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
+"""
+在容器内调用API执行回测
+"""
+
+import json
+import requests
+
+# 读取策略代码
+strategy_code = """
+"""单票固定比例止损策略 - vnpy CTA回测
+
+策略逻辑：
+- 标的：沪深300ETF (510300.SSE)
+- 简单均线趋势跟踪：金叉开多，死叉平多
+- 开多后，如果价格从开仓价下跌超过X%，立即止损平仓
+- 测试不同止损比例对策略绩效的影响
+
+回测目标：验证不同止损比例对胜率、盈亏比、最大回撤的影响
+"""
+
+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, 100))
+        
+        # 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.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
+                    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%}，止损卖出")
+                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, 1)  # 1手
+                    self.cost_price = bar.close_price
+                    self.in_position = True
+                    self.write_log(f"🟢 金叉开多：价格{bar.close_price:.2f}，均线fast{self.fast_ma:.2f} slow{self.slow_ma:.2f}")
+            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.write_log(f"🔵 死叉平仓：价格{bar.close_price:.2f}，均线fast{self.fast_ma:.2f} slow{self.slow_ma:.2f}")
+        
+        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()
+"""
+
+request_data = {
+    'strategy_code': strategy_code,
+    'symbol': '510300.SSE',
+    'interval': '1d',
+    'start': 1609459200,
+    'end': 1772515200,
+    'capital': 1000000,
+    'rate': 3e-5,
+    'slippage': 0.002,
+    'size': 10000,
+    'pricetick': 0.001,
+    'data_source': 'sqlite'
+}
+
+response = requests.post('http://127.0.0.1:8088/api/backtest/run', json=request_data, timeout=300)
+print(json.dumps(response.json(), indent=2, ensure_ascii=False))