在jupyter里面的回测代码如下:
engine = BacktestingEngine()
engine.set_parameters(
vt_symbol="IF88.CFFEX",
interval="1m",
start=datetime(2018, 1, 1),
end=datetime(2018, 1, 31),
rate=3.0/10000,
slippage=0.2,
size=300,
pricetick=0.2,
capital=1_000_000,
)
engine.add_strategy(CBDemo, {})
engine.load_data()
engine.run_backtesting()
策略文件里面的on_bar函数如下:
def on_bar(self, bar: BarData):
if self.pos==0:
self.buy(bar.close_price,1)
print(f'{bar.datetime}:buy one -p')
self.write_log(f'{bar.datetime}:buy one -w')