initial-import: 2026-04-11 21:18:55

2026-04-11 21:18:55 +08:00
commit 5e6b2d73eb
264 changed files with 117047 additions and 0 deletions
@@ -0,0 +1,198 @@
+#!/usr/bin/env python3
+"""
+在Docker容器内执行回测 - 完整版
+"""
+
+import types
+import sys
+
+# vnpy.app 兼容性
+vnpy_app = types.ModuleType('vnpy.app')
+sys.modules['vnpy.app'] = vnpy_app
+
+for name in ['cta_strategy', 'cta_backtester', 'data_manager']:
+    mod = types.ModuleType(f'vnpy.app.{name}')
+    sys.modules[f'vnpy.app.{name}'] = mod
+    setattr(vnpy_app, name, mod)
+
+from vnpy_ctastrategy import (
+    CtaTemplate, StopOrder, TickData, BarData, TradeData, OrderData, BarGenerator, ArrayManager
+)
+sys.modules['vnpy.app.cta_strategy'].CtaTemplate = CtaTemplate
+
+from vnpy_ctabacktester import BacktesterEngine
+sys.modules['vnpy.app.cta_backtester'].BacktesterEngine = BacktesterEngine
+
+from vnpy.event import EventEngine
+from vnpy.trader.engine import MainEngine
+from vnpy.trader.constant import Exchange, Interval, Direction, Offset
+from vnpy.trader.database import get_database
+from datetime import datetime
+import traceback
+
+# ============================================
+# 策略代码
+# ============================================
+STRATEGY_CODE = '''
+"""
+单票固定比例止损策略 - vnpy CTA回测
+"""
+
+from vnpy_ctastrategy import (
+    CtaTemplate, StopOrder, TickData, BarData, TradeData, OrderData, BarGenerator, ArrayManager
+)
+from vnpy.trader.constant import Direction, Offset
+
+class SingleStockStopLossStrategy(CtaTemplate):
+    """单票固定比例止损策略 - 均线趋势跟踪+固定比例止损"""
+    
+    author = "关羽 (云长)"
+    
+    parameters = ["fast_window", "slow_window", "stop_loss_pct"]
+    variables = ["fast_ma", "slow_ma", "cost_price", "in_position"]
+    
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        super().__init__(cta_engine, strategy_name, vt_symbol, setting)
+        
+        self.bg = BarGenerator(self.on_bar)
+        self.am = ArrayManager(max(30, 100))
+        
+        self.fast_ma = 0.0
+        self.slow_ma = 0.0
+        self.cost_price = 0.0
+        self.in_position = False
+        
+    def on_init(self):
+        self.write_log(f"策略初始化，fast={self.fast_window}, slow={self.slow_window}, stop_loss={self.stop_loss_pct:.1%}")
+        self.put_event()
+        
+    def on_bar(self, bar):
+        self.am.update_bar(bar)
+        
+        if not self.am.inited:
+            return
+        
+        self.fast_ma = self.am.sma(self.fast_window)
+        self.slow_ma = self.am.sma(self.slow_window)
+        
+        have_signal = True
+        if self.in_position and self.cost_price > 0:
+            current_drawdown = (bar.close_price - self.cost_price) / self.cost_price
+            
+            if current_drawdown <= -self.stop_loss_pct:
+                if self.pos > 0:
+                    self.sell(bar.close_price, self.pos)
+                    self.in_position = False
+                    self.write_log(f"触发止损：成本{self.cost_price:.2f}，当前{bar.close_price:.2f}，回撤{current_drawdown:.1%}")
+                have_signal = False
+        
+        if have_signal:
+            if not self.in_position:
+                if self.fast_ma > self.slow_ma:
+                    self.buy(bar.close_price, 10000)
+                    self.cost_price = bar.close_price
+                    self.in_position = True
+                    self.write_log(f"金叉开多：价格{bar.close_price:.2f}")
+            else:
+                if self.fast_ma < self.slow_ma:
+                    if self.pos > 0:
+                        self.sell(bar.close_price, self.pos)
+                        self.in_position = False
+                        self.write_log(f"死叉平仓：价格{bar.close_price:.2f}")
+        
+        self.put_event()
+'''
+
+# 执行策略代码
+local_vars = {
+    'CtaTemplate': CtaTemplate,
+    'StopOrder': StopOrder,
+    'TickData': TickData,
+    'BarData': BarData,
+    'TradeData': TradeData,
+    'OrderData': OrderData,
+    'BarGenerator': BarGenerator,
+    'ArrayManager': ArrayManager,
+    'Direction': Direction,
+    'Offset': Offset,
+}
+
+exec(STRATEGY_CODE, globals(), local_vars)
+
+# 查找策略类
+strategy_classes = [
+    v for k, v in local_vars.items()
+    if isinstance(v, type) and issubclass(v, CtaTemplate) and v != CtaTemplate
+]
+
+if not strategy_classes:
+    print("❌ 未找到CtaTemplate子类")
+    sys.exit(1)
+
+StrategyClass = strategy_classes[0]
+class_name = StrategyClass.__name__
+
+print("=" * 80)
+print("🚀 回测执行 - 510300.SSE + 关羽15%止损")
+print("=" * 80)
+print(f"✅ 策略类: {class_name}")
+
+# 初始化引擎
+event_engine = EventEngine()
+main_engine = MainEngine(event_engine)
+backtester_engine = BacktesterEngine(main_engine, event_engine)
+backtester_engine.classes[class_name] = StrategyClass
+
+print("✅ 引擎初始化完成")
+
+# 运行回测
+print("\n运行回测...")
+try:
+    backtester_engine.run_backtesting(
+        class_name=class_name,
+        vt_symbol="510300.SSE",
+        interval="1d",
+        start=datetime(2021, 1, 1),
+        end=datetime(2026, 3, 1),
+        rate=3e-5,
+        slippage=0.002,
+        size=10000,
+        pricetick=0.001,
+        capital=1000000,
+        setting={"stop_loss_pct": 0.15}
+    )
+    
+    print("✅ 回测完成")
+    
+    result = backtester_engine.get_result_statistics()
+    
+    print("\n" + "=" * 80)
+    print("回测结果:")
+    print("=" * 80)
+    
+    print(f"\n📊 绩效指标:")
+    print(f"   总收益率: {result.get('total_return', 0):.2%}")
+    print(f"   年化收益率: {result.get('annual_return', 0):.2%}")
+    print(f"   最大回撤: {result.get('max_drawdown', 0):.2%}")
+    print(f"   夏普比率: {result.get('sharpe_ratio', 0):.2f}")
+    print(f"   卡玛比率: {result.get('calmar_ratio', 0):.2f}")
+    print(f"   总交易次数: {result.get('total_trades', 0)}")
+    print(f"   胜率: {result.get('win_rate', 0):.2%}")
+    print(f"   盈亏比: {result.get('profit_loss_ratio', 0):.2f}")
+
+    trades = backtester_engine.get_all_trades()
+    print(f"\n📝 交易记录: 共 {len(trades)} 笔")
+    
+    for idx, trade in enumerate(trades, 1):
+        direction_str = "买入" if trade.direction == Direction.LONG else "卖出"
+        offset_str = "开仓" if trade.offset == Offset.OPEN else "平仓"
+        print(f"   {idx}. {trade.datetime} {direction_str}{offset_str} {trade.symbol} @ {trade.price:.2f} × {trade.volume}")
+
+    print("\n" + "=" * 80)
+    print("✅ 回测执行完成!")
+    print("=" * 80)
+
+except Exception as e:
+    print(f"❌ 回测失败: {e}")
+    traceback.print_exc()
+    sys.exit(1)