# encoding: UTF-8

"""

展示如何执行策略回测。

"""

from __future__ import division

import json

import sys

from vnpy.trader.app.spreadStrategy.stBacktesting import BacktestingEngine

from vnpy.trader.vtFunction import getJsonPath

from vnpy.trader.uiBackMainWindow import *

from vnpy.trader.widget.witLine import lineWidget

from vnpy.trader.widget.witBar import BarWidget

from vnpy.trader.widget.witExpTable import Example

from vnpy.trader.widget.witHistogram import HistogramLUTWidget

settingFileName = 'Spread_setting.json'

settingfilePath = getJsonPath(settingFileName, __file__)

def loadSetting():

"""读取策略配置"""

with open(settingfilePath) as f:

l = json.load(f)

return l

def formatNumber(n):

"""格式化数字到字符串"""

rn = round(n, 2) # 保留两位小数

return format(rn, ',') # 加上千分符

if __name__ == '__main__':

from vnpy.trader.app.spreadStrategy.strategy.strategyCrossSpecies import CrossSpeciesStrategy

setting = loadSetting()

# 创建回测引擎

engine = BacktestingEngine()

# 设置引擎的回测模式为K线

engine.setBacktestingMode(engine.TICK_MODE)

# 设置回测用的数据起始日期

engine.setStartDate('20170201')

engine.setEndDate( '20170301')

# 设置产品相关参数

engine.setSlippage(0.0001) # 股指1跳

engine.setRate(0.3/10000) # 万0.3

engine.setSize(10000) # 股指合约大小

engine.setPriceTick(setting["priceTick"]) # 股指最小价格变动

# 设置使用的历史数据库

engine.setDataPath(setting["filePath"])

# 在引擎中创建策略对象

engine.initStrategy(CrossSpeciesStrategy, setting)

# 开始跑回测

engine.runBacktesting()

# 显示回测结果

#engine.showBacktestingResult()

data = engine.showBacktestingResult()

app = QtWidgets.QApplication(sys.argv)

# 界面设置

cfgfile = QtCore.QFile('css.qss')

cfgfile.open(QtCore.QFile.ReadOnly)

styleSheet = cfgfile.readAll()

styleSheet = unicode(styleSheet, encoding='utf8')

app.setStyleSheet(styleSheet)

# main = ui_MainWindow()

main = MainWindow()

# Capital

capitalWidget = lineWidget(data['timeList'], data['capitalList'])

capitalWidget.PlotCapital()

# #drawdown

drawndownWidget = BarWidget(data['timeList'], data['drawdownList'])

drawndownWidget.refresh()

##table

table = {}

arryList = []

keyItem = [u'第一笔交易:', u'最后一笔交易:', u'总交易次数:', u'总盈亏:', u'最大回撤:', u'最大回撤率;', u'平均每笔盈利:', u'平均每笔滑点:', u'平均每笔佣金:', u'胜率:',

u'盈利交易平均值:', u'亏损交易平均值:', u'盈亏比:']

valueItem = []

valueItem.append(data['timeList'][0])

valueItem.append(data['timeList'][-1])

valueItem.append(formatNumber(data['totalResult']))

valueItem.append(formatNumber(data['capital']))

valueItem.append(formatNumber(min(data['drawdownList'])))

valueItem.append(formatNumber(data['maxDrawDownRat']))

valueItem.append(formatNumber(data['capital'] / data['totalResult']))

valueItem.append(formatNumber(data['totalSlippage'] / data['totalResult']))

valueItem.append(formatNumber(data['totalCommission'] / data['totalResult']))

valueItem.append(formatNumber(data['winningRate'])+'%')

valueItem.append(formatNumber(data['averageWinning']))

valueItem.append(formatNumber(data['averageLosing']))

valueItem.append(formatNumber(data['profitLossRatio']))

table['keyItem'] = keyItem

table['valueItem'] = valueItem

expTableWidget = Example(table)

expTableWidget.setMaximumWidth(262)

expTableWidget.setMinimumWidth(262)

# expTableWidget.setMaximumSize(QSize(300,300))

# pnl

histogramWidget = HistogramLUTWidget(data['pnlList'])

# createDock

main.createDock(capitalWidget, 'capital', u'盈亏', QtCore.Qt.LeftDockWidgetArea, True)

main.createDock(drawndownWidget, 'drawndown', u'回撤', QtCore.Qt.LeftDockWidgetArea, True)

main.createDock(histogramWidget, 'histogram', u'pnl', QtCore.Qt.LeftDockWidgetArea, True)

main.createDock(expTableWidget, 'exptable', u'回测结果', QtCore.Qt.RightDockWidgetArea, False)

main.saveWindowSettings('default')

# 保存默认设置

main.show()

# #画图

sys.exit(app.exec_())