同样的回测程序用现成的双ma策略就没问题，用我写的这个策略就没有交易记录，搞两天也没整明白咋回事。
from datetime import datetime
from vnpy_ctastrategy import (
CtaTemplate,
BarData,
TickData,
OrderData,
StopOrder,
TradeData,
BarGenerator,
ArrayManager,
)
class MyStrategy(CtaTemplate):
author = "Trader"
def on_init(self) -> None:
# 记录当前K线索引
self.current_bar_index = 0
self.last_bar_index = 0
# 独立的K线合成器
self.bg_1min = BarGenerator(self.on_bar, window=1) # 1分钟K线
# 数据容器
self.am_1min = ArrayManager(size=100)
self.load_bar(100) # 预加载100根K线
self.write_log("策略初始化")
def on_start(self):
self.write_log("策略启动")
self.put_event()
def on_stop(self):
self.write_log("策略停止")
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
pass
def on_tick(self, tick: TickData):
"""处理Tick数据"""
self.bg_1min.update_tick(tick)
def on_order(self, order: OrderData):
pass
def on_trade(self, trade: TradeData):
print(f"交易: {trade.vt_tradeid}, 方向: {trade.direction}, 开平: {trade.offset}, 价格: {trade.price}, 数量: {trade.volume}")
self.put_event()
def on_bar(self, bar: BarData):
"""处理K线数据（保留原始回调）"""
self.cancel_all()
self.bg_1min.update_bar(bar)
self.am_1min.update_bar(bar)
if not self.am_1min.inited:
return
self.current_bar_index += 1
if self.current_bar_index < 100:
return
elif self.current_bar_index < 120:
self.buy(bar.close_price, 1)
print('买入')
self.put_event()==== 终端输出 ===
2025-07-20 21:06:06.661633 Start loading historical data
2025-07-20 21:06:06.661838 Loading progress: # [0%]
2025-07-20 21:06:06.722401 Loading progress: ########### [100%]
2025-07-20 21:06:06.729123 Historical data loading completed, data count: 690
买入
买入
买入
买入
买入
买入
买入
买入
买入
买入
买入
买入
买入
买入
买入
买入
买入
买入
买入
买入
2025-07-20 21:06:06.848437 Strategy initialization complete
2025-07-20 21:06:06.848662 Start replaying historical data
2025-07-20 21:06:06.849117 Backtesting progress: = [0%]
2025-07-20 21:06:06.849742 Backtesting progress: == [10%]
2025-07-20 21:06:06.850479 Backtesting progress: === [20%]
2025-07-20 21:06:06.850882 Backtesting progress: ==== [30%]
2025-07-20 21:06:06.851292 Backtesting progress: ===== [40%]
2025-07-20 21:06:06.851687 Backtesting progress: ====== [50%]
2025-07-20 21:06:06.852231 Backtesting progress: ======= [60%]
2025-07-20 21:06:06.852682 Backtesting progress: ======== [70%]
2025-07-20 21:06:06.853130 Backtesting progress: ========= [80%]
2025-07-20 21:06:06.853594 Backtesting progress: ========== [90%]
2025-07-20 21:06:06.853694 Historical backtest complete
2025-07-20 21:06:06.853747 Start calculating daily mark-to-market profit and loss
2025-07-20 21:06:06.853823 The backtest trade record is empty
2025-07-20 21:06:06.854865 The daily mark-to-market profit and loss calculation is complete
close_price pre_close trades trade_count start_pos end_pos turnover commission slippage trading_pnl holding_pnl total_pnl net_pnl
date
2025-07-01 3014.0 1.0 [] 0 0 0 0 0 0 0 0.0 0.0 0.0
2025-07-02 3063.0 3014.0 [] 0 0 0 0 0 0 0 0.0 0.0 0.0
2025-07-20 21:06:06.861326 Start calculating strategy statistical indicators
2025-07-20 21:06:06.864186 ------------------------------
2025-07-20 21:06:06.864250 Start Date: 2025-07-01
2025-07-20 21:06:06.864290 End Date: 2025-07-02
2025-07-20 21:06:06.864325 Total Days: 2
2025-07-20 21:06:06.864370 Profit Days: 0
2025-07-20 21:06:06.864411 Loss Days: 0
2025-07-20 21:06:06.864451 Capital: 1,000,000.00
2025-07-20 21:06:06.864483 End Balance: 1,000,000.00
2025-07-20 21:06:06.864530 Total Return: 0.00%
2025-07-20 21:06:06.864597 Annual Return: 0.00%
2025-07-20 21:06:06.864655 Max Drawdown: 0.00
2025-07-20 21:06:06.864708 Max Ddpercent: 0.00%
2025-07-20 21:06:06.864753 Max Drawdown Duration: 0
2025-07-20 21:06:06.864807 Total Det Pnl: 0.00
2025-07-20 21:06:06.864849 Total Commission: 0.00
2025-07-20 21:06:06.864904 Total Slippage: 0.00
2025-07-20 21:06:06.864945 Total Turnover: 0.00
2025-07-20 21:06:06.864981 Total Trade Count: 0
2025-07-20 21:06:06.865033 Daily Net P&L: 0.00
2025-07-20 21:06:06.865079 Daily Commission: 0.00
2025-07-20 21:06:06.865124 Daily Slippage: 0.00
2025-07-20 21:06:06.865170 Daily Turnover: 0.00
2025-07-20 21:06:06.865217 Daily Trade Count: 0.0
2025-07-20 21:06:06.865267 Daily Return: 0.00%
2025-07-20 21:06:06.865314 Return Std: 0.00%
2025-07-20 21:06:06.865409 Sharpe Ratio： 0.00
2025-07-20 21:06:06.865461 EWM Sharpe： 0.00
2025-07-20 21:06:06.865511 Return Drawdown Ratio: 0.00
2025-07-20 21:06:06.865807 Strategy statistical indicators calculation completed
