initial-import: 2026-04-11 21:18:55

2026-04-11 21:18:55 +08:00
commit 5e6b2d73eb
264 changed files with 117047 additions and 0 deletions
@@ -0,0 +1,150 @@
+#!/usr/bin/env python3
+"""
+直接通过RPC调用执行回测 - 在容器内调用
+"""
+
+import zmq
+import json
+import traceback
+
+# 策略代码
+strategy_code = '''
+"""
+单票固定比例止损策略 - vnpy CTA回测
+"""
+
+from vnpy_ctastrategy import (
+    CtaTemplate, StopOrder, TickData, BarData, TradeData, OrderData,
+    BarGenerator, ArrayManager
+)
+from vnpy.trader.constant import Direction, Offset
+
+
+class SingleStockStopLossStrategy(CtaTemplate):
+    """单票固定比例止损策略 - 均线趋势跟踪+固定比例止损"""
+    
+    author = "关羽 (云长)"
+    parameters = ["fast_window", "slow_window", "stop_loss_pct"]
+    variables = ["fast_ma", "slow_ma", "cost_price", "in_position"]
+    
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        super().__init__(cta_engine, strategy_name, vt_symbol, setting)
+        self.bg = BarGenerator(self.on_bar)
+        self.am = ArrayManager(max(self.slow_window + 10, 100))
+        self.fast_ma = 0.0
+        self.slow_ma = 0.0
+        self.cost_price = 0.0
+        self.in_position = False
+        
+    def on_init(self):
+        self.write_log(f"策略初始化，fast={self.fast_window}, slow={self.slow_window}, stop_loss={self.stop_loss_pct:.1%}")
+        self.put_event()
+        
+    def on_bar(self, bar):
+        self.am.update_bar(bar)
+        if not self.am.inited:
+            return
+        
+        self.fast_ma = self.am.sma(self.fast_window)
+        self.slow_ma = self.am.sma(self.slow_window)
+        
+        have_signal = True
+        if self.in_position and self.cost_price > 0:
+            current_drawdown = (bar.close_price - self.cost_price) / self.cost_price
+            if current_drawdown <= -self.stop_loss_pct:
+                if self.pos > 0:
+                    self.sell(bar.close_price, self.pos)
+                    self.in_position = False
+                have_signal = False
+        
+        if have_signal:
+            if not self.in_position:
+                if self.fast_ma > self.slow_ma:
+                    self.buy(bar.close_price, 10000)
+                    self.cost_price = bar.close_price
+                    self.in_position = True
+            else:
+                if self.fast_ma < self.slow_ma:
+                    if self.pos > 0:
+                        self.sell(bar.close_price, self.pos)
+                        self.in_position = False
+        
+        self.put_event()
+'''
+
+# RPC请求
+request = {
+    "strategy_code": strategy_code,
+    "symbol": "510300.SSE",
+    "interval": "1d",
+    "start": 1609459200,
+    "end": 1772515200,
+    "capital": 1000000,
+    "rate": 3e-5,
+    "slippage": 0.002,
+    "size": 10000,
+    "pricetick": 0.001,
+    "data_source": "sqlite"
+}
+
+print("Connecting to RPC: tcp://127.0.0.1:8008")
+context = zmq.Context()
+socket = context.socket(zmq.REQ)
+socket.setsockopt(zmq.LINGER, 0)
+socket.connect("tcp://127.0.0.1:8008")
+socket.setsockopt(zmq.RCVTIMEO, 300000)  # 5分钟超时
+socket.setsockopt(zmq.SNDTIMEO, 300000)
+
+print("Sending request...")
+socket.send_string(json.dumps(request))
+
+print("Waiting for response (may take a few minutes)...")
+try:
+    response_json = socket.recv_string()
+    response = json.loads(response_json)
+    
+    if "error" in response:
+        print(f"\n❌ ERROR: {response['error']}")
+        if "traceback" in response:
+            print("\nTraceback:")
+            print(response["traceback"])
+    else:
+        print("\n✅ SUCCESS!")
+        print("\n" + "=" * 60)
+        print("回测结果:")
+        print("=" * 60)
+        
+        if "statistics" in response:
+            stats = response["statistics"]
+            print(f"\n📊 绩效指标:")
+            print(f"   总收益率: {stats.get('total_return', 0):.2%}")
+            print(f"   年化收益率: {stats.get('annual_return', 0):.2%}")
+            print(f"   最大回撤: {stats.get('max_drawdown', 0):.2%}")
+            print(f"   夏普比率: {stats.get('sharpe_ratio', 0):.2f}")
+            print(f"   卡玛比率: {stats.get('calmar_ratio', 0):.2f}")
+            print(f"   总交易次数: {stats.get('total_trades', 0)}")
+            print(f"   胜率: {stats.get('win_rate', 0):.2%}")
+            print(f"   盈亏比: {stats.get('profit_loss_ratio', 0):.2f}")
+
+        if "trades" in response:
+            trades = response["trades"]
+            print(f"\n📝 交易记录: 共 {len(trades)} 笔")
+            
+            for idx, trade in enumerate(trades[:20], 1):
+                print(f"   {idx}. {trade.get('datetime', '')[:10]} {trade.get('direction', '')} @ {trade.get('price', 0):.2f} × {trade.get('volume', 0)}")
+            
+            if len(trades) > 20:
+                print(f"   ... 还有 {len(trades) - 20} 笔")
+
+        print("\n" + "=" * 60)
+        print("回测完成!")
+        print("=" * 60)
+
+except zmq.error.Again:
+    print("\n❌ TIMEOUT: 超过5分钟仍未完成，请检查日志")
+except Exception as e:
+    print(f"\n❌ ERROR: {e}")
+    traceback.print_exc()
+finally:
+    socket.close()
+    context.term()