In [1]:
%matplotlib inline
from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, MINUTE_DB_NAME
def runBacktesting(strategyClass, settingDict, symbol,
startDate, endDate, slippage,
rate, size, priceTick):
"""运行单标的回测"""
engine = BacktestingEngine()
engine.setBacktestingMode(engine.BAR_MODE)
engine.setDatabase(MINUTE_DB_NAME, symbol)
engine.setStartDate(startDate)
engine.setEndDate(endDate)
engine.setSlippage(slippage)
engine.setRate(rate)
engine.setSize(size)
engine.setPriceTick(priceTick)
engine.initStrategy(strategyClass, settingDict)
engine.runBacktesting()
df = engine.calculateDailyResult()
return df
In [2]:
# 运行IF回测，交易1手
from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy
df1 = runBacktesting(AtrRsiStrategy, {}, 'IF0000',
'20120101', '20170630', 0.2,
0.3/10000, 300, 0.2)
In [3]:
# 运行rb回测，交易16手
from vnpy.trader.app.ctaStrategy.strategy.strategyBollChannel import BollChannelStrategy
settingDict = {'fixedSize': 16}
df2 = runBacktesting(BollChannelStrategy, settingDict, 'rb0000',
'20120101', '20170630', 1,
1/10000, 10, 1)
In [4]:
# 合并获得组合回测结果
dfp = df1 + df2
# 注意如果被抛弃的交易日位于回测的前后，即两者不重合的日期中，则不会影响组合曲线正确性
# 但是如果被抛弃的交易日位于回测的中部，即两者重合的日期中，组合曲线会出现错误（丢失交易日）
dfp = dfp.dropna()
# 创建回测引擎，并设置组合回测初始资金后，显示结果
engine = BacktestingEngine()
engine.setCapital(1000000)
dfp, result = engine.calculateDailyStatistics(dfp)
engine.showDailyResult(dfp, result)
In [5]:
engine = BacktestingEngine()
engine.setCapital(1000000)
df1, result = engine.calculateDailyStatistics(df1)
engine.showDailyResult(df1, result)
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