cfdaily
170 lines
5.2 KiB
Python
170 lines
5.2 KiB
Python
#!/usr/bin/env python3
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"""
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关羽完整策略回测请求 - 在容器内执行
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"""
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import json
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from urllib.request import Request, urlopen
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from urllib.error import URLError
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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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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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'''
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# 请求数据 - 关羽完整参数
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request_data = {
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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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# 发送请求
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try:
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url = 'http://127.0.0.1:8088/api/backtest/run'
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data = json.dumps(request_data).encode('utf-8')
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req = Request(url, data=data, method='POST')
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req.add_header('Content-Type', 'application/json')
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print("🔄 发送关羽完整策略回测请求 (5年区间)...")
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print(" 标的: 510300.SSE")
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print(" 区间: 2021-01-01 ~ 2026-03-01")
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print(" 止损: 15%")
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print(" 等待响应... 可能需要几分钟")
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with urlopen(req, timeout=300) as f:
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response = f.read().decode('utf-8')
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print("\n" + "="*70)
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print("回测结果:")
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print("="*70)
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print(response)
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print("="*70)
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except URLError as e:
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print(f"❌ 请求失败: {e}")
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except Exception as e:
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print(f"❌ 错误: {e}")
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import traceback
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traceback.print_exc()
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