前面我们介绍的通通量化软件的一些程序设计。
自己做量化交易软件(1)通通量化分析环境安装使用
/hepu8/article/details/81866694
自己做量化交易软件(2) 通通量化python跨版本环境设置和使用
/hepu8/article/details/82712669
自己做量化交易软件(3)通通量化分析框架构成1
/hepu8/article/details/82718220
自己做量化交易软件(4)通通量化分析框架构成2
/hepu8/article/details/82718592
自己做量化交易软件(5)通通量化中创作的布林指标BOLL线
/hepu8/article/details/82719010
下面开始介绍回测功能的设计。我们前面软件主要用的python函数设计，从现在开始使用python的类设计。
首先设计类class hpQuant(object)。初始化函数中存放一些交易变量。其中一些变量可以外部设置，例如总资金，交易手续费等等，我们按照A股交易规则，买卖有佣金，卖出需要印花税。
所以关于交易回测的代码，我们存放到HP_sys.py文件中。下面直接给出全部源代码。读者可复制到前面下载的通通项目目录中。
import sys,osimport numpy as npimport pandas as pdfrom HP_global import *from HP_set import *class hpQuant(object):def __init__(self):self.order_df=None #下单流水self.trade_df=None #交易流水self.security_df=None #持仓清单self.money2=1000000.00 #总资金self.money=1000000.00 #资金self.priceBuy=0.00 #最后一次买入价格self.priceSell=999999.00 #最后一次卖出价格self.amount=0.00 #证券数量self.code="" #证券代码self.stamp_duty=0.001 #印花税 0.1%self.trading_Commission=0.0005 #交易佣金0.05%self.priceStopLoss=0.00 #止损价self.position=False #持仓状态self.stop_loss_on=True #允许止损self.stop_loss_num=0 #止损次数self.stop_loss_max=50 #止损3次,就停止交易self.stop_loss_range=0.05 #止损幅度self.trade=True #允许交易self.Init()def Init(self):self.order_df = pd.DataFrame(columns = ['date', 'time','mode','code','amount','price']) self.order_df =self.order_df.reset_index(level=None, drop=True ,col_level=0, col_fill='') self.trade_df = pd.DataFrame(columns = ['date', 'time','mode','code','amount','price','money']) self.trade_df =self.trade_df.reset_index(level=None, drop=True ,col_level=0, col_fill='') self.security_df = pd.DataFrame(columns = ['code','amount','price','money']) self.security_df =self.security_df.reset_index(level=None, drop=True ,col_level=0, col_fill='') def PrintOrder(self):print(self.order_df)def PrintTrade(self):print(self.trade_df)def PrintSecurity(self):print(self.security_df)def Order(self,date,time,mode,code,amount,price):ln=len(self.order_df)df_new = pd.DataFrame({'date':date,'time':time,'mode':mode,'code':code,'amount':amount,'price':price},index=[ln])self.order_df=self.order_df.append( df_new,ignore_index=True)ln=len(self.trade_df)if mode==1: #买入se=amount*price*(1+self.trading_Commission)self.money=self.money-sedf_new = pd.DataFrame({'date':date,'time':time,'mode':mode,'code':code,'amount':amount,'price':price,'money':self.money},index=[ln])self.trade_df=self.trade_df.append( df_new,ignore_index=True)if len(self.security_df[self.security_df.code==code])==0 :df_new = pd.DataFrame({'code':code,'amount':amount,'price':se/amount,'money':se},index=[ln])self.security_df=self.security_df.append( df_new,ignore_index=True)else:self.security_df.index=self.security_df['code']self.security_df.loc[code,'amount']=self.security_df.loc[code,'amount']+amountself.security_df=self.security_df.reset_index(level=None, drop=True ,col_level=0, col_fill='') ln=len(self.security_df[self.security_df.code==code])if mode==2 and ln>0: #卖出self.security_df.index=self.security_df['code']am=self.security_df.loc[code,'amount']if am<amount :amount=amse=amount*price*(1-self.trading_Commission-self.stamp_duty)self.money=self.money+sedf_new = pd.DataFrame({'date':date,'time':time,'mode':mode,'code':code,'amount':amount,'price':price,'money':self.money},index=[ln])self.trade_df=self.trade_df.append( df_new,ignore_index=True)am2=self.security_df.loc[code,'amount']-amountself.security_df.loc[code,'amount']=am2if am2==0:self.security_df=self.security_df.drop(code, axis = 0) # 在行的维度上删除行self.security_df=self.security_df.reset_index(level=None, drop=True ,col_level=0, col_fill='') #####################回测功能#########################def Trade_testing(self,df,tp1,tp2,al=''):self.Init()self.trade=True #允许交易myMoney=self.money2if (al.strip()==''):na='property'else:na=al self.text=' ----开始回测-----\n'i = 0 ZB_l = []while i < len(df): close=df.get_value(i, 'close')if (df.get_value(i, tp1) >0 and self.position==False and self.trade==True) : #买点self.priceBuy=df.get_value(i, 'close')x=int(myMoney/(self.priceBuy*(1+self.trading_Commission))/100)self.amount=x*100.00self.Order(df.get_value(i, 'date'),'14:45:01',1,self.code,self.amount,close)myMoney=myMoney-self.amount*self.priceBuy*(1.00+self.trading_Commission)self.position=Trueself.priceStopLoss=self.priceBuy*(1-self.stop_loss_range)self.text=self.text+'日期:'+df.get_value(i, 'date').strftime('%Y-%m-%d')+' 买入:'+str(round(self.amount,0))+'股, 价格:'+str(round(self.priceBuy,2))+'\n'if (df.get_value(i, tp2) >0 and self.position==True and self.trade==True) : #卖点self.priceSell=df.get_value(i, 'close')myMoney=myMoney+self.amount*self.priceSell*(1.00-self.trading_Commission-self.stamp_duty)self.position=Falseself.Order(df.get_value(i, 'date'),'14:45:02',2,self.code,self.amount,df.get_value(i, 'close'))self.text=self.text+'日期:'+df.get_value(i, 'date').strftime('%Y-%m-%d')+' 卖出:'+str(round(self.amount,0))+'股, 价格:'+str(round(self.priceSell,2))+'获利:'+str(round((myMoney-self.money2)/self.money2*100,2))+'%\n'self.amount=0.00if (close<=self.priceStopLoss and self.position==True and self.trade and self.stop_loss_on): #止损self.priceSell=self.priceStopLoss-0.01myMoney=myMoney+self.amount*self.priceSell*(1.00-self.trading_Commission-self.stamp_duty)self.position=Falseself.stop_loss_num=self.stop_loss_num+1self.Order(df.get_value(i, 'date'),'14:45:02',2,self.code,self.amount,df.get_value(i, 'close'))self.text=self.text+'日期:'+df.get_value(i, 'date').strftime('%Y-%m-%d')+' 止损:'+str(round(self.amount,0))+'股, 价格:'+str(round(self.priceSell,2))+'获利:'+str(round((myMoney-self.money2)/self.money2*100,2))+'%\n'self.amount=0.00if (self.stop_loss_num>=self.stop_loss_max):self.trade=Falsey= (myMoney+self.amount*close-self.money2)/self.money2 *100 ZB_l.append(y) i = i + 1ZB_s = pd.Series(ZB_l) ZB = pd.Series(ZB_s, name = na) df = df.join(ZB) y= (myMoney+self.amount*close-self.money2)/self.money2 *100self.text=self.text+'总投入:1000000.00,最终获利幅度'+str(round(y,0))+'%\n'return df
使用方法：
import HP_lib as mylibfrom HP_sys import *##回测tt=hpQuant() ##初始化类#下面是用户可设置信息。# self.money2=1000000.00 #总资金# self.code="" #证券代码# self.stamp_duty=0.001 #印花税 0.1%# self.trading_Commission=0.0005 #交易佣金0.05%# self.stop_loss_on=True #允许止损# self.stop_loss_max=50 #止损3次,就停止交易# self.stop_loss_range=0.05 #止损幅度tt.code=code #证券代码，必须输入tt.stop_loss_on=False #关闭自动止损df3=tt.Trade_testing(df2,'B1','S1','HL') #开始回测print('\n打印交易过程')tt.PrintTrade() #打印交易过程print('\n打印持仓信息')tt.PrintSecurity() #打印持仓信息print('\n 打印内部交易记录信息')print(tt.text)#打印交易信息
具体使用，我在下一篇介绍一个简单的回测例子。
