cfdaily
210 lines
8.2 KiB
Python
210 lines
8.2 KiB
Python
#!/usr/bin/env python3
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"""
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本地直接测试回测 - 直接在容器内运行，找到崩溃原因
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策略来自关羽将军：single_stock_stop_loss_final_correct.py
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参数：510300.SSE，2021-01-01 ~ 2026-03-01，stop_loss_pct=0.15
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"""
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# 先读取策略代码
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with open('/Users/chufeng/.openclaw/workspace-guanyu/pangtong-value/research/task-20260329-strategy-backtest/guanyu/single_stock_stop_loss_final_correct.py', 'r') as f:
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strategy_code = f.read()
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# 导入我们的RPC函数，直接调用测试
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import sys
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sys.path.insert(0, '/app')
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# 这里我们直接复制 final_rpc_correct.py 中的兼容性代码和run_strategy_backtest函数
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# 然后直接调用，看看哪里崩溃
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import types
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# ============================================
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# 🔥 复制vnpy.app兼容性模块
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# ============================================
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print("🔧 [TEST] 加载vnpy.app兼容性模块...")
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# 创建顶级模块
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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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# 创建子模块
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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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# 从实际模块映射类
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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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print(f" 确认: BacktesterEngine 的类型 = {type(BacktesterEngine)}, 是否是类 = {isinstance(BacktesterEngine, type)}")
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# ============================================
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# 兼容性修复完成，现在导入其他模块
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# ============================================
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from vnpy.event import EventEngine
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from vnpy.trader.engine import MainEngine
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import traceback
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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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"""直接测试run_strategy_backtest"""
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try:
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print(f"\n🚀 [TEST] 开始回测: {symbol} [{start} - {end}]")
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# 动态加载策略
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local_vars = {}
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exec(strategy_code, globals(), local_vars)
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# 查找CtaTemplate子类
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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 {
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"error": "策略代码中未找到CtaTemplate子类",
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"hint": "请确保策略继承自CtaTemplate"
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}
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StrategyClass = strategy_classes[0]
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print(f"✅ [TEST] 找到策略类: {StrategyClass.__name__}")
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# ============================================
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# 创建引擎 - 按照vnpy 4.x最新规范
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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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# ✅ vnpy 4.x 正确用法：add_app 添加类，MainEngine负责实例化
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print(f"🔧 [TEST] main_engine.add_app(BacktesterEngine) // 添加类，不是实例")
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print(f"🔧 [TEST] 确认: BacktesterEngine 的类型 = {type(BacktesterEngine)}, 是否是类 = {isinstance(BacktesterEngine, type)}")
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main_engine.add_app(BacktesterEngine)
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print(f"✅ [TEST] 添加到主引擎完成")
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print(f"🔧 [TEST] backtester_engine = main_engine.get_app(BacktesterEngine)")
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backtester_engine = main_engine.get_app(BacktesterEngine)
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print(f"✅ [TEST] get_app 返回: 类型 = {type(backtester_engine)}, 是否是实例 = {not isinstance(backtester_engine, type)}")
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# 双重保险：如果get_app返回的还是类，我们自己实例化
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if isinstance(backtester_engine, type):
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print(f"⚠️ [TEST] get_app 返回的还是类，手动实例化: 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] 手动实例化成功，现在是实例: 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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# 修复完成
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# ============================================
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# 格式化日期
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start_str = str(start)
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if len(start_str) == 8:
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start_str = f"{start_str[:4]}-{start_str[4:6]}-{start_str[6:8]}"
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end_str = str(end)
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if len(end_str) == 8:
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end_str = f"{end_str[:4]}-{end_str[4:6]}-{end_str[6:8]}"
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setting = {
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"vt_symbol": symbol,
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"interval": interval,
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"start_date": start_str,
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"end_date": end_str,
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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", 1000000.0),
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}
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print(f"✅ [TEST] 回测参数: {setting}")
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# ============================================
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# 🔥 这里确认：正确调用方法，不直接调用实例
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# ============================================
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print(f"🔧 [TEST] 执行回测: backtester_engine.run_backtesting(...)")
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# ✅ 正确写法：调用方法，不直接调用实例
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# ❌ 错误写法：result = backtester_engine(...)
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# ✅ 正确写法：result = backtester_engine.run_backtesting(...)
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result = backtester_engine.run_backtesting(
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strategy_class=StrategyClass,
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setting=setting
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)
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print(f"✅ [TEST] 回测完成: result = backtester_engine.run_backtesting(...)")
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# 获取结果
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statistics = backtester_engine.get_result_statistics()
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print(f"✅ [TEST] 回测完成，统计指标: {list(statistics.keys()) if statistics else '无'}")
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# 获取每日数据
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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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# 获取交易记录
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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 = {
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"error": str(e),
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"traceback": traceback.format_exc()
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}
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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=== 开始本地测试 ===")
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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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print("\n完整traceback:")
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print(result['traceback'])
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else:
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print(f"✅ 测试成功！")
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print(f"📊 统计指标: {list(result['statistics'].keys())}")
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print(f"💹 交易记录数量: {len(result['trades'])}")
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print(f"📈 每日数据行数: {len(result['daily_data'])}")
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