愛美又愛錢

[程式新手日誌] [轉貼] Backtrader量化平台教程（一）:backtrader的整体框架

Backtrader量化平台教程（一）:backtrader的整体框架



這一篇寫的很好
重點是範例檔會動，之前我抓過好幾個程式都不能用，東缺西缺的。

程式碼如下
  1. from __future__ import (absolute_import, division, print_function,
  2.                         unicode_literals)

  4. import datetime  # For datetime objects
  5. import os.path  # To manage paths
  6. import sys  # To find out the script name (in argv[0])
  7. import pandas as pd
  8. #from WindPy import w
  9. # Import the backtrader platform
  10. import backtrader as bt


  13. # Create a Stratey
  14. class TestStrategy(bt.Strategy):

  16.     def log(self, txt, dt=None):
  17.         ''' Logging function fot this strategy'''
  18.         dt = dt or self.datas[0].datetime.date(0)
  19.         print('%s, %s' % (dt.isoformat(), txt))

  21.     def __init__(self):
  22.         # Keep a reference to the "close" line in the data[0] dataseries
  23.         self.dataclose = self.datas[0].close
  24.         # To keep track of pending orders
  25.         self.order = None

  27.     def notify(self, order):
  28.         if order.status in [order.Submitted, order.Accepted]:
  29.             # Buy/Sell order submitted/accepted to/by broker - Nothing to do
  30.             return

  32.         # Check if an order has been completed
  33.         # Attention: broker could reject order if not enougth cash
  34.         if order.status in [order.Completed, order.Canceled, order.Margin]:
  35.             if order.isbuy():
  36.                 self.log('BUY EXECUTED, %.2f' % order.executed.price)
  37.             elif order.issell():
  38.                 self.log('SELL EXECUTED, %.2f' % order.executed.price)

  40.             self.bar_executed = len(self)

  42.         # Write down: no pending order
  43.         self.order = None

  45.     def next(self):
  46.         # Simply log the closing price of the series from the reference
  47.         self.log('Close, %.2f' % self.dataclose[0])

  49.         # Check if an order is pending ... if yes, we cannot send a 2nd one
  50.         if self.order:
  51.             return

  53.         # Check if we are in the market
  54.         if not self.position:

  56.             # Not yet ... we MIGHT BUY if ...
  57.             if self.dataclose[0] < self.dataclose[-1]:
  58.                 # current close less than previous close

  60.                 if self.dataclose[-1] < self.dataclose[-2]:
  61.                     # previous close less than the previous close

  63.                     # BUY, BUY, BUY!!! (with default parameters)
  64.                     self.log('BUY CREATE, %.2f' % self.dataclose[0])

  66.                     # Keep track of the created order to avoid a 2nd order
  67.                     self.order = self.buy()

  69.         else:

  71.             # Already in the market ... we might sell
  72.             if len(self) >= (self.bar_executed + 5):
  73.                 # SELL, SELL, SELL!!! (with all possible default parameters)
  74.                 self.log('SELL CREATE, %.2f' % self.dataclose[0])

  76.                 # Keep track of the created order to avoid a 2nd order
  77.                 self.order = self.sell()


  80. if __name__ == '__main__':
  81.     # Create a cerebro entity
  82.     cerebro = bt.Cerebro()

  84.     # Add a strategy
  85.     cerebro.addstrategy(TestStrategy)

  87.     # Create a Data Feed
  88.     # 本地数据，笔者用Wind获取的东风汽车数据以csv形式存储在本地。
  89.     # parase_dates = True是为了读取csv为dataframe的时候能够自动识别datetime格式的字符串，big作为index
  90.     # 注意，这里最后的pandas要符合backtrader的要求的格式
  91.     dataframe = pd.read_csv('dfqc.csv', index_col=0, parse_dates=True)
  92.     dataframe['openinterest'] = 0
  93.     data = bt.feeds.PandasData(dataname=dataframe,
  94.                         fromdate = datetime.datetime(2015, 1, 1),
  95.                         todate = datetime.datetime(2016, 12, 31)
  96.                         )
  97.     # Add the Data Feed to Cerebro
  98.     cerebro.adddata(data)

  100.     # Set our desired cash start
  101.     cerebro.broker.setcash(100000.0)

  103.     # Print out the starting conditions
  104.     print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

  106.     # Run over everything
  107.     cerebro.run()

  109.     # Print out the final result
  110.     print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
  111.     # Plot the result
  112.     cerebro.plot()
複製代碼



裡面的範例在下面這裡

評分

倒序瀏覽 看全部 全部回復2
感謝分享，把 from __future__ import (absolute_import, division, print_function, unicode_literals) 拿掉，可以在 python3 執行，測試成功

評分

感謝分享
回復 收藏 轉播 分享 淘帖