def run_strategy():
start_date = 20150501
end_date = 20171030
index = '399975.SZ'
ds = RemoteDataService()
ds.init_from_config(data_config)
symbol_list = ds.get_index_comp(index, start_date, start_date)
# add the benchmark index to the last position of symbol_list
symbol_list.append(index)
props = {
"symbol": ','.join(symbol_list),
"start_date": start_date,
"end_date": end_date,
"bar_type": "1d",
"init_balance": 1e7,
"std multiplier": 1.5,
"m": 10,
"n": 60,
"commission_rate": 2E-4
}
props.update(data_config)
props.update(trade_config)
tapi = BacktestTradeApi()
ins = EventBacktestInstance()
strat = SectorRolling()
pm = PortfolioManager()
context = model.Context(data_api=ds,
trade_api=tapi,
instance=ins,
strategy=strat,
pm=pm)
ins.init_from_config(props)
ins.run()
ins.save_results(folder_path=result_dir_path)
ta = ana.EventAnalyzer()
ta.initialize(data_server_=ds, file_folder=result_dir_path)
df_bench, _ = ds.daily(index, start_date=start_date, end_date=end_date)
ta.data_benchmark = df_bench.set_index('trade_date').loc[:, ['close']]
ta.do_analyze(result_dir=result_dir_path,
selected_sec=props['symbol'].split(',')[:2])
def test_save_dataview():
ds = RemoteDataService()
ds.init_from_config(data_config)
dv = DataView()
props = {'start_date': start_date, 'end_date': end_date,
'fields': 'sw1',
'symbol': my_symbols,
'freq': 1}
dv.init_from_config(props, ds)
dv.prepare_data()
# set the benchmark
res, _ = ds.daily(benchmark, start_date=dv.start_date, end_date=dv.end_date)
dv._data_benchmark = res.set_index('trade_date').loc[:, ['close']]
dv.save_dataview(folder_path=dataview_dir_path)
def run_strategy():
start_date = 20150501
end_date = 20171030
index = '399975.SZ'
ds = RemoteDataService()
ds.init_from_config(data_config)
symbol_list = ds.query_index_member(index, start_date, start_date)
# add the benchmark index to the last position of symbol_list
symbol_list.append(index)
props = {"symbol": ','.join(symbol_list),
"start_date": start_date,
"end_date": end_date,
"bar_type": "1d",
"init_balance": 1e7,
"std multiplier": 1.5,
"m": 10,
"n": 60,
"commission_rate": 2E-4}
props.update(data_config)
props.update(trade_config)
tapi = BacktestTradeApi()
ins = EventBacktestInstance()
strat = SectorRolling()
pm = PortfolioManager()
context = model.Context(data_api=ds, trade_api=tapi, instance=ins,
strategy=strat, pm=pm)
ins.init_from_config(props)
ins.run()
ins.save_results(folder_path=result_dir_path)
ta = ana.EventAnalyzer()
ta.initialize(data_server_=ds, file_folder=result_dir_path)
df_bench, _ = ds.daily(index, start_date=start_date, end_date=end_date)
ta.data_benchmark = df_bench.set_index('trade_date').loc[:, ['close']]
ta.do_analyze(result_dir=result_dir_path, selected_sec=props['symbol'].split(',')[:2])
def my_globals(request):
ds = RemoteDataService()
ds.init_from_config(data_config)
df, msg = ds.daily("000001.SH, 600030.SH, 000300.SH",
start_date=20170801,
end_date=20170820,
fields="open,high,low,close,vwap,preclose")
multi_index_names = ['trade_date', 'symbol']
df_multi = df.set_index(multi_index_names, drop=False)
df_multi.sort_index(axis=0, level=multi_index_names, inplace=True)
dfx = df_multi.loc[pd.IndexSlice[:, :], pd.IndexSlice['close']].unstack()
dfy = df_multi.loc[pd.IndexSlice[:, :], pd.IndexSlice['open']].unstack()
parser = Parser()
request.function.__globals__.update({
'parser': parser,
'dfx': dfx,
'dfy': dfy
})
def run_strategy():
if is_backtest:
"""
回测模式
"""
ds = RemoteDataService()
ds.init_from_config(data_config)
symbol_list = ds.query_index_member(index, start_date, end_date)
# symbol_list = ['600887.SH']
# symbol_list = sample(symbol_list, 20)
print(symbol_list)
# add the benchmark index to the last position of symbol_list
symbol_list.append(index)
props = {"symbol": ','.join(symbol_list),
"holding_Count": 15,
"start_date": start_date,
"end_date": end_date,
"bar_type": "1d", # '1d'
"init_balance": 300000,
"commission_rate": 2E-4}
tapi = BacktestTradeApi()
ins = EventBacktestInstance()
else:
"""
实盘/仿真模式
"""
props = {'symbol': '600519.SH',
"fast_ma_length": 5,
"slow_ma_length": 15,
'strategy.no': 1062}
tapi = RealTimeTradeApi(trade_config)
ins = EventLiveTradeInstance()
props.update(data_config)
props.update(trade_config)
ds = RemoteDataService()
strat = RNNStrategy()
pm = PortfolioManager()
context = model.Context(data_api=ds, trade_api=tapi, instance=ins,
strategy=strat, pm=pm)
ins.init_from_config(props)
if not is_backtest:
ds.subscribe(props['symbol'])
ins.run()
if not is_backtest:
time.sleep(9999)
ins.save_results(folder_path=result_dir_path)
ta = ana.EventAnalyzer()
ds = RemoteDataService()
ds.init_from_config(data_config)
ta.initialize(data_server_=ds, file_folder=result_dir_path)
df_bench, _ = ds.daily(index, start_date=start_date, end_date=end_date)
ta.data_benchmark = df_bench.set_index('trade_date').loc[:, ['close']]
temp = pd.read_csv(result_dir_path + '/trades.csv')
symbols = set(temp['symbol'].unique())
print(symbols)
ta.do_analyze(result_dir=result_dir_path, selected_sec=list(symbols))
dfy = df_multi.loc[pd.IndexSlice[:, :], pd.IndexSlice['open']].unstack()
parser = Parser()
request.function.__globals__.update({
'parser': parser,
'dfx': dfx,
'dfy': dfy
})
if __name__ == "__main__":
ds = RemoteDataService()
ds.init_from_config(data_config)
df, msg = ds.daily("000001.SH, 600030.SH, 000300.SH",
start_date=20170801,
end_date=20170820,
fields="open,high,low,close,vwap,preclose")
ds.data_api.close()
multi_index_names = ['trade_date', 'symbol']
df_multi = df.set_index(multi_index_names, drop=False)
df_multi.sort_index(axis=0, level=multi_index_names, inplace=True)
dfx = df_multi.loc[pd.IndexSlice[:, :], pd.IndexSlice['close']].unstack()
dfy = df_multi.loc[pd.IndexSlice[:, :], pd.IndexSlice['open']].unstack()
parser = Parser()
g = globals()
g = {k: v for k, v in g.items() if k.startswith('test_') and callable(v)}
