def add_comb(self, comb, settings):
""" 添加策略组合组合
Args:
comb (list): 一个策略组合
"""
self._combs.append(comb)
num_strategy = len(comb)
if 'capital' not in settings:
settings['capital'] = 1000000.0 # 默认资金
logger.info('BackTesting with default capital 1000000.0.')
assert (settings['capital'] > 0)
if num_strategy == 1:
settings['ratio'] = [1]
elif num_strategy > 1 and 'ratio' not in settings:
settings['ratio'] = [1.0 / num_strategy] * num_strategy
assert ('ratio' in settings)
assert (len(settings['ratio']) == num_strategy)
assert (sum(settings['ratio']) - 1.0 < 0.000001)
assert (num_strategy >= 1)
ctxs = []
for i, s in enumerate(comb):
iset = {}
if settings:
iset = {'capital': settings['capital'] * settings['ratio'][i]}
# logger.debug(iset)
ctxs.append(StrategyContext(s.name, iset))
self.context.add_strategy_context(ctxs)
return blotter.Profile(ctxs, self._all_data, self.pcontracts[0],
len(self._combs) - 1)
def add_comb(self, comb, settings = { }):
""" 添加策略组合组合
Args:
comb (list): 一个策略组合
"""
self._combs.append(comb)
if settings:
num_strategy = len(comb)
assert (settings['captial'] > 0)
assert len(settings['ratio']) == num_strategy
assert(sum(settings['ratio']) == 1)
ctxs = []
for i, s in enumerate(comb):
iset = { }
if settings:
iset = { 'captial': settings['captial'] * settings['ratio'][i] }
logger.debug(iset)
ctxs.append(StrategyContext(s.name, iset))
self.context.add_strategy_context(ctxs)
blotters = [ ctx.blotter for ctx in ctxs]
return blotter.Profile(blotters, self.all_data, self.pcontracts[0], len(self._combs)-1)
