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 +1,114 @@
+#!/usr/bin/env python3
+"""
+通过RPC测试 - 缩短到半年验证修复
+"""
+
+import zmq
+import json
+import traceback
+
+# 简化策略 - 简单买入持有
+strategy_code = '''
+from vnpy_ctastrategy import CtaTemplate, BarGenerator, ArrayManager
+from vnpy.trader.constant import Direction
+
+class SimpleTestStrategy(CtaTemplate):
+    author = "测试"
+    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(150)
+        self.write_log("策略初始化")
+        
+    def on_bar(self, bar):
+        self.am.update_bar(bar)
+        if not self.am.inited:
+            return
+        
+        # 第一天收盘买入，一直持有
+        if not self.in_position:
+            self.buy(bar.close_price, 10000)
+            self.in_position = True
+            self.write_log(f"买入开仓 @ {bar.close_price:.2f}")
+        
+        self.put_event()
+'''
+
+# RPC请求 - 缩短到半年（2025-09-01 ~ 2026-03-01）≈120条K线
+request = {
+    "strategy_code": strategy_code,
+    "symbol": "510300.SSE",
+    "interval": "1d",
+    "start": 1725081600,  # 2025-09-01
+    "end": 1772515200,    # 2026-03-01
+    "capital": 1000000,
+    "rate": 3e-5,
+    "slippage": 0.002,
+    "size": 10000,
+    "pricetick": 0.001,
+    "data_source": "sqlite"
+}
+
+print("Connecting to RPC: tcp://127.0.0.1:8008")
+context = zmq.Context()
+socket = context.socket(zmq.REQ)
+socket.setsockopt(zmq.LINGER, 0)
+socket.connect("tcp://127.0.0.1:8008")
+socket.setsockopt(zmq.RCVTIMEO, 120000)
+socket.setsockopt(zmq.SNDTIMEO, 120000)
+
+print("Sending request (半年区间)...")
+socket.send_string(json.dumps(request))
+
+print("Waiting for response...")
+try:
+    response_json = socket.recv_string()
+    response = json.loads(response_json)
+    
+    if "error" in response:
+        print(f"\n❌ ERROR: {response['error']}")
+        if "traceback" in response:
+            print("\nTraceback:")
+            print(response["traceback"])
+    else:
+        print("\n✅ SUCCESS!")
+        print("\n" + "=" * 60)
+        print("回测结果:")
+        print("=" * 60)
+        
+        if "statistics" in response:
+            stats = response["statistics"]
+            print(f"\n📊 绩效指标:")
+            print(f"   总收益率: {stats.get('total_return', 0):.2%}")
+            print(f"   年化收益率: {stats.get('annual_return', 0):.2%}")
+            print(f"   最大回撤: {stats.get('max_drawdown', 0):.2%}")
+            print(f"   夏普比率: {stats.get('sharpe_ratio', 0):.2f}")
+            print(f"   总交易次数: {stats.get('total_trades', 0)}")
+            print(f"   胜率: {stats.get('win_rate', 0):.2%}")
+
+        if "trades" in response:
+            trades = response["trades"]
+            print(f"\n📝 交易记录: 共 {len(trades)} 笔")
+            
+            for idx, trade in enumerate(trades, 1):
+                print(f"   {idx}. {trade.get('datetime', '')[:10]} {trade.get('direction', '')} @ {trade.get('price', 0):.2f} × {trade.get('volume', 0)}")
+
+        print("\n" + "=" * 60)
+        print("回测完成!")
+        print("=" * 60)
+
+except zmq.error.Again:
+    print("\n❌ TIMEOUT: 超过2分钟仍未完成")
+except Exception as e:
+    print(f"\n❌ ERROR: {e}")
+    traceback.print_exc()
+finally:
+    socket.close()
+    context.term()