cfdaily
263 lines
9.2 KiB
Python
Executable File
263 lines
9.2 KiB
Python
Executable File
"""
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自动化回测服务 - 任务执行器
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调用 vnpy 4.x BacktestingEngine 执行回测
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"""
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import os
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import sys
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import tempfile
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import traceback
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from datetime import datetime
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from typing import Optional
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import matplotlib
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matplotlib.use("Agg") # 无头模式，服务器上不能弹窗
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import matplotlib.pyplot as plt
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import pandas as pd
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# vnpy 4.x import路径（与3.x不同）
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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_ctastrategy.backtesting import BacktestingEngine
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from vnpy.trader.constant import Interval, Exchange
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from .config import settings
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from .models import BacktestTask, BacktestResult, BacktestStatistics, TaskStatus, BacktestTaskWithId
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from .result_storage import storage
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# vnpy 4.x精简了Interval枚举，不再有FIVE_MINUTE等细分
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INTERVAL_MAP = {
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"1m": Interval.MINUTE,
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"5m": Interval.MINUTE,
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"15m": Interval.MINUTE,
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"30m": Interval.MINUTE,
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"1h": Interval.HOUR,
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"4h": Interval.HOUR,
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"1d": Interval.DAILY,
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"1w": Interval.WEEKLY,
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}
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# 交易所映射
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EXCHANGE_MAP = {
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"SSE": Exchange.SSE,
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"SZSE": Exchange.SZSE,
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"CFFEX": Exchange.CFFEX,
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"SHFE": Exchange.SHFE,
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"DCE": Exchange.DCE,
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"CZCE": Exchange.CZCE,
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"INE": Exchange.INE,
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"GFEX": Exchange.GFEX,
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}
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def _parse_vt_symbol(vt_symbol: str):
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"""解析vt_symbol为symbol和exchange，如 '000001.SZ' → ('000001', Exchange.SZSE)"""
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if "." in vt_symbol:
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symbol, exchange_str = vt_symbol.rsplit(".", 1)
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exchange = EXCHANGE_MAP.get(exchange_str.upper())
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if exchange is None:
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# 尝试模糊匹配
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exchange_str_upper = exchange_str.upper()
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for key, val in EXCHANGE_MAP.items():
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if key.startswith(exchange_str_upper[:2]):
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exchange = val
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break
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if exchange is None:
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exchange = Exchange.SZSE # 默认深交所
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return symbol, exchange
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return vt_symbol, Exchange.SZSE
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class BacktestExecutor:
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"""回测任务执行器 - 适配vnpy 4.x"""
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def __init__(self):
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pass
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def _load_strategy(self, task: BacktestTask):
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"""动态加载策略代码"""
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strategy_code = task.strategy_code
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temp_dir = tempfile.mkdtemp()
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sys.path.insert(0, temp_dir)
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strategy_file = os.path.join(temp_dir, "strategy.py")
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with open(strategy_file, "w", encoding="utf-8") as f:
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f.write(strategy_code)
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import importlib
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spec = importlib.util.spec_from_file_location("dynamic_strategy", strategy_file)
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module = importlib.util.module_from_spec(spec)
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sys.modules["dynamic_strategy"] = module
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spec.loader.exec_module(module)
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# 找CtaTemplate子类
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from vnpy_ctastrategy import CtaTemplate
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strategy_class = None
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for attr_name in dir(module):
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attr = getattr(module, attr_name)
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if isinstance(attr, type) and issubclass(attr, CtaTemplate) and attr is not CtaTemplate:
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strategy_class = attr
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break
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if not strategy_class:
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raise ValueError("策略代码中没有找到 CtaTemplate 子类，请检查策略代码")
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return strategy_class
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def execute_backtest(self, task: BacktestTaskWithId) -> BacktestResult:
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"""执行一次回测"""
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start_time = datetime.now()
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started_at = start_time.isoformat()
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task.status = TaskStatus.RUNNING
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task.started_at = started_at
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storage.save_task(task)
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result = BacktestResult(
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task_id=task.task_id,
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strategy_name=task.strategy_name,
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status=TaskStatus.RUNNING,
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result_csv_path="",
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created_at=task.created_at,
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started_at=started_at,
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)
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try:
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# 加载策略类
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strategy_class = self._load_strategy(task)
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# 解析vt_symbol
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symbol, exchange = _parse_vt_symbol(task.symbol)
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# 获取interval
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interval = INTERVAL_MAP.get(task.interval, Interval.DAILY)
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# 创建回测引擎
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engine = BacktestingEngine()
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# 设置回测参数
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engine.set_parameters(
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vt_symbol=task.symbol,
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interval=interval,
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start=task.start_date,
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end=task.end_date,
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rate=0.3 / 10000, # 手续费率万三
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slippage=0.1, # 滑点0.1
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size=1, # 合约乘数
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pricetick=task.tick_size or 0.01, # 最小价格变动
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capital=task.capital,
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)
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# 添加策略
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engine.add_strategy(strategy_class, task.parameters)
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# 加载历史数据
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# 优先从CSV文件加载（/app/data目录通过volume挂载NAS数据）
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data_loaded = False
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data_dir = settings.base_dir.replace("backtest_jobs", "data")
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# 尝试多种数据加载方式
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try:
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# 方式1: 使用vnpy内置数据加载
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engine.load_data()
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data_loaded = True
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except Exception:
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pass
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if not data_loaded:
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raise ValueError(
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f"无法加载 {task.symbol} 在 [{task.start_date}, {task.end_date}] 的历史数据。"
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f"请确保数据已导入vnpy数据库或可通过CSV加载。"
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)
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# 运行回测
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engine.run_backtesting()
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# 计算统计结果
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df = engine.calculate_result()
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statistics = engine.calculate_statistics()
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# 转换为数据模型
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stats = BacktestStatistics(
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start_date=str(task.start_date),
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end_date=str(task.end_date),
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total_days=int(statistics.get("total_days", 0)),
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total_trades=int(statistics.get("total_trades", 0)),
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winning_trades=int(statistics.get("winning_trades", 0)),
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losing_trades=int(statistics.get("losing_trades", 0)),
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win_rate=float(statistics.get("win_rate", 0)),
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total_return=float(statistics.get("total_return", 0)),
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annual_return=float(statistics.get("annual_return", 0)),
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sharpe_ratio=float(statistics.get("sharpe_ratio", 0)),
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max_drawdown=float(statistics.get("max_drawdown", 0)),
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max_drawdown_start=str(statistics.get("max_drawdown_start", "")),
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max_drawdown_end=str(statistics.get("max_drawdown_end", "")),
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profit_factor=float(statistics.get("profit_factor", 0)),
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calmar_ratio=float(statistics.get("calmar_ratio", 0)),
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)
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# 保存净值CSV
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result_csv_path = storage.get_task_path(task.task_id, TaskStatus.COMPLETED, "equity.csv")
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os.makedirs(os.path.dirname(result_csv_path), exist_ok=True)
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if df is not None and not df.empty:
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df.to_csv(result_csv_path)
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# 绘制收益曲线
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png_path = storage.get_task_path(task.task_id, TaskStatus.COMPLETED, "equity_curve.png")
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self._plot_equity_curve(df, png_path)
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# 保存成交记录
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trades_csv_path = None
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try:
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trades = engine.get_all_trades() if hasattr(engine, 'get_all_trades') else []
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if trades:
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trades_df = pd.DataFrame([t.__dict__ for t in trades])
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trades_csv_path = storage.get_task_path(task.task_id, TaskStatus.COMPLETED, "trades.csv")
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trades_df.to_csv(trades_csv_path, index=False)
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except Exception:
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pass
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# 完成结果
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result.status = TaskStatus.COMPLETED
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result.statistics = stats
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result.result_csv_path = result_csv_path
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result.equity_curve_png_path = png_path
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result.trades_csv_path = trades_csv_path
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result.completed_at = datetime.now().isoformat()
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storage.save_result(result)
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return result
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except Exception as e:
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error_msg = f"{str(e)}\n{traceback.format_exc()}"
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result.status = TaskStatus.FAILED
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result.error_message = error_msg
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result.completed_at = datetime.now().isoformat()
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storage.save_result(result)
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return result
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def _plot_equity_curve(self, df: pd.DataFrame, output_path: str):
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"""绘制收益曲线"""
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plt.figure(figsize=(12, 6))
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if df is not None and not df.empty:
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if "equity" in df.columns:
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plt.plot(df.index, df["equity"], label="净值曲线", linewidth=2)
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elif "net_pnl" in df.columns:
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cumulative = df["net_pnl"].cumsum()
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plt.plot(df.index, cumulative, label="累计收益", linewidth=2)
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elif "balance" in df.columns:
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plt.plot(df.index, df["balance"], label="账户余额", linewidth=2)
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plt.title("回测收益曲线")
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plt.xlabel("时间")
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plt.ylabel("净值")
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plt.grid(True, alpha=0.3)
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plt.legend()
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plt.tight_layout()
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plt.savefig(output_path, dpi=150)
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plt.close()
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executor = BacktestExecutor()
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