def __QA_backtest_prepare(self):
"""
这是模型内部的 初始化,主要是初始化一些账户和市场资产
写成了私有函数
@yutiansut
2017/7/20
"""
if len(str(self.strategy_start_date))==10:
self.strategy_start_time=str(self.strategy_start_date)+' 15:00:00'
elif len(str(self.strategy_start_date))==19:
self.strategy_start_time=str(self.strategy_start_date)
self.strategy_start_date=str(self.strategy_start_date)[0:10]
else:
QA_util_log_info('Wrong start date format')
if len(str(self.strategy_end_date))==10:
self.strategy_end_time=str(self.strategy_end_date)+' 15:00:00'
elif len(str(self.strategy_end_date))==19:
self.strategy_end_time=str(self.strategy_end_date)
self.strategy_end_date=str(self.strategy_end_date)[0:10]
else:
QA_util_log_info('Wrong end date format')
# 重新初始账户资产
self.market = QA_Market(self.commission_fee_coeff)
self.setting.QA_setting_init()
self.account.init()
self.start_real_date = QA_util_get_real_date(
self.strategy_start_date, self.trade_list, 1)
self.start_real_time=str(self.start_real_date)+' '+self.strategy_start_time.split(' ')[1]
self.start_real_id = self.trade_list.index(self.start_real_date)
self.end_real_date = QA_util_get_real_date(
self.strategy_end_date, self.trade_list, -1)
self.end_real_id = self.trade_list.index(self.end_real_date)
self.end_real_time=str(self.end_real_date)+' '+self.strategy_end_time.split(' ')[1]
# 重新初始化账户的cookie
self.account.account_cookie = str(random.random())
# 初始化股票池的市场数据
if self.benchmark_type in ['I','index']:
self.benchmark_data = QA_fetch_index_day_adv(
self.benchmark_code, self.start_real_date, self.end_real_date)
elif self.benchmark_type in ['S','stock']:
self.benchmark_data = QA_fetch_stock_day_adv(
self.benchmark_code, self.start_real_date, self.end_real_date)
if self.backtest_type in ['day', 'd', '0x00']:
self.market_data = QA_fetch_stocklist_day_adv(
self.strategy_stock_list, self.trade_list[self.start_real_id - int(
self.strategy_gap+1)], self.trade_list[self.end_real_id]).to_qfq()
elif self.backtest_type in ['1min', '5min', '15min', '30min', '60min']:
self.market_data = QA_fetch_stocklist_min_adv(
self.strategy_stock_list, QA_util_time_gap(self.start_real_time,self.strategy_gap+1,'<',self.backtest_type),
QA_util_time_gap(self.end_real_time,1,'>',self.backtest_type), self.backtest_type).to_qfq()
elif self.backtest_type in ['index_day']:
self.market_data = QA_fetch_index_day_adv(self.strategy_stock_list, self.trade_list[self.start_real_id - int(
self.strategy_gap+1)], self.end_real_date)
elif self.backtest_type in ['index_1min', 'index_5min', 'index_15min', 'index_30min', 'index_60min']:
self.market_data = QA_fetch_index_min_adv(
self.strategy_stock_list, QA_util_time_gap(self.start_real_time,self.strategy_gap+1,'<',self.backtest_type.split('_')[1]), QA_util_time_gap(self.end_real_time,1,'>',self.backtest_type.split('_')[1]), self.backtest_type.split('_')[1])
def __QA_backtest_prepare(self):
"""
这是模型内部的 初始化,主要是初始化一些账户和市场资产
写成了私有函数
@yutiansut
2017/7/20
"""
# 重新初始账户资产
self.market = QA_Market(self.commission_fee_coeff)
self.setting.QA_setting_init()
self.account.init()
self.start_real_date = QA_util_get_real_date(self.strategy_start_date,
self.trade_list, 1)
self.start_real_id = self.trade_list.index(self.start_real_date)
self.end_real_date = QA_util_get_real_date(self.strategy_end_date,
self.trade_list, -1)
self.end_real_id = self.trade_list.index(self.end_real_date)
# 重新初始化账户的cookie
self.account.account_cookie = str(random.random())
# 初始化股票池的市场数据
self.benchmark_data = QA_fetch_index_day_adv(self.benchmark_code,
self.start_real_date,
self.end_real_date)
if self.backtest_type in ['day', 'd', '0x00']:
self.market_data = QA_fetch_stocklist_day_adv(
self.strategy_stock_list,
self.trade_list[self.start_real_id - int(self.strategy_gap)],
self.trade_list[self.end_real_id]).to_qfq()
elif self.backtest_type in ['1min', '5min', '15min', '30min', '60min']:
self.market_data = QA_fetch_stocklist_min_adv(
self.strategy_stock_list,
self.trade_list[self.start_real_id - int(self.strategy_gap)],
self.trade_list[self.end_real_id + 1],
self.backtest_type).to_qfq()
elif self.backtest_type in ['index_day']:
self.market_data = QA_fetch_index_day_adv(
self.strategy_stock_list,
self.trade_list[self.start_real_id - int(self.strategy_gap)],
self.trade_list[self.end_real_id])
elif self.backtest_type in [
'index_1min', 'index_5min', 'index_15min', 'index_30min',
'index_60min'
]:
self.market_data = QA_fetch_index_min_adv(
self.strategy_stock_list, self.start_real_date,
self.end_real_date,
self.backtest_type.split('_')[1])
def __QA_backtest_prepare(self):
"""
这是模型内部的 初始化,主要是初始化一些账户和市场资产
写成了私有函数
@yutiansut
2017/7/20
"""
self.strategy_stock_list = np.unique(
self.strategy_stock_list).tolist() # 保证不会重复
if len(str(self.strategy_start_date)) == 10:
self.strategy_start_time = str(
self.strategy_start_date) + ' 15:00:00'
elif len(str(self.strategy_start_date)) == 19:
self.strategy_start_time = str(self.strategy_start_date)
self.strategy_start_date = str(self.strategy_start_date)[0:10]
else:
self.__QA_backtest_log_info(self, 'Wrong start date format')
if len(str(self.strategy_end_date)) == 10:
self.strategy_end_time = str(self.strategy_end_date) + ' 15:00:00'
elif len(str(self.strategy_end_date)) == 19:
self.strategy_end_time = str(self.strategy_end_date)
self.strategy_end_date = str(self.strategy_end_date)[0:10]
else:
self.__QA_backtest_log_info(self, 'Wrong end date format')
# 重新初始账户资产
self.market = QA_Market(self.commission_fee_coeff)
self.setting.QA_setting_init()
self.account.init()
self.account_d_value.append(self.account.init_assest)
self.start_real_date = QA_util_get_real_date(self.strategy_start_date,
self.trade_list, 1)
self.start_real_time = str(
self.start_real_date) + ' ' + self.strategy_start_time.split(
' ')[1]
self.start_real_id = self.trade_list.index(self.start_real_date)
self.end_real_date = QA_util_get_real_date(self.strategy_end_date,
self.trade_list, -1)
self.end_real_id = self.trade_list.index(self.end_real_date)
self.end_real_time = str(self.end_real_date) + \
' ' + self.strategy_end_time.split(' ')[1]
# 重新初始化账户的cookie
self.account.account_cookie = str(random.random())
# 初始化股票池的市场数据
if self.benchmark_type in ['I', 'index']:
self.benchmark_data = QA_fetch_index_day_adv(
self.benchmark_code, self.trade_list[self.start_real_id - 1],
self.end_real_date)
elif self.benchmark_type in ['S', 'stock']:
self.benchmark_data = QA_fetch_stock_day_adv(
self.benchmark_code, self.trade_list[self.start_real_id - 1],
self.end_real_date)
if self.backtest_type in ['day', 'd', '0x00']:
self.market_data = QA_fetch_stocklist_day_adv(
self.strategy_stock_list,
self.trade_list[self.start_real_id -
int(self.strategy_gap + 1)],
self.trade_list[self.end_real_id]).to_qfq()
elif self.backtest_type in ['1min', '5min', '15min', '30min', '60min']:
self.market_data = QA_fetch_stocklist_min_adv(
self.strategy_stock_list,
QA_util_time_gap(self.start_real_time, self.strategy_gap + 1,
'<', self.backtest_type),
QA_util_time_gap(self.end_real_time, 1, '>',
self.backtest_type),
self.backtest_type).to_qfq()
elif self.backtest_type in ['index_day']:
self.market_data = QA_fetch_index_day_adv(
self.strategy_stock_list,
self.trade_list[self.start_real_id -
int(self.strategy_gap + 1)],
self.end_real_date)
elif self.backtest_type in [
'index_1min', 'index_5min', 'index_15min', 'index_30min',
'index_60min'
]:
self.market_data = QA_fetch_index_min_adv(
self.strategy_stock_list,
QA_util_time_gap(self.start_real_time, self.strategy_gap + 1,
'<',
self.backtest_type.split('_')[1]),
QA_util_time_gap(self.end_real_time, 1, '>',
self.backtest_type.split('_')[1]),
self.backtest_type.split('_')[1])
self.market_data_dict = dict(
zip(list(self.market_data.code), self.market_data.splits()))
self.market_data_hashable = self.market_data.dicts
self.dirs = '.{}QUANTAXIS_RESULT{}{}{}{}{}'.format(
os.sep, os.sep, self.topic_name, os.sep, self.stratey_version,
os.sep)
os.makedirs(self.dirs, exist_ok=True)
