backtrader回测系统
backtrader
import datetime
import backtrader as bt
class TestStrategy(bt.Strategy):
params = (
('maperiod', 15),
)
def log(self, txt, dt=None):
dt = dt or self.datas[0].datetime.date(0)
print('%s, %s' % (dt.isoformat(), txt))
def __init__(self):
self.dataclose = self.datas[0].close
print('buflen %d' % self.dataclose.buflen())
self.order = None
self.buyprice = None
self.buycomm = None
# Add a MovingAverageSimple indicator
self.sma = bt.indicators.SimpleMovingAverage(
self.datas[0], period=self.params.maperiod)
# Indicators for the plotting show
bt.indicators.ExponentialMovingAverage(self.datas[0], period=25)
bt.indicators.WeightedMovingAverage(self.datas[0], period=25,
subplot=True)
bt.indicators.StochasticSlow(self.datas[0])
bt.indicators.MACDHisto(self.datas[0])
rsi = bt.indicators.RSI(self.datas[0])
bt.indicators.SmoothedMovingAverage(rsi, period=10)
bt.indicators.ATR(self.datas[0], plot=False)
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
return
if order.status in [order.Completed]:
if order.isbuy():
self.log('BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
self.buyprice = order.executed.price
self.buycomm = order.executed.comm
elif order.issell():
self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
self.bar_executed = len(self)
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log('Order Canceled/Margin/Rejected')
self.order = None
def notify_trade(self, trade):
if not trade.isclosed:
return
self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
(trade.pnl, trade.pnlcomm))
def next(self):
self.log('Close, %.2f' % self.dataclose[0])
if self.order:
return
if not self.position:
if self.dataclose[0] > self.sma[0]:
self.log('BUY CREATE, %.2f' % self.dataclose[0])
self.buy()
else:
if self.dataclose[0] < self.sma[0]:
self.log('SELL CREATE, %.2f' % self.dataclose[0])
self.order = self.sell()
cerebro = bt.Cerebro()
cerebro.addstrategy(TestStrategy)
data = bt.feeds.YahooFinanceCSVData(
dataname="datas/orcl-1995-2014.txt",
# Do not pass values before this date
fromdate=datetime.datetime(2000, 1, 1),
# Do not pass values after this date
todate=datetime.datetime(2000, 12, 31),
reverse=False)
# print(data)
cerebro.adddata(data)
cerebro.broker.setcash(100000.0)
cerebro.addsizer(bt.sizers.FixedSize, stake=10)
cerebro.broker.setcommission(commission=0.001)
print('组合初始值: %.2f' % cerebro.broker.getvalue())
cerebro.run()
print('组合终结值: %.2f' % cerebro.broker.getvalue())
# cerebro.plot()