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 +1,154 @@
+#!/usr/bin/env python3
+"""
+在Docker容器内直接运行回测 - 简化版
+"""
+
+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
+sys.modules['vnpy.app.cta_strategy'].CtaTemplate = CtaTemplate
+
+from vnpy_ctabacktester import BacktesterEngine
+sys.modules['vnpy.app.cta_backtester'].BacktesterEngine = BacktesterEngine
+
+# 导入其他必要模块
+from vnpy.event import EventEngine
+from vnpy.trader.engine import MainEngine
+from vnpy.trader.constant import Exchange, Interval
+from vnpy.trader.database import get_database
+from datetime import datetime
+import traceback
+
+# 定义策略
+class TestStrategy(CtaTemplate):
+    """简化测试策略"""
+    parameters = []
+    variables = []
+    
+    def on_init(self):
+        self.write_log("策略初始化")
+        self.load_bar(100)
+    
+    def on_bar(self, bar):
+        # 简单策略：第一天买入，最后一天卖出
+        if self.bar_count == 100:
+            self.write_log("首次进入，不操作")
+        elif self.bar_count == 101:
+            if self.pos == 0:
+                self.buy(bar.close_price, 10000)
+                self.write_log(f"买入: {bar.close_price}")
+        elif self.bar_count == 1044:  # 接近最后一天
+            if self.pos > 0:
+                self.sell(bar.close_price, abs(self.pos))
+                self.write_log(f"卖出: {bar.close_price}")
+
+print("=" * 80)
+print("🚀 初始化回测引擎...")
+print("=" * 80)
+
+event_engine = EventEngine()
+main_engine = MainEngine(event_engine)
+
+backtester_engine = BacktesterEngine(main_engine, event_engine)
+backtester_engine.classes["TestStrategy"] = TestStrategy
+
+print("✅ BacktesterEngine 初始化完成")
+
+# 加载数据
+print("\n加载数据...")
+db = get_database()
+
+symbol = "510300"
+exchange = Exchange.SSE
+interval = Interval.DAILY
+start = datetime(2021, 1, 1)
+end = datetime(2026, 3, 1)
+
+bars = db.load_bar_data(symbol, exchange, interval, start, end)
+print(f"✅ 加载了 {len(bars)} 条bar数据")
+
+if len(bars) == 0:
+    print("❌ 数据为空，无法回测")
+    sys.exit(1)
+
+print(f"时间范围: {bars[0].datetime} ~ {bars[-1].datetime}")
+
+# 运行回测
+print("\n运行回测...")
+
+backtester_setting = {
+    "vt_symbol": "510300.SSE",
+    "interval": "1d",
+    "start": start,
+    "end": end,
+    "rate": 0.00003,
+    "slippage": 0.002,
+    "size": 10000,
+    "pricetick": 0.001,
+    "capital": 1000000,
+}
+
+print(f"回测参数: {backtester_setting}")
+
+try:
+    # 设置回测参数 (按照官方API)
+    backtester_engine.capital = backtester_setting["capital"]
+    backtester_engine.rate = backtester_setting["rate"]
+    backtester_engine.slippage = backtester_setting["slippage"]
+    backtester_engine.size = backtester_setting["size"]
+    backtester_engine.pricetick = backtester_setting["pricetick"]
+    
+    # 设置策略
+    backtester_engine.strategy_name = "TestStrategy"
+    backtester_engine.strategy_class = TestStrategy
+    backtester_engine.strategy_setting = {}
+    
+    # 设置时间范围
+    backtester_engine.start = backtester_setting["start"]
+    backtester_engine.end = backtester_setting["end"]
+    backtester_engine.interval = backtester_setting["interval"]
+    backtester_engine.symbol = symbol
+    backtester_engine.exchange = exchange
+    
+    print("✅ 参数设置完成")
+    
+    # 运行回测 (会自动加载数据)
+    backtester_engine.run_backtesting()
+    
+    print("✅ 回测完成")
+    
+    # 获取结果
+    result = backtester_engine.calculate_result()
+    
+    print("\n" + "=" * 80)
+    print("回测结果:")
+    print("=" * 80)
+    
+    # 打印关键指标
+    print(f"总收益率: {result['total_return']:.2%}")
+    print(f"年化收益率: {result['annual_return']:.2%}")
+    print(f"最大回撤: {result['max_drawdown']:.2%}")
+    print(f"夏普比率: {result['sharpe_ratio']:.2f}")
+    print(f"总交易次数: {result['total_trades']}")
+    print(f"胜率: {result['win_rate']:.2%}")
+    
+    print("\n详细结果:")
+    for key, value in result.items():
+        print(f"  {key}: {value}")
+    
+except Exception as e:
+    print(f"❌ 回测失败: {e}")
+    traceback.print_exc()
+    sys.exit(1)
+
+print("\n✅ 回测执行完成!")