Backtrader用KD值回測, 加上摩擦成本 @ 張郎生活的筆記

之前的我們都沒有設定張數和交易成本, 這次試看看吧

import datetime
import pandas as pd
import backtrader as bt

class TestStrategy(bt.Strategy):

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

def __init__(self):

self.dataclose = self.datas[0].close
self.order = None
self.buyprice = None
self.buycomm = None
self.kd = bt.indicators.StochasticSlow(self.datas[0], period = 9, period_dfast= 3, period_dslow = 3)

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

# Check if an order has been completed
# Attention: broker could reject order if not enough cash
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
else: # Sell
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')

# Write down: no pending order
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):
# Simply log the closing price of the series from the reference
self.log('Close, %.2f' % self.dataclose[0])

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

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

# Not yet ... we MIGHT BUY if ...
if self.kd[-1] < 20 and self.kd[0] > 20 :

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

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

else:

if self.kd[-1] < 80 and self.kd[0] > 80:

# SELL, SELL, SELL!!! (with all possible default parameters)
self.log('SELL CREATE, %.2f' % self.dataclose[0])

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

if __name__ == '__main__':
cerebro = bt.Cerebro()
cerebro.addstrategy(TestStrategy)
cerebro.broker.setcash(100000.0)
cerebro.addsizer(bt.sizers.FixedSize, stake=1000)
cerebro.broker.setcommission(commission=0.001)
dataframe = pd.read_csv('d://0050.tw.csv', index_col=0, parse_dates=True)
dataframe['openinterest'] = 0
data0 = bt.feeds.PandasData(dataname=dataframe,
fromdate = datetime.datetime(2015, 1, 1),
todate = datetime.datetime(2019, 1, 1)
)

cerebro.adddata(data0)
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

cerebro.run()

print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.plot()

擷取.PNG