bktest_dtchan_vecsim.py 文件源码

def gen_config_file(filename):
    sim_config = {}
    sim_config['sim_class']  = 'bktest_dtchan_vecsim.DTChanSim'
    sim_config['sim_func'] = 'run_vec_sim'
    sim_config['scen_keys'] = ['param', 'chan']
    sim_config['sim_name']   = 'DTChan_VecSim'
    sim_config['products']   = ['m', 'RM', 'y', 'p', 'a', 'rb', 'SR', 'TA', 'MA', 'i', 'ru', 'j' ]
    sim_config['start_date'] = '20150102'
    sim_config['end_date']   = '20170428'
    sim_config['param']  =  [
            (0.5, 0, 0.5, 0.0), (0.6, 0, 0.5, 0.0), (0.7, 0, 0.5, 0.0), (0.8, 0, 0.5, 0.0), \
            (0.9, 0, 0.5, 0.0), (1.0, 0, 0.5, 0.0), (1.1, 0, 0.5, 0.0), \
            (0.5, 1, 0.5, 0.0), (0.6, 1, 0.5, 0.0), (0.7, 1, 0.5, 0.0), (0.8, 1, 0.5, 0.0), \
            (0.9, 1, 0.5, 0.0), (1.0, 1, 0.5, 0.0), (1.1, 1, 0.5, 0.0), \
            (0.2, 2, 0.5, 0.0), (0.25,2, 0.5, 0.0), (0.3, 2, 0.5, 0.0), (0.35, 2, 0.5, 0.0),\
            (0.4, 2, 0.5, 0.0), (0.45, 2, 0.5, 0.0),(0.5, 2, 0.5, 0.0), \
            (0.2, 4, 0.5, 0.0), (0.25, 4, 0.5, 0.0),(0.3, 4, 0.5, 0.0), (0.35, 4, 0.5, 0.0),\
            (0.4, 4, 0.5, 0.0), (0.45, 4, 0.5, 0.0),(0.5, 4, 0.5, 0.0),\
            ]
    sim_config['chan'] = [3, 5, 10, 15, 20]
    sim_config['pos_class'] = 'strat.TradePos'
    sim_config['proc_func'] = 'dh.day_split'
    sim_config['offset']    = 1
    chan_func = {'high': {'func': 'pd.rolling_max', 'args':{}},
                 'low':  {'func': 'pd.rolling_min', 'args':{}},
                 }
    config = {'capital': 10000,              
              'use_chan': True,
              'trans_cost': 0.0,
              'close_daily': False,
              'unit': 1,              
              'min_range': 0.0035,
              'proc_args': {'minlist':[1500]},                           
              'chan_func': chan_func,
              }
    sim_config['config'] = config
    with open(filename, 'w') as outfile:
        json.dump(sim_config, outfile)
    return sim_config