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@Channelchan 2018-11-28T17:56:43.000000Z 字数 13691 阅读 61310

4_MA+RSI_Portfolio

回测引擎设置

  1. from vnpy.trader.app.ctaStrategy import BacktestingEngine
  2. import pandas as pd
  4. def runBacktesting(strategyClass, settingDict,
  5.                    startDate, endDate, slippage, rate):
  6.     engine = BacktestingEngine()
  7.     engine.setBacktestingMode(engine.BAR_MODE)  # 设置引擎的回测模式为K线
  8.     engine.setDatabase('VnTrader_1Min_Db')    # 设置使用的历史数据库
  9.     engine.setStartDate(startDate, initHours=200)   # 设置回测用的数据起始日期
  10.     engine.setEndDate(endDate)     # 设置回测用的数据结束日期
  11.     engine.setSlippage(slippage)    # 设置滑点
  12.     engine.setRate(rate)             # 设置手续费万0.3
  13.     engine.initStrategy(strategyClass, settingDict)
  14.     engine.setCapital(100000)     # 设置回测本金
  15.     engine.runBacktesting()
  16.     #显示逐日回测结果
  17.     engine.showDailyResult()
  18.     #显示逐笔回测结果
  19.     engine.showBacktestingResult()
  20.     # 计算回测结果
  21.     df = engine.calculateDailyResult()
  22.     return df

均线止损策略

  1. from vnpy.trader.vtConstant import *
  2. from vnpy.trader.app.ctaStrategy import CtaTemplate
  3. import talib as ta
  5. ########################################################################
  6. # 策略继承CtaTemplate
  7. class MultiFrameMaStrategy(CtaTemplate):
  8.     className = 'MultiFrameMaStrategy'
  9.     author = 'ChannelCMT'
  11.     # 策略参数
  12.     fastPeriod = 20; slowPeriod = 40
  13.     signalMaPeriod = 20
  14.     stopRatio = 0.04
  15.     lot = 1
  17.     # 策略变量
  18.     maTrend = {} # 记录趋势状态，多头1，空头-1
  19.     transactionPrice = {} # 记录成交价格
  21.     # 参数列表，保存了参数的名称
  22.     paramList = [
  23.                  'fastPeriod',
  24.                  'slowPeriod',
  25.                  'signalMaPeriod',
  26.                  'stopRatio'
  27.                 ]    
  29.     # 变量列表，保存了变量的名称
  30.     varList = [
  31.                'maTrend',
  32.                'transactionPrice'
  33.               ]  
  35.     # 同步列表，保存了需要保存到数据库的变量名称
  36.     syncList = ['posDict', 'eveningDict']
  38.     #----------------------------------------------------------------------
  39.     def __init__(self, ctaEngine, setting):
  40.         super().__init__(ctaEngine, setting)
  42.     #----------------------------------------------------------------------
  43.     def onInit(self):
  44.         """初始化策略"""
  45.         self.writeCtaLog(u'策略初始化')
  46.         self.transactionPrice = {s:0 for s in self.symbolList} # 生成成交价格的字典
  47.         self.maTrend = {s:0 for s in self.symbolList}
  48.         self.putEvent()
  50.     #----------------------------------------------------------------------
  51.     def onStart(self):
  52.         """启动策略"""
  53.         self.writeCtaLog(u'策略启动')
  54.         self.putEvent()
  56.     #----------------------------------------------------------------------
  57.     def onStop(self):
  58.         """停止策略"""
  59.         self.writeCtaLog(u'策略停止')
  60.         self.putEvent()
  62.     #----------------------------------------------------------------------
  63.     def onTick(self, tick):
  64.         """收到行情TICK推送"""
  65.         pass
  67.     #----------------------------------------------------------------------
  68.     def onBar(self, bar):
  69.         """收到Bar推送"""
  70.         self.onBarStopLoss(bar)
  72.     def onBarStopLoss(self, bar):
  73.         symbol = bar.vtSymbol
  75.         # 计算止损止盈价位
  76.         longStop = self.transactionPrice[symbol]*(1-self.stopRatio)
  77.         longProfit = self.transactionPrice[symbol]*(1+3*self.stopRatio)
  78.         shortStop = self.transactionPrice[symbol]*(1+self.stopRatio)
  79.         shortProfit = self.transactionPrice[symbol]*(1-3*self.stopRatio)
  82.         # 洗价器
  83.         if (self.posDict[symbol+'_LONG'] > 0):
  84.             if (bar.close < longStop):
  85.                 print('LONG stopLoss')
  86.                 self.cancelAll()
  87.                 self.sell(symbol,bar.close*0.99, self.posDict[symbol+'_LONG'])
  88.             elif  (bar.close > longProfit):
  89.                 print('LONG takeProfit')
  90.                 self.cancelAll()
  91.                 self.sell(symbol,bar.close*0.99, self.posDict[symbol+'_LONG'])
  93.         elif (self.posDict[symbol+'_SHORT'] > 0):
  94.             if (bar.close > shortStop):
  95.                 print('SHORT stopLoss')
  96.                 self.cancelAll()
  97.                 self.cover(symbol,bar.close*1.01, self.posDict[symbol+'_SHORT'])
  98.             elif (bar.close < shortProfit):
  99.                 print('SHORT takeProfit')
  100.                 self.cancelAll()
  101.                 self.cover(symbol,bar.close*1.01, self.posDict[symbol+'_SHORT'])
  103.     #----------------------------------------------------------------------
  104.     def on60MinBar(self, bar):
  105.         """收到60MinBar推送"""
  106.         symbol = bar.vtSymbol
  108.         am60 = self.getArrayManager(symbol, "60m")
  110.         if not am60.inited:
  111.             return
  113.         # 计算均线并判断趋势
  114.         fastMa = ta.MA(am60.close, self.fastPeriod)
  115.         slowMa = ta.MA(am60.close, self.slowPeriod)
  117.         if fastMa[-1] > slowMa[-1]:
  118.             self.maTrend[symbol] = 1
  119.         else:
  120.             self.maTrend[symbol] = -1
  122.     #----------------------------------------------------------------------
  123.     def on15MinBar(self, bar):
  124.         """收到15MinBar推送"""
  125.         symbol = bar.vtSymbol
  127.         am15 = self.getArrayManager(symbol, "15m")
  129.         if not am15.inited:
  130.             return
  132.         signalMa = ta.EMA(am15.close, self.signalMaPeriod)
  134.         maUp = signalMa[-1]>signalMa[-3] # 均线上涨
  135.         maDn = signalMa[-1]<signalMa[-3] # 均线下跌
  137.         # 均线上涨， 趋势为多头， 多头没有持仓
  138.         if maUp and (self.maTrend[symbol]==1) and (self.posDict[symbol+'_LONG']==0):
  139.             if  (self.posDict[symbol+'_SHORT']==0):
  140.                 self.buy(symbol, bar.close*1.01, self.lot)  # 成交价*1.01发送高价位的限价单，以最优市价买入进场
  141.             elif (self.posDict[symbol+'_SHORT'] > 0):
  142.                 self.cancelAll() # 撤销挂单
  143.                 self.cover(symbol, bar.close*1.01, self.posDict[symbol+'_SHORT']) 
  144.                 self.buy(symbol, bar.close*1.01, self.lot)
  146.         # 均线下跌， 趋势为空头， 空头没有持仓
  147.         if maDn and (self.maTrend[symbol]==-1) and (self.posDict[symbol+'_SHORT']==0):
  148.             if (self.posDict[symbol+'_LONG']==0):
  149.                 self.short(symbol, bar.close*0.99, self.lot) # 成交价*0.99发送低价位的限价单，以最优市价卖出进场
  150.             elif (self.posDict[symbol+'_LONG'] > 0):
  151.                 self.cancelAll() # 撤销挂单
  152.                 self.sell(symbol, bar.close*0.99, self.posDict[symbol+'_LONG'])
  153.                 self.short(symbol, bar.close*0.99, self.lot)
  154.         self.putEvent()
  156.     #----------------------------------------------------------------------
  157.     def onOrder(self, order):
  158.         """收到委托变化推送（必须由用户继承实现）"""
  159.         # 对于无需做细粒度委托控制的策略，可以忽略onOrder
  160.         pass
  162.     #----------------------------------------------------------------------
  163.     def onTrade(self, trade):
  164.         """收到成交推送（必须由用户继承实现）"""
  165.         symbol = trade.vtSymbol
  166.         if trade.offset == OFFSET_OPEN:  # 判断成交订单类型
  167.             self.transactionPrice[symbol] = trade.price # 记录成交价格
  168.             print(trade.tradeTime, self.posDict)
  169.     #----------------------------------------------------------------------
  170.     def onStopOrder(self, so):
  171.         """停止单推送"""
  172.         pass
  1. MultiFrameMaDf = runBacktesting(MultiFrameMaStrategy, {'symbolList':['BTCUSDT:binance']} , '20180901 12:00', \
  2.                             '20181126 12:00', 0.002, 5/10000)
2018-11-27 17:37:04.057980  计算按日统计结果
2018-11-27 17:37:04.080956  ------------------------------
2018-11-27 17:37:04.081955  首个交易日：  2018-09-01 00:00:00
2018-11-27 17:37:04.081955  最后交易日：  2018-11-26 00:00:00
2018-11-27 17:37:04.081955  总交易日：   87
2018-11-27 17:37:04.081955  盈利交易日   45
2018-11-27 17:37:04.081955  亏损交易日：  41
2018-11-27 17:37:04.081955  起始资金：   100000
2018-11-27 17:37:04.081955  结束资金：   101,987.91
2018-11-27 17:37:04.082954  总收益率：   1.99%
2018-11-27 17:37:04.082954  年化收益：   5.48%
2018-11-27 17:37:04.082954  总盈亏：    1,987.91
2018-11-27 17:37:04.082954  最大回撤:   -408.37
2018-11-27 17:37:04.082954  百分比最大回撤: -0.41%
2018-11-27 17:37:04.082954  总手续费：   427.34
2018-11-27 17:37:04.082954  总滑点：    0.28
2018-11-27 17:37:04.082954  总成交金额：  854,686.82
2018-11-27 17:37:04.082954  总成交笔数：  139
2018-11-27 17:37:04.082954  日均盈亏：   22.85
2018-11-27 17:37:04.082954  日均手续费：  4.91
2018-11-27 17:37:04.082954  日均滑点：   0.0
2018-11-27 17:37:04.082954  日均成交金额： 9,823.99
2018-11-27 17:37:04.082954  日均成交笔数： 1.6
2018-11-27 17:37:04.082954  日均收益率：  0.02%
2018-11-27 17:37:04.082954  收益标准差：  0.14%
2018-11-27 17:37:04.082954  Sharpe Ratio：   2.3

output_5_1.png-54.7kB

2018-11-27 17:37:05.468537  计算回测结果
2018-11-27 17:37:05.474531  ------------------------------
2018-11-27 17:37:05.475529  第一笔交易：  2018-09-04 06:45:00
2018-11-27 17:37:05.475529  最后一笔交易： 2018-11-26 11:58:00
2018-11-27 17:37:05.475529  总交易次数：  70
2018-11-27 17:37:05.475529  总盈亏：    1,985.85
2018-11-27 17:37:05.475529  最大回撤:   -964.09
2018-11-27 17:37:05.475529  平均每笔盈利： 28.37
2018-11-27 17:37:05.475529  平均每笔滑点： 0.0
2018-11-27 17:37:05.475529  平均每笔佣金： 6.13
2018-11-27 17:37:05.475529  胜率      25.71%
2018-11-27 17:37:05.475529  盈利交易平均值 317.25
2018-11-27 17:37:05.475529  亏损交易平均值 -71.63
2018-11-27 17:37:05.475529  盈亏比：    4.43

output_5_3.png-43kB

2018-11-27 17:37:06.443538  计算按日统计结果

RSI顺势超买超卖策略

Buy: RSI<30

Sell: RSI>70

  1. from __future__ import division
  2. from vnpy.trader.vtConstant import *
  3. from vnpy.trader.app.ctaStrategy import CtaTemplate
  4. import talib as ta
  6. ########################################################################
  7. # 策略继承CtaTemplate
  8. class RsiTrendStrategy(CtaTemplate):
  9.     className = 'RsiTrendStrategy'
  10.     author = 'ChannelCMT'
  12.     # 策略参数
  13.     fastPeriod = 30; slowPeriod = 60
  14.     signalMaPeriod = 20
  15.     stopRatio = 0.03
  16.     lot = 1
  18.     # 策略变量
  19.     maTrend = {} # 记录趋势状态，多头1，空头-1
  20.     transactionPrice = {} # 记录成交价格
  22.     # 参数列表，保存了参数的名称
  23.     paramList = [
  24.                  'fastPeriod', 'slowPeriod',
  25.                  'signalMaPeriod',
  26.                  'stopRatio'
  27.                 ]    
  29.     # 变量列表，保存了变量的名称
  30.     varList = [
  31.                'maTrend',
  32.                'transactionPrice'
  33.               ]  
  35.     # 同步列表，保存了需要保存到数据库的变量名称
  36.     syncList = ['posDict', 'eveningDict']
  38.     #----------------------------------------------------------------------
  39.     def __init__(self, ctaEngine, setting):
  40.         super().__init__(ctaEngine, setting)
  42.     #----------------------------------------------------------------------
  43.     def onInit(self):
  44.         """初始化策略"""
  45.         self.writeCtaLog(u'策略初始化')
  46.         self.transactionPrice = {s:0 for s in self.symbolList} # 生成成交价格的字典
  47.         self.maTrend = {s:0 for s in self.symbolList}
  48.         self.putEvent()
  50.     #----------------------------------------------------------------------
  51.     def onStart(self):
  52.         """启动策略"""
  53.         self.writeCtaLog(u'策略启动')
  54.         self.putEvent()
  56.     #----------------------------------------------------------------------
  57.     def onStop(self):
  58.         """停止策略"""
  59.         self.writeCtaLog(u'策略停止')
  60.         self.putEvent()
  62.     #----------------------------------------------------------------------
  63.     def onTick(self, tick):
  64.         """收到行情TICK推送"""
  65.         pass
  67.     #----------------------------------------------------------------------
  68.     def onBar(self, bar):
  69.         """收到Bar推送"""
  70.         self.onBarStopLoss(bar)
  72.     def onBarStopLoss(self, bar):
  73.         symbol = bar.vtSymbol
  75.         # 计算止损止盈价位
  76.         longStop = self.transactionPrice[symbol]*(1-self.stopRatio)
  77.         longProfit = self.transactionPrice[symbol]*(1+3*self.stopRatio)
  78.         shortStop = self.transactionPrice[symbol]*(1+self.stopRatio)
  79.         shortProfit = self.transactionPrice[symbol]*(1-3*self.stopRatio)
  82.         # 洗价器
  83.         if (self.posDict[symbol+'_LONG'] > 0):
  84.             if (bar.close < longStop):
  85.                 self.cancelAll()
  86.                 self.sell(symbol,bar.close*0.99, self.posDict[symbol+'_LONG'])
  87.             elif  (bar.close > longProfit):
  88.                 self.cancelAll()
  89.                 self.sell(symbol,bar.close*0.99, self.posDict[symbol+'_LONG'])
  91.         elif (self.posDict[symbol+'_SHORT'] > 0):
  92.             if (bar.close > shortStop):
  93.                 self.cancelAll()
  94.                 self.cover(symbol,bar.close*1.01, self.posDict[symbol+'_SHORT'])
  95.             elif (bar.close < shortProfit):
  96.                 self.cancelAll()
  97.                 self.cover(symbol,bar.close*1.01, self.posDict[symbol+'_SHORT'])
  99.     #----------------------------------------------------------------------
  100.     def on60MinBar(self, bar):
  101.         """收到60MinBar推送"""
  102.         symbol = bar.vtSymbol
  104.         am60 = self.getArrayManager(symbol, "60m")
  106.         if not am60.inited:
  107.             return
  109.         # 计算均线并判断趋势
  110.         fastMa = ta.MA(am60.close, self.fastPeriod)
  111.         slowMa = ta.MA(am60.close, self.slowPeriod)
  113.         if fastMa[-1] > slowMa[-1]:
  114.             self.maTrend[symbol] = 1
  115.         else:
  116.             self.maTrend[symbol] = -1
  118.     #----------------------------------------------------------------------
  119.     def on15MinBar(self, bar):
  120.         """收到15MinBar推送"""
  121.         symbol = bar.vtSymbol
  123.         am15 = self.getArrayManager(symbol, "15m")
  125.         if not am15.inited:
  126.             return
  128.         rsi = ta.RSI(am15.close, self.signalMaPeriod)
  130.         rsiOverbought = (rsi[-1]>70) and (rsi[-2]<=70) # 超买
  131.         rsiOversold = (rsi[-1]<30) and (rsi[-2]>=30) # 超卖
  133.         # 均线上涨， 趋势为多头， 多头没有持仓
  134.         if rsiOversold and (self.maTrend[symbol]==1) and (self.posDict[symbol+'_LONG']==0):
  135.             if  (self.posDict[symbol+'_SHORT']==0):
  136.                 self.buy(symbol, bar.close*1.01, self.lot)  # 成交价*1.01发送高价位的限价单，以最优市价买入进场
  137.             elif (self.posDict[symbol+'_SHORT'] > 0):
  138.                 self.cancelAll() # 撤销挂单
  139.                 self.cover(symbol, bar.close*1.01, self.posDict[symbol+'_SHORT']) 
  140.                 self.buy(symbol, bar.close*1.01, self.lot)
  142.         # 均线下跌， 趋势为空头， 空头没有持仓
  143.         if rsiOverbought and (self.maTrend[symbol]==-1) and (self.posDict[symbol+'_SHORT']==0):
  144.             if (self.posDict[symbol+'_LONG']==0):
  145. #                 self.cancelAll() # 撤销挂单
  146.                 self.short(symbol, bar.close*0.99, self.lot) # 成交价*0.99发送低价位的限价单，以最优市价卖出进场
  147.             elif (self.posDict[symbol+'_LONG'] > 0):
  148.                 self.cancelAll() # 撤销挂单
  149.                 self.sell(symbol, bar.close*0.99, self.posDict[symbol+'_LONG'])
  150.                 self.short(symbol, bar.close*0.99, self.lot)
  151.         self.putEvent()
  153.     #----------------------------------------------------------------------
  154.     def onOrder(self, order):
  155.         """收到委托变化推送（必须由用户继承实现）"""
  156.         # 对于无需做细粒度委托控制的策略，可以忽略onOrder
  157.         pass
  159.     #----------------------------------------------------------------------
  160.     def onTrade(self, trade):
  161.         """收到成交推送（必须由用户继承实现）"""
  162.         symbol = trade.vtSymbol
  163.         if trade.offset == OFFSET_OPEN:  # 判断成交订单类型
  164.             self.transactionPrice[symbol] = trade.price # 记录成交价格
  165. #             print(trade.tradeTime, self.posDict)
  166.     #----------------------------------------------------------------------
  167.     def onStopOrder(self, so):
  168.         """停止单推送"""
  169.         pass
  1. rsiTrendDf = runBacktesting(RsiTrendStrategy, {'symbolList':['BTCUSDT:binance']} , '20180901 12:00', \
  2.                             '20181126 12:00', 0.002, 5/10000)
2018-11-27 17:37:24.700101  计算按日统计结果
2018-11-27 17:37:24.717082  ------------------------------
2018-11-27 17:37:24.717082  首个交易日：  2018-09-01 00:00:00
2018-11-27 17:37:24.717082  最后交易日：  2018-11-26 00:00:00
2018-11-27 17:37:24.717082  总交易日：   87
2018-11-27 17:37:24.717082  盈利交易日   33
2018-11-27 17:37:24.717082  亏损交易日：  24
2018-11-27 17:37:24.717082  起始资金：   100000
2018-11-27 17:37:24.717082  结束资金：   100,411.64
2018-11-27 17:37:24.717082  总收益率：   0.41%
2018-11-27 17:37:24.717082  年化收益：   1.14%
2018-11-27 17:37:24.717082  总盈亏：    411.64
2018-11-27 17:37:24.717082  最大回撤:   -602.46
2018-11-27 17:37:24.717082  百分比最大回撤: -0.6%
2018-11-27 17:37:24.717082  总手续费：   117.45
2018-11-27 17:37:24.717082  总滑点：    0.07
2018-11-27 17:37:24.717082  总成交金额：  234,902.46
2018-11-27 17:37:24.718082  总成交笔数：  37
2018-11-27 17:37:24.718082  日均盈亏：   4.73
2018-11-27 17:37:24.718082  日均手续费：  1.35
2018-11-27 17:37:24.718082  日均滑点：   0.0
2018-11-27 17:37:24.718082  日均成交金额： 2,700.03
2018-11-27 17:37:24.718082  日均成交笔数： 0.43
2018-11-27 17:37:24.718082  日均收益率：  0.0%
2018-11-27 17:37:24.718082  收益标准差：  0.09%
2018-11-27 17:37:24.718082  Sharpe Ratio：   0.8

output_8_1.png-49.4kB

2018-11-27 17:37:26.076690  计算回测结果
2018-11-27 17:37:26.078689  ------------------------------
2018-11-27 17:37:26.078689  第一笔交易：  2018-09-06 00:51:00
2018-11-27 17:37:26.078689  最后一笔交易： 2018-11-26 11:58:00
2018-11-27 17:37:26.078689  总交易次数：  19
2018-11-27 17:37:26.078689  总盈亏：    409.58
2018-11-27 17:37:26.078689  最大回撤:   -597.16
2018-11-27 17:37:26.078689  平均每笔盈利： 21.56
2018-11-27 17:37:26.078689  平均每笔滑点： 0.0
2018-11-27 17:37:26.078689  平均每笔佣金： 6.29
2018-11-27 17:37:26.078689  胜率      63.16%
2018-11-27 17:37:26.078689  盈利交易平均值 138.08
2018-11-27 17:37:26.078689  亏损交易平均值 -178.19
2018-11-27 17:37:26.078689  盈亏比：    0.77

output_8_3.png-41.9kB

2018-11-27 17:37:26.712041  计算按日统计结果

Strategy_Portfolio

  1. MultiFrameMaDf.tail()
  1. rsiTrendDf.tail()
  1. PortfolioDf = MultiFrameMaDf+rsiTrendDf
  1. PortfolioDf = PortfolioDf.dropna()
  3. # 创建回测引擎，并设置组合回测初始资金后，显示结果
  4. engine = BacktestingEngine()
  5. engine.setCapital(1000000)
  6. dfp, result = engine.calculateDailyStatistics(PortfolioDf)
  1. result
{'annualizedReturn': 0.6619457544827818,
 'dailyCommission': 6.262007356321838,
 'dailyNetPnl': 27.581073103448254,
 'dailyReturn': 0.0026295448011353366,
 'dailySlippage': 0.004045977011494256,
 'dailyTradeCount': 2.0229885057471266,
 'dailyTurnover': 12524.014712643675,
 'endBalance': 1002399.55336,
 'endDate': Timestamp('2018-11-26 00:00:00'),
 'lossDays': 30,
 'maxDdPercent': -0.05138439214392886,
 'maxDrawdown': -514.0053199999966,
 'profitDays': 46,
 'returnStd': 0.015721744941956703,
 'sharpeRatio': 2.5911076055495266,
 'startDate': Timestamp('2018-09-01 00:00:00'),
 'totalCommission': 544.79464,
 'totalDays': 87,
 'totalNetPnl': 2399.553359999998,
 'totalReturn': 0.2399553360000084,
 'totalSlippage': 0.35200000000000026,
 'totalTradeCount': 176,
 'totalTurnover': 1089589.2799999998}

  1. import matplotlib.pyplot as plt
  3. plt.figure(figsize=(15, 7))
  4. plt.plot(PortfolioDf['netPnl'].cumsum())
  5. plt.show()

output_15_0.png-25.1kB

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