我正在与Pyalgotrade合作测试python中的交易策略。 Pyalgotrade允许使用名为TA-LIB的库,这是一个技术分析库。出于某种原因,当我使用PPO指示器时,它返回"无"。该指标有几个参数:(http://gbeced.github.io/pyalgotrade/docs/v0.12/html/talib.html)
我提供了一个输出片段,现在只是当天的收盘价和本指标的输出量。 ' DDD'是我正在测试的股票代码。
我一直试图让这个工作的时间超过我想承认的时间。 我该如何解决这个问题?
输出:
2016-11-08 00:00:00 strategy [INFO] 13.56,None
2016-11-09 00:00:00 strategy [INFO] 13.77,None
2016-11-10 00:00:00 strategy [INFO] 14.06,None
2016-11-11 00:00:00 strategy [INFO] 14.71,None
2016-11-14 00:00:00 strategy [INFO] 14.3,None
2016-11-15 00:00:00 strategy [INFO] 13.91,None
这是我的代码:
from pyalgotrade import strategy
from pyalgotrade.tools import yahoofinance
from pyalgotrade import talibext
from pyalgotrade.talibext import indicator
import talib
import numpy
class MyStrategy(strategy.BacktestingStrategy):
def __init__(self, feed, instrument):
super(MyStrategy, self).__init__(feed, 1000)
self.__position = None
self.__instrument = instrument
self.setUseAdjustedValues(True)
self.__prices = feed[instrument].getPriceDataSeries()
self.__PPO = talibext.indicator.PPO(feed,0,12,26,9)
def onEnterOk(self, position):
execInfo = position.getEntryOrder().getExecutionInfo()
self.info("BUY at $%.2f" % (execInfo.getPrice()))
def onEnterCanceled(self, position):
self.__position = None
def onExitOk(self, position):
execInfo = position.getExitOrder().getExecutionInfo()
self.info("SELL at $%.2f" % (execInfo.getPrice()))
self.__position = None
def onExitCanceled(self, position):
# If the exit was canceled, re-submit it.
self.__position.exitMarket()
def onBars(self, bars):
bar = bars[self.__instrument]
self.info("%s,%s" % (bar.getClose(),self.__PPO))
def run_strategy(inst):
# Load the yahoo feed from the CSV file
feed = yahoofinance.build_feed([inst],2015,2016, ".")
# Evaluate the strategy with the feed.
myStrategy = MyStrategy(feed, inst)
myStrategy.run()
print "Final portfolio value: $%.2f" % myStrategy.getBroker().getEquity()
def main():
instruments = ['ddd']
for inst in instruments:
run_strategy(inst)
if __name__ == '__main__':
main()
答案 0 :(得分:1)
您传递的参数错误。这是PPO功能签名:
def PPO(ds, count, fastperiod=-2**31, slowperiod=-2**31, matype=0):
ds
类型为BarDataSeries
,count
指定您想要计算尾部数据的时间长度。如果计算成功,它将返回numpy array
。
并且talibext指标只计算一次,当新条形图被输入时,它不会计算新的结果。
因此,您需要在每次onBars
来电中计算PPO。
def __init__(self, feed, instrument):
...
self.__feed = feed
def onBars(self, bars):
feed = self.__feed
self.__PPO = talibext.indicator.PPO(feed[self.__instrument], len(feed[self.__instrument]),12,26, matype=0)
bar = bars[self.__instrument]
self.info("%s,%s" % (bar.getClose(),self.__PPO[-1]))