bktest_psar_test.py 文件源码

def gen_config_file(filename):
    sim_config = {}
    sim_config['sim_func']  = 'bktest_psar_test.psar_test_sim'
    sim_config['scen_keys'] = ['freq']
    sim_config['sim_name']   = 'psar_test'
    sim_config['products']   = ['m'] #[ 'm', 'RM', 'y', 'p', 'a', 'rb', 'SR', 'TA', 'MA', 'i', 'ru', 'j', 'jm', 'ag', 'cu', 'au', 'al', 'zn' ]
    sim_config['start_date'] = '20141101'
    sim_config['end_date']   = '20151118'
    sim_config['freq']  =  [ '15m', '60m' ]
    sim_config['pos_class'] = 'strat.TradePos'
    sim_config['proc_func'] = 'dh.min_freq_group'
    #chan_func = {'high': {'func': 'pd.rolling_max', 'args':{}},
    #             'low':  {'func': 'pd.rolling_min', 'args':{}},
    #             }
    config = {'capital': 10000,
              'offset': 0,
              'chan': 20,
              'use_chan': True,
              'sar_params': {'iaf': 0.02, 'maxaf': 0.2, 'incr': 0.02},
              'trans_cost': 0.0,
              'close_daily': True,
              'unit': 1,
              'stoploss': 0.0,
              #'proc_args': {'minlist':[1500]},
              'proc_args': {'freq':15},
              'pos_args': {},
              'pos_update': False,
              #'chan_func': chan_func,
              }
    sim_config['config'] = config
    with open(filename, 'w') as outfile:
        json.dump(sim_config, outfile)
    return sim_config