYPE.FUND_CN, MARKET_TYPE.INDEX_CN,
MARKET_TYPE.FUTURE_CN
]:
self.market._settle(self.broker_name)
self.broker.run(
QA_Event(event_type=ENGINE_EVENT.UPCOMING_DATA,
market_data=data))
self.market.upcoming_data(self.broker_name, data)
self.market.trade_engine.join()
_date = date
self.after_success()
def after_success(self):
"""called when all trading fininshed, for performance analysis
"""
for po in self.user.portfolio_list.keys():
for ac in self.user.get_portfolio(po).accounts.keys():
accounts = self.user.get_portfolio(po).get_account(ac)
print(accounts.hold)
print(accounts.history_table)
self.stop()
def stop(self):
"""stop all the market trade enging threads and all subthreads
"""
self.market.trade_engine.stop_all()
self.market.trade_engine.stop()
