写了一个网格交易的策略，回测的时候，最大回撤都无穷大了，请问是怎么回事呢？
from vnpy.app.cta_strategy import (
CtaTemplate,
StopOrder,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
)
import math
class GridStrategy(CtaTemplate):
""""""
author = "Fighter"
#定义参数
initial_price = 1.0
step_price = 1.0
step_volume = 1.0
max_pos = 4
vt_orderid = ""
pos = 0
parameters = ["initial_price", "step_price", "step_volume", "max_pos"]
variables = ["pos", "vt_orderid"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(1)
self.pos = 0
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
self.put_event()
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
self.put_event()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
#self.bg.update_bar(bar)
#self.cancel_all()
am = self.am
am.update_bar(bar)
if not am.inited:
return
if self.initial_price > bar.close_price:
# 价格在基准价之上时
# 计算当前K线收盘价与初始价的距离
target_buy_distance = (self.initial_price - bar.close_price) / self.step_price
# 计算当前价位应该持有的仓位，取整。再和最大仓位置比较
target_buy_position = min(math.floor(target_buy_distance) * self.step_volume, self.max_pos)
# 当前应该持有的仓位减去原有持仓就是该再买入的仓位
target_buy_volume = target_buy_position - self.pos
# Buy when price dropping
if target_buy_volume > 0:
self.buy(bar.close_price, target_buy_volume)
# Sell when price rising
elif target_buy_volume < 0:
self.sell(bar.close_price, target_buy_volume)
elif self.initial_price < bar.close_price:
# 价格在基准价之下时
target_buy_distance = (bar.close_price - self.initial_price) / self.step_price
target_buy_position = - min(math.floor(target_buy_distance) * self.step_volume, self.max_pos)
target_buy_volume = target_buy_position - self.pos
# Buy when price dropping
if target_buy_volume > 0:
self.buy(bar.close_price, target_buy_volume)
# Sell when price rising
elif target_buy_volume < 0:
self.sell(bar.close_price, target_buy_volume)
# Update UI
#self.put_variables_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
