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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最终修复版本 v2 - 修复Interval枚举问题
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"""
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from datetime import datetime
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from vnpy.trader.constant import Interval
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# 策略代码直接嵌入
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strategy_code = '''"""
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单票固定比例止损策略 - vnpy CTA回测
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"""
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from vnpy_ctastrategy import (
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CtaTemplate,
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StopOrder,
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TickData,
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BarData,
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TradeData,
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OrderData,
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BarGenerator,
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ArrayManager,
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)
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from vnpy.trader.constant import Direction, Offset
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class SingleStockStopLossStrategy(CtaTemplate):
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"""单票固定比例止损策略 - 均线趋势跟踪+固定比例止损"""
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author = "关羽 (云长)"
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fast_window = 5
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slow_window = 20
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stop_loss_pct = 0.15
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parameters = ["fast_window", "slow_window", "stop_loss_pct"]
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variables = ["fast_ma", "slow_ma", "cost_price", "in_position"]
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def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
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super().__init__(cta_engine, strategy_name, vt_symbol, setting)
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self.bg = BarGenerator(self.on_bar)
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self.am = ArrayManager(max(self.slow_window + 10, 100))
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self.fast_ma = 0.0
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self.slow_ma = 0.0
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self.cost_price = 0.0
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self.in_position = False
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def on_init(self):
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self.write_log(f"策略初始化，fast={self.fast_window}, slow={self.slow_window}, stop_loss={self.stop_loss_pct:.1%}")
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self.put_event()
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def on_start(self):
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self.put_event()
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def on_stop(self):
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self.put_event()
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def on_bar(self, bar):
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self.am.update_bar(bar)
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if not self.am.inited:
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return
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self.fast_ma = self.am.sma(self.fast_window)
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self.slow_ma = self.am.sma(self.slow_window)
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have_signal = True
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if self.in_position and self.cost_price > 0:
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current_drawdown = (bar.close_price - self.cost_price) / self.cost_price
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if current_drawdown <= -self.stop_loss_pct:
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if self.pos > 0:
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self.sell(bar.close_price, self.pos)
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self.in_position = False
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have_signal = False
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if have_signal:
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if not self.in_position:
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if self.fast_ma > self.slow_ma:
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self.buy(bar.close_price, 1)
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self.cost_price = bar.close_price
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self.in_position = True
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else:
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if self.fast_ma < self.slow_ma:
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if self.pos > 0:
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self.sell(bar.close_price, self.pos)
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self.in_position = False
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self.put_event()
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def on_trade(self, trade):
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self.put_event()
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def on_order(self, order):
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self.put_event()
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def on_stop_order(self, stop_order):
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self.put_event()
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'''
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# 导入
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import sys
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import types
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# 兼容性模块
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print("🔧 [TEST] 加载vnpy.app兼容性模块...")
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vnpy_app_module = types.ModuleType('vnpy.app')
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sys.modules['vnpy.app'] = vnpy_app_module
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submodules = ['cta_strategy', 'cta_backtester', 'data_manager']
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for name in submodules:
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full_name = f'vnpy.app.{name}'
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submodule = types.ModuleType(full_name)
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sys.modules[full_name] = submodule
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setattr(vnpy_app_module, name, submodule)
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from vnpy_ctastrategy import CtaTemplate, CtaStrategyApp
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sys.modules['vnpy.app.cta_strategy'].CtaTemplate = CtaTemplate
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sys.modules['vnpy.app.cta_strategy'].CtaStrategyApp = CtaStrategyApp
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vnpy_app_module.CtaTemplate = CtaTemplate
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vnpy_app_module.CtaStrategyApp = CtaStrategyApp
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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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vnpy_app_module.BacktesterEngine = BacktesterEngine
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print("✅ [TEST] vnpy.app兼容性模块加载完成！")
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from vnpy.event import EventEngine
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from vnpy.trader.engine import MainEngine
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from datetime import datetime
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import traceback
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def str_to_interval(interval_str: str) -> Interval:
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"""字符串转Interval枚举"""
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mapping = {
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"1m": Interval.MINUTE,
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"5m": Interval.FIVE_MINUTE,
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"15m": Interval.FIFTEEN_MINUTE,
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"30m": Interval.THIRTY_MINUTE,
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"1h": Interval.HOUR,
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"4h": Interval.FOUR_HOUR,
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"1d": Interval.DAILY,
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"1w": Interval.WEEKLY,
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"d": Interval.DAILY,
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"daily": Interval.DAILY,
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}
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return mapping.get(interval_str.lower(), Interval.DAILY)
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def parse_date(date_int: int) -> datetime:
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"""将YYYYMMDD转为datetime"""
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s = str(date_int)
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year = int(s[:4])
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month = int(s[4:6])
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day = int(s[6:8])
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return datetime(year, month, day)
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def test_run_strategy_backtest(strategy_code: str, symbol: str, interval: str, start: int, end: int, **kwargs):
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try:
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print(f"\n🚀 [TEST] 开始回测: {symbol} [{start} - {end}]")
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local_vars = {}
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exec(strategy_code, globals(), local_vars)
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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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return {"error": "未找到CtaTemplate子类"}
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StrategyClass = strategy_classes[0]
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class_name = StrategyClass.__name__
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print(f"✅ [TEST] 找到策略类: {class_name}")
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# 把策略类添加到全局
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globals()[class_name] = StrategyClass
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# ============================================
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# 🔥 最终修复：完全按照vnpy 4.x官方签名
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# ============================================
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print(f"🔧 [TEST] 创建引擎...")
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event_engine = EventEngine()
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print(f"✅ [TEST] event_engine = EventEngine()")
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main_engine = MainEngine(event_engine)
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print(f"✅ [TEST] main_engine = MainEngine(event_engine)")
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# ✅ 正确做法：直接实例化，参数正确
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print(f"🔧 [TEST] BacktesterEngine 需要 main_engine + event_engine，直接实例化")
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print(f"🔧 [TEST] backtester_engine = BacktesterEngine(main_engine, event_engine)")
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backtester_engine = BacktesterEngine(main_engine, event_engine)
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print(f"✅ [TEST] 实例化成功，类型 = {type(backtester_engine)}")
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print(f"🔧 [TEST] backtester_engine.init_engine()")
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backtester_engine.init_engine()
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print(f"✅ [TEST] 初始化完成")
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# ============================================
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# 转换参数
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start_dt = parse_date(start)
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end_dt = parse_date(end)
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interval_enum = str_to_interval(interval)
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rate = kwargs.get("rate", 0.00003)
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slippage = kwargs.get("slippage", 0.2)
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size = kwargs.get("size", 1)
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pricetick = kwargs.get("pricetick", 0.2)
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capital = kwargs.get("capital", 1000000)
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setting = {
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"fast_window": 5,
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"slow_window": 20,
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"stop_loss_pct": 0.15
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}
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print(f"✅ [TEST] 参数准备完成:")
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print(f" class_name: {class_name}")
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print(f" vt_symbol: {symbol}")
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print(f" interval: {interval} → {interval_enum}")
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print(f" start: {start_dt}")
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print(f" end: {end_dt}")
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print(f" rate: {rate}")
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print(f" slippage: {slippage}")
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print(f" size: {size}")
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print(f" pricetick: {pricetick}")
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print(f" capital: {capital}")
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print(f" setting: {setting}")
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print(f"🔧 [TEST] 执行回测: backtester_engine.run_backtesting(...) 按照官方参数签名")
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# ✅ 完全按照官方签名传参
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backtester_engine.run_backtesting(
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class_name,
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symbol,
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interval_enum,
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start_dt,
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end_dt,
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rate,
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slippage,
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size,
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pricetick,
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capital,
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setting
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)
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print(f"✅ [TEST] 回测完成！")
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statistics = backtester_engine.get_result_statistics()
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print(f"✅ [TEST] 获取统计指标: {list(statistics.keys()) if statistics else '无'}")
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daily_df = backtester_engine.get_daily_df()
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if daily_df is not None and hasattr(daily_df, 'to_dict'):
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daily_data = daily_df.to_dict(orient='records')
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else:
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daily_data = []
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trades = backtester_engine.get_all_trades()
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trade_list = [t.__dict__ for t in trades] if trades else []
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return {
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"statistics": statistics,
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"trades": trade_list,
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"daily_data": daily_data
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}
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except Exception as e:
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error_info = {"error": str(e), "traceback": traceback.format_exc()}
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print(f"❌ [TEST] 回测错误: {error_info['error']}")
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print(error_info['traceback'])
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return error_info
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if __name__ == '__main__':
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print("\n=== 开始最终修复测试 v2 (修复Interval枚举) ===")
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result = test_run_strategy_backtest(
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strategy_code=strategy_code,
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symbol="510300.SSE",
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interval="1d",
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start=20210101,
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end=20260301,
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rate=0.00003,
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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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)
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print("\n=== 测试结果 ===")
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if 'error' in result:
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print(f"❌ 测试失败: {result['error']}")
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else:
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print(f"✅ 测试成功！")
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print(f"📊 总收益率: {result['statistics'].get('total_return', 'N/A'):.2%}")
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print(f"📊 夏普比率: {result['statistics'].get('sharpe_ratio', 'N/A'):.2f}")
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print(f"📊 最大回撤: {result['statistics'].get('max_drawdown', 'N/A'):.2%}")
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print(f"💹 交易记录数量: {len(result['trades'])}")
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