１分鐘線數據給backtrader用

綠茶妹

感覺很簡單的東西我弄了一整天



請先參考這一篇
https://www.backtrader.com/docu/datafeed/

Datatrader的Data feed有以下幾種

• Yahoo (online or already saved to a file)
• VisualChart (see www.visualchart.com
• Backtrader CSV (own cooked format for testing)
• Generic CSV support
  
  

網路上的sample 多為第一種Yahoo，但是因為我是用1分鐘線圖。所以要改一下。

下面是寫好的

1. from datetime import datetime
   
2. import backtrader as bt
   
3. import yfinance as yf
   
4. import pandas as pd
   
5. 
   
6. # Create a subclass of Strategy to define the indicators and logic
   
7. 
   
8. class SmaCross(bt.Strategy):
   
9.     # list of parameters which are configurable for the strategy
   
10.     params = dict(
    
11.         pfast=10,  # period for the fast moving average
    
12.         pslow=30   # period for the slow moving average
    
13.     )
    
14. 
    
15.     def __init__(self):
    
16.         sma1 = bt.ind.SMA(period=self.params.pfast)  # fast moving average
    
17.         sma2 = bt.ind.SMA(period=self.params.pslow)  # slow moving average
    
18.         self.crossover = bt.ind.CrossOver(sma1, sma2)  # crossover signal
    
19. 
    
20.     def next(self):
    
21.         if not self.position:  # not in the market
    
22.             if self.crossover > 0:  # if fast crosses slow to the upside
    
23.                 self.buy()  # enter long
    
24. 
    
25.         elif self.crossover < 0:  # in the market & cross to the downside
    
26.             self.close()  # close long position
    
27. 
    
28. # Create a cerebro instance to run the strategy
    
29. cerebro = bt.Cerebro()
    
30. 
    
31. #data = bt.feeds.GenericCSVData(dataname='dow_futures_1min.csv')
    
32. 
    
33. data = bt.feeds.GenericCSVData(
    
34.     dataname='dow_futures_1min.csv',
    
35.     fromdate=None,      # 起止日期
    
36.     todate=None,
    
37.     nullvalue=0.0,
    
38.     dtformat="%Y-%m-%d %H:%M:%S",
    
39.     timeframe=bt.TimeFrame.Minutes,
    
40.     datetime=0,             # 各列的位置，从0开始，如列缺失则为None，-1表示自动根据列名判断
    
41.     high=1,
    
42.     low=2,
    
43.     open=3,
    
44.     close=4,
    
45.     volume=None,
    
46.     openinterest=None
    
47. )
    
48. 
    
49. cerebro.adddata(data)
    
50. 
    
51. # Add the strategy to cerebro
    
52. cerebro.addstrategy(SmaCross)
    
53. 
    
54. # Run the strategy
    
55. cerebro.run()
    
56. 
    
57. # Plot the result
    
58. cerebro.plot()
    

複製代碼

這個CSV檔有用Excel整理過，因為日期的格式有一點落差
dow_futures_1min.zip (7.55 KB, 下載次數: 42)

23-2-12 02:30 上傳

點擊文件名下載附件

圖可以畫出來了。但是我覺得回測的部份好像是錯誤的，應該要有訊號才對。
明天再研究看看吧。






參考資料：
https://blog.csdn.net/weixin_436 ... m_relevant_index=16

綠茶妹

今天又改了一下
1) 從IB抓1分鐘線 檔名store-1.py

1. from ibapi.client import EClient
   
2. from ibapi.wrapper import EWrapper
   
3. from ibapi.contract import Contract
   
4. 
   
5. import threading
   
6. import time
   
7. 
   
8. class IBapi(EWrapper, EClient):
   
9.         def __init__(self):
   
10.                 EClient.__init__(self, self)
    
11.                 self.data = [] #Initialize variable to store candle
    
12. 
    
13.         def historicalData(self, reqId, bar):
    
14.                 print(f'Time: {bar.date} Close: {bar.close}')
    
15.                 self.data.append([bar.date, bar.open,bar.high,bar.low,bar.close])
    
16.                
    
17. def run_loop():
    
18.         app.run()
    
19. 
    
20. app = IBapi()
    
21. app.connect('127.0.0.1', 7497, 123)
    
22. 
    
23. #Start the socket in a thread
    
24. api_thread = threading.Thread(target=run_loop, daemon=True)
    
25. api_thread.start()
    
26. 
    
27. time.sleep(1) #Sleep interval to allow time for connection to server
    
28. 
    
29. #Create contract object
    
30. contract = Contract()
    
31. contract.symbol = "MYM"
    
32. contract.secType = "FUT"
    
33. contract.exchange = "CBOT"
    
34. contract.currency = "USD"
    
35. contract.lastTradeDateOrContractMonth = "202303"
    
36. 
    
37. 
    
38. #Request historical candles
    
39. app.reqHistoricalData(1, contract, '', '2 D', '1 min', 'TRADES', 1, 2, False, [])
    
40. 
    
41. time.sleep(10) #sleep to allow enough time for data to be returned
    
42. 
    
43. #Working with Pandas DataFrames
    
44. import pandas
    
45. 
    
46. df = pandas.DataFrame(app.data, columns=['DateTime', 'Open','High','Low','Close'])
    
47. df['DateTime'] = pandas.to_datetime(df['DateTime'],unit='s')
    
48. df['DateTime'] = pandas.to_datetime(df['DateTime'], format='%d/%m/%y %H:%M:%S').dt.strftime('%Y-%m-%d %H:%M:%S')
    
49. df.to_csv('dow_futures_1min.csv', header=False, index=False)  
    
50. 
    
51. print(df)
    
52. 
    
53. 
    
54. app.disconnect()
    
55. 
    

複製代碼

2) 把這個1分鐘線拿去回測。檔名 backtrader-1.py

1. from datetime import datetime
   
2. import backtrader as bt
   
3. import yfinance as yf
   
4. import pandas as pd
   
5. 
   
6. # Create a subclass of Strategy to define the indicators and logic
   
7. 
   
8. class SmaCross(bt.Strategy):
   
9.     # list of parameters which are configurable for the strategy
   
10.     params = dict(
    
11.         pfast=10,  # period for the fast moving average
    
12.         pslow=30   # period for the slow moving average
    
13.     )
    
14. 
    
15.     def __init__(self):
    
16.         sma1 = bt.ind.SMA(period=self.params.pfast)  # fast moving average
    
17.         sma2 = bt.ind.SMA(period=self.params.pslow)  # slow moving average
    
18.         self.crossover = bt.ind.CrossOver(sma1, sma2)  # crossover signal
    
19. 
    
20.     def next(self):
    
21.         if not self.position:  # not in the market
    
22.             if self.crossover > 0:  # if fast crosses slow to the upside
    
23.                 self.buy()  # enter long
    
24. 
    
25.         elif self.crossover < 0:  # in the market & cross to the downside
    
26.             self.close()  # close long position
    
27. 
    
28. # Create a cerebro instance to run the strategy
    
29. cerebro = bt.Cerebro()
    
30. 
    
31. #data = bt.feeds.GenericCSVData(dataname='dow_futures_1min.csv')
    
32. 
    
33. data = bt.feeds.GenericCSVData(
    
34.     dataname='dow_futures_1min.csv',
    
35.     fromdate=None,      # 起止日期
    
36.     todate=None,
    
37.     nullvalue=0.0,
    
38.     dtformat="%Y-%m-%d %H:%M:%S",
    
39.     timeframe=bt.TimeFrame.Minutes,
    
40.     datetime=0,             # 各列的位置，从0开始，如列缺失则为None，-1表示自动根据列名判断
    
41.     high=1,
    
42.     low=2,
    
43.     open=3,
    
44.     close=4,
    
45.     volume=None,
    
46.     openinterest=None
    
47. )
    
48. 
    
49. cerebro.adddata(data)
    
50. 
    
51. # Add the strategy to cerebro
    
52. cerebro.addstrategy(SmaCross)
    
53. 
    
54. # Run the strategy
    
55. cerebro.run()
    
56. 
    
57. # Plot the result
    
58. cerebro.plot()
    

複製代碼

上面這個沒有買進和賣出的符號，等我有空再看。今天主要只是處理數據。