cfdaily
199 lines
6.3 KiB
Python
199 lines
6.3 KiB
Python
#!/usr/bin/env python3
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"""
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在Docker容器内执行回测 - 完整版
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"""
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import types
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import sys
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# vnpy.app 兼容性
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vnpy_app = types.ModuleType('vnpy.app')
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sys.modules['vnpy.app'] = vnpy_app
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for name in ['cta_strategy', 'cta_backtester', 'data_manager']:
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mod = types.ModuleType(f'vnpy.app.{name}')
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sys.modules[f'vnpy.app.{name}'] = mod
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setattr(vnpy_app, name, mod)
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from vnpy_ctastrategy import (
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CtaTemplate, StopOrder, TickData, BarData, TradeData, OrderData, BarGenerator, ArrayManager
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)
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sys.modules['vnpy.app.cta_strategy'].CtaTemplate = CtaTemplate
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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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from vnpy.event import EventEngine
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from vnpy.trader.engine import MainEngine
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from vnpy.trader.constant import Exchange, Interval, Direction, Offset
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from vnpy.trader.database import get_database
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from datetime import datetime
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import traceback
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# ============================================
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# 策略代码
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# ============================================
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STRATEGY_CODE = '''
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"""
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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, StopOrder, TickData, BarData, TradeData, OrderData, BarGenerator, 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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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(30, 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_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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self.write_log(f"触发止损：成本{self.cost_price:.2f}，当前{bar.close_price:.2f}，回撤{current_drawdown:.1%}")
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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, 10000)
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self.cost_price = bar.close_price
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self.in_position = True
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self.write_log(f"金叉开多：价格{bar.close_price:.2f}")
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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.write_log(f"死叉平仓：价格{bar.close_price:.2f}")
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self.put_event()
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'''
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# 执行策略代码
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local_vars = {
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'CtaTemplate': CtaTemplate,
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'StopOrder': StopOrder,
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'TickData': TickData,
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'BarData': BarData,
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'TradeData': TradeData,
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'OrderData': OrderData,
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'BarGenerator': BarGenerator,
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'ArrayManager': ArrayManager,
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'Direction': Direction,
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'Offset': Offset,
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}
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exec(STRATEGY_CODE, globals(), local_vars)
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# 查找策略类
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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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print("❌ 未找到CtaTemplate子类")
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sys.exit(1)
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StrategyClass = strategy_classes[0]
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class_name = StrategyClass.__name__
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print("=" * 80)
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print("🚀 回测执行 - 510300.SSE + 关羽15%止损")
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print("=" * 80)
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print(f"✅ 策略类: {class_name}")
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# 初始化引擎
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event_engine = EventEngine()
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main_engine = MainEngine(event_engine)
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backtester_engine = BacktesterEngine(main_engine, event_engine)
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backtester_engine.classes[class_name] = StrategyClass
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print("✅ 引擎初始化完成")
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# 运行回测
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print("\n运行回测...")
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try:
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backtester_engine.run_backtesting(
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class_name=class_name,
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vt_symbol="510300.SSE",
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interval="1d",
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start=datetime(2021, 1, 1),
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end=datetime(2026, 3, 1),
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rate=3e-5,
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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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setting={"stop_loss_pct": 0.15}
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)
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print("✅ 回测完成")
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result = backtester_engine.get_result_statistics()
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print("\n" + "=" * 80)
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print("回测结果:")
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print("=" * 80)
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print(f"\n📊 绩效指标:")
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print(f" 总收益率: {result.get('total_return', 0):.2%}")
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print(f" 年化收益率: {result.get('annual_return', 0):.2%}")
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print(f" 最大回撤: {result.get('max_drawdown', 0):.2%}")
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print(f" 夏普比率: {result.get('sharpe_ratio', 0):.2f}")
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print(f" 卡玛比率: {result.get('calmar_ratio', 0):.2f}")
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print(f" 总交易次数: {result.get('total_trades', 0)}")
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print(f" 胜率: {result.get('win_rate', 0):.2%}")
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print(f" 盈亏比: {result.get('profit_loss_ratio', 0):.2f}")
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trades = backtester_engine.get_all_trades()
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print(f"\n📝 交易记录: 共 {len(trades)} 笔")
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for idx, trade in enumerate(trades, 1):
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direction_str = "买入" if trade.direction == Direction.LONG else "卖出"
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offset_str = "开仓" if trade.offset == Offset.OPEN else "平仓"
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print(f" {idx}. {trade.datetime} {direction_str}{offset_str} {trade.symbol} @ {trade.price:.2f} × {trade.volume}")
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print("\n" + "=" * 80)
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print("✅ 回测执行完成!")
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print("=" * 80)
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except Exception as e:
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print(f"❌ 回测失败: {e}")
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traceback.print_exc()
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sys.exit(1)
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