[trades]
DataFrame
{"shape":[2,13],"dtypes":{"datetime":"object","trading_datetime":"object","order_book_id":"object","symbol":"object","side":"object","position_effect":"object","exec_id":"int64","tax":"int64","commission":"float64","last_quantity":"int64","last_price":"float64","order_id":"int64","transaction_cost":"float64"},"index_dtype":"datetime64[ns]","index_name":"datetime","columns":["datetime","trading_datetime","order_book_id","symbol","side","position_effect","exec_id","tax","commission","last_quantity","last_price","order_id","transaction_cost"]}
,datetime,trading_datetime,order_book_id,symbol,side,position_effect,exec_id,tax,commission,last_quantity,last_price,order_id,transaction_cost
2016-09-01 15:00:00,2016-09-01 15:00:00,2016-09-01 15:00:00,AG1702,白银1702,BUY,OPEN,17682878550135,0,31.552500000000002,10,4207.0,17682878550163,31.552500000000002
2016-09-02 15:00:00,2016-09-02 15:00:00,2016-09-02 15:00:00,AG1612,白银1612,BUY,OPEN,17682878550136,0,6.9613499999999995,10,4219.0,17682878550164,6.9613499999999995

[future_positions]
DataFrame
{"shape":[39,10],"dtypes":{"order_book_id":"object","symbol":"object","margin":"float64","contract_multiplier":"float64","last_price":"float64","LONG_pnl":"float64","LONG_margin":"float64","LONG_market_value":"float64","LONG_quantity":"float64","LONG_avg_open_price":"float64"},"index_dtype":"datetime64[ns]","index_name":"date","columns":["order_book_id","symbol","margin","contract_multiplier","last_price","LONG_pnl","LONG_margin","LONG_market_value","LONG_quantity","LONG_avg_open_price"]}
,order_book_id,symbol,margin,contract_multiplier,last_price,LONG_pnl,LONG_margin,LONG_market_value,LONG_quantity,LONG_avg_open_price
2016-09-01 00:00:00,AG1702,白银1702,25182.0,15.0,4197.0,0.0,25182.0,629550.0,10.0,4197.0
2016-09-02 00:00:00,AG1702,白银1702,25314.0,15.0,4219.0,0.0,25314.0,632850.0,10.0,4219.0
2016-09-02 00:00:00,AG1612,白银1612,107329.5,15.0,4209.0,0.0,107329.5,631350.0,10.0,4209.0
2016-09-05 00:00:00,AG1702,白银1702,26052.0,15.0,4342.0,0.0,26052.0,651300.0,10.0,4342.0
2016-09-05 00:00:00,AG1612,白银1612,110083.5,15.0,4317.0,0.0,110083.5,647550.0,10.0,4317.0
2016-09-06 00:00:00,AG1702,白银1702,26124.0,15.0,4354.0,0.0,26124.0,653100.0,10.0,4354.0
2016-09-06 00:00:00,AG1612,白银1612,110797.5,15.0,4345.0,0.0,110797.5,651750.0,10.0,4345.0
2016-09-07 00:00:00,AG1702,白银1702,26814.0,15.0,4469.0,0.0,26814.0,670350.0,10.0,4469.0
2016-09-07 00:00:00,AG1612,白银1612,112608.0,15.0,4416.0,0.0,112608.0,662400.0,10.0,4416.0
2016-09-08 00:00:00,AG1702,白银1702,26610.0,15.0,4435.0,0.0,26610.0,665250.0,10.0,4435.0
2016-09-08 00:00:00,AG1612,白银1612,112506.0,15.0,4412.0,0.0,112506.0,661800.0,10.0,4412.0
2016-09-09 00:00:00,AG1702,白银1702,26652.0,15.0,4442.0,0.0,26652.0,666300.0,10.0,4442.0
2016-09-09 00:00:00,AG1612,白银1612,110950.5,15.0,4351.0,0.0,110950.5,652650.0,10.0,4351.0
2016-09-12 00:00:00,AG1702,白银1702,25602.0,15.0,4267.0,0.0,25602.0,640050.0,10.0,4267.0
2016-09-12 00:00:00,AG1612,白银1612,108324.0,15.0,4248.0,0.0,108324.0,637200.0,10.0,4248.0
2016-09-13 00:00:00,AG1702,白银1702,25866.0,15.0,4311.0,0.0,25866.0,646650.0,10.0,4311.0
2016-09-13 00:00:00,AG1612,白银1612,109140.0,15.0,4280.0,0.0,109140.0,642000.0,10.0,4280.0
2016-09-14 00:00:00,AG1702,白银1702,25848.0,15.0,4308.0,0.0,25848.0,646200.0,10.0,4308.0
2016-09-14 00:00:00,AG1612,白银1612,108757.5,15.0,4265.0,0.0,108757.5,639750.0,10.0,4265.0
2016-09-19 00:00:00,AG1702,白银1702,25938.0,15.0,4323.0,0.0,25938.0,648450.0,10.0,4323.0
2016-09-19 00:00:00,AG1612,白银1612,109242.0,15.0,4284.0,0.0,109242.0,642600.0,10.0,4284.0
2016-09-20 00:00:00,AG1702,白银1702,25968.0,15.0,4328.0,0.0,25968.0,649200.0,10.0,4328.0
2016-09-20 00:00:00,AG1612,白银1612,109701.0,15.0,4302.0,0.0,109701.0,645300.0,10.0,4302.0
2016-09-21 00:00:00,AG1702,白银1702,26286.0,15.0,4381.0,0.0,26286.0,657150.0,10.0,4381.0
2016-09-21 00:00:00,AG1612,白银1612,110797.5,15.0,4345.0,0.0,110797.5,651750.0,10.0,4345.0
2016-09-22 00:00:00,AG1702,白银1702,26508.0,15.0,4418.0,0.0,26508.0,662700.0,10.0,4418.0
2016-09-22 00:00:00,AG1612,白银1612,111817.5,15.0,4385.0,0.0,111817.5,657750.0,10.0,4385.0
2016-09-23 00:00:00,AG1702,白银1702,26502.0,15.0,4417.0,0.0,26502.0,662550.0,10.0,4417.0
2016-09-23 00:00:00,AG1612,白银1612,112047.0,15.0,4394.0,0.0,112047.0,659100.0,10.0,4394.0
2016-09-26 00:00:00,AG1702,白银1702,26184.0,15.0,4364.0,0.0,26184.0,654600.0,10.0,4364.0
2016-09-26 00:00:00,AG1612,白银1612,110721.0,15.0,4342.0,0.0,110721.0,651300.0,10.0,4342.0
2016-09-27 00:00:00,AG1702,白银1702,26160.0,15.0,4360.0,0.0,26160.0,654000.0,10.0,4360.0
2016-09-27 00:00:00,AG1612,白银1612,110542.5,15.0,4335.0,0.0,110542.5,650250.0,10.0,4335.0
2016-09-28 00:00:00,AG1702,白银1702,25722.0,15.0,4287.0,0.0,25722.0,643050.0,10.0,4287.0
2016-09-28 00:00:00,AG1612,白银1612,108579.0,15.0,4258.0,0.0,108579.0,638700.0,10.0,4258.0
2016-09-29 00:00:00,AG1702,白银1702,25734.0,15.0,4289.0,0.0,25734.0,643350.0,10.0,4289.0
2016-09-29 00:00:00,AG1612,白银1612,108859.5,15.0,4269.0,0.0,108859.5,640350.0,10.0,4269.0
2016-09-30 00:00:00,AG1702,白银1702,25734.0,15.0,4289.0,0.0,25734.0,643350.0,10.0,4289.0
2016-09-30 00:00:00,AG1612,白银1612,108783.0,15.0,4266.0,0.0,108783.0,639900.0,10.0,4266.0

[future_account]
DataFrame
{"shape":[20,8],"dtypes":{"cash":"float64","transaction_cost":"float64","market_value":"float64","total_value":"float64","position_pnl":"float64","trading_pnl":"float64","daily_pnl":"float64","margin":"float64"},"index_dtype":"datetime64[ns]","index_name":"date","columns":["cash","transaction_cost","market_value","total_value","position_pnl","trading_pnl","daily_pnl","margin"]}
,cash,transaction_cost,market_value,total_value,position_pnl,trading_pnl,daily_pnl,margin
2016-09-01 00:00:00,973286.4475,31.5525,629550.0,998468.4475,0.0,-1500.0,-1531.5525,25182.0
2016-09-02 00:00:00,867617.9862,6.9613,1264200.0,1000261.4862,3300.0,-1500.0,1793.0386,132643.5
2016-09-05 00:00:00,898775.9862,0.0,1298850.0,1034911.4862,34650.0,0.0,34650.0,136135.5
2016-09-06 00:00:00,903989.9862,0.0,1304850.0,1040911.4862,6000.0,0.0,6000.0,136921.5
2016-09-07 00:00:00,929389.4862,0.0,1332750.0,1068811.4862,27900.0,0.0,27900.0,139422.0
2016-09-08 00:00:00,923995.4862,0.0,1327050.0,1063111.4862,-5700.0,0.0,-5700.0,139116.0
2016-09-09 00:00:00,917408.9862,0.0,1318950.0,1055011.4862,-8100.0,0.0,-8100.0,137602.5
2016-09-12 00:00:00,879385.4862,0.0,1277250.0,1013311.4862,-41700.0,0.0,-41700.0,133926.0
2016-09-13 00:00:00,889705.4862,0.0,1288650.0,1024711.4862,11400.0,0.0,11400.0,135006.0
2016-09-14 00:00:00,887405.9862,0.0,1285950.0,1022011.4862,-2700.0,0.0,-2700.0,134605.5
2016-09-19 00:00:00,891931.4862,0.0,1291050.0,1027111.4862,5100.0,0.0,5100.0,135180.0
2016-09-20 00:00:00,894892.4862,0.0,1294500.0,1030561.4862,3450.0,0.0,3450.0,135669.0
2016-09-21 00:00:00,907877.9862,0.0,1308900.0,1044961.4862,14400.0,0.0,14400.0,137083.5
2016-09-22 00:00:00,918185.9862,0.0,1320450.0,1056511.4862,11550.0,0.0,11550.0,138325.5
2016-09-23 00:00:00,919162.4862,0.0,1321650.0,1057711.4862,1200.0,0.0,1200.0,138549.0
2016-09-26 00:00:00,905056.4862,0.0,1305900.0,1041961.4862,-15750.0,0.0,-15750.0,136905.0
2016-09-27 00:00:00,903608.9862,0.0,1304250.0,1040311.4862,-1650.0,0.0,-1650.0,136702.5
2016-09-28 00:00:00,883510.4862,0.0,1281750.0,1017811.4862,-22500.0,0.0,-22500.0,134301.0
2016-09-29 00:00:00,885167.9862,0.0,1283700.0,1019761.4862,1950.0,0.0,1950.0,134593.5
2016-09-30 00:00:00,884794.4862,0.0,1283250.0,1019311.4862,-450.0,0.0,-450.0,134517.0

[portfolio]
DataFrame
{"shape":[20,6],"dtypes":{"cash":"float64","total_value":"float64","market_value":"float64","unit_net_value":"float64","units":"float64","static_unit_net_value":"float64"},"index_dtype":"datetime64[ns]","index_name":"date","columns":["cash","total_value","market_value","unit_net_value","units","static_unit_net_value"]}
,cash,total_value,market_value,unit_net_value,units,static_unit_net_value
2016-09-01 00:00:00,973286.4475,998468.4475,629550.0,0.998468,1000000.0,1.0
2016-09-02 00:00:00,867617.9862,1000261.4862,1264200.0,1.000261,1000000.0,0.9985
2016-09-05 00:00:00,898775.9862,1034911.4862,1298850.0,1.034911,1000000.0,1.0003
2016-09-06 00:00:00,903989.9862,1040911.4862,1304850.0,1.040911,1000000.0,1.0349
2016-09-07 00:00:00,929389.4862,1068811.4862,1332750.0,1.068811,1000000.0,1.0409
2016-09-08 00:00:00,923995.4862,1063111.4862,1327050.0,1.063111,1000000.0,1.0688
2016-09-09 00:00:00,917408.9862,1055011.4862,1318950.0,1.055011,1000000.0,1.0631
2016-09-12 00:00:00,879385.4862,1013311.4862,1277250.0,1.013311,1000000.0,1.055
2016-09-13 00:00:00,889705.4862,1024711.4862,1288650.0,1.024711,1000000.0,1.0133
2016-09-14 00:00:00,887405.9862,1022011.4862,1285950.0,1.022011,1000000.0,1.0247
2016-09-19 00:00:00,891931.4862,1027111.4862,1291050.0,1.027111,1000000.0,1.022
2016-09-20 00:00:00,894892.4862,1030561.4862,1294500.0,1.030561,1000000.0,1.0271
2016-09-21 00:00:00,907877.9862,1044961.4862,1308900.0,1.044961,1000000.0,1.0306
2016-09-22 00:00:00,918185.9862,1056511.4862,1320450.0,1.056511,1000000.0,1.045
2016-09-23 00:00:00,919162.4862,1057711.4862,1321650.0,1.057711,1000000.0,1.0565
2016-09-26 00:00:00,905056.4862,1041961.4862,1305900.0,1.041961,1000000.0,1.0577
2016-09-27 00:00:00,903608.9862,1040311.4862,1304250.0,1.040311,1000000.0,1.042
2016-09-28 00:00:00,883510.4862,1017811.4862,1281750.0,1.017811,1000000.0,1.0403
2016-09-29 00:00:00,885167.9862,1019761.4862,1283700.0,1.019761,1000000.0,1.0178
2016-09-30 00:00:00,884794.4862,1019311.4862,1283250.0,1.019311,1000000.0,1.0198

[summary]
dict
{}
{
    "strategy_name":"strategy",
    "start_date":"2016-09-01",
    "end_date":"2016-09-30",
    "starting_cash":"FUTURE:1000000.0",
    "alpha":NaN,
    "beta":NaN,
    "sharpe":1.0053498659055873,
    "excess_sharpe":NaN,
    "information_ratio":NaN,
    "tracking_error":NaN,
    "sortino":1.3704613924697944,
    "volatility":0.2514593696904212,
    "max_drawdown":0.05192683716369666,
    "excess_max_drawdown":NaN,
    "excess_returns":NaN,
    "excess_annual_returns":NaN,
    "win_rate":0.55,
    "total_value":1019311.48615,
    "cash":884794.48615,
    "total_returns":0.019311486150000112,
    "annualized_returns":0.27252747555121504,
    "unit_net_value":1.0193114861500001
}