upload

config/backtest/all_backtest.config

@@ -0,0 +1,136 @@
+fixed_path="/home/nick/future";
+backtest_outputdir = "backtest_plot";
+strategy = (
+  {
+    unique_name = "IC";
+    ticker = "IC";
+    split_num = 6;
+    max_position = 1;
+    max_round = 4000;
+    range_width = 1.5;
+    train_samples = 600;
+    min_range = 4.0;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 500.0;
+    max_holding_sec = 360000000;
+    stop_loss_margin = 10.0;
+    max_loss_times = 2;
+    no_close_today = true;
+  },
+  {
+    unique_name = "IH";
+    split_num = 6;
+    ticker = "IH";
+    max_position = 1;
+    max_round = 1000;
+    range_width = 2.0;
+    train_samples = 600;
+    min_range = 4.0;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 360000000;
+    stop_loss_margin = 10.0;
+    max_loss_times = 2;
+    no_close_today = true;
+  }, 
+  {
+    unique_name = "IF";
+    ticker = "IF";
+    max_position = 1;
+    max_round = 1000;
+    range_width = 2.0;
+    train_samples = 600;
+    min_range = 4.0;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    split_num = 6;
+    max_holding_sec = 360000000;
+    stop_loss_margin = 10.0;
+    max_loss_times = 2;
+    no_close_today = true;
+  },
+
+  {
+    unique_name = "cu";
+    ticker = "cu";
+    max_position = 1;
+    max_round = 1000;
+    tick_size = 10.0;
+    range_width = 2.0;
+    contract_size = 5;
+    train_samples= 600;
+    cancel_threshhold = 1000000000;
+    split_num = 6;
+    min_range = 4.0;
+    min_profit = 1.0;
+    add_margin = 1.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 3600000;
+    stop_loss_margin = 3.0;
+    max_loss_times = 2;
+  },
+
+  {
+    unique_name = "ni";
+    ticker = "ni";
+    max_position = 1;
+    max_round = 1000;
+    range_width = 1.0;
+    train_samples = 600;
+    min_range = 3.0;
+    split_num = 6;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 3600000;
+    stop_loss_margin = 300.0;
+    max_loss_times = 2;
+  },
+
+  {
+    unique_name = "sn";
+    ticker = "sn";
+    max_position = 1;
+    max_round = 1000;
+    range_width = 2.0;
+    train_samples = 600;
+    min_range = 4.0;
+    min_profit = 1.0;
+    split_num = 6;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 3600000;
+    stop_loss_margin = 3.0;
+    max_loss_times = 2;
+  },
+
+  {
+    unique_name = "au";
+    ticker = "au";
+    max_position = 1;
+    max_round = 1000;
+    range_width = 2.0;
+    train_samples = 600;
+    min_range = 2.0;
+    min_profit = 1.0;
+    split_num = 6;
+    add_margin = 1.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 3600000;
+    stop_loss_margin = 3.0;
+    max_loss_times = 2;
+  }
+  );
+
+// start_date = "today";
+// start_date = "yesterday";
+test_mode = "nexttest";
+start_date = "2019-11-01";
+period = 10;
+
+order_file = "order_backtest.dat";
+exchange_file = "exchange_backtest.dat";
+strat_file = "mid_backtest.dat";

config/contract/bk_contract.config

@@ -387,7 +387,7 @@ map = (
   is_fixed_close_fee_rate = true;
   open_fee = 3.5;
   close_today_fee= 0.0;
-  close_fee= 6.0;
+  close_fee= 3.5;
   },
   {
   ticker = "pb";

config/contract/contract.config

@@ -384,9 +384,9 @@ ni = {
   is_fixed_open_fee_rate = true;
   is_fixed_close_today_fee_rate = true;
   is_fixed_close_fee_rate = true;
-  open_fee = 6.0;
-  close_today_fee= 6.0;
-  close_fee= 6.0;
+  open_fee = 3.5;
+  close_today_fee= 0.0;
+  close_fee= 3.5;
   };
 
 pb = {

config/prod/prod.config

@@ -87,10 +87,10 @@ strategy = (
   {
     unique_name = "ni";
     max_position = 3;
-    range_width = 2.0;
+    range_width = 1.0;
     max_round = 40000;
     train_samples = 600;
-    min_range = 4.0;
+    min_range = 2.0;
     min_profit = 1.0;
     add_margin = 3.0;
     spread_threshold = 3.0;