def take_snapshot(context, trader, name):
"""
:param context:
:param trader:
:param name: str
平多、平空、开多、开空、快照
:return:
"""
symbol = trader.symbol
now_ = context.now.strftime('%Y%m%d_%H%M')
price = trader.latest_price
file_html = os.path.join(context.cache_path, f"{symbol}_{name}_{price}_{now_}.html")
trader.take_snapshot(file_html, width="1400px", height="580px")
if context.mode != MODE_BACKTEST:
push_file(file_html, key=context.wx_key)
def check_index_status(qywx_key):
"""查看主要指数状态"""
from czsc.utils.cache import home_path
end_dt = datetime.now().strftime(dt_fmt)
wx.push_text(f"{end_dt} 开始获取主要指数行情快照", qywx_key)
for gm_symbol in indices.values():
try:
file_html = os.path.join(
home_path,
f"{gm_symbol}_{datetime.now().strftime('%Y%m%d')}.html")
gm_take_snapshot(gm_symbol, end_dt, file_html=file_html)
wx.push_file(file_html, qywx_key)
os.remove(file_html)
except:
traceback.print_exc()
wx.push_text(f"{end_dt} 获取主要指数行情快照获取结束，请仔细观察！！！", qywx_key)
def monitor(use_cache=True):
push_text("自选股CZSC笔因子监控启动 @ {}".format(datetime.now().strftime("%Y-%m-%d %H:%M")), qywx_key)
moni_path = os.path.join(ct_path, "monitor")
# 首先清空历史快照
if os.path.exists(moni_path):
shutil.rmtree(moni_path)
os.makedirs(moni_path, exist_ok=True)
for s in symbols:
print(s)
try:
file_ct = os.path.join(ct_path, "{}.ct".format(s))
if os.path.exists(file_ct) and use_cache:
ct: CzscTrader = read_pkl(file_ct)
ct.update_factors()
else:
ct = CzscTrader(s, max_count=1000)
save_pkl(ct, file_ct)
# 每次执行，会在moni_path下面保存一份快照
file_html_ = os.path.join(moni_path, f"{ct.symbol}_{ct.kf.end_dt.strftime('%Y%m%d%H%M')}.html")
ct.take_snapshot(file_html_, width="1400px", height="580px")
if ct.s['日线笔因子'] != Factors.Other.value:
msg = "{} - {}\n".format(s, ct.s['日线笔因子'])
msg += "同花顺F10：http://basic.10jqka.com.cn/{}".format(s[:6])
push_text(msg, key=qywx_key)
file_html_new = os.path.join(moni_path, f"{ct.symbol}_{ct.kf.end_dt.strftime('%Y%m%d%H%M')}.html")
shutil.copyfile(file_html_, file_html_new)
push_file(file_html_new, key=qywx_key)
except Exception as e:
traceback.print_exc()
print("{} 执行失败 - {}".format(s, e))
push_text("自选股CZSC笔因子监控结束 @ {}".format(datetime.now().strftime("%Y-%m-%d %H:%M")), qywx_key)
def on_backtest_finished(context, indicator):
"""回测结束回调函数
:param context:
:param indicator:
https://www.myquant.cn/docs/python/python_object_trade#bd7f5adf22081af5
:return:
"""
wx_key = context.wx_key
symbols = context.symbols
data_path = context.data_path
logger = context.logger
logger.info(str(indicator))
logger.info("回测结束 ... ")
cash = context.account().cash
for k, v in indicator.items():
if isinstance(v, float):
indicator[k] = round(v, 4)
row = OrderedDict({
"研究标的": ", ".join(list(context.symbols_info.keys())),
"回测开始时间": context.backtest_start_time,
"回测结束时间": context.backtest_end_time,
"累计收益率": indicator['pnl_ratio'],
"最大回撤": indicator['max_drawdown'],
"年化收益率": indicator['pnl_ratio_annual'],
"夏普比率": indicator['sharp_ratio'],
"盈利次数": indicator['win_count'],
"亏损次数": indicator['lose_count'],
"交易胜率": indicator['win_ratio'],
"累计出入金": int(cash['cum_inout']),
"累计交易额": int(cash['cum_trade']),
"累计手续费": int(cash['cum_commission']),
"累计平仓收益": int(cash['cum_pnl']),
"净收益": int(cash['pnl']),
})
sdt = pd.to_datetime(context.backtest_start_time).strftime('%Y%m%d')
edt = pd.to_datetime(context.backtest_end_time).strftime('%Y%m%d')
file_xlsx = os.path.join(data_path, f'{context.name}_{sdt}_{edt}.xlsx')
file = pd.ExcelWriter(file_xlsx, mode='w')
dfe = pd.DataFrame({"指标": list(row.keys()), "值": list(row.values())})
dfe.to_excel(file, sheet_name='回测表现', index=False)
logger.info("回测结果：{}".format(row))
content = ""
for k, v in row.items():
content += "{}: {}\n".format(k, v)
wx.push_text(content=content, key=wx_key)
trades = []
operates = []
performances = []
for symbol in symbols:
trader: GmCzscTrader = context.symbols_info[symbol]['trader']
trades.extend(trader.long_pos.pairs)
operates.extend(trader.long_pos.operates)
performances.append(trader.long_pos.evaluate_operates())
df = pd.DataFrame(trades)
df['开仓时间'] = df['开仓时间'].apply(lambda x: x.strftime("%Y-%m-%d %H:%M"))
df['平仓时间'] = df['平仓时间'].apply(lambda x: x.strftime("%Y-%m-%d %H:%M"))
df.to_excel(file, sheet_name='交易汇总', index=False)
dfo = pd.DataFrame(operates)
dfo['dt'] = dfo['dt'].apply(lambda x: x.strftime("%Y-%m-%d %H:%M"))
dfo.to_excel(file, sheet_name='操作汇总', index=False)
dfp = pd.DataFrame(performances)
dfp.to_excel(file, sheet_name='表现汇总', index=False)
file.close()
wx.push_file(file_xlsx, wx_key)