def _test_use(is_plot):
from ibats_common import module_root_path
import os
# 参数设置
run_mode = RunMode.Backtest
strategy_params = {'unit': 100}
md_agent_params_list = [{
'md_period':
PeriodType.Min1,
'instrument_id_list': ['RB'],
'datetime_key':
'trade_date',
'init_md_date_from':
'1995-1-1', # 行情初始化加载历史数据，供策略分析预加载使用
'init_md_date_to':
'2014-1-1',
# 'C:\GitHub\IBATS_Common\ibats_common\example\ru_price2.csv'
'file_path':
os.path.abspath(
os.path.join(module_root_path, 'example', 'data', 'RB.csv')),
'symbol_key':
'instrument_type',
}]
if run_mode == RunMode.Realtime:
trade_agent_params = {}
strategy_handler_param = {}
else:
trade_agent_params = {
'trade_mode': BacktestTradeMode.Order_2_Deal,
'init_cash': 1000000,
"calc_mode": CalcMode.Margin,
}
strategy_handler_param = {
'date_from': '2014-1-1', # 策略回测历史数据，回测指定时间段的历史行情
'date_to': '2018-10-18',
}
# 初始化策略处理器
stghandler = strategy_handler_factory(
stg_class=AIStg,
strategy_params=strategy_params,
md_agent_params_list=md_agent_params_list,
exchange_name=ExchangeName.LocalFile,
run_mode=RunMode.Backtest,
trade_agent_params=trade_agent_params,
strategy_handler_param=strategy_handler_param,
)
stghandler.start()
time.sleep(10)
stghandler.keep_running = False
stghandler.join()
stg_run_id = stghandler.stg_run_id
logging.info("执行结束 stg_run_id = %d", stg_run_id)
if is_plot:
from ibats_common.analysis.plot_db import show_order, show_cash_and_margin, show_rr_with_md
show_order(stg_run_id)
show_cash_and_margin(stg_run_id)
show_rr_with_md(stg_run_id)
return stg_run_id
def summary_stg(stg_run_id=None):
from ibats_common.analysis.plot_db import show_order, show_cash_and_margin, show_rr_with_md
info = get_stg_run_info(stg_run_id)
stg_run_id = info.stg_run_id
data_dict, file_path = show_order(stg_run_id)
df = show_cash_and_margin(stg_run_id)
sum_df, symbol_rr_dic, save_file_path_dic = show_rr_with_md(stg_run_id)
summary_rr(sum_df, figure_4_each_col=True, col_transfer_dic={'return': sum_df.columns})
def summary_stg_2_docx(stg_run_id=None,
enable_save_plot=True,
enable_show_plot=False,
enable_clean_cache=True,
doc_file_path=None):
"""
生成策略分析报告
:param stg_run_id:
:param enable_save_plot:
:param enable_show_plot:
:param enable_clean_cache:
:param doc_file_path: 可以是目录 或 文件名路径
:return:
"""
info = get_stg_run_info(stg_run_id)
stg_run_id = info.stg_run_id
stg_name = info.stg_name
run_mode = RunMode(info.run_mode)
kwargs = {
"enable_show_plot": enable_show_plot,
"enable_save_plot": enable_save_plot,
"run_mode": run_mode,
"stg_run_id": stg_run_id
}
if run_mode == RunMode.Backtest_FixPercent:
sum_df, symbol_rr_dic = get_rr_with_md(stg_run_id, compound_rr=True)
else:
sum_df, symbol_rr_dic = get_rr_with_md(stg_run_id, compound_rr=False)
if sum_df is None or sum_df.shape[0] == 0:
logger.warning('stg_run_id=%d 没有获取到 sum_df', stg_run_id)
file_path = None
return file_path
ret_dic, each_col_dic, file_path_dic = summary_rr(sum_df, **kwargs)
_, file_path = show_trade(**kwargs)
file_path_dic['trade'] = file_path
df, file_path = show_cash_and_margin(**kwargs)
file_path_dic['cash_and_margin'] = file_path
# 生成 docx 文档将所需变量
heading_title = f'策略分析报告[{stg_run_id} {stg_name}] ' \
f'{date_2_str(min(sum_df.index))} - {date_2_str(max(sum_df.index))} ({sum_df.shape[0]} days)'
# 生成 docx 文件
document = docx.Document()
# 设置默认字体
document.styles['Normal'].font.name = '微软雅黑'
document.styles['Normal']._element.rPr.rFonts.set(
docx.oxml.ns.qn('w:eastAsia'), '微软雅黑')
# 创建自定义段落样式(第一个参数为样式名, 第二个参数为样式类型, 1为段落样式, 2为字符样式, 3为表格样式)
UserStyle1 = document.styles.add_style('UserStyle1', 1)
# 设置字体尺寸
UserStyle1.font.size = docx.shared.Pt(40)
# 设置字体颜色
UserStyle1.font.color.rgb = docx.shared.RGBColor(0xff, 0xde, 0x00)
# 居中文本
UserStyle1.paragraph_format.alignment = WD_ALIGN_PARAGRAPH.CENTER
# 设置中文字体
UserStyle1.font.name = '微软雅黑'
UserStyle1._element.rPr.rFonts.set(docx.oxml.ns.qn('w:eastAsia'), '微软雅黑')
# 文件内容
document.add_heading(heading_title,
0).alignment = WD_ALIGN_PARAGRAPH.CENTER
document.add_paragraph('')
document.add_paragraph('')
heading_count = 1
document.add_heading(f'{heading_count}、策略回测收益曲线', 1)
# 增加图片（此处使用相对位置）
document.add_picture(
file_path_dic['rr']) # , width=docx.shared.Inches(1.25)
heading_count += 1
# 添加分页符
document.add_page_break()
document.add_heading(f'{heading_count}、策略回撤曲线', 1)
document.add_picture(file_path_dic['drawdown'])
heading_count += 1
document.add_page_break()
if run_mode != RunMode.Backtest_FixPercent:
document.add_heading(f'{heading_count}、现金与仓位堆叠图', 1)
document.add_picture(file_path_dic['cash_and_margin'])
heading_count += 1
document.add_page_break()
document.add_heading(f'{heading_count}、散点图矩阵图（Scatter Matrix）', 1)
document.add_picture(file_path_dic['scatter_matrix'])
heading_count += 1
document.add_page_break()
document.add_heading(f'{heading_count}、相关性矩阵图（Correlation）', 1)
document.add_picture(file_path_dic['correlation'])
heading_count += 1
document.add_page_break()
document.add_heading(f'{heading_count}、绩效统计数据（Porformance stat）', 1)
stats_df = ret_dic['stats'].stats
stats_df_2_docx_table(stats_df, document)
heading_count += 1
document.add_page_break()
# 交易记录
document.add_heading(f'{heading_count}、买卖点记录', 1)
document.add_picture(file_path_dic['trade'])
heading_count += 1
document.add_page_break()
# 保存文件
if doc_file_path is not None:
if os.path.isdir(doc_file_path):
folder_path, file_name = doc_file_path, ''
else:
folder_path, file_name = os.path.split(doc_file_path)
else:
folder_path, file_name = get_report_folder_path(stg_run_id), ''
if folder_path != '' and not os.path.exists(folder_path):
os.makedirs(folder_path)
if file_name == '':
try:
calc_mode_str = CalcMode(
json.loads(
info.trade_agent_params_list)[0]['calc_mode']).name + " "
except:
calc_mode_str = " "
# run_mode_str = run_mode.name + " "
file_name = f"{stg_run_id} {stg_name} {calc_mode_str}" \
f"{date_2_str(min(sum_df.index))} - {date_2_str(max(sum_df.index))} ({sum_df.shape[0]} days) " \
f"{datetime_2_str(datetime.datetime.now(), STR_FORMAT_DATETIME_4_FILE_NAME)}.docx"
file_path = os.path.join(folder_path, file_name)
else:
file_path = doc_file_path
document.save(file_path)
if enable_clean_cache:
clean_cache()
return file_path