cfdaily
337 lines
12 KiB
Python
337 lines
12 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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# 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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策略逻辑：
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- 标的：沪深300ETF (510300.SSE)
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- 简单均线趋势跟踪：金叉开多，死叉平多
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- 开多后，如果价格从开仓价下跌超过X%，立即止损平仓
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- 测试不同止损比例对策略绩效的影响
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回测目标：验证不同止损比例对胜率、盈亏比、最大回撤的影响
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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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# 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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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%}，止损卖出")
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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, 1) # 1手
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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}，均线fast{self.fast_ma:.2f} slow{self.slow_ma:.2f}")
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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.write_log(f"🔵 死叉平仓：价格{bar.close_price:.2f}，均线fast{self.fast_ma:.2f} slow{self.slow_ma:.2f}")
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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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if __name__ == "__main__":
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# 测试
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print("=== 单票固定比例止损策略 测试 ===")
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print(f"默认参数：fast=5, slow=20, stop_loss=15%")
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print("策略初始化完成，等待回测")
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'''
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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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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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