def test(detail): def get_first_n_lines(string, n): lines = string.splitlines() n = min(n, len(lines)) return '\n'.join(lines[:n]) #gc.set_debug(gc.DEBUG_UNCOLLECTABLE | gc.DEBUG_SAVEALL) start_time = time.time() with codecs.open('../test/testcode7.py', 'r', 'utf-8') as f: code = f.read() user = User('10032') backtest = Backtesting(user, 'test', code, ['EURUSD'], 'M30', '2015-01-01', '2016-01-01') print(backtest.progress) for _ in range(4): backtest.start() print(backtest.get_performance().trade_summary) if detail: translator = DataframeTranslator() user_dir = UserDirectory(user) print(user_dir.get_sys_func_list()) print(backtest.get_profit_records()) # 获取浮动收益曲线 print(backtest.get_parameters()) # 获取策略中的参数(用于优化) performance = backtest.get_performance() # 获取策略的各项指标 print('trade_info:\n%s' % performance._manager.trade_info) print('trade_summary:\n%s' % performance.trade_summary) print('trade_details:\n%s' % performance.trade_details) print(translator.dumps(performance._manager.trade_info)) print(translator.dumps(performance.trade_details)) print('strategy_summary:\n%s' % performance.strategy_summary) print('optimize_info:\n%s' % performance.optimize_info) print('info_on_home_page\n%s' % performance.get_info_on_home_page()) print(performance.get_factor_list()) # print(performance.yield_curve) print('ar:\n%s' % performance.ar) # 年化收益率 print('risk_free_rate:\n%s' % performance._manager.risk_free_rate) # 无风险收益率 print('volatility:\n%s' % performance.volatility) # 波动率 print('sharpe_ratio:\n%s' % performance.sharpe_ratio) # sharpe比率 print('max_drawdown:\n%s' % performance.max_drawdown) # 最大回测 print('trade_position\n%s' % performance.trade_positions) # 交易仓位 print(time.time() - start_time) # print('output:\n%s' % get_first_n_lines(backtest.get_output(), 100)) print(time.time() - start_time) print(backtest.progress) paras = {'handle': {'times': {'start': 10, 'end': 10, 'step': 1}}} optimize = backtest.optimize(paras, None, None) print('optimize\n%s' % optimize) print(time.time() - start_time) del backtest performance = None optimize = None
def get_para(file, out=None): with codecs.open(file, 'r', 'utf-8') as f: code = f.read() f.close() user = '******' backtest = Backtesting(user, 'test', code, ['EURUSD'], 'M30', '2015-01-01', '2015-01-02') backtest.init() result = backtest.get_parameters() if out: with codecs.open(out, 'w', 'utf-8') as f: f.write(json.dumps(result)) f.close() else: print(json.dumps(result))