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bktest.py
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bktest.py
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# -*- coding: utf-8 -*-
'''
基于ticks的回测机制
使用方式:
In [1]: import bktest
In [2]: rtts = bktest.load_all(['IF1206','IF1207'])
In [3]: ss = bktest.cruiser1(rtts,[bktest.l_ema_sm]) #请将l_ema_sm更换成实际策略
In [4]: bktest.Trade.print_info(ss[0][1])
'''
import re
import os.path
import logging
import time
from base import *
import hreader
import strategy
from dac2 import *
LENGTH_THRESHOLD = 25000 #主力合约的ticks阈值超过
class TickAgent(object):#ticks数据管理,只管理一个合约,并最多测试一个Strategy
def __init__(self,fname,data_path=hreader.DATA_PATH,pattern='\d{8}_tick.txt',tick_base=2):
self.fname = fname
self.data_path = data_path
self.pattern = pattern
self.rpattern = re.compile(pattern,re.IGNORECASE)
self.mtickss = {} #dict方式
self.stickss = [] #顺序方式
self.tick_base = 2 #最小行情单位
#self.closers = [] #已经开仓后需要追踪的closer
#self.trades = []
def load(self):
'''
按顺序加载fname下的ticks数据.
fname必须为IF1201这种格式
'''
sub_path = '%s%s' % (self.data_path,self.fname)
tdates = sorted([int(os.path.splitext(name)[0][:8]) for name in os.listdir(sub_path) if self.rpattern.search(name) and name[0]!='.' and name[-1]!='~'])
for tdate in tdates:
cticks = hreader.read_ticks(self.fname,tdate)
self.mtickss[tdate] = DTicks(self.fname,tdate,cticks)
self.stickss.append(self.mtickss[tdate])
def run(self,mystrategys,tbegin=0,tend=99999999,dfilter=lambda dt:len(dt)<LENGTH_THRESHOLD):#起止日
if not isinstance(mystrategys,list): #单参数转换为列表
mystrategys = [mystrategys]
self.trades = []
#env = BaseObject(holdings=False,to_open=[],to_close=[],cur_inst=None,iorder=0) #holding是当前持仓，to_open/close是当前信号
env = BaseObject(cur_inst=None,iorder=0,dmin1=BaseObject(sopen=[], #min1结构需要遵从dac2.MINUTE的结构
sclose=[],
shigh=[],
slow=[],
svol=[],
iorder=[],
min1=[],
))
for ss in mystrategys: #初始化
ss.holdings = False
ss.to_open = []
ss.to_close = []
ss.wclosers = []
ss.trades = []
for dt in self.stickss:
if dt.tdate < tbegin or dt.tdate > tend or dfilter(dt):
continue
##主循环
self.run_day(env,mystrategys,dt)
#return self.trades#,env
return mystrategys
def run_day(self,env,mystrategys,dticks):#
'''
日回测
todo: 适当时候整合到Agent2中去, 继承或组合Agent2的部分功能,避免重复. 有必要么?
'''
print 'run day:%s' % (dticks.tdate)
tbegin = time.time()
for ss in mystrategys: #日初始化
ss.opener.dreset()
logging.info('run day:%s' % (dticks.tdate))
popen = dticks.ticks[0].price
env.cur_inst = BaseObject(cur_day=BaseObject(vhigh=popen,vlow=popen,vopen=popen,vclose=popen,iidhigh=0,iidlow=0),
dmin1 = env.dmin1, #之前日期的min1
ticks=[],
prices=[],
dvols=[],
vols=[],
holdings=[],
bids=[],
asks=[],
vbid=[],
vask=[],
tick_base=2,
)
dvol = 0
dorder = 1
pre_tick = None
env.iorder = 0 #日间不连续
for ctick in dticks.ticks:
#print ctick.time
ctick.iorder = env.iorder
ctick.dorder = dorder
dorder += 1
env.iorder += 1
env.cur_inst.ticks.append(ctick)
env.cur_inst.prices.append(ctick.price)
env.cur_inst.dvols.append(ctick.dvolume)
env.cur_inst.holdings.append(ctick.holding)
env.cur_inst.vols.append(ctick.dvolume - pre_tick.dvolume if pre_tick else ctick.dvolume)
env.cur_inst.bids.append(ctick.bid_price)
env.cur_inst.asks.append(ctick.ask_price)
env.cur_inst.vbid.append(ctick.bid_volume)
env.cur_inst.vask.append(ctick.ask_volume)
dvol = ctick.dvolume
if ctick.price > env.cur_inst.cur_day.vhigh:
env.cur_inst.cur_day.vhigh = ctick.price
env.cur_inst.cur_day.iidhigh = ctick.iorder
if ctick.price < env.cur_inst.cur_day.vlow:
env.cur_inst.cur_day.vlow = ctick.price
env.cur_inst.cur_day.iidlow = ctick.iorder
pre_tick = ctick
#先平后开
self.s_match_close(mystrategys,ctick)
self.s_match_open(mystrategys,env,ctick) #动作
self.s_check_close(mystrategys,env,ctick)
self.s_check_open(mystrategys,env,ctick)
env.cur_inst.vclose = dticks.ticks[-1].price
print 'run tlen=%s' % (time.time()-tbegin,)
def s_match_close(self,mystrategys,ctick):
for ss in mystrategys:
self.match_close(ss,ctick)
def s_match_open(self,mystrategys,env,ctick):
for ss in mystrategys:
self.match_open(ss,env,ctick)
def s_check_close(self,mystrategys,env,ctick):
for ss in mystrategys:
self.check_close(ss,env,ctick)
def s_check_open(self,mystrategys,env,ctick):
for ss in mystrategys:
self.check_open(ss,env,ctick)
def check_open(self,mystrategy,env,ctick): #
mysignal = mystrategy.opener.check(env.cur_inst,ctick)
if mystrategy.holdings or mystrategy.to_open: #如果持仓或即将持仓则不发后面信号，即要求一次开齐
return
if mysignal[0] != 0:#发出信号
#print 'CB::break:',ctick.price,ctick.time
base_price = mysignal[1] if mysignal[1]>0 else ctick.price
base_stop = mysignal[2] if len(mysignal)>2 else 0
mystrategy.to_open = [BaseObject(
tick = ctick,
strategy = mystrategy,
base_price = base_price,
base_stop = base_stop,
target_price = mystrategy.opener.calc_target_price(base_price,self.tick_base),
valid_length = mystrategy.opener.get_valid_length(), #有效的ticks数
direction = mystrategy.opener.direction,
)
]
#print base_price,mystrategy.opener.calc_target_price(base_price,self.tick_base)
def check_close(self,mystrategy,env,ctick):
if mystrategy.to_close:
return
for closer in mystrategy.wclosers:
csignal = closer.check(ctick)
base_price = csignal[1] if csignal[1]>0 else ctick.price
if csignal[0] != 0: #平仓
mystrategy.to_close=[BaseObject(
tick = ctick,
opened = closer.opened,#closer的开仓信息
base_price = base_price,
target_price = closer.calc_target_price(base_price,self.tick_base),
direction = closer.direction,
)
]
break
def match_close(self,mystrategy,ctick):
#close必须成交
if not mystrategy.to_close:
return
if mystrategy.to_close[0].direction == SHORT: #以较差价格成交, 滑点不利
pclose = ctick.price if ctick.price <= ctick.bid_price else ctick.bid_price
else:
pclose = ctick.price if ctick.price >= ctick.ask_price else ctick.ask_price
opened = mystrategy.to_close[0].opened
mytrade = Trade(opened.tick,opened.base_price,opened.price,opened.deal_tick,ctick,mystrategy.to_close[0].base_price,pclose,opened.direction)
#self.trades.append(mytrade)
mystrategy.trades.append(mytrade)
mystrategy.to_close = []
mystrategy.wclosers = []
mystrategy.holdings = False
def match_open(self,mystrategy,env,ctick):
if not mystrategy.to_open:
return
topen = mystrategy.to_open[0]
if ctick.iorder > topen.tick.iorder+topen.valid_length: #有效期过
mystrategy.to_open=[]
return
dealed = False
if topen.direction == SHORT: #
mk_price = ctick.price if ctick.price <= ctick.bid_price else ctick.bid_price
if topen.target_price < mk_price: #成交
dealed = True
else:
mk_price = ctick.price if ctick.price >= ctick.ask_price else ctick.ask_price
if topen.target_price > mk_price: #成交
dealed = True
if dealed == True: #成交了，允许不成交
topen.price = mk_price
topen.deal_tick = ctick
mystrategy.wclosers = [closer(env.cur_inst,topen.base_price,opened=topen,tick_base=self.tick_base) for closer in mystrategy.closers]
mystrategy.holdings = True
mystrategy.to_open = []
def get_dticks(self,tdate):
return self.mtickss[tdate] if tdate in self.mtickss else None
class Trade(object):
def __init__(self,open_tick,open_base_price,open_price,open_deal_tick,close_tick,close_base_price,close_price,direction,tax=2):
self.open_tick = open_tick
self.open_deal_tick = open_deal_tick
self.close_tick = close_tick
self.open_base_price = open_base_price
self.open_price = open_price
self.close_base_price = close_base_price
self.close_price = close_price
self.direction = direction
self.tax = tax
def get_profit(self): #按成交的单手收益
delta = self.close_price - self.open_price
return delta - self.tax if self.direction==LONG else -delta - self.tax
def get_profit2(self): #按信号价位的单手收益
delta = self.close_base_price - self.open_base_price
return delta - self.tax if self.direction==LONG else -delta - self.tax
def get_holding_length(self):
return self.close_tick.iorder - self.open_tick.iorder
@staticmethod
def print_info(trades):
sprofit = 0
stimes = 0
for trade in trades:
print '%s::open:%s-%s-%s:%s-%s-%s::%s::close:%s:%s' % (trade.get_profit(),trade.open_tick.date,trade.open_tick.time%1000000,trade.open_tick.msec,trade.open_tick.iorder,trade.open_base_price,trade.open_price,trade.open_deal_tick.time%1000000,trade.close_tick.time%1000000,trade.close_price)
sprofit += trade.get_profit()
stimes += 1
print 'times=%s,profit=%s' %(stimes,sprofit)
@staticmethod
def print_info2(trades):
sprofit = 0
stimes = 0
for trade in trades:
print '%s::open:%s-%s-%s:%s-%s-%s::%s::close:%s:%s' % (trade.get_profit(),trade.open_tick.date,trade.open_tick.time%1000000,trade.open_tick.msec,trade.open_tick.iorder,trade.open_base_price,trade.open_price,trade.open_deal_tick.time%1000000,trade.close_tick.time%1000000,trade.close_price)
sprofit += trade.get_profit2()
stimes += 1
print 'times=%s,profit=%s' %(stimes,sprofit)
@staticmethod
def sum_info(trades):
sprofit = 0
stimes = 0
for trade in trades:
#print '%s::open:%s-%s-%s:%s-%s-%s::%s::close:%s:%s' % (trade.get_profit(),trade.open_tick.date,trade.open_tick.time%1000000,trade.open_tick.msec,trade.open_tick.iorder,trade.open_base_price,trade.open_price,trade.open_deal_tick.time%1000000,trade.close_tick.time%1000000,trade.close_price)
sprofit += trade.get_profit()
stimes += 1
#return 'times=%s,profit=%s' %(stimes,sprofit)
return (stimes,sprofit)
@staticmethod
def max_drawdown(ftrades,datefrom=20100401,dateto=20200101):
'''
在中间即便有盈利，但是如果累计起来仍然为负，则持续计算
'''
smax = 0 #最大连续回撤
max1 = 0 #最大单笔回撤
curs = 0
pre_curs = 0
mdate = 20100401
spoint=0
sdate = 20100401
ssdate = sdate
sspoint = spoint
for func,trades in ftrades:
for trade in trades:
tdate = trade.open_tick.date
if tdate > datefrom and tdate < dateto: #忽略掉小于开始时间的
curs += trade.get_profit() #本为负数
if curs < 0 and pre_curs >= 0:
spoint = trade.open_tick.price
sdate = trade.open_tick.date
if curs > 0:
curs = 0
elif curs < smax:
smax = curs
mdate = trade.open_tick.date
ssdate = sdate
sspoint = spoint
pre_curs = curs
if trade.get_profit() < max1:
max1 = trade.get_profit()
print func.name,(smax,max1,ssdate,mdate,sspoint)
return
class DTicks(object):#日tick结构
def __init__(self,fname,tdate,ticks):
self.fname = fname
self.tdate = tdate
self.ticks = ticks
def __len__(self):
return len(self.ticks)
def prepare(self):
pass
#############
# 策略基类
#############
class T_LONG(strategy.BREAK):
direction = LONG
def __init__(self,bid_ticks=3,valid_length=60):
self.bid_ticks = bid_ticks #买入超价
self.valid_length = valid_length
def calc_target_price(self,base_price,tick_base):
tprice = base_price + tick_base * self.bid_ticks
print 'target price:',tprice
return tprice
def get_valid_length(self):
return self.valid_length
def check(self,data,ctick):
return (False,0)
class T_SHORT(strategy.BREAK):
direction = SHORT
def __init__(self,ask_ticks=3,valid_length=60):
self.ask_ticks = ask_ticks #卖出超价
self.valid_length = valid_length
def calc_target_price(self,base_price,tick_base):
return base_price - tick_base * self.ask_ticks
def get_valid_length(self):
return self.valid_length
def check(self,data,ctick):
return (False,0)
#############
# 策略示例
#############
class T_LONG_EC(T_LONG):
'''
EMA通道
'''
def __init__(self,bid_ticks=3,valid_length=10,rlen=10):
T_LONG.__init__(self,bid_ticks=bid_ticks,valid_length=valid_length)
self.base_line = 99999999
self.rlen = rlen
self.ema = None
self.pre_tick = None
def dreset(self):
pass
def check(self,data,ctick):
if ctick.min1 <= 915 or ctick.min1 >=1100:
return (False,0)
ema = EMA(data.prices,29)
hh = TMAX(data.prices,self.rlen)
ll = TMIN(data.prices,self.rlen)
hl = DIV1(SUB(hh,ll),2)
rhigh = ADD(ema,hl)
xc = UPCROSS(rhigh,data.prices)
if xc[-1]:
print ctick.time,ctick.msec,'xc=1',ctick.price,self.pre_tick.time,self.pre_tick.msec,self.pre_tick.price,rhigh[-1]
bline = ctick.price - 100
return (True,ctick.price,bline) #(触发标志、触发价、止损)
self.pre_tick = ctick
return (False,0)
###########
# 止损示例
###########
class T_LONG_FIXED_STOPER(strategy.LONG_STOPER):
def __init__(self,data,bline,max_overflow=strategy.MAX_CLOSE_OVERFLOW,valid_length=strategy.STOP_VALID_LENGTH,opened=None,tick_base=2,base_lost=50,keeper=lambda x:80):
strategy.LONG_STOPER.__init__(self,data,bline)
self.max_overflow = max_overflow #溢点用于计算目标价
self.valid_length = valid_length #有效期用于计算撤单时间
self.name = u'多头固定离场'
self.opened = opened
self.keeper = keeper(opened.base_price)
self.base_stop = opened.base_stop if opened!=None else opened.base_price - base_lost*tick_base
#self.cur_stop = self.base_stop
self.set_base_line(self.base_stop)
print u'原始止损:',self.get_base_line()
self.tick_base = tick_base
self.is_keeped = False
def check(self,tick):
if tick.price - self.opened.base_price > self.keeper and not self.is_keeped:
self.set_base_line(self.opened.base_price)
print 'moving stoper to:',self.get_base_line(),tick.time
self.is_keeped = True
if tick.price < self.get_base_line() or tick.min1>1500:
return (True,tick.price,False)
return (False,0,False)
class T_SHORT_FIXED_STOPER(strategy.SHORT_STOPER):
def __init__(self,data,bline,max_overflow=strategy.MAX_CLOSE_OVERFLOW,valid_length=strategy.STOP_VALID_LENGTH,opened=None,tick_base=2,base_lost=50,keeper=lambda x:80):
strategy.SHORT_STOPER.__init__(self,data,bline)
self.max_overflow = max_overflow #溢点用于计算目标价
self.valid_length = valid_length #有效期用于计算撤单时间
self.name = u'空头固定离场'
#self.keeper = keeper
self.keeper = keeper(opened.base_price)
self.opened = opened
self.base_stop = opened.base_stop if opened!=None else opened.base_price + base_lost*tick_base
#self.cur_stop = self.base_stop
self.set_base_line(self.base_stop)
self.tlow = opened.base_price
self.tick_base = tick_base
self.is_keeped = False
def check(self,tick):
if self.opened.base_price - tick.price > self.keeper and not self.is_keeped:
self.set_base_line(self.opened.base_price)
print 'moving stoper to:',self.get_base_line()
self.is_keeped = True
if tick.price > self.get_base_line() or tick.min1>1500:
print 'fixed stoper:',tick.time,tick.price
return (True,tick.price,False)
return (False,0,False)
class T_SHORT_FIXED_STOPER2(strategy.SHORT_STOPER):
def __init__(self,data,bline,max_overflow=strategy.MAX_CLOSE_OVERFLOW,valid_length=strategy.STOP_VALID_LENGTH,opened=None,tick_base=2,base_lost=50,keeper=lambda x:80):
strategy.SHORT_STOPER.__init__(self,data,bline)
self.max_overflow = max_overflow #溢点用于计算目标价
self.valid_length = valid_length #有效期用于计算撤单时间
self.name = u'空头固定离场'
#self.keeper = keeper
self.keeper = keeper(opened.base_price)
self.opened = opened
self.base_stop = opened.base_stop if opened!=None else opened.base_price + base_lost*tick_base
#self.cur_stop = self.base_stop
self.set_base_line(self.base_stop)
self.tlow = opened.base_price
self.tick_base = tick_base
self.is_keeped = False
def check(self,tick):
if self.get_base_line() - tick.price > self.keeper and not self.is_keeped:
self.set_base_line(self.opened.base_price)
print 'moving stoper to:',self.get_base_line()
self.is_keeped = True
if tick.price > self.get_base_line() or tick.min1>1500:
print 'fixed stoper:',tick.time,tick.price
return (True,tick.price,False)
return (False,0,False)
class T_LONG_MOVING_STOPER(strategy.LONG_STOPER):
def __init__(self,data,bline,max_overflow=strategy.MAX_CLOSE_OVERFLOW,valid_length=strategy.STOP_VALID_LENGTH,opened=None,tick_base=2,base_lost=10,mtime=2):
strategy.LONG_STOPER.__init__(self,data,bline)
self.max_overflow = max_overflow #溢点用于计算目标价
self.valid_length = valid_length #有效期用于计算撤单时间
self.name = u'多头离场基类'
self.opened = opened
self.base_stop = opened.base_stop if opened!=None else opened.base_price - base_lost*tick_base
#self.cur_stop = self.base_stop
self.set_base_line(self.base_stop)
self.thigh = opened.base_price
self.tick_base = tick_base
self.mtime = mtime #移动的单位,每前进mtime,则将止损移动1/mtime
#print opened.tick.time,opened.base_price,self.base_stop
def check(self,tick):
if tick.price < self.get_base_line() or tick.min1>1500:
return (True,tick.price,False)
#if tick.price > self.opened.base_price + 50:
# return (True,tick.price,False)
bl2 = tick.price - 1000
if tick.price >= self.thigh + self.tick_base * self.mtime:
bl1 = self.get_base_line() + (tick.price - self.thigh)/self.mtime
bl2 = tick.price - 15
#self.set_base_line(bl1 if bl1 > bl2 else bl2)
self.set_base_line(bl1)
self.thigh = tick.price
return (False,0,True)
return (False,0,False)
class T_SHORT_MOVING_STOPER(strategy.SHORT_STOPER):
def __init__(self,data,bline,max_overflow=strategy.MAX_CLOSE_OVERFLOW,valid_length=strategy.STOP_VALID_LENGTH,opened=None,tick_base=2,base_lost=10,mtime=2):
strategy.SHORT_STOPER.__init__(self,data,bline)
self.max_overflow = max_overflow #溢点用于计算目标价
self.valid_length = valid_length #有效期用于计算撤单时间
self.name = u'空头离场基类'
self.opened = opened
self.base_stop = opened.base_stop if opened!=None else opened.base_price + base_lost*tick_base
#self.cur_stop = self.base_stop
self.set_base_line(self.base_stop)
self.tlow = opened.base_price
self.tick_base = tick_base
self.mtime = mtime #移动的单位,每前进mtime,则将止损移动1/mtime
def check(self,tick):
if tick.price > self.get_base_line() or tick.min1>1500:
return (True,tick.price,False)
#if self.opened.price - tick.price > 30:
# return (True,tick.price,False)
stop_changed = False
#if self.opened.price - tick.price > 20:
# self.set_base_line(self.get_base_line() if self.get_base_line()<self.opened.price else self.opened.price)
# #self.set_base_line(self.opened.price)
# stop_changed = True
if tick.price <= self.tlow - self.tick_base * self.mtime:
self.set_base_line(self.get_base_line() - (self.tlow - tick.price)/self.mtime)
self.tlow = tick.price
stop_changed = True
print 'moving stop:',tick.time,self.get_base_line(),tick.price
return (False,0,stop_changed)
class T_SHORT_MOVING_STOPER2(strategy.SHORT_STOPER):
def __init__(self,data,bline,max_overflow=strategy.MAX_CLOSE_OVERFLOW,valid_length=strategy.STOP_VALID_LENGTH,opened=None,tick_base=2,base_lost=10,m1=3,m2=2):
strategy.SHORT_STOPER.__init__(self,data,bline)
self.max_overflow = max_overflow #溢点用于计算目标价
self.valid_length = valid_length #有效期用于计算撤单时间
self.name = u'空头离场基类'
self.opened = opened
self.base_stop = opened.base_stop if opened!=None else opened.base_price + base_lost*tick_base
#self.cur_stop = self.base_stop
self.set_base_line(self.base_stop)
self.tlow = opened.base_price
self.tick_base = tick_base
self.m1 = m1 #m1/m2为移动的单位,每前进mtime,则将移动止损m2/m1
self.m2 = m2 #
def check(self,tick):
if tick.price > self.get_base_line() or tick.min1>1500:
return (True,tick.price,False)
#if self.opened.price - tick.price > 30:
# return (True,tick.price,False)
stop_changed = False
#if self.opened.price - tick.price > 20:
# self.set_base_line(self.get_base_line() if self.get_base_line()<self.opened.price else self.opened.price)
# #self.set_base_line(self.opened.price)
# stop_changed = True
if tick.price <= self.tlow - self.tick_base * self.m1/self.m2:
self.set_base_line(self.get_base_line() - (self.tlow - tick.price)*self.m2/self.m1)
self.tlow = tick.price
stop_changed = True
#print tick.time,self.get_base_line()
return (False,0,stop_changed)
from my.mydac import AVENERGY
class T_SHORT_SPREAD_STOPER(strategy.SHORT_STOPER):
def __init__(self,data,bline,max_overflow=strategy.MAX_CLOSE_OVERFLOW,valid_length=strategy.STOP_VALID_LENGTH,opened=None,tick_base=2,base_lost=10,mtime=3):
strategy.SHORT_STOPER.__init__(self,data,bline)
self.max_overflow = max_overflow #溢点用于计算目标价
self.valid_length = valid_length #有效期用于计算撤单时间
self.name = u'空头离场基类'
self.opened = opened
self.base_stop = opened.base_stop
#self.cur_stop = self.base_stop
self.set_base_line(self.base_stop)
self.tlow = opened.base_price
self.tick_base = tick_base
venergy = AVENERGY(data.prices,data.dvols)
self.vmafr = NMA(SUB(venergy.shigh,venergy.slow))
self.mtime = mtime #移动的单位,每前进mtime,则将止损移动1/mtime
self.max_spread = opened.base_price + self.vmafr[-1]*10
self.bline = bline
#print self.base_stop,self.max_spread,bline
def check(self,tick):
if tick.price > self.get_base_line() or tick.min1>1500:
print tick.time,tick.price,self.get_base_line()
return (True,tick.price,False)
#if self.opened.price - tick.price > 30:
# return (True,tick.price,False)
stop_changed = False
#if self.opened.price - tick.price > 20:
# self.set_base_line(self.get_base_line() if self.get_base_line()<self.opened.price else self.opened.price)
# #self.set_base_line(self.opened.price)
# stop_changed = True
#if self.tlow < self.max_spread and tick.price <= self.tlow - self.tick_base * self.mtime:
if self.get_base_line() < self.max_spread and tick.price <= self.tlow - self.tick_base * self.mtime:
#self.set_base_line(self.get_base_line() + (self.tlow - tick.price)/self.mtime/4)
self.set_base_line(self.base_stop + (self.bline - tick.price)/self.mtime/4)
#print tick.time,self.get_base_line(),tick.price,self.tlow
self.tlow = tick.price
stop_changed = True
#print tick.time,self.get_base_line()
return (False,0,stop_changed)
l_ema_sm = strategy.STRATEGY('EMA_SM',T_LONG_EC,[T_LONG_MOVING_STOPER],1,1)
def load_all(ifs=('IF1206','IF1207')):
rtts = []
for sii in ifs:
rtt = TickAgent(sii)
rtt.load()
rtts.append(rtt)
return rtts
def cruiser1(rtts,tfuncs,tbegin=0,tend=99999999):
'''
计算策略集合tfuncs
'''
if not isinstance(tfuncs,list):
tfuncs = [tfuncs]
sbegin = time.time()
tss = [list() for v in tfuncs] #[[]]*len(tfuncs)是浅复制,n个元素实际上指向同一个
#print 'ids:',id(tss[0]),id(tss[1])
for i in range(len(rtts)):
rtt = rtts[i]
ss = rtt.run(tfuncs,tbegin=tbegin,tend=tend)
#print u'i=%s' % (i,)
for j in range(len(tfuncs)):
tss[j].extend(ss[j].trades)
#print u'id(tss[j])=%s,j=%s,tss[j]=%s' % (id(tss[j]),j,tss[j])
rtss = zip(tfuncs,tss)
for tfunc,ts in rtss:
print tfunc.name
Trade.print_info(ts)
print u'耗时:%s' % (time.time()-sbegin,)
return rtss
'''
方式一:
In [1]: import bktest
In [2]: rtt1 = bktest.TickAgent('IFXXXX')
In [3]: rtt1.load()
In [4]: ss = rtt1.run([bktest.l_ema_sm],tend=20190713)
In [5]: bktest.Trade.print_info(ss[0].trades)
方式二:(推荐，可以直接使用多个合约
In [1]: import bktest
In [2]: rtts = bktest.load_all(['IF1206','IF1207'])
In [3]: ss = bktest.cruiser1(rtts,[bktest.l_ema_sm])
In [4]: bktest.Trade.print_info(ss[0][1])
'''