def __init__(self,
data,
strategy,
account=Account(),
init_opt_tau=(1000, ),
opt_frequency=(1000, )):
super().__init__(data, strategy, account)
self.init_opt_tau = init_opt_tau
self.opt_frequency = opt_frequency
self.opt_count = [0] * len(self.opt_frequency)
def __init__(self, data, strategy, account=Account()):
self.data = data # 回测数据
self.strategy = strategy # 回测策略
self.account = account # 账户信息
self.position_list = PositionList() # 仓位信息
self.current_data = None
self.open_order_flow = [] # 策略产生的开仓订单流
self.close_order_flow = [] # 策略产生的平仓订单流
self.account_dict = []
def test():
# 获取测试数据
test_data = pd.read_csv('../Data/FutureData/rb-SHF_min.csv', nrows=10000, parse_dates=[0])
test_data['symbol_name'] = 'rb-SHF'
test_data.columns = BAR_DATA_COLUMN_NAMES_10
# 回测引擎初始化
account = Account()
bt_engine = BacKTestEngine2(account)
# 构建策略
symbol = SymbolRB()
p_boll = ParameterBoll(tau=120, delta=2, take_profit=5000, stop_days=14)
s = StrategyBoll(strategy_id=1, parameter=p_boll, symbol=symbol)
# 构建回测
mtt = MyTradeTest(test_data, [s], bt_engine)
print('back test begin...')
mtt.back_test()
print('back test end...')
mtt.result_analysis(need_plot=True)
print('send open_buy_order at time:', self.time)
else:
open_order = MarketOrder(strategy_id=self.strategy_id, symbol=self.symbol, order_type=ORDER_TYPE_SELL,
send_time=self.time, lots=1)
print('send open_sell_order at time:', self.time)
open_order_flow.append(open_order)
# 当前策略空仓无需平仓
if len(self.position_ls) == 0:
return open_order_flow, close_order_flow
# 平仓判断
for pos in self.position_ls:
if self.close_condition(pos):
order_type = ORDER_TYPE_BUY if pos.position_type == POSITION_TYPE_SHORT else ORDER_TYPE_SELL
close_order = MarketOrder(strategy_id=self.strategy_id, symbol=self.symbol, order_type=order_type,
send_time=self.time, lots=pos.lots)
print('send close order at time:', self.time)
close_order_flow.append(close_order)
return open_order_flow, close_order_flow
if __name__ == '__main__':
data = get_future_data(path='../Data/FutureData/', nrows=100000)
s = StrategyBoll(strategy_id=1, parameter=ParameterBoll(), symbol=SymbolRB())
account = Account(initial_capital=100000)
bt = BackTestEngine(data=data, strategy=[s], account=account)
bt.run()
bt.result_analysis()
def __init__(self, account=Account()):
self.account = account # 资金账户
self.position_list = PositionList() # 仓位信息
self.current_data = None # 回测引擎每次拿到的数据
self.open_order_flow = [] # 策略产生的开仓订单流
self.close_order_flow = [] # 策略产生的平仓订单流