策略回测问题

[q***t@gmail.com]

"id":"f248854b-f295-11e5-b56c-00aca8a69adb"

[一怒拔剑]

没看明白问题，需要给出更完整的数据。

[q***t@gmail.com]

就是3.10模拟成交见上图，但是汇总的业绩给出的是24800，我已经给出了策略id，不知道你们能否通过id看到上面的结果？

上面是卖开 2963，买平2933

但你们策略显示是亏钱。

[一怒拔剑]

不行，数据都在用户机器上。我们看不到数据的。回测能重现吗？如果一小段策略程序能重现这个问题，会方便我们跟进。

[q***t@gmail.com]

就是你们git上面的例子，这里没法贴附件？

[q***t@gmail.com]

encoding: utf-8

from gmsdk.api import StrategyBase
from gmsdk import md
from gmsdk.enums import *
import arrow
import time

#每次开仓量
OPEN_VOL = 1

#最大开仓次数
MAX_TRADING_TIMES = 1

debug = False

class Hans123(StrategyBase) :
def init(self, *args, **kwargs):
super(Hans123, self).init(*args, **kwargs)

    #是否已获取当天时间标识
    self.time_flag = False

    #是否已获取当天上、下轨数据
    self.data_flag = False 
    
    #持仓量
    self.long_hoding = 0;
    self.short_hoding = 0;

    #当天交易次数
    self.trading_times = 0;

    self.__get_param()

    self.tradedate = ''
    self.dayclose_flag = False


def __get_param( self ):
    '''
    获取配置参数
    '''
    #交易证券代码
    self.trade_symbol = self.config.get('para', 'trade_symbol')
    pos = self.trade_symbol.find('.')
    self.exchange = self.trade_symbol[:pos]
    self.sec_id = self.trade_symbol[pos+1:]
    
    #开盘时间
    self.open_time = self.config.get( 'para', 'open_time')
    
    #hans时间
    self.hans_time = self.config.get('para', 'hans_time') 
    
    #强制平仓时间
    self.ex_time = self.config.get('para', 'ex_time')

def __get_time( self, cur_utc ):
    '''
    获取当天的重要时间参数
    '''
    utc = arrow.get( cur_utc ).replace(tzinfo='local')
    cur_date = utc.format('YYYY-MM-DD')
    FMT = '%s %s'
    self.today_open_time = FMT%(cur_date, self.open_time)
    if debug:
        print('today open time: %s'%self.today_open_time)
    
    self.today_hans_time = FMT%(cur_date, self.hans_time)
    if debug:
        print('today hans time: %s'%self.today_hans_time)

    today_ex_time = FMT%(cur_date, self.ex_time )
    if debug:
        print('today exit time:%s'%today_ex_time)

    self.ex_time_utc = arrow.get(today_ex_time).replace(tzinfo='local').timestamp
    self.hans_time_utc = arrow.get(self.today_hans_time).replace(tzinfo='local').timestamp
    #qxy 2016
    #是否已获取当天上、下轨数据
    self.data_flag = False

    #持仓量
    self.long_hoding = 0;
    self.short_hoding = 0;

    #当天交易次数
    self.trading_times = 0;
    self.dayclose_flag = False

def __init_band_data( self, bar_type ):
     '''
     获取上、下轨数据
     '''
     bars = self.get_bars( self.trade_symbol, bar_type, self.today_open_time, self.today_hans_time )
     close_list =[bar.close for bar in bars ]

     #上轨
     self.upr_band = max(close_list)
     if debug:
        print('upper band:%s'%self.upr_band)

     #下轨
     self.dwn_band = min(close_list)
     if debug:
        print('down band: %s'%self.dwn_band)

def on_tick(self, tick):
     '''
     tick行情事件
     '''
     #获取最新价
     self.last_price = tick.last_price

def on_bar(self, bar):
    '''
    bar周期数据事件
    ''' 
    #获取当天的时间参数
    if self.tradedate == '':
        self.tradedate = bar.strtime[:10]

    if self.tradedate != bar.strtime[:10]:
        self.tradedate = bar.strtime[:10]
        self.time_flag = False
        self.dayclose_flag = False

    if  self.time_flag is False :
        if self.dayclose_flag is False:
            self.__get_time( bar.utc_time )
            self.time_flag = True

    #计算上、下轨
    if bar.utc_time < self.ex_time_utc and bar.utc_time > self.hans_time_utc :
        if self.time_flag is True and self.data_flag is False:
            self.__init_band_data( bar.bar_type )
            self.data_flag = True

    #休市前强平当天仓位
    if bar.utc_time > self.ex_time_utc :
        if self.time_flag is True :
            self.time_flag = False
            self.dayclose_flag = True

        if self.long_hoding > 0 :
            self.close_long( self.exchange, self.sec_id, 0, self.long_hoding )
            if debug:
                print('exit time close long: %s, vol: %s'%( self.trade_symbol, self.long_hoding ))
            self.long_hoding = 0
            
        elif self.short_hoding > 0:
            self.close_short( self.exchange, self.sec_id, 0, self.short_hoding )
            if debug:
                print('exit time close long: %s, vol: %s'%( self.trade_symbol, self.short_hoding ))
            self.short_hoding = 0
        return 

    if self.trading_times >= MAX_TRADING_TIMES :
        if debug:
            print('trading times more than max trading times, stop trading')
        return

    #交易时间段
    if bar.utc_time > self.hans_time_utc and bar.utc_time < self.ex_time_utc :
        if bar.close > self.upr_band :
            if self.short_hoding > 0 :
                #有空仓，先平空仓
                self.close_short( self.exchange, self.sec_id, 0, self.short_hoding )
                if debug:
                    print('close short: %s, vol:%s'%(self.trade_symbol, self.short_hoding))
                self.short_hoding = 0
            
            #开多仓
            self.open_long( self.exchange, self.sec_id, 0, OPEN_VOL )  
            if debug:
                print('open long: %s, vol:%s'%(self.trade_symbol, OPEN_VOL))
            self.long_hoding += OPEN_VOL

            #开仓次数+1
            self.trading_times += 1
        elif bar.close < self.dwn_band :
            if self.long_hoding > 0 :
                #有多仓，先平多仓
                self.close_long( self.exchange, self.sec_id, 0, self.long_hoding )
                if debug:
                    print('close long: %s, vol:%s'%(self.trade_symbol, self.long_hoding))
                self.long_hoding = 0

            #开空仓
            self.open_short( self.exchange, self.sec_id, 0,  OPEN_VOL )
            if debug:
                print('open short: %s, vol:%s'%(self.trade_symbol, OPEN_VOL))
            self.short_hoding += OPEN_VOL

           #开仓次数+1
            self.trading_times += 1

if name == 'main':
hans123 = Hans123(config_file='Hans123.ini')
ret = hans123.run()
print(hans123.get_strerror(ret))

[q***t@gmail.com]

[strategy]
td_addr=localhost:8001

username=qdigest@gmail.com

password=milanhongshu

strategy_id=37c86aa5-f1ba-11e5-b56c-00aca8a69adb

mode=4

;CFFEX.IF1604
;CFFEX.IF1604
;CFFEX.IF1604

subscribe_symbols=CFFEX.IF1604.tick, CFFEX.IF1604.bar.60

[backtest]
start_time=2016-03-01 09:30:00

end_time=2016-03-25 15:00:00

initial_cash=2000000

transaction_ratio=1

commission_ratio=0.0002

slippage_ratio=0.001

[para]
trade_symbol=CFFEX.IF1604
open_time=09:30:00
hans_time=10:30:00
ex_time=14:55:00
limit_times=3