From 5e4abf0fbcdbbb1acd641c4ffc7b5ca142e4c82a Mon Sep 17 00:00:00 2001 From: zengbin93 Date: Sun, 26 Nov 2023 15:31:18 +0800 Subject: [PATCH] =?UTF-8?q?0.9.37=20weight=20backtest=20=E5=A2=9E=E5=8A=A0?= =?UTF-8?q?=E5=A4=9A=E8=BF=9B=E7=A8=8B=E6=94=AF=E6=8C=81?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- czsc/traders/weight_backtest.py | 30 ++++++++++++++----- examples/test_offline/test_weight_backtest.py | 11 +++++-- 2 files changed, 31 insertions(+), 10 deletions(-) diff --git a/czsc/traders/weight_backtest.py b/czsc/traders/weight_backtest.py index d81b9e810..1684bd096 100644 --- a/czsc/traders/weight_backtest.py +++ b/czsc/traders/weight_backtest.py @@ -8,9 +8,12 @@ import numpy as np import pandas as pd import plotly.express as px +from tqdm import tqdm from loguru import logger from pathlib import Path from typing import Union, AnyStr, Callable +from multiprocessing import cpu_count +from concurrent.futures import ProcessPoolExecutor from czsc.traders.base import CzscTrader from czsc.utils.io import save_json from czsc.utils.stats import daily_performance, evaluate_pairs @@ -158,7 +161,7 @@ class WeightBacktest: 飞书文档：https://s0cqcxuy3p.feishu.cn/wiki/Pf1fw1woQi4iJikbKJmcYToznxb """ - version = "V231104" + version = "V231126" def __init__(self, dfw, digits=2, **kwargs) -> None: """持仓权重回测 @@ -206,7 +209,7 @@ def __init__(self, dfw, digits=2, **kwargs) -> None: self.fee_rate = kwargs.get('fee_rate', 0.0002) self.dfw['weight'] = self.dfw['weight'].astype('float').round(digits) self.symbols = list(self.dfw['symbol'].unique().tolist()) - self.results = self.backtest() + self.results = self.backtest(n_jobs=kwargs.get('n_jobs', int(cpu_count() / 2))) def get_symbol_daily(self, symbol): """获取某个合约的每日收益率 @@ -353,7 +356,13 @@ def __add_operate(dt, bar_id, volume, price, operate): df_pairs = pd.DataFrame(pairs) return df_pairs - def backtest(self): + def process_symbol(self, symbol): + """处理某个合约的回测数据""" + daily = self.get_symbol_daily(symbol) + pairs = self.get_symbol_pairs(symbol) + return symbol, {"daily": daily, "pairs": pairs} + + def backtest(self, n_jobs=1): """回测所有合约的收益率 函数计算逻辑： @@ -369,12 +378,19 @@ def backtest(self): 4. 返回结果：将合约的等权日收益数据和绩效评价结果存储在res字典中，并将该字典作为函数的返回结果。 """ + n_jobs = min(n_jobs, cpu_count()) + logger.info(f"n_jobs={n_jobs}，将使用 {n_jobs} 个进程进行回测") + symbols = self.symbols res = {} - for symbol in symbols: - daily = self.get_symbol_daily(symbol) - pairs = self.get_symbol_pairs(symbol) - res[symbol] = {"daily": daily, "pairs": pairs} + if n_jobs <= 1: + for symbol in tqdm(sorted(symbols), desc="WBT进度"): + res[symbol] = self.process_symbol(symbol)[1] + else: + with ProcessPoolExecutor(n_jobs) as pool: + for symbol, res_symbol in tqdm(pool.map(self.process_symbol, sorted(symbols)), + desc="WBT进度", total=len(symbols)): + res[symbol] = res_symbol dret = pd.concat([v['daily'] for k, v in res.items() if k in symbols], ignore_index=True) dret = pd.pivot_table(dret, index='date', columns='symbol', values='return').fillna(0) diff --git a/examples/test_offline/test_weight_backtest.py b/examples/test_offline/test_weight_backtest.py index 3ac6c4af9..1657ebbd3 100644 --- a/examples/test_offline/test_weight_backtest.py +++ b/examples/test_offline/test_weight_backtest.py @@ -4,13 +4,14 @@ import czsc import pandas as pd -assert czsc.WeightBacktest.version == "V231005" +assert czsc.WeightBacktest.version == "V231126" def run_by_weights(): """从持仓权重样例数据中回测""" - dfw = pd.read_feather(r"C:\Users\zengb\Desktop\231005\weight_example.feather") - wb = czsc.WeightBacktest(dfw, digits=1, fee_rate=0.0002) + dfw = pd.read_feather(r"C:\Users\zengb\Downloads\weight_example.feather") + wb = czsc.WeightBacktest(dfw, digits=1, fee_rate=0.0002, n_jobs=1) + # wb = czsc.WeightBacktest(dfw, digits=1, fee_rate=0.0002) # ------------------------------------------------------------------------------------ # 查看绩效评价 @@ -38,3 +39,7 @@ def run_by_weights(): print(symbol_res) wb.report(res_path=r"C:\Users\zengb\Desktop\231005\weight_example") + + +if __name__ == '__main__': + run_by_weights()