def __init__(self, engine, code, parent=None):
"""Constructor"""
super().__init__()
LoggerInterface.__init__(self, parent=parent)
APIInterface.__init__(self)
Runnable.__init__(self)
ConfigInterface.__init__(self, parent=parent)
self.__id = self.next_auto_inc()
self.user = self.config.user
self.user_dir = UserDirectory(User(self.config.user))
self.__strategy_code = StrategyCode(self.config.name, code)
self.__code_parser = None
self.engine = proxy(engine)
self.time_frame = self.config.time_frame
self.symbols = self.config.symbols
self.start_time = self.config.start_time
self.end_time = self.config.end_time
self.capital_base = self.config.capital_base
self.handlers = {}
self.signal_factory = SignalFactory()
self.signals = {}
self.system_functions = {}
self.series_storage = {}
self.printer = FilePrinter(self.config.user, self.config.name,
self.engine)
self.__context = {}
self._setting()
self.logger_name = "Strategy"
def __init__(self, user, name, engine):
self.__user = user
self.__name = name
self.__engine = engine
self.__file_path = os.path.join(
UserDirectory(User(user)).get_temp_dir(), name + '.log')
self.__file = None
def set_handle(logger, user=config.get("user", "non-existent user")):
path = os.path.join(
UserDirectory(User(user)).get_temp_dir(), "runtime.log")
rt_handler = RotatingFileHandler(path,
maxBytes=10 * 1024 * 1024,
backupCount=5)
rt_handler.setLevel(logging.DEBUG)
formatter = logging.Formatter(
'%(asctime)s %(filename)-20s[line:%(lineno)-3d] %(levelname)-8s %(message)s'
)
rt_handler.setFormatter(formatter)
logger.addHandler(rt_handler)
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 __init__(self,
engine,
user,
name,
code,
symbols=None,
time_frame=None,
start_time=None,
end_time=None):
"""Constructor"""
self.__id = self.next_auto_inc()
self.user = user
self.user_dir = UserDirectory(user)
self.name = name
self.code = code
self.engine = engine
self.time_frame = time_frame
self.symbols = symbols
self.start_time = start_time
self.end_time = end_time
self.max_length = 0
self.capital_base = 100000
self.handlers = {}
self.listeners = {}
self.system_functions = {}
self.series_storage = {}
self.__printer = FilePrinter(user, name, self.engine)
self.__context = {}
# 是否完成了初始化
self.trading = False
# 在字典中保存Open,High,Low,Close,Volumn，CurrentBar，MarketPosition，
# 手动为exec语句提供local命名空间
self.__locals_ = dict(
sell=partial(self.engine.sell, strategy=self.__id),
short=partial(self.engine.short, strategy=self.__id),
buy=partial(self.engine.buy, strategy=self.__id),
cover=partial(self.engine.cover, strategy=self.__id),
marketposition=self.engine.get_current_positions(),
currentcontracts=self.engine.get_current_contracts(),
data=self.engine.get_data,
context=self.__context,
export=partial(export, strategy=self),
put=self.put_context,
get=self.get_context,
print=self.__printer.print,
listeners=self.listeners,
system_functions=self.system_functions,
)
# 将策略容器与对应代码文件关联
self.bind_code_to_strategy(self.code)
def get_first_n_lines(string, n):
lines = string.splitlines()
n = min(n, len(lines))
return '\n'.join(lines[:n])
start_time = time.time()
with codecs.open('../test/testcode9.py', 'r', 'utf-8') as f:
code = f.read()
user = User('10032')
backtest = Backtesting(user, 'test', code, ['EURUSD'], 'M15', '2015-01-02',
'2015-03-01')
print(backtest.progress)
backtest.start()
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
def __init__(self,
engine,
user,
name,
code,
symbols=None,
time_frame=None,
start_time=None,
end_time=None):
"""Constructor"""
self.__id = self.next_auto_inc()
self.user = user
self.user_dir = UserDirectory(user)
self.name = name
self.code = code
self.engine = proxy(engine)
self.time_frame = time_frame
self.symbols = symbols
self.start_time = start_time
self.end_time = end_time
self.max_length = 0
self.capital_base = 100000
self.handlers = {}
self.signal_factory = SignalFactory()
self.signals = {}
self.system_functions = {}
self.series_storage = {}
self.__printer = FilePrinter(user, name, self.engine)
self.__context = {}
self.__points = {}
# 是否完成了初始化
self.trading = False
# 在字典中保存Open,High,Low,Close,Volumn，CurrentBar，MarketPosition，
# 手动为exec语句提供globals命名空间
self.__glb = {
'Buy':
partial(self.engine.open_position, strategy=self.__id,
direction=1),
'Sell':
partial(self.engine.close_position,
strategy=self.__id,
direction=1),
'SellShort':
partial(self.engine.open_position,
strategy=self.__id,
direction=-1),
'BuyToCover':
partial(self.engine.close_position,
strategy=self.__id,
direction=-1),
'Positions':
self.engine.current_positions,
'Data':
self.engine.data,
'Context':
self.__context,
'Export':
partial(export, strategy=self),
'Put':
self.put_context,
'Get':
self.get_context,
'print':
self.__printer.print,
'Points':
self.__points,
'signals':
self.signals,
'system_functions':
self.system_functions
}
# 将策略容器与对应代码文件关联
self.bind_code_to_strategy(self.code)
