initial-import: 2026-04-11 21:18:55
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cfdaily
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#!/usr/bin/env python3
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"""
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在Docker容器内执行回测 - 完整版
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不经过HTTP API，直接运行
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"""
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# ============================================
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# 导入 vnpy.app 兼容性模块
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# ============================================
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import types
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import sys
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vnpy_app = types.ModuleType('vnpy.app')
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sys.modules['vnpy.app'] = vnpy_app
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for name in ['cta_strategy', 'cta_backtester', 'data_manager']:
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mod = types.ModuleType(f'vnpy.app.{name}')
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sys.modules[f'vnpy.app.{name}'] = mod
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setattr(vnpy_app, name, mod)
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from vnpy_ctastrategy import (
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CtaTemplate, StopOrder, TickData, BarData, TradeData, OrderData, BarGenerator, ArrayManager
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)
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sys.modules['vnpy.app.cta_strategy'].CtaTemplate = CtaTemplate
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from vnpy_ctabacktester import BacktesterEngine
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sys.modules['vnpy.app.cta_backtester'].BacktesterEngine = BacktesterEngine
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# ============================================
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# 导入其他必要模块
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# ============================================
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from vnpy.event import EventEngine
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from vnpy.trader.engine import MainEngine
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from vnpy.trader.constant import Exchange, Interval, Direction, Offset
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from vnpy.trader.database import get_database
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from datetime import datetime
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import traceback
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# ============================================
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# 读取关羽策略代码
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# ============================================
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strategy_file = "/Users/chufeng/.openclaw/workspace-guanyu/pangtong-value/research/task-20260329-strategy-backtest/guanyu/single_stock_stop_loss_final_correct.py"
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with open(strategy_file, 'r', encoding='utf-8') as f:
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strategy_code = f.read()
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print("=" * 80)
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print("🚀 在Docker容器内执行回测")
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print("=" * 80)
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print(f"✅ 策略代码: {len(strategy_code)} 字符")
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# ============================================
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# 执行回测
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# ============================================
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print("\n初始化引擎...")
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event_engine = EventEngine()
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main_engine = MainEngine(event_engine)
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backtester_engine = BacktesterEngine(main_engine, event_engine)
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print("✅ 引擎初始化完成")
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# 动态加载策略代码
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print("\n加载策略代码...")
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local_vars = {
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'CtaTemplate': CtaTemplate,
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'StopOrder': StopOrder,
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'TickData': TickData,
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'BarData': BarData,
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'TradeData': TradeData,
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'OrderData': OrderData,
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'BarGenerator': BarGenerator,
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'ArrayManager': ArrayManager,
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'Direction': Direction,
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'Offset': Offset,
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}
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exec(strategy_code, globals(), local_vars)
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# 查找策略类
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strategy_classes = [
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v for k, v in local_vars.items()
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if isinstance(v, type) and issubclass(v, CtaTemplate) and v != CtaTemplate
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]
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if not strategy_classes:
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print("❌ 未找到CtaTemplate子类")
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sys.exit(1)
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StrategyClass = strategy_classes[0]
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class_name = StrategyClass.__name__
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print(f"✅ 找到策略类: {class_name}")
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backtester_engine.classes[class_name] = StrategyClass
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# 解析参数
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symbol_full = "510300.SSE"
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if '.' in symbol_full:
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symbol_part, exchange_part = symbol_full.split('.', 1)
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try:
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exchange = Exchange(exchange_part)
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except ValueError:
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exchange = Exchange.SSE
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else:
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symbol_part = symbol_full
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exchange = Exchange.SSE
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start = datetime(2021, 1, 1)
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end = datetime(2026, 3, 1)
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print(f"\n回测参数:")
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print(f" 标的: {symbol_full}")
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print(f" symbol: {symbol_part}, exchange: {exchange}")
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print(f" 时间: {start} ~ {end}")
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print(f" 资金: 1,000,000")
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print(f" 费率: 3e-5")
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print(f" 滑点: 0.002")
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print(f" 合约大小: 10,000")
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print(f" 最小价格变动: 0.001")
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# 运行回测
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print("\n运行回测...")
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try:
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back = backtester_engine.run_backtesting(
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class_name=class_name,
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vt_symbol=symbol_full,
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interval="1d",
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start=start,
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end=end,
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rate=3e-5,
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slippage=0.002,
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size=10000,
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pricetick=0.001,
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capital=1000000,
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setting={"stop_loss_pct": 0.15} # 默认15%止损
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)
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print("✅ 回测完成")
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except Exception as e:
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print(f"❌ 回测失败: {e}")
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traceback.print_exc()
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sys.exit(1)
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# 获取结果
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print("\n获取结果...")
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result = backtester_engine.get_result_statistics()
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print("\n" + "=" * 80)
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print("回测结果:")
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print("=" * 80)
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print(f"\n📊 绩效指标:")
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print(f" 总收益率: {result.get('total_return', 0):.2%}")
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print(f" 年化收益率: {result.get('annual_return', 0):.2%}")
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print(f" 最大回撤: {result.get('max_drawdown', 0):.2%}")
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print(f" 夏普比率: {result.get('sharpe_ratio', 0):.2f}")
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print(f" 卡玛比率: {result.get('calmar_ratio', 0):.2f}")
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print(f" 总交易次数: {result.get('total_trades', 0)}")
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print(f" 胜率: {result.get('win_rate', 0):.2%}")
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print(f" 盈亏比: {result.get('profit_loss_ratio', 0):.2f}")
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# 获取交易记录
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trades = backtester_engine.get_all_trades()
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print(f"\n📝 交易记录: 共 {len(trades)} 笔")
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for idx, trade in enumerate(trades, 1):
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direction_str = "买入" if trade.direction == Direction.LONG else "卖出"
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offset_str = "开仓" if trade.offset == Offset.OPEN else "平仓"
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print(f" {idx}. {trade.datetime} {direction_str}{offset_str} {trade.symbol} @ {trade.price:.2f} × {trade.volume}")
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print("\n" + "=" * 80)
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print("✅ 回测执行完成!")
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print("=" * 80)
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