\u8bb8\u591a\u5173\u4e8e\u4ea4\u6613\u4e66\u7c4d\u63d0\u5230\uff0c\u6bcf\u4e2a\u79cd\u7c7b\u5e02\u573a\u548c\u6bcf\u4e00\u53ea\u4ea4\u6613\u7684\u80a1\u7968\uff08\u6216\u5546\u54c1\u6216\u2026\uff09\u90fd\u6709\u4e0d\u540c\u7684\u89c4\u5219\u3002\u6ca1\u6709\u201c\u4e00\u5200\u5207\u201d\u7684\u4e1c\u897f\u3002\u56e0\u4e3a\u6bcf\u79cd\u76d8\u7684\u64cd\u76d8\u7684\u98ce\u683c\u4e0d\u540c\uff0c\u4e0d\u53ef\u80fd\u4e00\u4e2a\u7b56\u7565\u80fd\u9002\u5e94\u6240\u6709\u7684\u5e02\u573a\u3002<\/p>\n\n\n\n
\u524d\u9762\u7684\u6307\u6807\u9ed8\u8ba4\u503c\u90fd\u662f15\uff0c\u53ef\u4ee5\u901a\u8fc7\u4f18\u5316\u6a21\u5757\u8c03\u8282\u8fd9\u4e2a\u53c2\u6570\uff0c\u770b\u770b\u90a3\u4e2a\u5468\u671f\u9002\u5408\u5f53\u524d\u8fd9\u53ea\u80a1\u7968\u6216\u5e02\u573a\u3002<\/p>\n\n\n\n
\u901a\u8fc7\u4fee\u6539SMA\u7684\u5468\u671f\u6765\u6d4b\u8bd5\u90a3\u4e2a\u5468\u671f\u80fd\u8fbe\u5230\u76c8\u5229\u6700\u5927\uff0c\u4e3a\u4e86\u65b9\u4fbf\u67e5\u770b\u5bf9\u6bd4\uff0c\u628a\u4e70\u5356\u7684\u65e5\u5fd7\u8f93\u51fa\u5148\u5173\u95ed\u4e86\u3002\u53ef\u4ee5\u5f88\u6e05\u6670\u7684\u770b\u51fa\u540c\u4e00\u4e2a\u4ea4\u6613\u65e5\uff0c\u4e0d\u540c\u7684\u5468\u671f\u4e0b\u7684\u4e70\u5356\u76c8\u5229\u548c\u4e8f\u635f\u60c5\u51b5\u3002<\/p>\n\n\n\n
\u6e90\u7801<\/p>\n\n\n\n
# -*- coding: utf-8 -*-\r\n\"\"\"\r\nbacktrader\u624b\u518c\u6837\u4f8b\u4ee3\u7801\r\n@author: \u4e00\u5757\u81ea\u7531\u7684\u7816\r\n\"\"\"\r\n#############################################################\r\n#import\r\n#############################################################\r\nfrom __future__ import (absolute_import, division, print_function,\r\n unicode_literals)\r\nimport os,sys\r\nimport pandas as pd\r\nimport backtrader as bt\r\n#############################################################\r\n#global const values\r\n#############################################################\r\n#############################################################\r\n#static function\r\n#############################################################\r\n#############################################################\r\n#class\r\n#############################################################\r\n# Create a Stratey\r\nclass TestStrategy(bt.Strategy):\r\n params = (\r\n ('maperiod', 15),\r\n ('printlog', False),\r\n )\r\n\r\n def log(self, txt, dt=None, doprint=False):\r\n ''' Logging function for this strategy\uff0c\u8fd9\u91cc\u5b9a\u4e49\u65e5\u5fd7\u7684\u663e\u793a\u683c\u5f0f'''\r\n if self.params.printlog or doprint:\r\n dt = dt or self.datas[0].datetime.date(0)\r\n print('%s, %s' % (dt.isoformat(), txt))\r\n\r\n def __init__(self):\r\n # Keep a reference to the \"close\" line in the data[0] dataseries\uff08\u83b7\u53d6\u6536\u76d8\u4ef7\uff09\r\n self.dataclose = self.datas[0].close\r\n # To keep track of pending orders and buy price\/commission(\u4ef7\u683c\u3001\u4f63\u91d1)\r\n self.order = None\r\n self.buyprice = None\r\n self.buycomm = None\r\n # Add a MovingAverageSimple indicator\r\n self.sma = bt.indicators.SimpleMovingAverage(self.datas[0], period=self.params.maperiod)\r\n\r\n def notify_order(self, order):\r\n if order.status in [order.Submitted, order.Accepted]:\r\n # Buy\/Sell order submitted\/accepted to\/by broker - Nothing to do\r\n return\r\n # Check if an order has been completed\r\n # Attention: broker could reject order if not enough cash\r\n if order.status in [order.Completed]:\r\n if order.isbuy():\r\n # \u5b9e\u9645\u53d1\u751f\u4e70\u5355\u7684\u4ef7\u683c\uff0c\u6210\u672c\uff0c\u4f63\u91d1\r\n self.log(\r\n 'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %\r\n (order.executed.price, order.executed.value, order.executed.comm))\r\n self.buyprice = order.executed.price\r\n self.buycomm = order.executed.comm\r\n elif order.issell():\r\n # \u5b9e\u9645\u53d1\u751f\u5356\u5355\u7684\u4ef7\u683c\uff0c\u6210\u672c\uff0c\u4f63\u91d1\r\n self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %\r\n (order.executed.price, order.executed.value, order.executed.comm))\r\n # \u53d1\u751f\u4e70\u5355\u65f6\u7684\u4ea4\u6613\u65e5\u7684\u7d22\u5f15\r\n self.bar_executed = len(self)\r\n\r\n elif order.status in [order.Canceled, order.Margin, order.Rejected]:\r\n self.log('Order Canceled\/Margin\/Rejected')\r\n\r\n # Write down: no pending order\r\n self.order = None\r\n\r\n def notify_trade(self, trade):\r\n if not trade.isclosed:\r\n return\r\n # \u4e00\u6b21\u5356\u51fa\u540e\u4ea4\u6613\u5b8c\u6210\u540e\u7684\u6536\u76ca\u60c5\u51b5\uff1a gross \u6bdb\u5229 net \u51c0\/\u7eaf\u5229\r\n self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %\r\n (trade.pnl, trade.pnlcomm))\r\n\r\n def next(self):\r\n # Simply log the closing price of the series from the reference\uff08\u8c03\u7528\u65e5\u5fd7\u65b9\u6cd5\uff0c\u663e\u793a\u6536\u76d8\u4ef7\uff09\r\n self.log('Close, %.2f' % self.dataclose[0])\r\n # Check if an order is pending ... if yes, we cannot send a 2nd one\r\n if self.order:\r\n return\r\n # Check if we are in the market\uff08\u68c0\u67e5\u662f\u5426\u6301\u80a1\uff09\r\n if not self.position:\r\n # \u5224\u5b9a\u5f53\u524d\u4ea4\u6613\u65e5\u7684\u6536\u76d8\u4ef7\u662f\u5426\u5c0f\u4e8e\u768415\u65e5\u7684\u5747\u503c\r\n if self.dataclose[0] > self.sma[0]:\r\n # previous close less than the previous close\r\n # BUY, BUY, BUY!!! \u8d2d\u4e70\u52a8\u4f5c\uff0c\u521b\u5efa\u4e70\u5355\uff0c\u7ed9\u4e70\u5165\u4ef7\r\n self.log('BUY CREATE, %.2f' % self.dataclose[0])\r\n # Keep track of the created order to avoid a 2nd order\r\n self.order = self.buy()\r\n else:\r\n # Already in the market ... we might sell\uff0c\u6301\u80a1\u60c5\u51b5\u4e0b\uff0c\u6536\u76d8\u4ef7\u662f\u5426\u5c0f\u4e8e15\u65e5\u7684\u5747\u503c\r\n if self.dataclose[0] < self.sma[0]:\r\n # SELL, SELL, SELL!!! (with all possible default parameters)\r\n self.log('SELL CREATE, %.2f' % self.dataclose[0])\r\n # Keep track of the created order to avoid a 2nd order\r\n self.order = self.sell()\r\n def stop(self):\r\n self.log('(MA Period %2d) Ending Value %.2f' %\r\n (self.params.maperiod, self.broker.getvalue()), doprint=True)\r\n#############################################################\r\n#global values\r\n#############################################################\r\n#############################################################\r\n#global function\r\n#############################################################\r\n# \u901a\u8fc7\u8bfb\u53d6cvs\u6587\u4ef6\uff0c\u83b7\u53d6\u60f3\u8981\u7684\u6570\u636e\r\ndef get_dataframe():\r\n # Get a pandas dataframe\uff08\u8fd9\u91cc\u662f\u80a1\u7968\u6570\u636e\u6587\u4ef6\u653e\u7684\u76ee\u5f55\u8def\u5f84\uff09\r\n datapath = 'qtbt\\data\\stockinfo.csv'\r\n # \u6570\u636e\u8f6c\u6362\u7528\u4e34\u65f6\u6587\u4ef6\u8def\u5f84\u548c\u540d\u79f0\uff0c\u7528\u5b8c\u540e\u5220\u9664\r\n tmpdatapath = datapath + '.tmp'\r\n print('-----------------------read csv---------------------------')\r\n dataframe = pd.read_csv(datapath,\r\n skiprows=0,\r\n header=0,\r\n parse_dates=True,\r\n index_col=0)\r\n # \u5b9a\u4e49\u4ea4\u6613\u65e5\u671f\u683c\u5f0f\r\n dataframe.trade_date = pd.to_datetime(dataframe.trade_date, format=\"%Y%m%d\")\r\n # \u539f\u59cbcvs\u6570\u636e\u6709\u5f88\u591a\u5217\uff0c\u8fd9\u91cc\u7ec4\u7ec7\u9700\u8981\u4f7f\u7528\u7684\u6570\u636e\u5217\uff0c\u751f\u6210\u76ee\u6807\u6570\u636e\u7684tmp\u6570\u636e\u6587\u4ef6\u540e\uff0c\u8bfb\u53d6\u9700\u8981\u7684\u6570\u636e\r\n dataframe['openinterest'] = '0'\r\n feedsdf = dataframe[['trade_date', 'open', 'high', 'low', 'close', 'vol', 'openinterest']]\r\n feedsdf.columns =['datetime', 'open', 'high', 'low', 'close', 'volume', 'openinterest']\r\n # \u6309\u7167\u4ea4\u6613\u65e5\u671f\u5347\u5e8f\u6392\u5217\r\n feedsdf.set_index(keys='datetime', inplace =True)\r\n # \u751f\u6210\u4e34\u65f6\u6587\u4ef6\r\n feedsdf.iloc[::-1].to_csv(tmpdatapath)\r\n # \u83b7\u53d6\u9700\u8981\u4f7f\u7528\u7684\u6570\u636e\r\n feedsdf = pd.read_csv(tmpdatapath, skiprows=0, header=0, parse_dates=True, index_col=0)\r\n # \u5220\u9664tmp\u4e34\u65f6\u6587\u4ef6\r\n if os.path.isfile(tmpdatapath):\r\n os.remove(tmpdatapath)\r\n print(tmpdatapath+\" removed!\")\r\n # \u8fd4\u56de\u9700\u8981\u7684\u6570\u636e\r\n return feedsdf\r\n########################################################################\r\n#main\r\n########################################################################\r\nif __name__ == '__main__':\r\n # Create a cerebro entity(\u521b\u5efacerebro)\r\n cerebro = bt.Cerebro()\r\n # Add a strategy(\u52a0\u5165\u81ea\u5b9a\u4e49\u7b56\u7565,\u53ef\u4ee5\u8bbe\u7f6e\u81ea\u5b9a\u4e49\u53c2\u6570\uff0c\u65b9\u4fbf\u8c03\u8282)\r\n strats = cerebro.optstrategy(TestStrategy, maperiod=range(10, 31))\r\n # Get a pandas dataframe(\u83b7\u53d6dataframe\u683c\u5f0f\u80a1\u7968\u6570\u636e)\r\n feedsdf = get_dataframe()\r\n # Pass it to the backtrader datafeed and add it to the cerebro(\u52a0\u5165\u6570\u636e)\r\n data = bt.feeds.PandasData(dataname=feedsdf)\r\n # \u52a0\u5165\u6570\u636e\u5230Cerebro\r\n cerebro.adddata(data)\r\n # Add a FixedSize sizer according to the stake(\u56fd\u51851\u624b\u662f100\u80a1\uff0c\u6700\u5c0f\u7684\u4ea4\u6613\u5355\u4f4d)\r\n cerebro.addsizer(bt.sizers.FixedSize, stake=100)\r\n # Set our desired cash start(\u7ed9\u7ecf\u7eaa\u4eba\uff0c\u53ef\u4ee5\u7406\u89e3\u4e3a\u4ea4\u6613\u6240\u80a1\u7968\u8d26\u6237\u5145\u94b1)\r\n cerebro.broker.setcash(100000.0)\r\n # Set the commission - 0.1% ... divide by 100 to remove the %\r\n cerebro.broker.setcommission(commission=0.001)\r\n # Run over everything(\u6267\u884c\u56de\u6d4b)\r\n cerebro.run()\r\n\r<\/code><\/pre>\n\n\n\n\u8bf4\u660e\uff1a<\/p>\n\n\n\n
1 \u5468\u671f\u53c2\u6570\u53d8\u4e3a\u6570\u7ec4\u65b9\u5f0f<\/p>\n\n\n\n
2 \u65e5\u5fd7\u589e\u52a0\u4e86\u63a7\u5236\u8f93\u51fa\u53c2\u6570<\/p>\n\n\n\n
\u8fd0\u884c\u8f93\u51fa\uff1a<\/p>\n\n\n\n
qtbt\\data\\stockinfo.csv.tmp removed!\r\n2021-09-30, (MA Period 10) Ending Value 99807.27\r\n2021-09-30, (MA Period 11) Ending Value 99862.36\r\n2021-09-30, (MA Period 12) Ending Value 99855.34\r\n2021-09-30, (MA Period 13) Ending Value 99848.53\r\n2021-09-30, (MA Period 14) Ending Value 99835.18\r\n2021-09-30, (MA Period 15) Ending Value 99769.51\r\n2021-09-30, (MA Period 16) Ending Value 99738.97\r\n2021-09-30, (MA Period 17) Ending Value 99692.26\r\n2021-09-30, (MA Period 19) Ending Value 99735.72\r\n2021-09-30, (MA Period 20) Ending Value 99735.19\r\n2021-09-30, (MA Period 18) Ending Value 99705.27\r\n2021-09-30, (MA Period 22) Ending Value 99788.41\r\n2021-09-30, (MA Period 21) Ending Value 99756.31\r\n2021-09-30, (MA Period 23) Ending Value 99802.98\r\n2021-09-30, (MA Period 24) Ending Value 99819.86\r\n2021-09-30, (MA Period 25) Ending Value 99888.39\r\n2021-09-30, (MA Period 28) Ending Value 99949.61\r\n2021-09-30, (MA Period 26) Ending Value 99884.57\r\n2021-09-30, (MA Period 27) Ending Value 99883.51\r\n2021-09-30, (MA Period 30) Ending Value 99982.50\r\n2021-09-30, (MA Period 29) Ending Value 99965.54<\/code><\/pre>\n\n\n\n\u770b\u8f93\u51fa\uff0c\u5224\u5b9a\u4e70\u5165\uff0c\u5356\u51fa\u7684\u6307\u6807\u4e0d\u662f\u5f88\u597d\u3002\u5982\u8bba\u5982\u4f55\u8c03\u6574\u5468\u671f\u90fd\u662f\u8d54\u94b1\uff0c30\u7684\u5468\u671f\u662f\u8d54\u7684\u6700\u5c11\u3002<\/p>\n","protected":false},"excerpt":{"rendered":"
\u8bb8\u591a\u5173\u4e8e\u4ea4\u6613\u4e66\u7c4d\u63d0\u5230\uff0c\u6bcf\u4e2a\u79cd\u7c7b\u5e02\u573a\u548c\u6bcf\u4e00\u53ea\u4ea4\u6613\u7684\u80a1\u7968\uff08\u6216\u5546\u54c1\u6216\u2026\uff09\u90fd\u6709\u4e0d\u540c\u7684\u89c4\u5219\u3002\u6ca1\u6709\u201c\u4e00\u5200\u5207\u201d\u7684\u4e1c\u897f\u3002\u56e0\u4e3a\u6bcf\u79cd\u76d8\u7684\u64cd\u76d8\u7684\u98ce\u683c\u4e0d\u540c\uff0c\u4e0d\u53ef\u80fd\u4e00\u4e2a\u7b56\u7565\u80fd\u9002\u5e94\u6240\u6709\u7684\u5e02\u573a\u3002 \u524d\u9762\u7684\u6307\u6807\u9ed8\u8ba4\u503c\u90fd\u662f15\uff0c\u53ef\u4ee5\u901a\u8fc7\u4f18\u5316\u6a21\u5757\u8c03\u8282\u8fd9\u4e2a\u53c2\u6570\uff0c\u770b\u770b\u90a3\u4e2a\u5468\u671f\u9002\u5408\u5f53 […]<\/p>\n","protected":false},"author":1,"featured_media":30,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[2],"tags":[11],"class_list":["post-102","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-btuserguide","tag-backtrader"],"_links":{"self":[{"href":"https:\/\/www.qddlh.com\/index.php?rest_route=\/wp\/v2\/posts\/102","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.qddlh.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.qddlh.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.qddlh.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.qddlh.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=102"}],"version-history":[{"count":4,"href":"https:\/\/www.qddlh.com\/index.php?rest_route=\/wp\/v2\/posts\/102\/revisions"}],"predecessor-version":[{"id":107,"href":"https:\/\/www.qddlh.com\/index.php?rest_route=\/wp\/v2\/posts\/102\/revisions\/107"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.qddlh.com\/index.php?rest_route=\/wp\/v2\/media\/30"}],"wp:attachment":[{"href":"https:\/\/www.qddlh.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=102"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.qddlh.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=102"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.qddlh.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=102"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}