from wtpy import WtBtEngine, EngineType
from wtpy.apps import WtBtAnalyst
from Strategies.DualThrust import StraDualThrust
# from Strategies.XIM import XIM
if __name__ == "__main__":
#创建一个运行环境，并加入策略
engine = WtBtEngine(EngineType.ET_CTA)
engine.init('./common/', "configbt.json")
engine.configBacktest(201909100930, 201912011500)
engine.configBTStorage(mode="csv", path="./storage/")
engine.commitBTConfig()
straInfo = StraDualThrust(name='pydt_IF',
code="CFFEX.IF.HOT",
barCnt=50,
period="m5",
days=30,
k1=0.1,
k2=0.1,
isForStk=False)
engine.set_cta_strategy(straInfo)
engine.run_backtest()
analyst = WtBtAnalyst()
analyst.add_strategy("pydt_IF",
folder="./outputs_bt/pydt_IF/",
init_capital=500000,
from wtpy import WtBtEngine,EngineType
from Strategies.DualThrust import StraDualThrust
from wtpy import WtBtAnalyst
if __name__ == "__main__":
#创建一个运行环境，并加入策略
engine = WtBtEngine(EngineType.ET_CTA)
engine.init(folder='./common/', cfgfile="configbt.json", commfile="stk_comms.json", contractfile="stocks.json")
engine.configBacktest(201901010930,201912151500)
engine.configBTStorage(mode="csv", path="./storage/")
engine.commitBTConfig()
straInfo = StraDualThrust(name='pydt_SH600000', code="SSE.600000", barCnt=50, period="d1", days=30, k1=0.1, k2=0.1, isForStk=True)
engine.set_cta_strategy(straInfo)
engine.run_backtest()
#绩效分析
analyst = WtBtAnalyst()
analyst.add_strategy("pydt_SH600000", folder="./outputs_bt/pydt_SH600000/", init_capital=5000, rf=0.02, annual_trading_days=240)
analyst.run()
kw = input('press any key to exit\n')
engine.release_backtest()
from wtpy import WtBtEngine
from wtpy.backtest import WtBtAnalyst
from Strategies.DualThrust import StraDualThrust
# from Strategies.XIM import XIM
if __name__ == "__main__":
#创建一个运行环境，并加入策略
engine = WtBtEngine()
engine.init('.\\Common\\', "configbt.json")
engine.configBacktest(201909100930, 201912011500)
engine.configBTStorage(mode="csv", path=".\\storage\\")
engine.commitBTConfig()
straInfo = StraDualThrust(name='pydt_IF',
code="CFFEX.IF.HOT",
barCnt=50,
period="m5",
days=30,
k1=0.1,
k2=0.1,
isForStk=False)
engine.set_strategy(straInfo)
engine.run_backtest()
analyst = WtBtAnalyst()
analyst.add_strategy("pydt_IF",
folder="./outputs_bt/pydt_IF/",
init_capital=500000,
def __execute_task__(self, params: dict):
'''
执行单个回测任务\n
@params kv形式的参数
'''
name = params["name"]
f = open("logcfg_tpl.json", "r")
content = f.read()
f.close()
content = content.replace("$NAME$", name)
engine = WtBtEngine(eType=EngineType.ET_CTA,
logCfg=content,
isFile=False)
engine.init(self.env_params["deps_dir"], self.env_params["cfgfile"])
engine.configBacktest(self.env_params["start_time"],
self.env_params["end_time"])
engine.configBTStorage(mode=self.env_params["storage_type"],
path=self.env_params["storage_path"],
dbcfg=self.env_params["db_config"])
engine.commitBTConfig()
straInfo = self.strategy_type(**params)
engine.set_cta_strategy(straInfo)
engine.run_backtest()
engine.release_backtest()
self.__ayalyze_result__(name, params)
from wtpy import WtBtEngine, EngineType
from wtpy.apps import WtBtAnalyst
from Strategies.T1 import StraT1
if __name__ == "__main__":
#创建一个运行环境，并加入策略
engine = WtBtEngine(EngineType.ET_CTA)
engine.init('.\\Common\\', "configbt.json")
engine.configBacktest(201902010900, 202102101500)
engine.configBTStorage(mode="csv", path=".\\storage\\")
engine.commitBTConfig()
straInfo = StraT1(name='t1_rb_i',
code1="SHFE.rb.HOT",
code2="DCE.i.HOT",
bar_cnt=400,
period="m1",
N=360,
threshold=0.9)
engine.set_cta_strategy(straInfo)
engine.run_backtest()
analyst = WtBtAnalyst()
analyst.add_strategy("t1_rb_i",
folder="./outputs_bt/t1_rb_i/",
init_capital=350000,
rf=0.02,
annual_trading_days=240)
analyst.run_new()
from wtpy import WtBtEngine
if __name__ == "__main__":
#创建一个运行环境，并加入策略
env = WtBtEngine()
'''
WonderTrader需要的基础数据周期，只有1分钟、5分钟和日线
其他周期都是在这基础上拼接出来的
3分钟线，不能被5整除，所以用1分钟线拼接
15分钟线，可以被5整除，所以用5分钟线拼接
'''
# 将从MC导出的CSV格式的5分钟线，放到./csv_m5/下，然后批量转换
env.trans_mc_bars("./csv_m5/", "./bin_m5/", "m5")
# 将从MC导出的CSV格式的日线线，放到./csv_d/下，然后批量转换
env.trans_mc_bars("./csv_d/", "./bin_d/", "d")
kw = input('press any key to exit\n')
from wtpy import WtBtEngine, EngineType
from Strategies.DualThrust_Sel import StraDualThrustSel
# from Strategies.XIM import XIM
if __name__ == "__main__":
#创建一个运行环境，并加入策略
engine = WtBtEngine(EngineType.ET_SEL)
engine.init('.\\Common\\', "configbt.json")
engine.configBacktest(201909100900, 202008071500)
engine.configBTStorage(mode="csv", path=".\\storage\\")
engine.commitBTConfig()
straInfo = StraDualThrustSel(
name='DT_COMM_SEL',
codes=["CFFEX.IF.HOT", "SHFE.rb.HOT", "DCE.i.HOT"],
barCnt=50,
period="m5",
days=30,
k1=0.1,
k2=0.1)
engine.set_sel_strategy(straInfo, time=5, period="min")
engine.run_backtest()
kw = input('press any key to exit\n')
engine.release_backtest()
from wtpy import WtBtEngine, EngineType
from strategies.HftStraDemo import HftStraDemo
if __name__ == "__main__":
# 创建一个运行环境，并加入策略
engine = WtBtEngine(EngineType.ET_HFT)
engine.init('./common/', "configbt.json")
engine.configBacktest(202101040900, 202101181500)
engine.configBTStorage(mode="csv", path="./storage/")
engine.commitBTConfig()
straInfo = HftStraDemo(name='hft_IF',
code="CFFEX.IF.HOT",
expsecs=5,
offset=0,
freq=10)
engine.set_hft_strategy(straInfo)
engine.run_backtest()
kw = input('press any key to exit\n')
engine.release_backtest()