78 lines
2.8 KiB
Python
78 lines
2.8 KiB
Python
# main.py
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from src.analysis.result_analyzer import ResultAnalyzer
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# 导入所有必要的模块
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from src.data_manager import DataManager
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from src.backtest_engine import BacktestEngine
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from src.strategies.simple_limit_buy_strategy import SimpleLimitBuyStrategy
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def main():
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# --- 配置参数 ---
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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
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data_file_path = '/mnt/d/PyProject/NewQuant/data/data/SHFE_rb2501/SHFE_rb2501_m60_20240901_20241201_min60.csv'
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initial_capital = 100000.0
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slippage_rate = 0.001 # 假设每笔交易0.1%的滑点
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commission_rate = 0.0002 # 假设每笔交易0.02%的佣金
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strategy_parameters = {
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'symbol': "SHFE_rb2501", # 根据您的数据文件中的品种名称调整
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'trade_volume': 1, # 每次交易1手/股
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'limit_price_factor': 0.995, # 限价单价格为开盘价的99.5%
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'max_position': 10 # 最大持仓10手/股
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}
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# --- 1. 初始化数据管理器 ---
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print("初始化数据管理器...")
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data_manager = DataManager(file_path=data_file_path)
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# 确保 DataManager 能够重置以进行多次回测
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# data_manager.reset() # 首次运行不需要重置
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# --- 2. 初始化回测引擎并运行 ---
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print("\n初始化回测引擎...")
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engine = BacktestEngine(
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data_manager=data_manager,
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strategy_class=SimpleLimitBuyStrategy,
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strategy_params=strategy_parameters,
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initial_capital=initial_capital,
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slippage_rate=slippage_rate,
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commission_rate=commission_rate
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)
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print("\n开始运行回测...")
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engine.run_backtest()
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print("\n回测运行完毕。")
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# --- 3. 获取回测结果 ---
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results = engine.get_backtest_results()
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portfolio_snapshots = results["portfolio_snapshots"]
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trade_history = results["trade_history"]
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initial_capital_result = results["initial_capital"]
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# --- 4. 结果分析与可视化 ---
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if portfolio_snapshots:
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analyzer = ResultAnalyzer(portfolio_snapshots, trade_history, initial_capital_result)
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analyzer.generate_report()
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analyzer.plot_performance()
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else:
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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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# --- 4. 结果分析与可视化 (待实现) ---
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# if portfolio_snapshots:
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# analyzer = ResultAnalyzer(portfolio_snapshots, trade_history, initial_capital_result)
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# metrics = analyzer.calculate_all_metrics()
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# print("\n--- 绩效指标 ---")
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# for key, value in metrics.items():
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# print(f" {key}: {value:.4f}")
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#
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# print("\n--- 绘制绩效图表 ---")
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# analyzer.plot_performance()
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# else:
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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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if __name__ == '__main__':
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main()
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