卡尔曼策略新增md文件
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{
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"cells": [
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{
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"cell_type": "code",
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"id": "522f09ca7b3fe929",
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-10-24T08:54:09.381083Z",
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"start_time": "2025-10-24T08:54:09.363240Z"
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}
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},
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"source": [
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"from datetime import datetime\n",
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"\n",
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"from src.data_processing import load_raw_data\n",
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"%load_ext autoreload\n",
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"%autoreload 2\n",
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"\n",
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"import sys\n",
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"\n",
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"if '/mnt/d/PyProject/NewQuant/' not in sys.path:\n",
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" sys.path.append('/mnt/d/PyProject/NewQuant/')"
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],
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"The autoreload extension is already loaded. To reload it, use:\n",
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" %reload_ext autoreload\n"
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]
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}
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],
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"execution_count": 9
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},
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{
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"cell_type": "code",
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"id": "4f7e4b438cea750e",
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-10-24T08:54:09.402764Z",
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"start_time": "2025-10-24T08:54:09.387096Z"
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}
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},
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"source": [
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"from turtle import down\n",
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"from src.analysis.result_analyzer import ResultAnalyzer\n",
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"# 导入所有必要的模块\n",
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"from src.data_manager import DataManager\n",
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"from src.backtest_engine import BacktestEngine\n",
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"from src.indicators.indicator_list import INDICATOR_LIST\n",
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"from src.indicators.indicators import *\n",
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"\n",
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"# 导入您自己的 SMC 策略\n",
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"from futures_trading_strategies.FG.TrendlineBreakoutStrategy.DualModeTrendlineHawkesStrategy2 import DualModeTrendlineHawkesStrategy\n",
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"\n",
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"# --- 配置参数 ---\n",
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"# 获取当前脚本所在目录，假设数据文件在项目根目录下的 data 文件夹内\n",
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"data_file_path = 'D:/PyProject/NewQuant/data/data/KQ_m@CZCE_FG/KQ_m@CZCE_FG_min15.csv'\n"
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],
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"outputs": [],
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"execution_count": 10
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-10-24T08:54:09.420838Z",
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"start_time": "2025-10-24T08:54:09.404769Z"
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}
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},
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"cell_type": "code",
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"source": [
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"\n",
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"initial_capital = 100000.0\n",
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"slippage_rate = 0.000 # 假设每笔交易0.1%的滑点\n",
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"commission_rate = 0.0000 # 假设每笔交易0.02%的佣金\n",
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"\n",
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"global_config = {\n",
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" 'symbol': 'KQ_m@CZCE_FG', # 确保与数据文件中的 symbol 匹配\n",
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"}\n",
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"\n",
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"# 回测时间范围\n",
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"start_time = datetime(2021, 1, 1)\n",
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"end_time = datetime(2024, 6, 1)\n",
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"\n",
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"start_time = datetime(2025, 9, 1)\n",
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"end_time = datetime(2025, 11, 1)\n",
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"\n",
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"\n",
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"indicators = INDICATOR_LIST\n",
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"indicators = []\n",
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"\n",
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"# 确保 DataManager 能够重置以进行多次回测\n",
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"# data_manager.reset() # 首次运行不需要重置"
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],
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"id": "9ee53c41eaaefabb",
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"outputs": [],
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"execution_count": 11
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-10-24T08:54:30.631596Z",
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"start_time": "2025-10-24T08:54:09.424852Z"
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}
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},
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"cell_type": "code",
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"source": [
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"from src.tqsdk_engine import TqsdkEngine\n",
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"from tqsdk import TqApi, TqBacktest, TqAuth\n",
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"from src.indicators.indicators import ROC_MA\n",
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"\n",
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"# --- 1. 初始化数据管理器 ---\n",
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"print(\"初始化数据管理器...\")\n",
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"data_manager = DataManager(file_path=data_file_path, symbol=global_config['symbol'], start_time=start_time,\n",
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" end_time=end_time)\n",
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"\n",
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"strategy_parameters = {\n",
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" 'main_symbol': 'FG', # <-- 替换为你的交易品种代码，例如 'GC=F' (黄金期货), 'ZC=F' (玉米期货)\n",
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" 'trade_volume': 1,\n",
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" # 'indicators': [RateOfChange(10, -2.1, -0.5), ROC_MA(10, 10, -2.7, -0.4)],\n",
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" 'enable_log': False,\n",
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" 'trend_params': {\n",
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" \"trendline_n\": 10,\n",
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" \"hawkes_kappa\": 0.9,\n",
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" },\n",
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" 'reversion_params': {\n",
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" \"trendline_n\": 70,\n",
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" \"hawkes_kappa\": 0.1,\n",
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" },\n",
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" 'conflict_resolution': 'NONE'\n",
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"}\n",
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"\n",
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"# --- 2. 初始化回测引擎并运行 ---\n",
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"print(\"\\n初始化回测引擎...\")\n",
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"api = TqApi(\n",
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" backtest=TqBacktest(start_dt=start_time, end_dt=end_time),\n",
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" auth=TqAuth(\"emanresu\", \"dfgvfgdfgg\"),\n",
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")\n",
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"# --- 1. 初始化回测引擎并运行 ---\n",
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"print(\"\\n初始化 Tqsdk 回测引擎...\")\n",
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"engine = TqsdkEngine(\n",
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" strategy_class=DualModeTrendlineHawkesStrategy,\n",
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" strategy_params=strategy_parameters,\n",
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" api=api,\n",
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" symbol=global_config['symbol'],\n",
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" duration_seconds=60 * 15,\n",
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" roll_over_mode=True, # 启用换月模式检测\n",
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" start_time=start_time,\n",
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" end_time=end_time,\n",
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")\n",
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"\n",
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"print(\"\\n开始运行回测...\")\n",
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"engine.run_backtest()\n",
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"print(\"\\n回测运行完毕。\")\n",
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"\n",
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"# --- 3. 获取回测结果 ---\n",
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"results = engine.get_backtest_results()\n",
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"portfolio_snapshots = results[\"portfolio_snapshots\"]\n",
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"trade_history = results[\"trade_history\"]\n",
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"initial_capital_result = results[\"initial_capital\"]\n",
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"bars = results[\"all_bars\"]\n",
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"\n",
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"# --- 4. 结果分析与可视化 ---\n",
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"if portfolio_snapshots:\n",
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" analyzer = ResultAnalyzer(portfolio_snapshots, trade_history, bars, initial_capital_result, INDICATOR_LIST)\n",
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"\n",
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" analyzer.generate_report()\n",
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" analyzer.plot_performance()\n",
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" metrics = analyzer.calculate_all_metrics()\n",
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" print(metrics)\n",
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"\n",
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" analyzer.analyze_indicators()\n",
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"else:\n",
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" print(\"\\n没有生成投资组合快照，无法进行结果分析。\")"
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],
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"id": "f903fd2761d446cd",
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"初始化数据管理器...\n",
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"数据加载成功: D:/PyProject/NewQuant/data/data/KQ_m@CZCE_FG/KQ_m@CZCE_FG_min15.csv\n",
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"数据范围从 2020-12-31 14:45:00 到 2025-10-24 14:30:00\n",
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"总计 26508 条记录。\n",
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"\n",
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"初始化回测引擎...\n",
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" INFO - TqSdk free 版剩余 0 天到期，如需续费或升级请访问 https://account.shinnytech.com/ 或联系相关工作人员。\n",
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"\n",
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"初始化 Tqsdk 回测引擎...\n",
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"内存仓储已初始化，管理ID: 'futures_trading_strategies.FG.TrendlineBreakoutStrategy.DualModeTrendlineHawkesStrategy2.DualModeTrendlineHawkesStrategy_ec6cb042fb4d776e22af01d6641dc528'\n",
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"TqsdkContext: 初始化完成。\n",
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"DualModeTrendlineHawkesStrategy initialized.\n",
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"Enabled modes: ['TREND', 'REVERSION']\n",
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"Conflict resolution: NONE\n",
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"TqsdkContext: 已设置引擎引用。\n",
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"TqsdkEngine: 初始化完成。\n",
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"\n",
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"开始运行回测...\n",
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"TqsdkEngine: 开始运行回测，从 2025-09-01 00:00:00 到 2025-11-01 00:00:00\n",
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"DualModeTrendlineHawkesStrategy 策略初始化回调被调用。\n",
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"Initializing Hawkes state with lookback 50...\n",
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"Initializing Hawkes state with lookback 50...\n",
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"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20250904211500', price_type='LIMIT', limit_price=1148, stop_price=None, submitted_time=Timestamp('2025-09-04 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
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"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20250904211500', price_type='LIMIT', limit_price=1148, stop_price=None, submitted_time=Timestamp('2025-09-04 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
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" INFO - 模拟交易下单 TQSIM, PYSDK_insert_4aacb590c09871e5cfae4a8eb64c3c4d: 时间: 2025-09-04 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1148.0\n",
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" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_4aacb590c09871e5cfae4a8eb64c3c4d: 全部成交\n",
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"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20250904221500', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-04 22:15:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
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"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20250904221500', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-04 22:15:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
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" INFO - 模拟交易下单 TQSIM, PYSDK_target_0f909d3561fe7c107a1b19326fa53a17: 时间: 2025-09-04 22:15:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1140.0\n",
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" INFO - 模拟交易委托单 TQSIM, PYSDK_target_0f909d3561fe7c107a1b19326fa53a17: 全部成交\n",
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"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20250909211500', price_type='LIMIT', limit_price=1171, stop_price=None, submitted_time=Timestamp('2025-09-09 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
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"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20250909211500', price_type='LIMIT', limit_price=1171, stop_price=None, submitted_time=Timestamp('2025-09-09 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
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" INFO - 模拟交易下单 TQSIM, PYSDK_insert_8db38b8aee8f78c3607d2d84cb4abb0b: 时间: 2025-09-09 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1171.0\n",
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" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_8db38b8aee8f78c3607d2d84cb4abb0b: 全部成交\n",
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"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20250909223000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-09 22:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
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"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20250909223000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-09 22:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
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" INFO - 模拟交易下单 TQSIM, PYSDK_target_c462ad51e812c4f54117aa66ae1499e4: 时间: 2025-09-09 22:30:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1171.0\n",
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" INFO - 模拟交易委托单 TQSIM, PYSDK_target_c462ad51e812c4f54117aa66ae1499e4: 全部成交\n",
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"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20250918091500', price_type='LIMIT', limit_price=1217, stop_price=None, submitted_time=Timestamp('2025-09-18 09:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
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"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20250918091500', price_type='LIMIT', limit_price=1217, stop_price=None, submitted_time=Timestamp('2025-09-18 09:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
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" INFO - 模拟交易下单 TQSIM, PYSDK_insert_487e402458d1b25fb8a7e687ae4c291c: 时间: 2025-09-18 09:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1217.0\n",
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" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_487e402458d1b25fb8a7e687ae4c291c: 全部成交\n",
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"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20250918103000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-18 10:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
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"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20250918103000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-18 10:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
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" INFO - 模拟交易下单 TQSIM, PYSDK_target_b3b97d0e6d4fdc323ec344f7d89ce1f0: 时间: 2025-09-18 10:30:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1225.0\n",
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||||
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_b3b97d0e6d4fdc323ec344f7d89ce1f0: 全部成交\n",
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"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20250918133000', price_type='LIMIT', limit_price=1207, stop_price=None, submitted_time=Timestamp('2025-09-18 13:30:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
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"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20250918133000', price_type='LIMIT', limit_price=1207, stop_price=None, submitted_time=Timestamp('2025-09-18 13:30:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
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||||
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_96c036710e7b53b554fc7c33b95b9c24: 时间: 2025-09-18 13:30:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1207.0\n",
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" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_96c036710e7b53b554fc7c33b95b9c24: 全部成交\n",
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||||
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20250918214500', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-18 21:45:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
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||||
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20250918214500', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-18 21:45:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
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" INFO - 模拟交易下单 TQSIM, PYSDK_target_7865ded2b9c1bfa3442b1701742c4d58: 时间: 2025-09-18 21:45:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1205.0\n",
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||||
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_7865ded2b9c1bfa3442b1701742c4d58: 全部成交\n",
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||||
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20250919211500', price_type='LIMIT', limit_price=1225, stop_price=None, submitted_time=Timestamp('2025-09-19 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
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||||
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20250919211500', price_type='LIMIT', limit_price=1225, stop_price=None, submitted_time=Timestamp('2025-09-19 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
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" INFO - 模拟交易下单 TQSIM, PYSDK_insert_8ecdd284ec65ec961067a00e1e03e315: 时间: 2025-09-19 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1225.0\n",
|
||||
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_8ecdd284ec65ec961067a00e1e03e315: 全部成交\n",
|
||||
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20250919220000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-19 22:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
|
||||
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20250919220000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-19 22:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
|
||||
" INFO - 模拟交易下单 TQSIM, PYSDK_target_29eb0b749e58167aa45665d208253b36: 时间: 2025-09-19 22:00:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1223.0\n",
|
||||
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_29eb0b749e58167aa45665d208253b36: 全部成交\n",
|
||||
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20250924091500', price_type='LIMIT', limit_price=1203, stop_price=None, submitted_time=Timestamp('2025-09-24 09:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
|
||||
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20250924091500', price_type='LIMIT', limit_price=1203, stop_price=None, submitted_time=Timestamp('2025-09-24 09:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
|
||||
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_32cf408c5635c11b831b98b2fd635a66: 时间: 2025-09-24 09:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1203.0\n",
|
||||
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_32cf408c5635c11b831b98b2fd635a66: 全部成交\n",
|
||||
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20250924100000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-24 10:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
|
||||
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20250924100000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-24 10:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
|
||||
" INFO - 模拟交易下单 TQSIM, PYSDK_target_f046b95f5e3d13c223fa1f9c535d76bf: 时间: 2025-09-24 10:00:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1196.0\n",
|
||||
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_f046b95f5e3d13c223fa1f9c535d76bf: 全部成交\n",
|
||||
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20251010211500', price_type='LIMIT', limit_price=1185, stop_price=None, submitted_time=Timestamp('2025-10-10 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
|
||||
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20251010211500', price_type='LIMIT', limit_price=1185, stop_price=None, submitted_time=Timestamp('2025-10-10 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
|
||||
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_9a63d90f357be3164b448d24e95ea66d: 时间: 2025-10-10 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1185.0\n",
|
||||
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_9a63d90f357be3164b448d24e95ea66d: 全部成交\n",
|
||||
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20251010220000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-10-10 22:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
|
||||
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20251010220000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-10-10 22:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
|
||||
" INFO - 模拟交易下单 TQSIM, PYSDK_target_6dfce0e150315f78983eda0bcb0e9a91: 时间: 2025-10-10 22:00:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1184.0\n",
|
||||
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_6dfce0e150315f78983eda0bcb0e9a91: 全部成交\n",
|
||||
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20251016211500', price_type='LIMIT', limit_price=1129, stop_price=None, submitted_time=Timestamp('2025-10-16 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
|
||||
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='SELL', volume=1, id='CZCE.FG601_SELL_20251016211500', price_type='LIMIT', limit_price=1129, stop_price=None, submitted_time=Timestamp('2025-10-16 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
|
||||
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_6cd2d65278d526385068e2106d70854c: 时间: 2025-10-16 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1129.0\n",
|
||||
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_6cd2d65278d526385068e2106d70854c: 全部成交\n",
|
||||
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20251016221500', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-10-16 22:15:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
|
||||
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_SHORT', volume=1, id='CZCE.FG601_CLOSE_SHORT_20251016221500', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-10-16 22:15:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
|
||||
" INFO - 模拟交易下单 TQSIM, PYSDK_target_3299638e3209614bcfd7538e8fefa867: 时间: 2025-10-16 22:15:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1130.0\n",
|
||||
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_3299638e3209614bcfd7538e8fefa867: 全部成交\n",
|
||||
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20251017211500', price_type='LIMIT', limit_price=1125, stop_price=None, submitted_time=Timestamp('2025-10-17 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
|
||||
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20251017211500', price_type='LIMIT', limit_price=1125, stop_price=None, submitted_time=Timestamp('2025-10-17 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
|
||||
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_eb18a1a9237778c79666acd207f76702: 时间: 2025-10-17 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1125.0\n",
|
||||
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_eb18a1a9237778c79666acd207f76702: 全部成交\n",
|
||||
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20251017223000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-10-17 22:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
|
||||
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='CLOSE_LONG', volume=1, id='CZCE.FG601_CLOSE_LONG_20251017223000', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-10-17 22:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
|
||||
" INFO - 模拟交易下单 TQSIM, PYSDK_target_48e62f08faa15a6e629c20770e7fe2d0: 时间: 2025-10-17 22:30:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1113.0\n",
|
||||
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_48e62f08faa15a6e629c20770e7fe2d0: 全部成交\n",
|
||||
"Context: 订单已加入队列: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20251024111500', price_type='LIMIT', limit_price=1105, stop_price=None, submitted_time=Timestamp('2025-10-24 11:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
|
||||
"Engine: 处理订单请求: Order(symbol='CZCE.FG601', direction='BUY', volume=1, id='CZCE.FG601_BUY_20251024111500', price_type='LIMIT', limit_price=1105, stop_price=None, submitted_time=Timestamp('2025-10-24 11:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
|
||||
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_cbe9a4c43285732cf01979eded2c27af: 时间: 2025-10-24 11:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1105.0\n",
|
||||
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_cbe9a4c43285732cf01979eded2c27af: 全部成交\n",
|
||||
" INFO - 回测结束\n",
|
||||
" INFO - 模拟交易成交记录, 账户: TQSIM\n",
|
||||
" INFO - 时间: 2025-09-04 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1148.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-09-04 22:15:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1140.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-09-09 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1171.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-09-09 22:30:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1171.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-09-18 09:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1217.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-09-18 10:30:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1225.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-09-18 13:30:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1207.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-09-18 21:45:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1205.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-09-19 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1225.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-09-19 22:00:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1223.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-09-24 09:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1203.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-09-24 10:00:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1196.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-10-10 21:15:59.999999, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1185.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-10-10 22:00:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1184.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-10-16 21:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 1129.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-10-16 22:15:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 1130.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-10-17 21:15:59.999999, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1125.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-10-17 22:30:00.000000, 合约: CZCE.FG601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 1113.000,手续费: 3.00\n",
|
||||
" INFO - 时间: 2025-10-24 11:15:00.000000, 合约: CZCE.FG601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 1105.000,手续费: 3.00\n",
|
||||
" INFO - 模拟交易账户资金, 账户: TQSIM\n",
|
||||
" INFO - 日期: 2025-09-01, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-02, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-03, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-04, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-05, 账户权益: 9999834.00, 可用资金: 9999834.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -160.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-08, 账户权益: 9999834.00, 可用资金: 9999834.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-09, 账户权益: 9999834.00, 可用资金: 9999834.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-10, 账户权益: 9999828.00, 可用资金: 9999828.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-11, 账户权益: 9999828.00, 可用资金: 9999828.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-12, 账户权益: 9999828.00, 可用资金: 9999828.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-15, 账户权益: 9999828.00, 可用资金: 9999828.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-16, 账户权益: 9999828.00, 可用资金: 9999828.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-17, 账户权益: 9999828.00, 可用资金: 9999828.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-18, 账户权益: 9999639.00, 可用资金: 9998541.00, 浮动盈亏: -20.00, 持仓盈亏: -20.00, 平仓盈亏: -160.00, 市值: 0.00, 保证金: 1098.00, 手续费: 9.00, 风险度: 0.01%\n",
|
||||
" INFO - 日期: 2025-09-19, 账户权益: 9999696.00, 可用资金: 9999696.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 60.00, 市值: 0.00, 保证金: 0.00, 手续费: 3.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-22, 账户权益: 9999650.00, 可用资金: 9999650.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -40.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-23, 账户权益: 9999650.00, 可用资金: 9999650.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-24, 账户权益: 9999504.00, 可用资金: 9999504.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -140.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-25, 账户权益: 9999504.00, 可用资金: 9999504.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-26, 账户权益: 9999504.00, 可用资金: 9999504.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-29, 账户权益: 9999504.00, 可用资金: 9999504.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-09-30, 账户权益: 9999504.00, 可用资金: 9999504.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-10-09, 账户权益: 9999504.00, 可用资金: 9999504.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-10-10, 账户权益: 9999504.00, 可用资金: 9999504.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-10-13, 账户权益: 9999518.00, 可用资金: 9999518.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 20.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-10-14, 账户权益: 9999518.00, 可用资金: 9999518.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-10-15, 账户权益: 9999518.00, 可用资金: 9999518.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-10-16, 账户权益: 9999518.00, 可用资金: 9999518.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-10-17, 账户权益: 9999492.00, 可用资金: 9999492.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -20.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-10-20, 账户权益: 9999246.00, 可用资金: 9999246.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -240.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-10-21, 账户权益: 9999246.00, 可用资金: 9999246.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-10-22, 账户权益: 9999246.00, 可用资金: 9999246.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-10-23, 账户权益: 9999246.00, 可用资金: 9999246.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
|
||||
" INFO - 日期: 2025-10-24, 账户权益: 9998983.00, 可用资金: 9997885.00, 浮动盈亏: -260.00, 持仓盈亏: -260.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 1098.00, 手续费: 3.00, 风险度: 0.01%\n",
|
||||
" INFO - 胜率: 33.33%, 盈亏额比例: 0.16, 收益率: -0.01%, 年化收益率: -0.07%, 最大回撤: 0.01%, 年化夏普率: -215.1636,年化索提诺比率: -15.7689\n",
|
||||
"回测结束：开始平仓所有剩余持仓...\n",
|
||||
"TqsdkEngine: 回测运行完毕。\n",
|
||||
"TqsdkEngine: API 已关闭。\n",
|
||||
"\n",
|
||||
"回测运行完毕。\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"ename": "KeyError",
|
||||
"evalue": "'initial_capital'",
|
||||
"output_type": "error",
|
||||
"traceback": [
|
||||
"\u001B[31m---------------------------------------------------------------------------\u001B[39m",
|
||||
"\u001B[31mKeyError\u001B[39m Traceback (most recent call last)",
|
||||
"\u001B[36mCell\u001B[39m\u001B[36m \u001B[39m\u001B[32mIn[12]\u001B[39m\u001B[32m, line 53\u001B[39m\n\u001B[32m 51\u001B[39m portfolio_snapshots = results[\u001B[33m\"\u001B[39m\u001B[33mportfolio_snapshots\u001B[39m\u001B[33m\"\u001B[39m]\n\u001B[32m 52\u001B[39m trade_history = results[\u001B[33m\"\u001B[39m\u001B[33mtrade_history\u001B[39m\u001B[33m\"\u001B[39m]\n\u001B[32m---> \u001B[39m\u001B[32m53\u001B[39m initial_capital_result = \u001B[43mresults\u001B[49m\u001B[43m[\u001B[49m\u001B[33;43m\"\u001B[39;49m\u001B[33;43minitial_capital\u001B[39;49m\u001B[33;43m\"\u001B[39;49m\u001B[43m]\u001B[49m\n\u001B[32m 54\u001B[39m bars = results[\u001B[33m\"\u001B[39m\u001B[33mall_bars\u001B[39m\u001B[33m\"\u001B[39m]\n\u001B[32m 56\u001B[39m \u001B[38;5;66;03m# --- 4. 结果分析与可视化 ---\u001B[39;00m\n",
|
||||
"\u001B[31mKeyError\u001B[39m: 'initial_capital'"
|
||||
]
|
||||
}
|
||||
],
|
||||
"execution_count": 12
|
||||
}
|
||||
],
|
||||
"metadata": {
|
||||
"kernelspec": {
|
||||
"display_name": "quant",
|
||||
"language": "python",
|
||||
"name": "python3"
|
||||
},
|
||||
"language_info": {
|
||||
"codemirror_mode": {
|
||||
"name": "ipython",
|
||||
"version": 3
|
||||
},
|
||||
"file_extension": ".py",
|
||||
"mimetype": "text/x-python",
|
||||
"name": "python",
|
||||
"nbconvert_exporter": "python",
|
||||
"pygments_lexer": "ipython3",
|
||||
"version": "3.12.11"
|
||||
}
|
||||
},
|
||||
"nbformat": 4,
|
||||
"nbformat_minor": 5
|
||||
}
|
||||
Reference in New Issue
Block a user