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)
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。