VNPY 批量策略回测和统计结果的excel输出

做VNPY这段时间，发现主要就是回测，和策略优化；然后就是有批量测试和参数集合效果导出excel分析要求。还有就是一个策略对不同品种效果验证。

然后想想，就自己写了一个BatchBackTest 类，其实很简答，就是输入品种队列，和策略队列，然后就会循环跑出结果，输出到指定路径excel。 还有就是策略是元组，是由一个策略和对应参数组合。

代码如下。使用方法就是在 vnpy/example/CtaBacktesting 路径下面新疆一个py，放入下面代码就可以

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1. # encoding: UTF-8
   
2. from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, MINUTE_DB_NAME
   
3. import pandas as pd
   
4. from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy
   
5. from vnpy.trader.app.ctaStrategy.strategy.strategyBollChannel import BollChannelStrategy
   
6. from vnpy.trader.app.ctaStrategy.strategy.strategyDoubleMa import DoubleMaStrategy
   
7. from vnpy.trader.app.ctaStrategy.strategy.strategyDualThrust import DualThrustStrategy
   
8. from vnpy.trader.app.ctaStrategy.strategy.strategyKingKeltner import KkStrategy
   
9. from vnpy.trader.app.ctaStrategy.strategy.strategyMultiSignal import MultiSignalStrategy
   
10. from vnpy.trader.app.ctaStrategy.strategy.strategyMultiTimeframe import MultiTimeframeStrategy
    
11. 
    
12. class BatchBackTest(object):
    
13.     def __init__(self):
    
14.         ""
    
15.     def calculateBacktesting(self,symbollist,strategylist):
    
16.         #填入品种队列和策略队列，返回结果resultlist, 为了输出方便检索，加入品种名称，策略名称和策略参数
    
17.         resultlist = []
    
18.         for symbol in symbollist:
    
19.             for strategy in strategylist:
    
20.                 result = self.runBacktesting(symbol,strategy)
    
21.                 #加入品种名称，策略名称和策略参数
    
22.                 result["Symbolname"] = str(symbol["vtSymbol"])
    
23.                 result["strategyname"] = str(strategy[0])
    
24.                 result["strategysetting"] = str(strategy[1])
    
25.                 resultlist.append(result)
    
26.         return resultlist
    
27. 
    
28. 
    
29.     def runBacktesting(self, symbol, strategy ):
    
30.         #写入测试品种和参数, 返回回测数据集包含回测结果
    
31. 
    
32.         # 在引擎中创建策略对象
    
33.         # 创建回测引擎
    
34.         engine = BacktestingEngine()
    
35.         # 设置引擎的回测模式为K线
    
36.         engine.setBacktestingMode(engine.BAR_MODE)
    
37.         # 设置回测用的数据起始日期
    
38.         engine.setStartDate(symbol["StartDate"])
    
39.         engine.setSlippage(symbol["Slippage"]) # 1跳
    
40.         engine.setRate(symbol["Rate"]) # 佣金大小
    
41.         engine.setSize(symbol["Size"]) # 合约大小
    
42.         engine.setPriceTick(symbol["Slippage"]) # 最小价格变动
    
43.         engine.setCapital(symbol["Capital"])
    
44. 
    
45.         # 设置使用的历史数据库
    
46.         engine.setDatabase(MINUTE_DB_NAME, symbol["vtSymbol"])
    
47.         #设置策略，策略元组中第一个是策略，第二个参数
    
48.         engine.initStrategy(strategy[0], strategy[1])
    
49.         engine.runBacktesting()
    
50.         df = engine.calculateDailyResult()
    
51.         result = []
    
52.         dfp,result = engine.calculateDailyStatistics(df)
    
53.         engine.output(u'输出统计数据')
    
54.         # engine.showDailyResult(dfp, result)
    
55.         return result
    
56. 
    
57.     def toExcel(self, resultlist, path = "C:\data\datframe.xlsx"):
    
58.         #按照输入统计数据队列和路径，输出excel，这里不提供新增模式，如果想，可以改
    
59.         #dft.to_csv(path,index=False,header=True, mode = 'a')
    
60.         summayKey = resultlist[0].keys()
    
61.         # summayValue = result.values()
    
62. 
    
63.         dft = pd.DataFrame(columns=summayKey)
    
64.         for result in resultlist:
    
65.             new = pd.DataFrame(result, index=["0"])
    
66.             dft = dft.append(new,ignore_index=True)
    
67.         dft.to_excel(path,index=False,header=True)
    
68.         print "回测统计结果输出到" + path
    
69. 
    
70. 
    
71. if __name__ == "__main__":
    
72.     #创建品种队列，这里可以用json导入，为了方便使用直接写了。
    
73.     symbollist = [{
    
74.         "vtSymbol": 'm1809',
    
75.         "StartDate": "20180101",
    
76.         "Slippage": 1,
    
77.         "Size": 10,
    
78.         "Rate": 2 / 10000,
    
79.         "Capital": 10000
    
80.             },
    
81.         {
    
82.             "vtSymbol": 'rb0000',
    
83.             "StartDate": "20180101",
    
84.             "Slippage": 1,
    
85.             "Size": 10,
    
86.             "Rate": 2 / 10000,
    
87.             "Capital": 10000
    
88.         }]
    
89.     #这里定义策略，策略参数先为空；策略加参数是一个元组
    
90.     setting = {}
    
91.     Strategylist = [(AtrRsiStrategy, setting),
    
92.                     (BollChannelStrategy, setting),
    
93.                     (DoubleMaStrategy, setting),
    
94.                     (DualThrustStrategy, setting),
    
95.                     (KkStrategy, setting),
    
96.                     (MultiSignalStrategy, setting),
    
97.                     (MultiTimeframeStrategy, setting)]
    
98.     # 这里是同一个策略，不同参数的情况，当然可以有多个策略和多个参数组合
    
99.     Strategylist2 = []
    
100.     # 策略list
     
101.     settinglist =[
     
102.         {'kdlimit': 40, 'barmins': 9, 'cciWindow': 22},
     
103.         {'kdlimit': 30, 'barmins': 13, 'cciWindow': 20}]
     
104.     # 合并一个元组
     
105.     if settinglist != []:
     
106.         for para1 in settinglist:
     
107.             Strategylist2.append((BollChannelStrategy, para1))
     
108. 
     
109.     NT = BatchBackTest()
     
110.     resultlist = NT.calculateBacktesting(symbollist,Strategylist)
     
111.     #定义路径
     
112.     path = "C:\Project\BackTestResult.xlsx"
     
113.     NT.toExcel(resultlist,path)

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