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
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+#!/usr/bin/env python3
+"""连续多次全区间回测，验证内存泄漏已彻底解决"""
+
+import zmq
+import time
+import json
+
+# 关羽完整策略代码
+strategy_code = '''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)"
+    
+    # 策略参数
+    fast_window = 5    # 短期均线窗口
+    slow_window = 20   # 长期均线窗口
+    stop_loss_pct = 0.15  # 止损比例，亏损超过这个比例止损
+    
+    # 参数列表
+    parameters = ["fast_window", "slow_window", "stop_loss_pct"]
+    
+    # 变量列表
+    variables = ["fast_ma", "slow_ma", "cost_price", "in_position"]
+    
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        """初始化"""
+        super().__init__(cta_engine, strategy_name, vt_symbol, setting)
+        
+        self.bg = BarGenerator(self.on_bar)
+        self.am = ArrayManager(max(self.slow_window + 10, 30))
+        
+        # 均线数值
+        self.fast_ma = 0.0
+        self.slow_ma = 0.0
+        
+        # 开仓成本
+        self.cost_price = 0.0
+        
+        # 是否持仓
+        self.in_position = False
+        
+    def on_init(self):
+        """初始化策略"""
+        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.load_bar(self.slow_window + 10)
+        self.put_event()
+        
+    def on_start(self):
+        """启动策略"""
+        self.put_event()
+        
+    def on_stop(self):
+        """停止策略"""
+        self.put_event()
+        
+    def on_bar(self, bar):
+        """K线更新"""
+        self.am.update_bar(bar)
+        
+        if not self.am.inited:
+            return
+        
+        # 计算均线
+        self.fast_ma = self.am.sma(self.fast_window)
+        self.slow_ma = self.am.sma(self.slow_window)
+        
+        # 检查止损（只有持仓时才检查）
+        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:
+                # 触发止损，全部平仓
+                if self.pos > 0:
+                    self.sell(bar.close_price, self.pos)
+                    self.in_position = False
+                have_signal = False
+        
+        # 如果没有触发止损，继续处理信号
+        if have_signal:
+            # 均线金叉死叉信号
+            if not self.in_position:
+                # 金叉：短期上穿长期，开多
+                if self.fast_ma > self.slow_ma:
+                    self.buy(bar.close_price, 10000)
+                    self.cost_price = bar.close_price
+                    self.in_position = True
+            else:
+                # 死叉：短期下穿长期，平多
+                if self.fast_ma < self.slow_ma:
+                    if self.pos > 0:
+                        self.sell(bar.close_price, self.pos)
+                        self.in_position = False
+        
+        self.put_event()
+        
+    def on_trade(self, trade):
+        """交易成交回调"""
+        self.put_event()
+        
+    def on_order(self, order):
+        """订单回调"""
+        self.put_event()
+        
+    def on_stop_order(self, stop_order):
+        """停止单回调"""
+        self.put_event()
+'''
+
+# 连续测试参数
+TEST_COUNT = 3
+REQUEST = {
+    "function": "run_strategy_backtest",
+    "args": [],
+    "kwargs": {
+        "strategy_code": strategy_code,
+        "symbol": "510300.SSE",
+        "interval": "1d",
+        "start": 1609459200,  # 2021-01-01
+        "end": 1772515200,    # 2026-03-01
+        "capital": 1000000,
+        "rate": 3e-5,
+        "slippage": 0.002,
+        "size": 10000,
+        "pricetick": 0.001,
+        "data_source": "sqlite",
+        "setting": {"stop_loss_pct": 0.15}
+    }
+}
+
+print("🔗 连接RPC: tcp://127.0.0.1:8008")
+context = zmq.Context()
+socket = context.socket(zmq.REQ)
+socket.connect("tcp://127.0.0.1:8008")
+socket.setsockopt(zmq.LINGER, 0)
+socket.setsockopt(zmq.RCVTIMEO, 900000)  # 15分钟超时
+socket.setsockopt(zmq.SNDTIMEO, 900000)
+
+print(f"🚀 开始连续回测测试，共 {TEST_COUNT} 次全区间 (5年)")
+print(f"   验证目标：每次回测后内存都能完全释放，不会累积泄漏")
+print()
+
+all_success = True
+
+for i in range(1, TEST_COUNT + 1):
+    print(f"{'='*80}")
+    print(f"🚀 第 {i}/{TEST_COUNT} 次全区间回测...")
+    print(f"   标的: 510300.SSE")
+    print(f"   区间: 2021-01-01 ~ 2026-03-01")
+    print(f"   止损: 15%")
+    print()
+    
+    start_time = time.time()
+    
+    try:
+        socket.send_pyobj(REQUEST)
+        result = socket.recv_pyobj()
+        
+        end_time = time.time()
+        duration = end_time - start_time
+        
+        if "error" in result:
+            print(f"\n❌ 第 {i} 次失败: {result['error']}")
+            if "traceback" in result:
+                print(f"\n{result['traceback']}")
+            all_success = False
+            break
+        else:
+            trades_count = result.get('trades_count', 0)
+            print(f"\n✅ 第 {i} 次成功！")
+            print(f"   耗时: {duration:.1f} 秒")
+            print(f"   交易笔数: {trades_count}")
+            print()
+    
+    except zmq.error.Again:
+        print(f"\n⏱️ ❌ TIMEOUT: 第 {i} 次超过15分钟仍未完成")
+        all_success = False
+        break
+    except Exception as e:
+        print(f"\n❌ 第 {i} 次异常: {e}")
+        import traceback
+        traceback.print_exc()
+        all_success = False
+        break
+
+print()
+print("=" * 80)
+if all_success:
+    print(f"🎉 连续 {TEST_COUNT} 次全区间回测全部成功！")
+    print(f"✅ 内存泄漏问题已经彻底解决！")
+    print(f"✅ 每次回测后内存都能完全释放！")
+else:
+    print(f"❌ 测试失败，内存泄漏问题仍然存在")
+print("=" * 80)
+
+socket.close()
+context.term()