example demo

example/backtest_demo.py

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+from howtrader.app.cta_strategy.backtesting import BacktestingEngine, OptimizationSetting
+from howtrader.app.cta_strategy.strategies.atr_rsi_strategy import (
+    AtrRsiStrategy,
+)
+from datetime import datetime
+
+
+engine = BacktestingEngine()
+engine.set_parameters(
+    vt_symbol="IF88.CFFEX",
+    interval="1m",
+    start=datetime(2019, 1, 1),
+    end=datetime(2019, 4, 30),
+    rate=0.3/10000,
+    slippage=0.2,
+    size=300,
+    pricetick=0.2,
+    capital=1_000_000,
+)
+
+engine.add_strategy(AtrRsiStrategy, {})
+
+#%%
+engine.load_data()
+engine.run_backtesting()
+df = engine.calculate_result()
+engine.calculate_statistics()
+engine.show_chart()
+
+setting = OptimizationSetting()
+setting.set_target("sharpe_ratio")
+setting.add_parameter("atr_length", 3, 39, 1)
+setting.add_parameter("atr_ma_length", 10, 30, 1)
+
+engine.run_ga_optimization(setting)

example/data_analysis/data_analysis.ipynb

@@ -0,0 +1,137 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "from howtrader.trader.constant import Exchange,Interval\n",
+    "from data_analysis import DataAnalysis\n",
+    "from datetime import datetime\n",
+    "import matplotlib.pyplot as plt"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "scrolled": true
+   },
+   "outputs": [],
+   "source": [
+    "herramiento = DataAnalysis()\n",
+    "herramiento.load_history(    \n",
+    "    symbol=\"XBTUSD\", \n",
+    "    exchange=Exchange.BITMEX, \n",
+    "    interval=Interval.MINUTE, \n",
+    "    start=datetime(2019, 9, 1), \n",
+    "    end=datetime(2019, 10, 30),\n",
+    "    rate = 8/10000,\n",
+    "    index_3to1 = [\"ATR\",\"CCI\"],\n",
+    "    index_1to1 = [\"STDDEV\",\"SMA\"],\n",
+    "    index_2to2 = [\"AROON\"],\n",
+    "    index_2to1 = [\"AROONOSC\"],\n",
+    "    index_4to1 = [\"BOP\"],\n",
+    "    window_index=30,\n",
+    ")"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "scrolled": true
+   },
+   "outputs": [],
+   "source": [
+    "data = herramiento.base_analysis()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "herramiento.show_chart(data[:1500], boll_wide=2.8)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "scrolled": true
+   },
+   "outputs": [],
+   "source": [
+    "# 多时间周期分析\n",
+    "intervals = [\"5min\",\"15min\",\"30min\",\"1h\",\"2h\",\"4h\"]\n",
+    "herramiento.multi_time_frame_analysis(intervals=intervals)"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.7.1"
+  },
+  "toc": {
+   "base_numbering": 1.0,
+   "nav_menu": {},
+   "number_sections": true,
+   "sideBar": true,
+   "skip_h1_title": false,
+   "title_cell": "Table of Contents",
+   "title_sidebar": "Contents",
+   "toc_cell": false,
+   "toc_position": {},
+   "toc_section_display": true,
+   "toc_window_display": false
+  },
+  "varInspector": {
+   "cols": {
+    "lenName": 16.0,
+    "lenType": 16.0,
+    "lenVar": 40.0
+   },
+   "kernels_config": {
+    "python": {
+     "delete_cmd_postfix": "",
+     "delete_cmd_prefix": "del ",
+     "library": "var_list.py",
+     "varRefreshCmd": "print(var_dic_list())"
+    },
+    "r": {
+     "delete_cmd_postfix": ") ",
+     "delete_cmd_prefix": "rm(",
+     "library": "var_list.r",
+     "varRefreshCmd": "cat(var_dic_list()) "
+    }
+   },
+   "types_to_exclude": [
+    "module",
+    "function",
+    "builtin_function_or_method",
+    "instance",
+    "_Feature"
+   ],
+   "window_display": false
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 2
+}