实现单品种连续多合约回测

main.ipynb

@@ -2,7 +2,7 @@
  "cells": [
   {
    "cell_type": "code",
-   "execution_count": 7,
+   "execution_count": 3,
    "id": "initial_id",
    "metadata": {
     "ExecuteTime": {
@@ -19,7 +19,7 @@
       "The autoreload extension is already loaded. To reload it, use:\n",
       "  %reload_ext autoreload\n",
       "初始化数据管理器...\n",
-      "数据加载成功: /mnt/d/PyProject/NewQuant/data/data/SHFE_rb2501/SHFE_rb2501_m60_20240901_20241201_min60.csv\n",
+      "数据加载成功: /mnt/d/PyProject/NewQuant/data/data/SHFE_rb2501/SHFE_rb2501_min60.csv\n",
       "数据范围从 2024-08-30 14:00:00 到 2024-11-29 21:00:00\n",
       "总计 404 条记录。\n",
       "\n",
@@ -444,9 +444,12 @@
       "[2024-11-29 14:00:00] Strategy processing Bar. Current close price: 3318.00. Current Portfolio Value: 99973.05\n",
       "[2024-11-29 21:00:00] Strategy processing Bar. Current close price: 3301.00. Current Portfolio Value: 99990.05\n",
       "Bar 对象流生成完毕。\n",
+      "\n",
+      "--- 回测片段结束，检查并平仓所有持仓 ---\n",
+      "[2024-11-29 21:00:00] 回测结束平仓: 平仓 SHFE_rb2501 (-1 手) @ 3301.00。\n",
       "--- 回测结束 ---\n",
       "总计处理了 404 根K线。\n",
-      "总计发生了 1 笔交易。\n",
+      "总计发生了 2 笔交易。\n",
       "\n",
       "回测运行完毕。\n",
       "\n",
@@ -462,11 +465,12 @@
       "最大回撤           : 0.63%\n",
       "夏普比率           : -0.02\n",
       "卡玛比率           : -0.04\n",
-      "总交易次数          : 1\n",
-      "交易成本           : 0.66\n",
+      "总交易次数          : 2\n",
+      "交易成本           : 1.32\n",
       "\n",
       "--- 部分交易明细 (最近5笔) ---\n",
       "  2024-08-30 21:00:00 | SELL       | SHFE_rb2501 | Vol: 1 | Price: 3291.70 | Commission: 0.66\n",
+      "  2024-11-29 21:00:00 | BUY        | SHFE_rb2501 | Vol: 1 | Price: 3304.30 | Commission: 0.66\n",
       "正在绘制绩效图表...\n"
      ]
     },
@@ -512,7 +516,7 @@
     "def main():\n",
     "    # --- 配置参数 ---\n",
     "    # 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",
-    "    data_file_path = '/mnt/d/PyProject/NewQuant/data/data/SHFE_rb2501/SHFE_rb2501_m60_20240901_20241201_min60.csv'\n",
+    "    data_file_path = '/mnt/d/PyProject/NewQuant/data/data/SHFE_rb2501/SHFE_rb2501_min60.csv'\n",
     "\n",
     "    initial_capital = 100000.0\n",
     "    slippage_rate = 0.001  # 假设每笔交易0.1%的滑点\n",
@@ -536,6 +540,7 @@
     "    engine = BacktestEngine(\n",
     "        data_manager=data_manager,\n",
     "        strategy_class=SimpleLimitBuyStrategy,\n",
+    "        current_segment_symbol='SHFE_rb2501',\n",
     "        strategy_params=strategy_parameters,\n",
     "        initial_capital=initial_capital,\n",
     "        slippage_rate=slippage_rate,\n",
@@ -582,7 +587,7 @@
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+   "execution_count": 4,
    "id": "9dd93e564f0e2b55",
    "metadata": {
     "ExecuteTime": {
@@ -597,7 +602,7 @@
        "'/home/liaozhaorun/.fonts/simhei.ttf'"
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-     "execution_count": 8,
+     "execution_count": 4,
      "metadata": {},
      "output_type": "execute_result"
     }
@@ -611,7 +616,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 9,
+   "execution_count": 5,
    "id": "a14196c49af33461",
    "metadata": {
     "ExecuteTime": {