198 lines
8.6 KiB
Python
198 lines
8.6 KiB
Python
# -*- encoding:utf-8 -*-
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"""上层回测图形可视化"""
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from __future__ import print_function
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from __future__ import absolute_import
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from __future__ import division
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import pandas as pd
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from IPython.display import display
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import ipywidgets as widgets
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from ..UtilBu import ABuProgress
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from ..WidgetBu.ABuWGBase import WidgetBase, show_msg_func, show_msg_toast_func
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from ..WidgetBu.ABuWGBRunBase import WidgetRunTT
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from ..WidgetBu.ABuWGBSymbol import WidgetSymbolChoice
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from ..WidgetBu.ABuWGBFBase import BuyFactorWGManager
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from ..WidgetBu.ABuWGSFBase import SellFactorWGManager
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from ..WidgetBu.ABuWGPSBase import PickStockWGManager
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from ..WidgetBu.ABuWGPosBase import PosWGManager
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from ..WidgetBu.ABuWGUmp import WidgetUmp
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from ..CoreBu.ABu import run_loop_back
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from ..CoreBu.ABuStore import store_abu_result_out_put
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# noinspection PyUnresolvedReferences
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from ..CoreBu.ABuFixes import filter
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from ..MarketBu.ABuDataCheck import check_symbol_data_mode
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from ..BetaBu import ABuAtrPosition, ABuPositionBase
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from ..AlphaBu import ABuPickTimeExecute
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from ..TradeBu.ABuBenchmark import AbuBenchmark
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from ..TradeBu.ABuCapital import AbuCapital
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from ..MetricsBu.ABuMetricsBase import AbuMetricsBase
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from ..CoreBu.ABuStore import AbuResultTuple
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__author__ = '阿布'
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__weixin__ = 'abu_quant'
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# noinspection PyProtectedMember
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class WidgetRunLoopBack(WidgetBase):
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"""基础界面可以化：初始资金，回测开始，结束周期，参考大盘等"""
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# noinspection PyProtectedMember
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def __init__(self):
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"""构建回测需要的各个组件形成tab"""
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self.tt = WidgetRunTT()
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self.sc = WidgetSymbolChoice()
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self.bf = BuyFactorWGManager()
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self.sf = SellFactorWGManager()
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# 卖出策略管理注册买入策略接收改变
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self.sf.register(self.bf)
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self.ps = PickStockWGManager()
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# 选股策略管理注册买入策略接收改变
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self.ps.register(self.bf)
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self.pos = PosWGManager()
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# 资金管理注册买入策略接收改变
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self.pos.register(self.bf)
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# 构造裁判界面
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self.ump = WidgetUmp()
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sub_widget_tab = widgets.Tab()
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sub_widget_tab.children = [self.tt.widget, self.sc.widget, self.bf.widget, self.sf.widget, self.ps.widget,
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self.pos.widget, self.ump.widget]
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for ind, name in enumerate([u'基本', u'股池', u'买策', u'卖策', u'选股', u'资管', u'裁判']):
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sub_widget_tab.set_title(ind, name)
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self.run_loop_bt = widgets.Button(description=u'开始回测', layout=widgets.Layout(width='98%'),
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button_style='danger')
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self.run_loop_bt.on_click(self.run_loop_back)
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self.widget = widgets.VBox([sub_widget_tab, self.run_loop_bt])
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def _metrics_out_put(self, metrics, abu_result_tuple):
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"""针对输出结果和界面中的设置进行输出操作"""
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if metrics is None:
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return
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if self.tt.metrics_mode.value == 0:
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metrics.plot_returns_cmp(only_show_returns=True)
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else:
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metrics.plot_order_returns_cmp(only_info=True)
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pd.options.display.max_rows = self.tt.out_put_display_max_rows.value
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pd.options.display.max_columns = self.tt.out_put_display_max_columns.value
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"""
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options={u'只输出交易单：orders_pd': 0,
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u'只输出行为单：action_pd': 1,
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u'只输出资金单：capital_pd': 2,
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u'同时输出交易单，行为单，资金单':3
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"""
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if self.tt.metrics_out_put.value == 0 or self.tt.metrics_out_put.value == 3:
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show_msg_func(u'交易买卖详情单：')
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display(abu_result_tuple.orders_pd)
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if self.tt.metrics_out_put.value == 1 or self.tt.metrics_out_put.value == 3:
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show_msg_func(u'交易行为详情单：')
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display(abu_result_tuple.action_pd)
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if self.tt.metrics_out_put.value == 2 or self.tt.metrics_out_put.value == 3:
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show_msg_func(u'交易资金详细单：')
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display(abu_result_tuple.capital.capital_pd)
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show_msg_func(u'交易手续费详单：')
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display(abu_result_tuple.capital.commission.commission_df)
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if self.tt.save_out_put.value is True:
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# 本地保存各个交易单到文件
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store_abu_result_out_put(abu_result_tuple)
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# noinspection PyUnusedLocal
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def run_loop_back(self, bt):
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"""运行回测所对应的button按钮"""
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# 清理之前的输出结果
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# ABuProgress.clear_output()
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base_run = self.tt
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# 初始资金
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cash = base_run.cash.value
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n_folds = 2
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start = None
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end = None
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if not base_run.run_years.disabled:
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# 如果使用年回测模式
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n_folds = base_run.run_years.value
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if not base_run.start.disabled:
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# 使用开始回测日期
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start = base_run.start.value
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if not base_run.end.disabled:
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# 使用结束回测日期
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end = base_run.end.value
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choice_symbols = self.sc.choice_symbols.options
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if choice_symbols is not None and len(choice_symbols) == 0:
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# 如果一个symbol都没有设置None， 将使用选择的市场进行全市场回测
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choice_symbols = None
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if not check_symbol_data_mode(choice_symbols):
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return
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# 买入策略构成序列
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buy_factors = list(self.bf.factor_dict.values())
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if len(buy_factors) == 0:
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msg = u'没有添加任何一个买入策略！'
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show_msg_toast_func(msg)
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return
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# 卖出策略可以一个也没有
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sell_factors = list(self.sf.factor_dict.values())
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pos_class_list = list(self.pos.factor_dict.values())
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if len(pos_class_list) == 1:
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# 资金仓位管理全局策略设置, [0]全局仓位管理策略只能是一个且是唯一
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ABuPositionBase.g_default_pos_class = pos_class_list[0]
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# 裁判根据工作模式进行回测前设置
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self.ump.run_before()
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if choice_symbols is not None and len(choice_symbols) == 1:
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# 如果只有1支股票回测，直接使用这个股票做为做为对比基准
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benchmark = AbuBenchmark(choice_symbols[0])
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capital = AbuCapital(cash, benchmark)
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if len(pos_class_list) == 0:
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# 如果只有1支股票回测，且没有修改过资金管理设置，持仓比例调高
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ABuAtrPosition.g_atr_pos_base = 0.5
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# 就一只股票的情况下也不运行选股策略
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orders_pd, action_pd, _ = ABuPickTimeExecute.do_symbols_with_same_factors(choice_symbols,
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benchmark,
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buy_factors,
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sell_factors,
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capital, show=True)
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abu_result_tuple = AbuResultTuple(orders_pd, action_pd, capital, benchmark)
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metrics = AbuMetricsBase(orders_pd, action_pd, capital, benchmark)
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else:
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# 针对选股策略中需要choice_symbols的情况进行选股策略choice_symbols更新
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self.ps.seed_choice_symbol_update(choice_symbols)
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# 多只的情况下使用选股策略
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stock_picks = list(self.ps.factor_dict.values())
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if len(stock_picks) == 0:
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stock_picks = None
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# 多只股票使用run_loop_back
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abu_result_tuple, _ = run_loop_back(cash,
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buy_factors,
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sell_factors,
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stock_picks,
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choice_symbols=choice_symbols,
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start=start,
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end=end,
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n_folds=n_folds)
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if abu_result_tuple is None:
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return
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ABuProgress.clear_output()
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metrics = AbuMetricsBase(*abu_result_tuple)
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metrics.fit_metrics()
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self._metrics_out_put(metrics, abu_result_tuple)
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# ump收尾工作
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self.ump.run_end(abu_result_tuple, choice_symbols, list(self.bf.factor_dict.keys()),
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list(self.sf.factor_dict.keys()), list(self.ps.factor_dict.keys()))
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