examples/portfolio_backtesting/backtesting_demo.ipynb · vn.py官方/vn.py

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backtesting_demo.ipynb 2.89 KB

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 28,
   "metadata": {},
   "outputs": [],
   "source": [
    "from datetime import datetime\n",
    "from importlib import reload\n",
    "\n",
    "import vnpy_portfoliostrategy\n",
    "reload(vnpy_portfoliostrategy)\n",
    "\n",
    "from vnpy_portfoliostrategy import BacktestingEngine\n",
    "from vnpy.trader.constant import Interval\n",
    "from vnpy.trader.optimize import OptimizationSetting\n",
    "\n",
    "import vnpy_portfoliostrategy.strategies.pair_trading_strategy as stg\n",
    "reload(stg)\n",
    "from vnpy_portfoliostrategy.strategies.pair_trading_strategy import PairTradingStrategy\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 29,
   "metadata": {},
   "outputs": [],
   "source": [
    "engine = BacktestingEngine()\n",
    "engine.set_parameters(\n",
    "    vt_symbols=[\"y888.DCE\", \"p888.DCE\"],\n",
    "    interval=Interval.MINUTE,\n",
    "    start=datetime(2019, 1, 1),\n",
    "    end=datetime(2020, 4, 30),\n",
    "    rates={\n",
    "        \"y888.DCE\": 0/10000,\n",
    "        \"p888.DCE\": 0/10000\n",
    "    },\n",
    "    slippages={\n",
    "        \"y888.DCE\": 0,\n",
    "        \"p888.DCE\": 0\n",
    "    },\n",
    "    sizes={\n",
    "        \"y888.DCE\": 10,\n",
    "        \"p888.DCE\": 10\n",
    "    },\n",
    "    priceticks={\n",
    "        \"y888.DCE\": 1,\n",
    "        \"p888.DCE\": 1\n",
    "    },\n",
    "    capital=1_000_000,\n",
    ")\n",
    "\n",
    "setting = {\n",
    "    \"boll_window\": 20,\n",
    "    \"boll_dev\": 1,\n",
    "}\n",
    "engine.add_strategy(PairTradingStrategy, setting)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "scrolled": false
   },
   "outputs": [],
   "source": [
    "engine.load_data()\n",
    "engine.run_backtesting()\n",
    "df = engine.calculate_result()\n",
    "engine.calculate_statistics()\n",
    "engine.show_chart()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "setting = OptimizationSetting()\n",
    "setting.set_target(\"sharpe_ratio\")\n",
    "setting.add_parameter(\"boll_window\", 10, 30, 1)\n",
    "setting.add_parameter(\"boll_dev\", 1, 3, 1)\n",
    "\n",
    "engine.run_ga_optimization(setting)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "engine.run_bf_optimization(setting)"
   ]
  }
 ],
 "metadata": {
  "kernelspec": {
   "display_name": "Python 3",
   "language": "python",
   "name": "python3"
  },
  "language_info": {
   "codemirror_mode": {
    "name": "ipython",
    "version": 3
   },
   "file_extension": ".py",
   "mimetype": "text/x-python",
   "name": "python",
   "nbconvert_exporter": "python",
   "pygments_lexer": "ipython3",
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 },
 "nbformat": 4,
 "nbformat_minor": 2
}

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提交于 2023-10-17 21:40 . [Mod] code quality improvement

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