在相同条件下回测同一策略时,VN Station和backtesting_demo其他结果项目相同,除了总收益率和年化收益两项不一致,而且前者刚比后者刚好大一个数量级。具体结果如下图所示:
1、VN Station回测结果
2、backtesting_demo回测结果
具体回测环境:
VN Station版本2.5.2
backtesting_demo脚本从GitHub下载,具体脚本如下:
from vnpy.app.cta_strategy.backtesting import BacktestingEngine, OptimizationSetting
from vnpy.app.cta_strategy.strategies.nine_squire_strategy1 import (
NineSquireStrategy,
)
from datetime import datetime
engine = BacktestingEngine()
engine.set_parameters(
vt_symbol="IF99.CFFEX",
interval="1m",
start=datetime(2015, 5, 7),
end=datetime(2015, 8, 11),
rate=0.25/10000,
slippage=0.2,
size=100,
pricetick=0.2,
capital=1000000,
)
engine.add_strategy(NineSquireStrategy, {})
engine.load_data()
engine.run_backtesting()
df = engine.calculate_result()
engine.calculate_statistics()
engine.show_chart()