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| recursive-include vnpy *.ico *.ini *.dll *.so *.pyd *.h *.hpp *.cpp *.a *.dat | ||
| recursive-include vnpy *.ico *.ini *.dll *.so *.pyd *.h *.hpp *.cpp *.a *.dat *.pfx |
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| @@ -0,0 +1,77 @@ | ||
| { | ||
| "cells": [ | ||
| { | ||
| "cell_type": "code", | ||
| "execution_count": null, | ||
| "metadata": {}, | ||
| "outputs": [], | ||
| "source": [ | ||
| "#%%\n", | ||
| "from datetime import datetime\n", | ||
| "\n", | ||
| "from vnpy.app.portfolio_strategy import BacktestingEngine\n", | ||
| "from vnpy.app.portfolio_strategy.strategies.trend_following_strategy import TrendFollowingStrategy\n", | ||
| "from vnpy.trader.constant import Interval" | ||
| ] | ||
| }, | ||
| { | ||
| "cell_type": "code", | ||
| "execution_count": null, | ||
| "metadata": {}, | ||
| "outputs": [], | ||
| "source": [ | ||
| "#%%\n", | ||
| "engine = BacktestingEngine()\n", | ||
| "engine.set_parameters(\n", | ||
| " vt_symbols=[\"IF888.CFFEX\"],\n", | ||
| " interval=Interval.MINUTE,\n", | ||
| " start=datetime(2010, 2, 1),\n", | ||
| " end=datetime(2020, 4, 30),\n", | ||
| " rates={\"IF888.CFFEX\": 0.3/10000},\n", | ||
| " slippages={\"IF888.CFFEX\": 0.2},\n", | ||
| " sizes={\"IF888.CFFEX\": 300},\n", | ||
| " priceticks={\"IF888.CFFEX\": 0.2},\n", | ||
| " capital=1_000_000,\n", | ||
| ")\n", | ||
| "engine.add_strategy(TrendFollowingStrategy, {})" | ||
| ] | ||
| }, | ||
| { | ||
| "cell_type": "code", | ||
| "execution_count": null, | ||
| "metadata": { | ||
| "scrolled": false | ||
| }, | ||
| "outputs": [], | ||
| "source": [ | ||
| "#%%\n", | ||
| "engine.load_data()\n", | ||
| "engine.run_backtesting()\n", | ||
| "df = engine.calculate_result()\n", | ||
| "engine.calculate_statistics()\n", | ||
| "engine.show_chart()" | ||
| ] | ||
| } | ||
| ], | ||
| "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", | ||
| "version": "3.7.4" | ||
| } | ||
| }, | ||
| "nbformat": 4, | ||
| "nbformat_minor": 2 | ||
| } |
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| @@ -1,4 +1,5 @@ | ||
| six==1.13.0 | ||
| wheel | ||
| PyQt5 | ||
| pyqtgraph | ||
| dataclasses; python_version<="3.6" | ||
|
|
||
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| @@ -1 +1 @@ | ||
| __version__ = "2.1.1" | ||
| __version__ = "2.1.2" |
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