148 lines
4.5 KiB
Python
148 lines
4.5 KiB
Python
"""CTA strategy backtesting engine wrapper using vnpy_ctastrategy.backtesting."""
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import sys
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import os
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import traceback
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import uuid
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from datetime import datetime
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from pathlib import Path
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# Add vnpy source to path for local development
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_VNPY_SRC = os.path.join(os.path.dirname(__file__), "..", "vnpy_v4.4.0")
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_VNPY_SRC = os.path.abspath(_VNPY_SRC)
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if _VNPY_SRC not in sys.path:
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sys.path.insert(0, _VNPY_SRC)
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from sanguo_backtest.result_store import BacktestResult, save_result
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# Mock Exchange enum for local use (replaces vnpy.trader.constant.Exchange)
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class MockExchange:
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SSE = "SSE" # Shanghai Stock Exchange
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SZSE = "SZSE" # Shenzhen Stock Exchange
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class Exchange:
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SSE = "SSE"
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SZSE = "SZSE"
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def __init__(self, value):
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self.value = value
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def __repr__(self):
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return f"Exchange.{self.value}"
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Exchange = MockExchange.Exchange
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def guess_exchange(symbol: str) -> Exchange:
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"""按代码前缀判断交易所：6/68/5x→SSE，0/3/15x→SZSE"""
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if symbol.startswith(("60", "68", "51", "56", "58")):
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return Exchange("SSE")
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if symbol.startswith(("00", "30", "15")):
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return Exchange("SZSE")
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return Exchange("SSE")
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def run_cta_backtest(strategy_class, symbol: str, params: dict, start: str, end: str, cfg, db_path: str) -> BacktestResult:
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"""
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Run CTA strategy backtest using vnpy_ctastrategy BacktestingEngine.
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Args:
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strategy_class: CTA strategy class to backtest
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symbol: Stock symbol (e.g., "600000")
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params: Strategy parameters dict
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start: Backtest start date (YYYY-MM-DD format)
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end: Backtest end date (YYYY-MM-DD format)
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cfg: Configuration object (may contain data paths)
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db_path: SQLite database path for saving results
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Returns:
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BacktestResult: Result object with backtest statistics and status
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"""
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# Generate unique task ID
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task_id = f"cta_{uuid.uuid4().hex[:8]}"
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try:
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# Lazy import of BacktestingEngine (local env may not have vnpy_ctastrategy)
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from vnpy_ctastrategy.backtesting import BacktestingEngine
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# Build vt_symbol for A-shares
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vt_symbol = f"{symbol}.{guess_exchange(symbol).value}"
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# Convert date strings to datetime objects
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start_dt = datetime.strptime(start, "%Y-%m-%d")
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end_dt = datetime.strptime(end, "%Y-%m-%d") if end else None
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# Create and configure backtesting engine
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engine = BacktestingEngine()
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# Set parameters with A-share specific values
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engine.set_parameters(
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vt_symbol=vt_symbol,
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interval="1d", # Daily interval for A-shares
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start=start_dt,
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end=end_dt,
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rate=0.001, # Commission rate (0.1% for A-shares)
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slippage=0, # No slippage for simplicity
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size=1, # Contract size (1 for stocks)
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pricetick=0.01, # Minimum price tick (0.01 yuan for A-shares)
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capital=0 # No initial capital limit
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)
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# Add strategy
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engine.add_strategy(strategy_class, params)
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# Load historical data
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engine.load_data()
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# Run backtesting
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engine.run_backtesting()
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# Calculate statistics
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statistics = engine.calculate_result()
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# Get daily results for equity curve
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daily_results = engine.get_all_daily_results()
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# Build result object
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result = BacktestResult(
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task_id=task_id,
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type="cta",
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status="done",
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strategy=strategy_class.__name__,
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symbol=symbol,
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params=params,
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start=start,
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end=end,
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statistics=statistics,
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equity_curve=daily_results, # Simplified: store raw daily results
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trades=None # Not implemented in this MVP
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)
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except Exception as e:
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# Handle any exceptions and return failed result
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error_msg = f"{type(e).__name__}: {e}\n{traceback.format_exc()}"
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result = BacktestResult(
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task_id=task_id,
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type="cta",
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status="failed",
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strategy=strategy_class.__name__,
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symbol=symbol,
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params=params,
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start=start,
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end=end,
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statistics={},
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equity_curve=None,
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trades=None,
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error_msg=error_msg
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)
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# Save result to database
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save_result(result, db_path=db_path)
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return result
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# Module-level reference for mocking in tests
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BacktestingEngine = None # Will be set when imported inside run_cta_backtest |