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初始化回测核心引擎骨架

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zsb
2026-04-06 23:56:37 -07:00
commit 334864cbc5
25 changed files with 2878 additions and 0 deletions
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10
data/demo/benchmark.csv Normal file
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date,benchmark,open,close,prev_close,volume
2024-01-02,CSI300.DEMO,2990,3000,2980,100000000
2024-01-03,CSI300.DEMO,3005,3020,3000,102000000
2024-01-04,CSI300.DEMO,3025,3050,3020,105000000
2024-01-05,CSI300.DEMO,3055,3080,3050,108000000
2024-01-08,CSI300.DEMO,3085,3110,3080,109000000
2024-01-09,CSI300.DEMO,3100,3090,3110,107000000
2024-01-10,CSI300.DEMO,3080,3040,3090,111000000
2024-01-11,CSI300.DEMO,3030,2990,3040,115000000
2024-01-12,CSI300.DEMO,2980,2950,2990,118000000
1 date benchmark open close prev_close volume
2 2024-01-02 CSI300.DEMO 2990 3000 2980 100000000
3 2024-01-03 CSI300.DEMO 3005 3020 3000 102000000
4 2024-01-04 CSI300.DEMO 3025 3050 3020 105000000
5 2024-01-05 CSI300.DEMO 3055 3080 3050 108000000
6 2024-01-08 CSI300.DEMO 3085 3110 3080 109000000
7 2024-01-09 CSI300.DEMO 3100 3090 3110 107000000
8 2024-01-10 CSI300.DEMO 3080 3040 3090 111000000
9 2024-01-11 CSI300.DEMO 3030 2990 3040 115000000
10 2024-01-12 CSI300.DEMO 2980 2950 2990 118000000

37
data/demo/candidate_flags.csv Normal file
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date,symbol,is_st,is_new_listing,is_paused,allow_buy,allow_sell
2024-01-02,000001.SZ,false,true,false,false,true
2024-01-02,000002.SZ,false,false,false,true,true
2024-01-02,000003.SZ,false,false,false,true,true
2024-01-02,600001.SH,false,false,false,true,true
2024-01-03,000001.SZ,false,true,false,false,true
2024-01-03,000002.SZ,false,false,false,true,true
2024-01-03,000003.SZ,false,false,false,true,true
2024-01-03,600001.SH,false,false,false,true,true
2024-01-04,000001.SZ,false,false,false,true,true
2024-01-04,000002.SZ,false,false,false,true,true
2024-01-04,000003.SZ,false,false,false,true,true
2024-01-04,600001.SH,false,false,false,true,true
2024-01-05,000001.SZ,false,false,false,true,true
2024-01-05,000002.SZ,false,false,false,true,true
2024-01-05,000003.SZ,false,false,false,true,true
2024-01-05,600001.SH,false,false,false,true,true
2024-01-08,000001.SZ,false,false,false,true,true
2024-01-08,000002.SZ,false,false,false,true,true
2024-01-08,000003.SZ,false,false,false,true,true
2024-01-08,600001.SH,false,false,false,true,true
2024-01-09,000001.SZ,false,false,false,true,true
2024-01-09,000002.SZ,false,false,false,true,true
2024-01-09,000003.SZ,false,false,false,true,true
2024-01-09,600001.SH,false,false,false,true,true
2024-01-10,000001.SZ,false,false,false,true,true
2024-01-10,000002.SZ,false,false,false,true,true
2024-01-10,000003.SZ,false,false,false,true,true
2024-01-10,600001.SH,false,false,false,true,true
2024-01-11,000001.SZ,false,false,false,true,true
2024-01-11,000002.SZ,false,false,false,true,true
2024-01-11,000003.SZ,false,false,false,true,true
2024-01-11,600001.SH,false,false,true,false,false
2024-01-12,000001.SZ,false,false,false,true,true
2024-01-12,000002.SZ,false,false,false,true,true
2024-01-12,000003.SZ,false,false,false,true,true
2024-01-12,600001.SH,false,false,false,true,true
1 date symbol is_st is_new_listing is_paused allow_buy allow_sell
2 2024-01-02 000001.SZ false true false false true
3 2024-01-02 000002.SZ false false false true true
4 2024-01-02 000003.SZ false false false true true
5 2024-01-02 600001.SH false false false true true
6 2024-01-03 000001.SZ false true false false true
7 2024-01-03 000002.SZ false false false true true
8 2024-01-03 000003.SZ false false false true true
9 2024-01-03 600001.SH false false false true true
10 2024-01-04 000001.SZ false false false true true
11 2024-01-04 000002.SZ false false false true true
12 2024-01-04 000003.SZ false false false true true
13 2024-01-04 600001.SH false false false true true
14 2024-01-05 000001.SZ false false false true true
15 2024-01-05 000002.SZ false false false true true
16 2024-01-05 000003.SZ false false false true true
17 2024-01-05 600001.SH false false false true true
18 2024-01-08 000001.SZ false false false true true
19 2024-01-08 000002.SZ false false false true true
20 2024-01-08 000003.SZ false false false true true
21 2024-01-08 600001.SH false false false true true
22 2024-01-09 000001.SZ false false false true true
23 2024-01-09 000002.SZ false false false true true
24 2024-01-09 000003.SZ false false false true true
25 2024-01-09 600001.SH false false false true true
26 2024-01-10 000001.SZ false false false true true
27 2024-01-10 000002.SZ false false false true true
28 2024-01-10 000003.SZ false false false true true
29 2024-01-10 600001.SH false false false true true
30 2024-01-11 000001.SZ false false false true true
31 2024-01-11 000002.SZ false false false true true
32 2024-01-11 000003.SZ false false false true true
33 2024-01-11 600001.SH false false true false false
34 2024-01-12 000001.SZ false false false true true
35 2024-01-12 000002.SZ false false false true true
36 2024-01-12 000003.SZ false false false true true
37 2024-01-12 600001.SH false false false true true

37
data/demo/factors.csv Normal file
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date,symbol,market_cap_bn,free_float_cap_bn,pe_ttm
2024-01-02,000001.SZ,38,24,18
2024-01-02,000002.SZ,45,30,20
2024-01-02,000003.SZ,65,40,15
2024-01-02,600001.SH,85,55,13
2024-01-03,000001.SZ,39,24.5,18
2024-01-03,000002.SZ,46,30.5,20
2024-01-03,000003.SZ,64,39.5,15
2024-01-03,600001.SH,85,55,13
2024-01-04,000001.SZ,40,25,18
2024-01-04,000002.SZ,47,31,20
2024-01-04,000003.SZ,63,39,15
2024-01-04,600001.SH,86,55.5,13
2024-01-05,000001.SZ,41,25.5,18
2024-01-05,000002.SZ,48,32,20
2024-01-05,000003.SZ,62,38.5,15
2024-01-05,600001.SH,86,56,13
2024-01-08,000001.SZ,42,26,18
2024-01-08,000002.SZ,50,33,21
2024-01-08,000003.SZ,61,38,15
2024-01-08,600001.SH,87,56.5,13
2024-01-09,000001.SZ,44,27,19
2024-01-09,000002.SZ,52,34,21
2024-01-09,000003.SZ,60,37.5,15
2024-01-09,600001.SH,88,57,13
2024-01-10,000001.SZ,43,26.5,19
2024-01-10,000002.SZ,53,34.5,21
2024-01-10,000003.SZ,59,37,15
2024-01-10,600001.SH,89,57.5,13
2024-01-11,000001.SZ,42,26,18
2024-01-11,000002.SZ,52,34,21
2024-01-11,000003.SZ,58,36.5,15
2024-01-11,600001.SH,90,58,13
2024-01-12,000001.SZ,40,25,18
2024-01-12,000002.SZ,50,33,20
2024-01-12,000003.SZ,57,36,15
2024-01-12,600001.SH,92,59,13
1 date symbol market_cap_bn free_float_cap_bn pe_ttm
2 2024-01-02 000001.SZ 38 24 18
3 2024-01-02 000002.SZ 45 30 20
4 2024-01-02 000003.SZ 65 40 15
5 2024-01-02 600001.SH 85 55 13
6 2024-01-03 000001.SZ 39 24.5 18
7 2024-01-03 000002.SZ 46 30.5 20
8 2024-01-03 000003.SZ 64 39.5 15
9 2024-01-03 600001.SH 85 55 13
10 2024-01-04 000001.SZ 40 25 18
11 2024-01-04 000002.SZ 47 31 20
12 2024-01-04 000003.SZ 63 39 15
13 2024-01-04 600001.SH 86 55.5 13
14 2024-01-05 000001.SZ 41 25.5 18
15 2024-01-05 000002.SZ 48 32 20
16 2024-01-05 000003.SZ 62 38.5 15
17 2024-01-05 600001.SH 86 56 13
18 2024-01-08 000001.SZ 42 26 18
19 2024-01-08 000002.SZ 50 33 21
20 2024-01-08 000003.SZ 61 38 15
21 2024-01-08 600001.SH 87 56.5 13
22 2024-01-09 000001.SZ 44 27 19
23 2024-01-09 000002.SZ 52 34 21
24 2024-01-09 000003.SZ 60 37.5 15
25 2024-01-09 600001.SH 88 57 13
26 2024-01-10 000001.SZ 43 26.5 19
27 2024-01-10 000002.SZ 53 34.5 21
28 2024-01-10 000003.SZ 59 37 15
29 2024-01-10 600001.SH 89 57.5 13
30 2024-01-11 000001.SZ 42 26 18
31 2024-01-11 000002.SZ 52 34 21
32 2024-01-11 000003.SZ 58 36.5 15
33 2024-01-11 600001.SH 90 58 13
34 2024-01-12 000001.SZ 40 25 18
35 2024-01-12 000002.SZ 50 33 20
36 2024-01-12 000003.SZ 57 36 15
37 2024-01-12 600001.SH 92 59 13

5
data/demo/instruments.csv Normal file
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symbol,name,board
000001.SZ,Alpha Components,Main
000002.SZ,Beta Precision,Main
000003.SZ,Charlie Materials,Main
600001.SH,Delta Industrials,Main
1 symbol name board
2 000001.SZ Alpha Components Main
3 000002.SZ Beta Precision Main
4 000003.SZ Charlie Materials Main
5 600001.SH Delta Industrials Main

37
data/demo/market.csv Normal file
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date,symbol,open,high,low,close,prev_close,volume,paused
2024-01-02,000001.SZ,10.0,10.2,9.9,10.1,9.8,1200000,false
2024-01-02,000002.SZ,11.0,11.3,10.9,11.2,10.8,1100000,false
2024-01-02,000003.SZ,8.0,8.1,7.8,7.9,8.0,900000,false
2024-01-02,600001.SH,15.0,15.2,14.9,15.1,15.0,800000,false
2024-01-03,000001.SZ,10.2,10.5,10.1,10.4,10.1,1250000,false
2024-01-03,000002.SZ,11.2,11.6,11.1,11.5,11.2,1120000,false
2024-01-03,000003.SZ,7.8,7.9,7.3,7.4,7.9,930000,false
2024-01-03,600001.SH,15.1,15.3,15.0,15.2,15.1,820000,false
2024-01-04,000001.SZ,10.5,10.8,10.4,10.7,10.4,1280000,false
2024-01-04,000002.SZ,11.4,11.9,11.3,11.8,11.5,1150000,false
2024-01-04,000003.SZ,7.3,7.4,7.0,7.1,7.4,940000,false
2024-01-04,600001.SH,15.2,15.5,15.1,15.4,15.2,830000,false
2024-01-05,000001.SZ,10.8,11.1,10.7,11.0,10.7,1300000,false
2024-01-05,000002.SZ,11.9,12.1,11.8,12.0,11.8,1180000,false
2024-01-05,000003.SZ,7.0,7.1,6.8,6.9,7.1,950000,false
2024-01-05,600001.SH,15.4,15.6,15.3,15.5,15.4,840000,false
2024-01-08,000001.SZ,11.1,11.6,11.0,11.5,11.0,1400000,false
2024-01-08,000002.SZ,12.1,12.5,12.0,12.4,12.0,1200000,false
2024-01-08,000003.SZ,7.0,7.3,6.9,7.2,6.9,980000,false
2024-01-08,600001.SH,15.5,15.7,15.4,15.6,15.5,850000,false
2024-01-09,000001.SZ,11.6,12.4,11.5,12.3,11.5,1500000,false
2024-01-09,000002.SZ,12.5,12.9,12.4,12.8,12.4,1250000,false
2024-01-09,000003.SZ,7.2,7.5,7.1,7.4,7.2,990000,false
2024-01-09,600001.SH,15.6,15.7,15.4,15.5,15.6,860000,false
2024-01-10,000001.SZ,12.2,12.3,11.9,12.0,12.3,1450000,false
2024-01-10,000002.SZ,12.7,12.8,12.5,12.6,12.8,1220000,false
2024-01-10,000003.SZ,7.5,7.6,7.4,7.5,7.4,1000000,false
2024-01-10,600001.SH,15.4,15.5,15.1,15.2,15.5,870000,false
2024-01-11,000001.SZ,12.0,12.1,11.5,11.6,12.0,1420000,false
2024-01-11,000002.SZ,12.5,12.6,12.1,12.2,12.6,1210000,false
2024-01-11,000003.SZ,7.4,7.5,7.2,7.3,7.5,980000,false
2024-01-11,600001.SH,15.2,15.2,15.2,15.2,15.2,0,true
2024-01-12,000001.SZ,11.5,11.6,11.1,11.2,11.6,1380000,false
2024-01-12,000002.SZ,12.1,12.2,11.8,11.9,12.2,1190000,false
2024-01-12,000003.SZ,7.2,7.2,6.9,7.0,7.3,960000,false
2024-01-12,600001.SH,14.8,15.0,14.7,14.9,15.2,850000,false
1 date symbol open high low close prev_close volume paused
2 2024-01-02 000001.SZ 10.0 10.2 9.9 10.1 9.8 1200000 false
3 2024-01-02 000002.SZ 11.0 11.3 10.9 11.2 10.8 1100000 false
4 2024-01-02 000003.SZ 8.0 8.1 7.8 7.9 8.0 900000 false
5 2024-01-02 600001.SH 15.0 15.2 14.9 15.1 15.0 800000 false
6 2024-01-03 000001.SZ 10.2 10.5 10.1 10.4 10.1 1250000 false
7 2024-01-03 000002.SZ 11.2 11.6 11.1 11.5 11.2 1120000 false
8 2024-01-03 000003.SZ 7.8 7.9 7.3 7.4 7.9 930000 false
9 2024-01-03 600001.SH 15.1 15.3 15.0 15.2 15.1 820000 false
10 2024-01-04 000001.SZ 10.5 10.8 10.4 10.7 10.4 1280000 false
11 2024-01-04 000002.SZ 11.4 11.9 11.3 11.8 11.5 1150000 false
12 2024-01-04 000003.SZ 7.3 7.4 7.0 7.1 7.4 940000 false
13 2024-01-04 600001.SH 15.2 15.5 15.1 15.4 15.2 830000 false
14 2024-01-05 000001.SZ 10.8 11.1 10.7 11.0 10.7 1300000 false
15 2024-01-05 000002.SZ 11.9 12.1 11.8 12.0 11.8 1180000 false
16 2024-01-05 000003.SZ 7.0 7.1 6.8 6.9 7.1 950000 false
17 2024-01-05 600001.SH 15.4 15.6 15.3 15.5 15.4 840000 false
18 2024-01-08 000001.SZ 11.1 11.6 11.0 11.5 11.0 1400000 false
19 2024-01-08 000002.SZ 12.1 12.5 12.0 12.4 12.0 1200000 false
20 2024-01-08 000003.SZ 7.0 7.3 6.9 7.2 6.9 980000 false
21 2024-01-08 600001.SH 15.5 15.7 15.4 15.6 15.5 850000 false
22 2024-01-09 000001.SZ 11.6 12.4 11.5 12.3 11.5 1500000 false
23 2024-01-09 000002.SZ 12.5 12.9 12.4 12.8 12.4 1250000 false
24 2024-01-09 000003.SZ 7.2 7.5 7.1 7.4 7.2 990000 false
25 2024-01-09 600001.SH 15.6 15.7 15.4 15.5 15.6 860000 false
26 2024-01-10 000001.SZ 12.2 12.3 11.9 12.0 12.3 1450000 false
27 2024-01-10 000002.SZ 12.7 12.8 12.5 12.6 12.8 1220000 false
28 2024-01-10 000003.SZ 7.5 7.6 7.4 7.5 7.4 1000000 false
29 2024-01-10 600001.SH 15.4 15.5 15.1 15.2 15.5 870000 false
30 2024-01-11 000001.SZ 12.0 12.1 11.5 11.6 12.0 1420000 false
31 2024-01-11 000002.SZ 12.5 12.6 12.1 12.2 12.6 1210000 false
32 2024-01-11 000003.SZ 7.4 7.5 7.2 7.3 7.5 980000 false
33 2024-01-11 600001.SH 15.2 15.2 15.2 15.2 15.2 0 true
34 2024-01-12 000001.SZ 11.5 11.6 11.1 11.2 11.6 1380000 false
35 2024-01-12 000002.SZ 12.1 12.2 11.8 11.9 12.2 1190000 false
36 2024-01-12 000003.SZ 7.2 7.2 6.9 7.0 7.3 960000 false
37 2024-01-12 600001.SH 14.8 15.0 14.7 14.9 15.2 850000 false