48 lines
1.8 KiB
Python
48 lines
1.8 KiB
Python
from datetime import timedelta
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from tqsdk import TqApi, TqAuth, TqAccount, TqKq
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from futures_trading_strategies.FG.Spectral.SpectralTrendStrategy3 import SpectralTrendStrategy
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# 导入 TqsdkEngine，而不是原来的 BacktestEngine
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from src.indicators.indicators import PriceRangeToVolatilityRatio, ZScoreATR, Hurst
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from src.tqsdk_real_engine import TqsdkEngine
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# 导入你的策略类
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# --- 配置参数 ---
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# Tqsdk 的本地数据文件路径，注意 Tqsdk 要求文件名为 KQ_m@交易所_品种名_周期.csv
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# 主力合约的 symbol
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symbol = "KQ.m@SHFE.ag"
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strategy_parameters = {
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'main_symbol': 'ag', # <-- 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)
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'trade_volume': 1,
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# 'order_direction': ['SELL', 'BUY'],
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'indicators': Hurst(115, 0, 0.5),
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# 'model_indicator': ADX(7, 0, 30),
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'bars_per_day': 23,
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'spectral_window_days': 9, # STFT窗口大小(天)
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'low_freq_days': 9, # 低频下限(天)
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'high_freq_days': 4, # 高频上限(天)
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'trend_strength_threshold': 0.6, # 相变临界值
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'exit_threshold': 0.3, # 退出阈值
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'enable_log': True,
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'reverse': False,
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}
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api = TqApi(TqKq(), auth=TqAuth("emanresu", "dfgvfgdfgg"))
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# api = TqApi(TqAccount('H宏源期货', '903308830', 'lzr520102'), auth=TqAuth("emanresu", "dfgvfgdfgg"))
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# --- 1. 初始化回测引擎并运行 ---
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print("\n初始化 Tqsdk 回测引擎...")
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engine = TqsdkEngine(
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strategy_class=SpectralTrendStrategy,
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strategy_params=strategy_parameters,
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api=api,
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symbol=symbol,
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duration_seconds=60 * 15,
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roll_over_mode=True, # 启用换月模式检测
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history_length=1000,
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close_bar_delta=timedelta(minutes=58)
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)
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engine.run() # 这是一个同步方法，内部会运行 asyncio 循环
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