cfdaily
118 lines
3.4 KiB
Python
118 lines
3.4 KiB
Python
#!/usr/bin/env python3
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"""
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直接调用RPC服务执行回测 - 不经过HTTP
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"""
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import zmq
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import json
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from datetime import datetime
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print("=" * 80)
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print("🚀 通过RPC执行回测")
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print("=" * 80)
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# ZMQ配置
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ZMQ_HOST = "127.0.0.1"
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ZMQ_PORT = 8008
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ZMQ_TIMEOUT = 30000 # 30秒
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# 读取策略代码
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strategy_file = "/Users/chufeng/.openclaw/workspace-guanyu/pangtong-value/research/task-20260329-strategy-backtest/guanyu/single_stock_stop_loss_final_correct.py"
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with open(strategy_file, 'r', encoding='utf-8') as f:
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strategy_code = f.read()
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print(f"✅ 策略代码: {len(strategy_code)} 字符")
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# 创建请求
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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("\n请求配置:")
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print(f" 标的: {request['symbol']}")
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print(f" 时间: 2021-01-01 ~ 2026-03-01")
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print(f" 资金: {request['capital']:,}")
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print(f" 止损: 15%")
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# 连接到RPC
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print(f"\n连接RPC: {ZMQ_HOST}:{ZMQ_PORT}")
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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) # 不等待未发送的消息
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socket.connect(f"tcp://{ZMQ_HOST}:{ZMQ_PORT}")
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# 设置超时
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socket.setsockopt(zmq.RCVTIMEO, ZMQ_TIMEOUT)
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socket.setsockopt(zmq.SNDTIMEO, ZMQ_TIMEOUT)
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# 发送请求
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print("\n发送请求...")
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request_json = json.dumps(request)
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socket.send_string(request_json)
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print("✅ 请求已发送，等待响应...")
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# 接收响应
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try:
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response_json = socket.recv_string()
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response = json.loads(response_json)
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print("✅ 收到响应")
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if "error" in response:
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print(f"\n❌ 回测失败: {response['error']}")
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if "traceback" in response:
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print("\n错误堆栈:")
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print(response["traceback"])
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else:
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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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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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for idx, trade in enumerate(trades, 1):
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print(f" {idx}. {trade.get('datetime')} {trade.get('direction')} {trade.get('symbol')} @ {trade.get('price'):.2f} × {trade.get('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 zmq.error.Again:
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print("❌ 请求超时: RPC服务响应时间过长")
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except Exception as e:
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print(f"❌ 接收响应失败: {e}")
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import traceback
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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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