cfdaily
209 lines
6.6 KiB
Python
209 lines
6.6 KiB
Python
#!/usr/bin/env python3
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"""
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关羽完整策略回测 - 直接RPC调用，绕过API超时
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"""
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import zmq
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import json
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import traceback
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# 关羽完整策略代码
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strategy_code = '''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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# 策略参数
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fast_window = 5 # 短期均线窗口
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slow_window = 20 # 长期均线窗口
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stop_loss_pct = 0.15 # 止损比例，亏损超过这个比例止损
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# 参数列表
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parameters = ["fast_window", "slow_window", "stop_loss_pct"]
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# 变量列表
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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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"""初始化"""
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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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# 均线数值
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self.fast_ma = 0.0
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self.slow_ma = 0.0
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# 开仓成本
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self.cost_price = 0.0
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# 是否持仓
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self.in_position = False
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def on_init(self):
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"""初始化策略"""
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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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"""启动策略"""
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self.put_event()
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def on_stop(self):
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"""停止策略"""
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self.put_event()
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def on_bar(self, bar):
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"""K线更新"""
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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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# 计算均线
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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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# 检查止损（只有持仓时才检查）
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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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# 触发止损，全部平仓
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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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# 如果没有触发止损，继续处理信号
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if have_signal:
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# 均线金叉死叉信号
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if not self.in_position:
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# 金叉：短期上穿长期，开多
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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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else:
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# 死叉：短期下穿长期，平多
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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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"""交易成交回调"""
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self.put_event()
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def on_order(self, order):
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"""订单回调"""
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self.put_event()
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def on_stop_order(self, stop_order):
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"""停止单回调"""
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self.put_event()
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'''
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# RPC请求 - 关羽完整参数
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request = {
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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": 1609459200,
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"end": 1772515200,
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"capital": 1000000,
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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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"data_source": "sqlite"
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}
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print("🔗 连接RPC: tcp://127.0.0.1:8008")
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context = zmq.Context()
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socket = context.socket(zmq.REQ)
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socket.setsockopt(zmq.LINGER, 0)
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socket.connect("tcp://127.0.0.1:8008")
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socket.setsockopt(zmq.RCVTIMEO, 600000) # 10分钟超时
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socket.setsockopt(zmq.SNDTIMEO, 600000)
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print("🚀 发送关羽完整策略回测请求:")
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print(f" 标的: {request['symbol']}")
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print(f" 区间: {request['start']} ~ {request['end']}")
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print(f" 止损: {request['rate']}")
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print(f" 等待响应... 需要几分钟")
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try:
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socket.send_string(json.dumps(request))
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response_json = socket.recv_string()
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response = json.loads(response_json)
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if "error" in response:
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print(f"\n❌ ERROR: {response['error']}")
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if "traceback" in response:
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print("\nTraceback:")
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print(response["traceback"])
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else:
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print("\n✅ SUCCESS!")
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print("\n" + "=" * 70)
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print("关羽 510300.SSE 完整回测结果 (2021-01-01 ~ 2026-03-01, 止损15%):")
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print("=" * 70)
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if "statistics" in response:
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stats = response["statistics"]
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print(f"\n📊 绩效指标:")
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print(f" 总收益率: {stats.get('total_return', 0):.2%}")
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print(f" 年化收益率: {stats.get('annual_return', 0):.2%}")
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print(f" 最大回撤: {stats.get('max_drawdown', 0):.2%}")
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print(f" 夏普比率: {stats.get('sharpe_ratio', 0):.2f}")
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print(f" 卡玛比率: {stats.get('calmar_ratio', 0):.2f}")
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print(f" 总交易次数: {stats.get('total_trades', 0)}")
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print(f" 胜率: {stats.get('win_rate', 0):.2%}")
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print(f" 盈亏比: {stats.get('profit_loss_ratio', 0):.2f}")
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if "trades" in response:
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trades = response["trades"]
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print(f"\n📝 交易记录: 共 {len(trades)} 笔")
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if len(trades) > 0:
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print(f"\n 前10笔交易:")
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for idx, trade in enumerate(trades[:10], 1):
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dt = trade.get('datetime', '')[:10] if trade.get('datetime') else ''
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direction = trade.get('direction', '')
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price = trade.get('price', 0)
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volume = trade.get('volume', 0)
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print(f" {idx}. {dt} {direction} @ {price:.2f} × {volume}")
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if len(trades) > 10:
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print(f" ... 还有 {len(trades) - 10} 笔")
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print("\n" + "=" * 70)
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print("回测完成!")
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print("=" * 70)
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except zmq.error.Again:
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print("\n⏱️ ❌ TIMEOUT: 超过10分钟仍未完成 (很可能是OOM)")
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except Exception as e:
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print(f"\n❌ ERROR: {e}")
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traceback.print_exc()
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finally:
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socket.close()
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context.term()
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