0.9.27 trader 对象新增 weight_backtest

czsc/traders/base.py

@@ -14,7 +14,7 @@
 from datetime import datetime, timedelta
 from deprecated import deprecated
 from collections import OrderedDict
-from typing import Callable, List, AnyStr, Union
+from typing import Callable, List, AnyStr, Union, Optional
 from pyecharts.charts import Tab
 from pyecharts.components import Table
 from pyecharts.options import ComponentTitleOpts
@@ -473,3 +473,40 @@ def take_snapshot(self, file_html=None, width: str = "1400px", height: str = "58
         else:
             return tab
 
+    def get_ensemble_weight(self, method: Optional[Union[AnyStr, Callable]] = None):
+        """获取 CzscTrader 中所有 positions 按照 method 方法集成之后的权重
+
+        :param method: str or callable
+            集成方法，可选值包括：'mean', 'max', 'min', 'vote'
+            也可以传入自定义的函数，函数的输入为 dict，key 为 position.name，value 为 position.pos, 样例输入：
+                {'多头策略A': 1, '多头策略B': 1, '空头策略A': -1}
+        :param kwargs:
+        :return: pd.DataFrame
+            columns = ['dt', 'symbol', 'weight', 'price']    
+        """
+        from czsc.traders.weight_backtest import get_ensemble_weight
+        method = self.__ensemble_method if not method else method
+        return get_ensemble_weight(self, method)
+
+    def weight_backtest(self, **kwargs):
+        """执行仓位集成权重的回测
+
+        :param kwargs:
+
+            - method: str or callable，集成方法，参考 get_ensemble_weight 方法
+            - digits: int，权重小数点后保留的位数，例如 2 表示保留两位小数
+            - fee_rate: float，手续费率，例如 0.0002 表示万二
+            - res_path: str，回测结果保存路径
+
+        :return: 回测结果
+        """
+        from czsc.traders.weight_backtest import WeightBacktest
+
+        method = kwargs.get("method", self.__ensemble_method)
+        digits = kwargs.get("digits", 2)
+        fee_rate = kwargs.get("fee_rate", 0.0002)
+        res_path = kwargs.get("res_path", "./weight_backtest")
+        dfw = self.get_ensemble_weight(method)
+        wb = WeightBacktest(dfw, digits=digits, fee_rate=fee_rate, res_path=res_path)
+        _res = wb.backtest()
+        return _res

czsc/traders/weight_backtest.py

@@ -8,12 +8,12 @@
 import numpy as np
 import pandas as pd
 import plotly.express as px
-from czsc.traders.base import CzscTrader
 from loguru import logger
 from pathlib import Path
 from typing import Union, AnyStr, Callable
-from czsc.utils.stats import daily_performance, evaluate_pairs
+from czsc.traders.base import CzscTrader
 from czsc.utils.io import save_json
+from czsc.utils.stats import daily_performance, evaluate_pairs
 
 
 def get_ensemble_weight(trader: CzscTrader, method: Union[AnyStr, Callable] = 'mean'):

test/test_trader_base.py

@@ -4,9 +4,12 @@
 email: [email protected]
 create_dt: 2021/11/7 21:07
 """
+import os
+import shutil
 import pandas as pd
 from copy import deepcopy
 from typing import List
+from czsc.utils.cache import home_path
 from czsc.traders.base import CzscSignals, BarGenerator, CzscTrader
 from czsc.traders.sig_parse import get_signals_config, get_signals_freqs
 from czsc.objects import Signal, Factor, Event, Operate, Position
@@ -252,6 +255,10 @@ def _weighted_ensemble(poss):
     assert ct.get_ensemble_pos('vote') == 0
     assert ct.get_ensemble_pos('max') == 0
     assert ct.get_ensemble_pos('mean') == 0
+    dfw = ct.get_ensemble_weight(method='mean')
+    assert len(dfw) == len(bars_right)
+
+    res = ct.weight_backtest(method='mean', res_path=os.path.join(home_path, "test_trader"))
 
     # 通过 on_bar 执行
     ct1 = CzscTrader(deepcopy(bg), signals_config=signals_config,