def load_strategy(__backtest_cls, func, *arg, **kwargs):
'策略加载函数'
# 首先判断是否能满足回测的要求`
__messages = {}
__backtest_cls.__init_cash_per_stock = int(
float(__backtest_cls.account.init_assest) /
len(__backtest_cls.strategy_stock_list))
# 策略的交易日循环
for i in range(int(__backtest_cls.start_real_id),
int(__backtest_cls.end_real_id) - 1, 1):
__backtest_cls.running_date = __backtest_cls.trade_list[i]
QA_util_log_info(
'=================daily hold list====================')
QA_util_log_info('in the begining of ' +
__backtest_cls.running_date)
QA_util_log_info(
tabulate(
__backtest_cls.account.message['body']['account']['hold']))
__backtest_cls.now = __backtest_cls.running_date
__backtest_cls.today = __backtest_cls.running_date
# 交易前同步持仓状态
__backtest_cls.__sync_order_LM(__backtest_cls, 'init_') # 初始化事件
if __backtest_cls.backtest_type in ['day', 'd', 'index_day']:
func(*arg, **kwargs) # 发委托单
__backtest_cls.__sell_from_order_queue(__backtest_cls)
elif __backtest_cls.backtest_type in [
'1min', '5min', '15min', 'index_1min', 'index_5min',
'index_15min'
]:
if __backtest_cls.backtest_type in ['1min', 'index_1min']:
type_ = '1min'
elif __backtest_cls.backtest_type in ['5min', 'index_5min']:
type_ = '5min'
elif __backtest_cls.backtest_type in ['15min', 'index_15min']:
type_ = '15min'
daily_min = QA_util_make_min_index(__backtest_cls.today,
type_) # 创造分钟线index
# print(daily_min)
for min_index in daily_min:
__backtest_cls.now = min_index
QA_util_log_info(
'=================Min hold list====================')
QA_util_log_info('in the begining of %s' % str(min_index))
QA_util_log_info(
tabulate(__backtest_cls.account.message['body']
['account']['hold']))
func(*arg, **kwargs) # 发委托单
__backtest_cls.__sell_from_order_queue(__backtest_cls)
if __backtest_cls.backtest_type in [
'index_1min', 'index_5min', 'index_15min'
]:
__backtest_cls.__sync_order_LM(__backtest_cls, 't_0')
__backtest_cls.__sync_order_LM(__backtest_cls,
'daily_settle') # 每日结算
# 最后一天
__backtest_cls.__end_of_trading(__backtest_cls)
def _load_strategy(self, *arg, **kwargs):
'策略加载函数'
# 首先判断是否能满足回测的要求`
__messages = {}
self.__init_cash_per_stock = int(
float(self.account.init_assest) / len(self.strategy_stock_list))
# 策略的交易日循环
for i in range(int(self.start_real_id), int(self.end_real_id)):
self.running_date = self.trade_list[i]
self.__QA_backtest_log_info(
'=================daily hold list====================')
self.__QA_backtest_log_info('in the begining of ' +
self.running_date)
self.__QA_backtest_log_info(
tabulate(self.account.message['body']['account']['hold']))
if self.now is not None:
self.last_time = self.now
self.now = self.running_date
self.today = self.running_date
# 交易前同步持仓状态
self.__sync_order_LM(self, 'init_') # 初始化事件
if self.backtest_type in ['day', 'd', 'index_day']:
_temp = self.market_data.select_time(
self.today,
self.today).data.set_index('code').close.to_dict()
for key in _temp.keys():
self.lastest_price[key] = _temp[key]
self.strategy(*arg, **kwargs) # 发委托单
self._deal_from_order_queue()
elif self.backtest_type in [
'1min', '5min', '15min', '30min', '60min', 'index_1min',
'index_5min', 'index_15min', 'index_30min', 'index_60min'
]:
if self.backtest_type in ['1min', 'index_1min']:
type_ = '1min'
elif self.backtest_type in ['5min', 'index_5min']:
type_ = '5min'
elif self.backtest_type in ['15min', 'index_15min']:
type_ = '15min'
elif self.backtest_type in ['30min', 'index_30min']:
type_ = '30min'
elif self.backtest_type in ['60min', 'index_60min']:
type_ = '60min'
daily_min = QA_util_make_min_index(self.today,
type_) # 创造分钟线index
for min_index in daily_min:
self.now = min_index
self.__QA_backtest_log_info(
'=================Min hold list====================')
self.__QA_backtest_log_info('in the begining of %s' %
str(min_index))
self.__QA_backtest_log_info(
tabulate(
self.account.message['body']['account']['hold']))
_temp = self.market_data.select_time(
self.now,
self.now).data.set_index('code').close.to_dict()
for key in _temp.keys():
self.lastest_price[key] = _temp[key]
self.strategy(*arg, **kwargs) # 发委托单
self._deal_from_order_queue()
if self.backtest_type in [
'index_1min', 'index_5min', 'index_15min'
]:
self.__sync_order_LM('t_0')
self.__sync_order_LM('daily_settle') # 每日结算
# 最后一天
self._end_of_trading()
def load_strategy(_cls, func, *arg, **kwargs):
'策略加载函数'
# 首先判断是否能满足回测的要求`
__messages = {}
_cls.__init_cash_per_stock = int(
float(_cls.account.init_assest) / len(_cls.strategy_stock_list))
# 策略的交易日循环
for i in range(int(_cls.start_real_id), int(_cls.end_real_id)):
_cls.running_date = _cls.trade_list[i]
_cls.__QA_backtest_log_info(
_cls, '=================daily hold list====================')
_cls.__QA_backtest_log_info(
_cls, 'in the begining of ' + _cls.running_date)
_cls.__QA_backtest_log_info(
_cls,
tabulate(_cls.account.message['body']['account']['hold']))
if _cls.now is not None:
_cls.last_time = _cls.now
_cls.now = _cls.running_date
_cls.today = _cls.running_date
# 交易前同步持仓状态
_cls.__sync_order_LM(_cls, 'init_') # 初始化事件
if _cls.backtest_type in ['day', 'd', 'index_day']:
_temp = _cls.market_data.select_time(
_cls.today,
_cls.today).data.set_index('code').close.to_dict()
for key in _temp.keys():
_cls.lastest_price[key] = _temp[key]
func(*arg, **kwargs) # 发委托单
_cls._deal_from_order_queue(_cls)
elif _cls.backtest_type in [
'1min', '5min', '15min', '30min', '60min', 'index_1min',
'index_5min', 'index_15min', 'index_30min', 'index_60min'
]:
if _cls.backtest_type in ['1min', 'index_1min']:
type_ = '1min'
elif _cls.backtest_type in ['5min', 'index_5min']:
type_ = '5min'
elif _cls.backtest_type in ['15min', 'index_15min']:
type_ = '15min'
elif _cls.backtest_type in ['30min', 'index_30min']:
type_ = '30min'
elif _cls.backtest_type in ['60min', 'index_60min']:
type_ = '60min'
daily_min = QA_util_make_min_index(_cls.today,
type_) # 创造分钟线index
for min_index in daily_min:
_cls.now = min_index
_cls.__QA_backtest_log_info(
_cls,
'=================Min hold list====================')
_cls.__QA_backtest_log_info(
_cls, 'in the begining of %s' % str(min_index))
_cls.__QA_backtest_log_info(
_cls,
tabulate(
_cls.account.message['body']['account']['hold']))
_temp = _cls.market_data.select_time(
_cls.now,
_cls.now).data.set_index('code').close.to_dict()
for key in _temp.keys():
_cls.lastest_price[key] = _temp[key]
func(*arg, **kwargs) # 发委托单
_cls._deal_from_order_queue(_cls)
if _cls.backtest_type in [
'index_1min', 'index_5min', 'index_15min'
]:
_cls.__sync_order_LM(_cls, 't_0')
_cls.__sync_order_LM(_cls, 'daily_settle') # 每日结算
# 最后一天
_cls._end_of_trading(_cls)