多头策略回测框架【代码】

更多精彩内容详见个人量化交易专辑索引

1. 回测框架

def trade_simulate(start, stop, initial_crash):
	crash = initial_crash		#设置初始资金
	hold_dict = {}					#持有的股票
	hold_value = 0				#持有市值

	# 获取有效交易日
	trade_datetimes = my_trade_date(start, stop)
	
	# 开始模拟交易
	for today_datetime in trade_datetimes:
		# 调整买入份额
		single_limit = (crash+hold_value)/10
		
		# 计算要买卖的股票
		sale_list = my_sale_list(crash, hold_dict, today_datetime)
		buy_list = my_buy_list(crash, hold_dict, today_datetime)
	    
	    # 先卖股票
	    for to_sale in sale_list[:]:
	    	result, crash, hold_dict = my_sale(crash, hold_dict, today_datetime, to_sale)
	    	if result:
	    		sale_list.remove(to_sale)
	
	    # 再买股票
	    for to_buy in buy_list[:]:
	    	result, crash, hold_dict = my_buy(crash, hold_dict, today_datetime, to_buy, single_limit)
	    	if result == True:
	    		buy_list.remove(to_buy)
	
	    # 更新持有股票收盘信息
	    hold_value, hold_dict = my_update(hold_dict, today_datetime)

2. 获取有效交易日

def my_trade_date(start, stop):
	# 读取本地数据库
	# 添加代码
	return trade_datetimes

3. 卖出策略

# 定时换仓策略
def my_sale_list(crash, hold_dict, today_datetime):
	sale_list = []
	for code in hold_dict:
		# 计算持有时间
		delta = today_datetime - datetime.datetime.strptime(hold_dict[code]['buy_date'], '%Y-%m-%d')
		# 持有时间到
		if delta > 7
			sale_list.append([code])
	return sale_list

4. 买入策略

# 均线策略
def my_buy_list(crash, hold_dict, today_datetime):
	buy_list = []
	# 读取数据库获取所有满足条件的股票
	# 添加代码
	# 从候选股票中选择
	for candidate in candidates_list:
		code = candidate[0]
		closeing_price = candidate[1]
		# 已经持有了，不再买入
			if code in hold_dict:
				continue
		buy_list.append([code, closeing_price])
	return buy_list

5. 模拟卖出

def my_sale(crash, hold_dict, today_datetime, to_sale):
	code = to_sale[0]
	sale_price = hold_dict[code]['last_closeing_price']
	share = hold_dict[code]['share']
	crash += sale_price*share*(1-selling_rate) #selling_rate是卖出交易费率
	del hold_dict[code]
	return True, crash, hold_dict

6. 模拟买入

def my_buy(crash, hold_dict, today_datetime, to_buy, single_limit):
	code = to_buy[0]
	closeing_price = to_buy[1]
	crash -= single_limit*(1+buying_rate)	#buying_rate是买入交易费率
	share = single_limit/closeing_price
	hold_dict[code] = {
            'active':True,
            'buy_date':today,
            'last_date':today,
            'buy_price':buy_price, 
            'share':share, 
            'last_closeing_price':closeing_price,
            }
	return True, crash, hold_dict

7. 更新持仓信息

def my_update(hold_dict, today_datetime):
	for code in hold_dict:
		# 读取数据库获取股票价格
		# 添加代码
		if not result:
			hold_dict[code]['active'] = False
			continue
		hold_dict[code]['active'] = True
		hold_dict[code]['last_date'] = today
		hold_dict[code]['last_closeing_price'] = closeing_price
	return hold_dict