在 .vntrader 中新建了2个文件
demo_strategy_singleTimeframe.py 用于写策略
demo_backtesting_singleTimeframe.py 用于回测策略
我在demo_backtesting_singleTimeframe.py 做调试的时候，发现只能进到demo_strategy_singleTimeframe.py的 on_bar 函数中，整个执行过程中没有进到on_5min_bar 函数中。因此无交易记录，请问是什么原因？
在回测的时候， engine.load_data()执行完成后显示 历史数据加载完成，数据量：18720
所以说明数据是没问题的。
下面是代码
#demo_strategy_singleTimeframe.py
from typing import Any
from vnpy.trader.object import(
BarData,
TickData
)
from vnpy.app.cta_strategy import(
CtaTemplate,
BarGenerator, #k线合成器
ArrayManager #K线时间序列容器，将K线数据放到容器中去
)
from vnpy.trader.constant import Interval #注意，在这加载的interval
from typing import Callable
class DemoStrategy_SingleTimeFrame(CtaTemplate):
author = "Smart Trader"
#定义参数
fast_window = 10
slow_window = 20
#定义变量
fast_ma0 = 0.0
fast_ma1 = 0.0
slow_ma0 = 0.0
slow_ma1 = 0.0
parameters = [
'fast_window',
'slow_window'
]
variables = [
'fast_ma0',
'fast_ma1',
'slow_ma0',
'slow_ma1',
]
def __init__(
self,
cta_engine: Any,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
super().__init__(cta_engine,strategy_name,vt_symbol,setting)
self.bg = BarGenerator(self.on_bar,
window=5,
on_window_bar=self.on_5min_bar,
interval='1m')
self.am = ArrayManager()
def on_init(self):
"""策略初始化"""
#注册
self.write_log('策略初始化')
self.load_bar(10)
def on_start(self):
"""启动"""
self.write_log('策略启动')
def on_stop(self):
"""停止"""
self.write_log('策略停止')
def on_tick(self,tick:TickData):
"""Tick更新"""
self.bg.update_tick(tick)#bg会自动判断当前分钟是否已经走完，合成1分钟线
def on_bar(self,bar:BarData):
"""k线更新"""
self.bg.update_bar(bar)#将1分钟K线合成5分钟K线
def on_5min_bar(self,bar:BarData):#执行5分钟的K线，本节课的重点，
""" """
am = self.am
am.update_bar(bar)
if not am.inited:
return
fast_ma = am.sma(self.fast_window, array= True)
self.fast_ma0= fast_ma[-1]
self.fast_ma1= fast_ma[-2]
slow_ma = am.sma(self.slow_window, array= True)
self.slow_ma0= slow_ma[-1]
self.slow_ma1= slow_ma[-2]
#判断均线定义
cross_over = (self.fast_ma0>= self.slow_ma0 and
self.fast_ma1< self.slow_ma1)
cross_below = (self.fast_ma0<= self.slow_ma0 and
self.fast_ma1 > self.slow_ma1)
if cross_over:
price = bar .close_price + 5
if not self.pos:
self.buy(price,1)
elif self.pos < 0:
self.cover(price,1)
self.buy(price,1)
elif cross_below:
price = bar .close_price - 5
if not self.pos:
self.short(price,1)
elif self.pos > 0:
self.sell(price,1)
self.short(price,1)
#更新图形界面
self.put_event()==============================================分割线===================================================
#demo_strategy_singleTimeframe.py
from vnpy.app.cta_strategy.backtesting import BacktestingEngine, OptimizationSetting
from demo_strategy_singleTimeframe import DemoStrategy_SingleTimeFrame
from datetime import datetime
if __name__ == "__main__":
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(DemoStrategy_SingleTimeFrame, { #注意下面赋值的写法，每个变量都要带引号
'fast_window' : 10,
'slow_window' : 20 })
engine.load_data()
engine.run_backtesting()
df = engine.calculate_result()
engine.calculate_statistics()
engine.show_chart()