def test_cobra_backtest():
bars = read_1min()
signals = bt.generate_signals(bars,
len(bars) - 10000, bt.get_default_signals)
long_open_event = Event(
name="开多",
operate=Operate.LO,
factors=[
Factor(name="5分钟三买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
])
long_exit_event = Event(
name="平多",
operate=Operate.LE,
factors=[
Factor(name="1分钟一卖",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="5分钟一卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="5分钟二卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="5分钟三卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三卖_任意_任意_0")])
])
pairs, pf = bt.long_trade_simulator(signals,
long_open_event,
long_exit_event,
T0=True,
verbose=True)
assert len(pairs) == 65
assert pf['累计收益（%）'] > pf['基准收益（%）']
event = Event(name="多头过滤",
operate=Operate.LO,
factors=[
Factor(name="多头过滤",
signals_all=[
Signal("30分钟_倒1K_DIF多空_多头_任意_任意_0"),
]),
])
pairs, pf = bt.one_event_estimator(signals, event)
assert len(pairs) == 8
assert pf['累计收益（%）'] > pf['基准收益（%）']
def run_advanced_trader(T0=True):
bars = read_1min()
kg = BarGenerator(base_freq='1分钟',
freqs=['5分钟', '15分钟', '30分钟', '60分钟', '日线'],
max_count=3000)
for row in tqdm(bars[:150000], desc='init kg'):
kg.update(row)
long_events = [
Event(name="开多",
operate=Operate.LO,
factors=[
Factor(name="5分钟一买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="1分钟一买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
]),
Event(name="加多1",
operate=Operate.LA1,
factors=[
Factor(name="5分钟二买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="1分钟二买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
]),
Event(name="加多2",
operate=Operate.LA1,
factors=[
Factor(name="5分钟三买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="1分钟三买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
]),
Event(name="平多",
operate=Operate.LE,
factors=[
Factor(name="5分钟二卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="5分钟三卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三卖_任意_任意_0")])
]),
]
long_pos = PositionLong(symbol='000001.SH',
hold_long_a=0.5,
hold_long_b=0.8,
hold_long_c=1,
T0=T0)
short_events = [
Event(name="开空",
operate=Operate.SO,
factors=[
Factor(name="5分钟一买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="1分钟一买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
]),
Event(name="加空1",
operate=Operate.SA1,
factors=[
Factor(name="5分钟二买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="1分钟二买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
]),
Event(name="加空2",
operate=Operate.SA1,
factors=[
Factor(name="5分钟三买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="1分钟三买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
]),
Event(name="平空",
operate=Operate.SE,
factors=[
Factor(name="5分钟二卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="5分钟三卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三卖_任意_任意_0")])
]),
]
short_pos = PositionShort(symbol='000001.SH',
hold_short_a=0.5,
hold_short_b=0.8,
hold_short_c=1,
T0=T0)
ct = CzscAdvancedTrader(
bg=kg,
get_signals=get_default_signals,
long_events=long_events,
long_pos=long_pos,
short_events=short_events,
short_pos=short_pos,
)
assert len(ct.s) == 28
for row in tqdm(bars[150000:], desc="trade"):
ct.update(row)
# if long_pos.pos_changed:
# print(" : long op : ", long_pos.operates[-1])
# if short_pos.pos_changed:
# print(" : short op : ", short_pos.operates[-1])
if ct.long_pos.pos > 0:
assert ct.long_pos.long_high > 0
assert ct.long_pos.long_cost > 0
assert ct.long_pos.long_bid > 0
if ct.short_pos.pos > 0:
assert ct.short_pos.short_low > 0
assert ct.short_pos.short_cost > 0
assert ct.short_pos.short_bid > 0
long_yk = pd.DataFrame(ct.long_pos.pairs)['盈亏比例'].sum()
short_yk = pd.DataFrame(ct.short_pos.pairs)['盈亏比例'].sum()
assert abs(long_yk) == abs(short_yk)
print(f"\nT0={T0}: 多头累计盈亏比例：{long_yk}；空头累计盈亏比例：{short_yk}")
if not T0:
assert ct.s['多头_最大_盈利'] == '超过800BP_任意_任意_0'
assert ct.s['多头_累计_盈亏'] == '盈利_超过800BP_任意_0'
assert ct.s['空头_最大_回撤'] == '超过800BP_任意_任意_0'
assert ct.s['空头_累计_盈亏'] == '亏损_超过800BP_任意_0'
# coding: utf-8
import os
import pandas as pd
from tqdm import tqdm
from czsc.objects import RawBar, Freq
from czsc.utils.bar_generator import BarGenerator, freq_end_time
from test.test_analyze import read_1min
cur_path = os.path.split(os.path.realpath(__file__))[0]
kline = read_1min()
def test_freq_end_time():
assert freq_end_time(pd.to_datetime("2021-11-11 09:43"),
Freq.F1) == pd.to_datetime("2021-11-11 09:43")
assert freq_end_time(pd.to_datetime("2021-11-11 09:43"),
Freq.F5) == pd.to_datetime("2021-11-11 09:45")
assert freq_end_time(pd.to_datetime("2021-11-11 09:43"),
Freq.F15) == pd.to_datetime("2021-11-11 09:45")
assert freq_end_time(pd.to_datetime("2021-11-11 09:45"),
Freq.F15) == pd.to_datetime("2021-11-11 09:45")
assert freq_end_time(pd.to_datetime("2021-11-11 14:56"),
Freq.F15) == pd.to_datetime("2021-11-11 15:00")
assert freq_end_time(pd.to_datetime("2021-11-11 09:43"),
Freq.F30) == pd.to_datetime("2021-11-11 10:00")
assert freq_end_time(pd.to_datetime("2021-11-11 09:43"),
Freq.F60) == pd.to_datetime("2021-11-11 10:30")
assert freq_end_time(pd.to_datetime("2021-11-11 09:43"),
def test_advanced_trader_with_t0():
bars = read_1min()
kg = KlineGenerator(max_count=3000,
freqs=['1分钟', '5分钟', '15分钟', '30分钟', '60分钟', '日线'])
for row in tqdm(bars[:150000], desc='init kg'):
kg.update(row)
events = [
Event(name="开多",
operate=Operate.LO,
factors=[
Factor(name="5分钟一买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="1分钟一买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
]),
Event(name="加多1",
operate=Operate.LA1,
factors=[
Factor(name="5分钟二买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="1分钟二买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
]),
Event(name="加多2",
operate=Operate.LA1,
factors=[
Factor(name="5分钟三买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="1分钟三买",
signals_all=[Signal("1分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
]),
Event(name="平多",
operate=Operate.LE,
factors=[
Factor(name="5分钟二卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="5分钟三卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三卖_任意_任意_0")])
]),
]
long_pos = PositionLong(symbol='000001.SH',
hold_long_a=0.5,
hold_long_b=0.8,
hold_long_c=1,
T0=True)
ct = CzscAdvancedTrader(kg=kg,
get_signals=get_default_signals,
long_events=events,
long_pos=long_pos)
assert len(ct.s) == 16
for row in tqdm(bars[150000:], desc="trade"):
ct.update(row)
if long_pos.pos_changed:
print(" : op : ", long_pos.operates[-1])
if ct.long_pos.pos > 0:
assert ct.long_pos.long_high > 0
assert ct.long_pos.long_cost > 0
assert ct.long_pos.long_bid > 0
print(pd.DataFrame(ct.long_pos.evaluate_operates())['盈亏比例'].sum())