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
+"""
+简单测试 - 缩短区间（只1年）验证交易生成
+"""
+
+# 兼容性
+import types
+import sys
+vnpy_app = types.ModuleType('vnpy.app')
+sys.modules['vnpy.app'] = vnpy_app
+for name in ['cta_strategy', 'cta_backtester']:
+    mod = types.ModuleType(f'vnpy.app.{name}')
+    sys.modules[f'vnpy.app.{name}'] = mod
+    setattr(vnpy_app, name, mod)
+
+from vnpy_ctastrategy import CtaTemplate, BarGenerator, ArrayManager
+from vnpy_ctabacktester import BacktesterEngine
+from vnpy.event import EventEngine
+from vnpy.trader.engine import MainEngine
+from vnpy.trader.constant import Exchange, Direction
+from datetime import datetime
+
+sys.modules['vnpy.app.cta_strategy'].CtaTemplate = CtaTemplate
+sys.modules['vnpy.app.cta_backtester'].BacktesterEngine = BacktesterEngine
+
+# 策略
+class SimpleTestStrategy(CtaTemplate):
+    author = "test"
+    parameters = []
+    variables = ["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(100)
+        self.in_position = False
+        
+    def on_init(self):
+        self.load_bar(1000)
+        print("策略初始化完成")
+        
+    def on_bar(self, bar):
+        self.am.update_bar(bar)
+        if not self.am.inited:
+            return
+        
+        if not self.in_position:
+            self.buy(bar.close_price, 10000)
+            self.in_position = True
+            print(f"买入 @ {bar.close_price:.2f}")
+        
+        self.put_event()
+
+# 初始化引擎
+print("初始化引擎...")
+event_engine = EventEngine()
+main_engine = MainEngine(event_engine)
+backtester_engine = BacktesterEngine(main_engine, event_engine)
+backtester_engine.classes["SimpleTestStrategy"] = SimpleTestStrategy
+
+# 运行回测 - 缩短区间（只1年）减少内存
+print("开始回测...")
+try:
+    backtester_engine.run_backtesting(
+        class_name="SimpleTestStrategy",
+        vt_symbol="510300.SSE",
+        interval="1d",
+        start=datetime(2025, 1, 1),
+        end=datetime(2026, 3, 1),
+        rate=3e-5,
+        slippage=0.002,
+        size=10000,
+        pricetick=0.001,
+        capital=1000000,
+        setting={}
+    )
+    
+    result = backtester_engine.get_result_statistics()
+    print("\n" + "="*60)
+    print("回测结果:")
+    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"总交易次数: {result.get('total_trades', 0)}")
+    print(f"胜率: {result.get('win_rate', 0):.2%}")
+    
+    trades = backtester_engine.get_all_trades()
+    print(f"\n交易记录: {len(trades)} 笔")
+    for t in trades:
+        direction_str = "LONG" if t.direction == Direction.LONG else "SHORT"
+        print(f"  {t.datetime.date()} {direction_str} @ {t.price:.2f} × {t.volume}")
+        
+    print("\n✅ 回测完成!")
+    
+except Exception as e:
+    print(f"❌ 失败: {e}")
+    import traceback
+    traceback.print_exc()