Integrated energy system including wind power, photovoltaic and other new energy to achieve electricity, heat, cold and other complementary energy supply has attracted much attention. When multiple investors participate in the operation of integrated energy system as independent subjects, it is worth paying attention to how to rationally allocate the capacity of each equipment to better absorb new energy and maximize the interests of each investor. Based on the Nash equilibrium principle of game theory, this paper establishes a capacity allocation game model for the comprehensive energy system composed of wind power equipment, photovoltaic equipment and cogeneration equipment, and uses particle swarm optimization algorithm to solve it. The comparative analysis of the three different scenarios of non-game, non-cooperative game and cooperative game shows that in the cooperative game scenario, the investor's return is relatively the largest, the capacity allocation is relatively the smallest, the system has the largest overall return, and each participant has the obvious possibility of cooperation. This provides a solution for multi-party participation in the energy supply market.