请问 GitHub上的cta_backtesting用的不是2.0版本的,有2.0版本的例子吗?下面是地址与代码
https://github.com/vnpy/vnpy/blob/master/examples/cta_backtesting/backtesting.ipynb
%%
from vnpy.app.cta_strategy.backtesting import BacktestingEngine, OptimizationSetting
from vnpy.app.cta_strategy.strategies.atr_rsi_strategy import (
AtrRsiStrategy,
)
from datetime import datetime
%%
engine = BacktestingEngine()
engine.set_parameters(
vt_symbol="IF88.CFFEX",
interval="1m",
start=datetime(2019, 1, 1),
end=datetime(2019, 4, 30),
rate=0.3/10000,
slippage=0.2,
size=300,
pricetick=0.2,
capital=1_000_000,
)
engine.add_strategy(AtrRsiStrategy, {})
%%
engine.load_data()
engine.run_backtesting()
df = engine.calculate_result()
engine.calculate_statistics()
engine.show_chart()
setting = OptimizationSetting()
setting.set_target("sharpe_ratio")
setting.add_parameter("atr_length", 3, 39, 1)
setting.add_parameter("atr_ma_length", 10, 30, 1)
engine.run_ga_optimization(setting)