def run_strategy(start_date, end_date):
try:
changeConfig(start_date, end_date, config)
run_file(strategy_file_path, config)
pass
except Exception as e:
pass
return "Done!"
def run_backtrace(self, config, strategy_file_path):
self._config = config
for contract in self._valify_list:
self._init_contract(contract)
self.update_config(contract)
print("strategy_params: %s" % str(self._config))
res = run_file(strategy_file_path, self._config)
self.parse_backtrace_trade_log(backtrace_filter)
self.parse_ctplive_trade_log(ctplive_filter)
self.valify()
# s_date = "2016-02-08"
s_date = "2017-01-01"
e_date = "2018-01-01"
# e_date = "2019-01-01"
benchmark = "000300.XSHG"
strategy_path = "../src/other_po.py"
config = {
"base":
{
"start_date": s_date,
"end_date": e_date,
"benchmark": benchmark,
"accounts": {
"stock": 50000000
}
},
"mod":
{
"sys_analyser": {
"enabled": True,
"plot": True
},
"sys_simulation": {
"slippage": 0.002
}
}
}
run_file(strategy_path, config)
def wapper():
rqalpha.run_file(info['path'], config)
"base": {
"start_date": "",
"end_date": "",
"securities": ['stock'],
"stock_starting_cash": 100000,
"benchmark": "000001.XSHG"
},
"extra": {
"log_level": "info",
},
"mod": {
"sys_analyser": {
"enabled": True,
"plot": False,
"output_file": "",
"report_save_path": "",
"plot_save_file": ""
}
}
}
for scene in SCENES:
config['base']['start_date'] = scene['start_date']
config['base']['end_date'] = scene['end_date']
config['mod']['sys_analyser']['output_file'] = './results/' + scene['name'] + '.pkl'
config['mod']['sys_analyser']['report_save_path'] = './results/' + scene['name']
config['mod']['sys_analyser']['plot_save_file'] = './results/' + scene['name'] + '.png'
if not os.path.exists('./results/' + scene['name']):
os.makedirs('./results/' + scene['name'])
run_file(STRATEGY_FILE, config)
def run_bt(config):
file_path = "C:\\Users\wilsonZhang\PycharmProjects\quant_ml\\rqalpha_backtest\Threat_up_tune_parameter\Threat_up.py"
run_file(file_path, config)
if __name__ == "__main__":
import os
config = {
"base": {
"start_date": "2016-06-01",
"end_date": "2016-06-05",
"accounts": {
"stock": 100000
},
"frequency": "1m",
"benchmark": None,
"data_bundle_path": os.path.expanduser("~/.rqalpha/bundle"),
"strategy_file": __file__,
"run_type": "p"
},
"extra": {
"log_level": "verbose",
},
"mod": {
"fxdayu_source": {
"enabled": True,
"source": "quantos",
"enable_cache": False,
},
"shipane_wrapper": {
"enabled": True
}
}
}
run_file(__file__, config=config)
def run_bt(config):
file_path = "C:\\Users\wilsonZhang\PycharmProjects\quant_ml\\rqalpha_backtest\Tune_parameter\Golden_cross.py"
run_file(file_path, config)
"benchmark": sl[0],
"accounts": {
"stock": 200000
}
},
"mod": {
"sys_simulation": {
"enabled": True,
"signal": True,
},
"sys_analyser": {
"enabled": True,
"plot": True,
}
}
}
str_format = lambda val: ('%.3f' % val).ljust(5)
strategy_file_path = "./mg_enhance_value.py"
result_dict = run_file(strategy_file_path, config)
summary = (result_dict['sys_analyser'])['summary']
logger.info(
"Result: alpha {}, beta {}, sharpe {}, information_ratio {}, total_returns {}"
.format(str_format(summary['alpha']), str_format(summary['beta']),
str_format(summary['sharpe']),
str_format(summary['information_ratio']),
str_format(summary['total_returns'])))
def run_strategy(strategy_file_path="hedge_rq.py"):
run_file(strategy_file_path, __config__)
"extra": {
"context_vars": {
"num": num,
"mon": mon,
"con": con,
},
"log_level": "error",
},
"mod": {
"sys_progress": {
"enabled": True,
"show": True,
},
"sys_analyser": {
"enabled":
True,
"output_file":
r"./con-mon-ind/{con}-{mon}-{num}.pkl".format(
num=num, mon=mon + 1, con=con + 1)
},
},
}
tasks.append(config)
i = 0
strategy_file_path = "AR_strategy.py"
for task in tasks:
run_file(strategy_file_path, task)
print(i)
i += 1
def start():
run_file(strategy_file_path, config)
# -*- coding: utf-8 -*-
from rqalpha import run_file
config = {
"base": {
"start_date": "2016-06-01",
"end_date": "2016-12-01",
"securities": ['stock'],
"stock_starting_cash": 100000,
"benchmark": "000300.XSHG"
},
"extra": {
"log_level": "verbose",
},
"mod": {
"sys_analyser": {
"enabled": True,
"plot": True
}
}
}
strategy_file_path = "./buy_and_hold.py"
run_file(strategy_file_path, config)
strategy_file_path = "/Users/zhifeng/Projects/rqalpha/rqalpha/examples/strategy_flow.py"
host = "121.40.85.7"
port = 9999
server_addr = "mongodb://%s:%d/" % (host, port)
client = pymongo.MongoClient(server_addr)
# exit(0)
for i in range(1, 10):
for j in range(1, 10):
print("%d %d" % (i, j))
olt = "> %.1f" % (float(i) / 10)
ost = "< -%.1f" % (float(i) / 10)
clt = "< %.1f" % (float(j) / 10)
cst = "> -%.1f" % (float(j) / 10)
config = init_config
config["strategy"]["flow_through"]["open_long_threshold"] = olt
config["strategy"]["flow_through"]["open_short_threshold"] = ost
config["strategy"]["flow_through"]["close_long_threshold"] = clt
config["strategy"]["flow_through"]["close_short_threshold"] = cst
res = run_file(strategy_file_path, config)
info = res["sys_analyser"]["summary"]
info["open_long_threshold"] = olt
info["open_short_threshold"] = ost
info["close_long_threshold"] = clt
info["close_short_threshold"] = cst
print(info)
exit(0)
client["backtrace_report_flow_through"]["I88"].insert(info)
