在PyAlgoTrade中使用多个仪器进行回测

时间:2016-08-27 22:03:44

标签: python pyalgotrade

您好我想使用数组(“工具”)将策略从1到10个可能的投资推广到一起,以简化加载10个Feed的任务,创建10个SMA,然后每天检查是否发生了信号交叉在一个(或多个)文书中。

我被困在这里。绘图仪也分别绘制图形,但我想在一个图形中绘制所有的仪器结果。

这是我的代码:

from pyalgotrade import strategy, plotter
from pyalgotrade.barfeed import yahoofeed
from pyalgotrade.technical import ma
from pyalgotrade.tools import yahoofinance

class MyStrategy(strategy.BacktestingStrategy):
    def __init__(self, feed, instruments, smaPeriod):
        strategy.BacktestingStrategy.__init__(self, feed, 1000)
        self.__position = None
        # We'll use adjusted close values instead of regular close values.
        self.setUseAdjustedValues(True)
        self.__sma = {}
        self.__instruments = instruments
        for instrument in instruments:
            self.__sma[instrument] = ma.SMA(feed[instrument].getPriceDataSeries(), smaPeriod)

    def onEnterOk(self, position):
        execInfo = position.getEntryOrder().getExecutionInfo()
        self.info("BUY at $%.2f" % (execInfo.getPrice()))

    def onEnterCanceled(self, position):
        execInfo = position.getEntryOrder().getExecutionInfo()

    def onExitOk(self, position):
        execInfo = position.getExitOrder().getExecutionInfo()
        self.info("SELL at $%.2f" % (execInfo.getPrice()))

    def onExitCanceled(self, position):
        # If the exit was canceled, re-submit it.
        self.__position[str(position.getEntryOrder().getInstrument())].exitMarket()

    def onBars(self, bars):
        # Wait for enough bars to be available to calculate a SMA.
        if self.__sma[-1] is None:
            return

        bar = bars[self.__instrument]
        # If a position was not opened, check if we should enter a long position.
        if self.__position is None:
            if bar.getPrice() > self.__sma[-1]:
            # Enter a buy market order for 25 shares. The order is good till canceled.
                self.__position = self.enterLong(self.__instrument, 25, True)
        # Check if we have to exit the position.
        elif bar.getPrice() < self.__sma[-1] and not self.__position.exitActive():
            self.__position.exitMarket()

def run_strategy(smaPeriod):

    # Load the yahoo feed from the CSV file
    instruments = [
        "AMZN",
        "ADBE",
        "C" ,
        "BA" ,
        "HOG" ,
        "MMM" ,
        "MS" ,
        "MSFT" ,
        "CVS" ,
        "AXP"
    ]
    #Download and Load yahoo feed from CSV files
    #Change year range 2000 to 2001 to your desired one
    feed = yahoofinance.build_feed(instruments, 2000,2001, ".")

    # Evaluate the strategy with the feed.
    myStrategy = MyStrategy(feed, instruments, smaPeriod)

    # Attach a plotter to the strategy
    plt = plotter.StrategyPlotter(myStrategy)


    # Run the strategy
    myStrategy.run()
    print "Final portfolio value: $%.2f" % myStrategy.getBroker().getEquity()

    # Plot the strategy.
    plt.plot()


run_strategy(10)

1 个答案:

答案 0 :(得分:0)

我刚刚开始处理pyalgotrade,但我认为你做了一个相当简单的错误(如gzc所示):类Bars的一个实例是来自不同工具的条形集合,所有这些都是具有相同的时间戳。因此,当您调用onBars事件时,您实际上必须遍历字典中的所有工具。