PyAlgoTrade官方教程中文版

最新推荐文章于 2024-10-09 09:33:33 发布

山村码农

最新推荐文章于 2024-10-09 09:33:33 发布

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文章标签： python 人工智能编程语言大数据

原文链接：http://gbeced.github.io/pyalgotrade/docs/v0.20/html/tutorial.html#optimizing

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文章目录

1.开始教程
2.交易
3.优化
4.绘图

1.开始教程

本教程的目的是为您快速介绍PyAlgoTrade。如引言中所述，PyAlgoTrade的目标是帮助您回溯股票交易策略。假设您有一个交易策略的想法，并且希望使用历史数据对其进行评估并查看其行为，那么PyAlgoTrade应该可以让您以最小的努力做到这一点。

在继续之前，我要感谢Pablo Jorge，他帮助审查了最初的设计和文档。

本教程是在UNIX环境下开发的，但是使它适应Windows环境的步骤应该很简单。

PyAlgoTrade具有6个主要组成部分：

策略 Strategies
提要 Feeds
经纪人 Brokers
数据系列 DataSeries
技术指标 Technicals
优化器 Optimizer

策略 Strategies
这些是您定义的实现交易逻辑的类。何时购买，何时出售等

提要 Feeds
这些是提供抽象的数据。例如，您将使用CSV提要，该CSV提要从CSV（Comma-separated values）格式的文件中加载bar数据，以将数据提供给策略。提要不限于bar数据。例如，有一个Twitter提要，它允许将Twitter事件合并到交易决策中。

经纪人 Brokers
经纪人负责执行订单。

数据序列 DataSeries
数据序列是用于管理时间序列数据的抽象概念。

技术指标 Technicals
这些是一组过滤器，可用于在数据序列(DataSeries)上进行计算。例如SMA（简单移动平均线），RSI（相对强度指数）等。这些过滤器被建模为数据序列(DataSeries)装饰器。

优化器 Optimizer
这些是一组类，使您可以在不同的计算机之间或在同一计算机上运行的不同进程之间或两者的组合之间分布回测。它们使水平缩放变得容易。

说了这么多，我们测试策略的第一件事就是获取一些数据。让我们使用Oracle的2000年股票价格，我们将通过以下命令下载该价格：

python -m "pyalgotrade.tools.quandl" --source-code="WIKI" --table-code="ORCL" --from-year=2000 --to-year=2000 --storage=. --force-download --frequency=daily

pyalgotrade.tools.quandl工具从Quandl下载CSV格式的数据。[WIKI-ORCL-2000-quandl.csv] 的前几行应如下所示：

Date,Open,High,Low,Close,Volume,Ex-Dividend,Split Ratio,Adj. Open,Adj. High,Adj. Low,Adj. Close,Adj. Volume
2000-12-29,30.88,31.31,28.69,29.06,31702200.0,0.0,1.0,28.121945213877797,28.513539658242028,26.127545601883227,26.46449896098733,31702200.0
2000-12-28,30.56,31.63,30.38,31.06,25053600.0,0.0,1.0,27.830526092490462,28.804958779629363,27.666602836710087,28.285868469658173,25053600.0
2000-12-27,30.38,31.06,29.38,30.69,26437500.0,0.0,1.0,27.666602836710087,28.285868469658173,26.755918082374667,27.94891511055407,26437500.0
2000-12-26,31.5,32.19,30.0,30.94,20589500.0,0.0,1.0,28.68656976156576,29.3149422420572,27.32054263006263,28.176586299137927,20589500.0
2000-12-22,30.38,31.98,30.0,31.88,35568200.0,0.0,1.0,27.666602836710087,29.123698443646763,27.32054263006263,29.032629968213218,35568200.0
2000-12-21,27.81,30.25,27.31,29.5,46719700.0,0.0,1.0,25.326143018068056,27.548213818646484,24.870800640900345,26.86520025289492,46719700.0
2000-12-20,28.06,29.81,27.5,28.5,54440500.0,0.0,1.0,25.55381420665191,27.147512526738897,25.043830744224078,25.9545154985595,54440500.0
2000-12-19,31.81,33.13,30.13,30.63,58653700.0,0.0,1.0,28.968882035409738,30.170985911132497,27.438931648126232,27.894274025293942,58653700.0
2000-12-18,30.0,32.44,29.94,32.0,61640100.0,0.0,1.0,27.32054263006263,29.542613430641055,27.265901544802503,29.14191213873347,61640100.0

*标题译注：日期，开盘价，最高价，最低价，收盘价，成交量，除息，拆股比例，已调整开盘价，已调整最高价，已调整最低价，已调整收盘价，已调整成交量

让我们从一个简单的策略开始，即 只打印处理后收盘价数据 的策略：

from pyalgotrade import strategy
from pyalgotrade.barfeed import quandlfeed


class MyStrategy(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument):
        super(MyStrategy, self).__init__(feed)
        self.__instrument = instrument

    def onBars(self, bars):
        bar = bars[self.__instrument]
        self.info(bar.getClose())

# Load the bar feed from the CSV file
feed = quandlfeed.Feed()
feed.addBarsFromCSV("orcl", "WIKI-ORCL-2000-quandl.csv")

# Evaluate the strategy with the feed's bars.
myStrategy = MyStrategy(feed, "orcl")
myStrategy.run()

该代码执行3项主要工作：

声明一项新策略。只需定义一种方法onBars，即可对供稿中的每个Bar数据都进行调用。
从CSV文件加载Feed。
使用供稿提供的条形图来运行策略。

如果运行脚本，则应该依次看到收盘价：

2000-01-03 00:00:00 strategy [INFO] 118.1
2000-01-04 00:00:00 strategy [INFO] 107.7
2000-01-05 00:00:00 strategy [INFO] 103.5
.
.
.
2000-12-27 00:00:00 strategy [INFO] 30.69
2000-12-28 00:00:00 strategy [INFO] 31.06
2000-12-29 00:00:00 strategy [INFO] 29.06

让我们继续执行一项策略，该策略打印SMA收盘价，以说明技术使用方法：

from pyalgotrade import strategy
from pyalgotrade.barfeed import quandlfeed
from pyalgotrade.technical import ma


def safe_round(value, digits):
    if value is not None:
        value = round(value, digits)
    return value


class MyStrategy(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument):
        super(MyStrategy, self).__init__(feed)
        # We want a 15 period SMA over the closing prices.
        self.__sma = ma.SMA(feed[instrument].getCloseDataSeries(), 15)
        self.__instrument = instrument

    def onBars(self, bars):
        bar = bars[self.__instrument]
        self.info("%s %s" % (bar.getClose(), safe_round(self.__sma[-1], 2)))


# Load the bar feed from the CSV file
feed = quandlfeed.Feed()
feed.addBarsFromCSV("orcl", "WIKI-ORCL-2000-quandl.csv")

# Evaluate the strategy with the feed's bars.
myStrategy = MyStrategy(feed, "orcl")
myStrategy.run()

这与前面的示例非常相似，不同之处在于：

我们正在对收盘价数据系列初始化SMA过滤器。
我们正在打印当前的SMA值以及收盘价。

如果运行脚本，您应该会看到收盘价和相应的SMA值，但是在这种情况下，前14个SMA值是“无”。那是因为我们至少需要15个值才能使SMA发挥作用：

2000-01-03 00:00:00 strategy [INFO] 118.1 None
2000-01-04 00:00:00 strategy [INFO] 107.7 None
2000-01-05 00:00:00 strategy [INFO] 103.5 None
2000-01-06 00:00:00 strategy [INFO] 96.0 None
2000-01-07 00:00:00 strategy [INFO] 103.4 None
2000-01-10 00:00:00 strategy [INFO] 115.8 None
2000-01-11 00:00:00 strategy [INFO] 112.4 None
2000-01-12 00:00:00 strategy [INFO] 105.6 None
2000-01-13 00:00:00 strategy [INFO] 105.1 None
2000-01-14 00:00:00 strategy [INFO] 106.8 None
2000-01-18 00:00:00 strategy [INFO] 111.3 None
2000-01-19 00:00:00 strategy [INFO] 57.13 None
2000-01-20 00:00:00 strategy [INFO] 59.25 None
2000-01-21 00:00:00 strategy [INFO] 59.69 None
2000-01-24 00:00:00 strategy [INFO] 54.19 94.4
2000-01-25 00:00:00 strategy [INFO] 56.44 90.29
.
.
.
2000-12-27 00:00:00 strategy [INFO] 30.69 29.99
2000-12-28 00:00:00 strategy [INFO] 31.06 30.05
2000-12-29 00:00:00 strategy [INFO] 29.06 30.1

当无法在给定时间计算该值时，所有技术指标将返回“无”。

技术指标的一件重要事情是可以将它们组合在一起。那是因为它们也被建模为DataSeries。例如，在收盘价之上获得RSI之上的SMA很简单：

from pyalgotrade import strategy
from pyalgotrade.barfeed import quandlfeed
from pyalgotrade.technical import ma
from pyalgotrade.technical import rsi


def safe_round(value, digits):
    if value is not None:
        value = round(value, digits)
    return value


class MyStrategy(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument):
        super(MyStrategy, self).__init__(feed)
        self.__rsi = rsi.RSI(feed[instrument].getCloseDataSeries(), 14)
        self.__sma = ma.SMA(self.__rsi, 15)
        self.__instrument = instrument

    def onBars(self, bars):
        bar = bars[self.__instrument]
        self.info("%s %s %s" % (
            bar.getClose(), safe_round(self.__rsi[-1], 2), safe_round(self.__sma[-1], 2)
        ))


# Load the bar feed from the CSV file
feed = quandlfeed.Feed()
feed.addBarsFromCSV("orcl", "WIKI-ORCL-2000-quandl.csv")

# Evaluate the strategy with the feed's bars.
myStrategy = MyStrategy(feed, "orcl")
myStrategy.run()

如果运行脚本，您应该在屏幕上看到一堆值，其中：

前14个RSI值为“无”。那是因为我们至少需要15个值才能获得RSI值。
前28个SMA值为“无”。这是因为前14个RSI值为“无”，而第15个是SMA过滤器收到的第一个非“无”值。仅当我们有15个值而不是None时，我们才可以计算SMA（15）。

2000-01-03 00:00:00 strategy [INFO] 118.1 None None
2000-01-04 00:00:00 strategy [INFO] 107.7 None None
2000-01-05 00:00:00 strategy [INFO] 103.5 None None
2000-01-06 00:00:00 strategy [INFO] 96.0 None None
2000-01-07 00:00:00 strategy [INFO] 103.4 None None
2000-01-10 00:00:00 strategy [INFO] 115.8 None None
2000-01-11 00:00:00 strategy [INFO] 112.4 None None
2000-01-12 00:00:00 strategy [INFO] 105.6 None None
2000-01-13 00:00:00 strategy [INFO] 105.1 None None
2000-01-14 00:00:00 strategy [INFO] 106.8 None None
2000-01-18 00:00:00 strategy [INFO] 111.3 None None
2000-01-19 00:00:00 strategy [INFO] 57.13 None None
2000-01-20 00:00:00 strategy [INFO] 59.25 None None
2000-01-21 00:00:00 strategy [INFO] 59.69 None None
2000-01-24 00:00:00 strategy [INFO] 54.19 23.6 None
2000-01-25 00:00:00 strategy [INFO] 56.44 25.1 None
2000-01-26 00:00:00 strategy [INFO] 55.06 24.78 None
2000-01-27 00:00:00 strategy [INFO] 51.81 24.0 None
2000-01-28 00:00:00 strategy [INFO] 47.38 22.94 None
2000-01-31 00:00:00 strategy [INFO] 49.95 25.01 None
2000-02-01 00:00:00 strategy [INFO] 54.0 28.27 None
2000-02-02 00:00:00 strategy [INFO] 54.31 28.53 None
2000-02-03 00:00:00 strategy [INFO] 56.69 30.58 None
2000-02-04 00:00:00 strategy [INFO] 57.81 31.58 None
2000-02-07 00:00:00 strategy [INFO] 59.94 33.53 None
2000-02-08 00:00:00 strategy [INFO] 59.56 33.35 None
2000-02-09 00:00:00 strategy [INFO] 59.94 33.73 None
2000-02-10 00:00:00 strategy [INFO] 62.31 36.23 None
2000-02-11 00:00:00 strategy [INFO] 59.69 34.68 29.06
2000-02-14 00:00:00 strategy [INFO] 62.19 37.44 29.98
.
.
.
2000-12-27 00:00:00 strategy [INFO] 30.69 51.31 49.85
2000-12-28 00:00:00 strategy [INFO] 31.06 52.16 50.0
2000-12-29 00:00:00 strategy [INFO] 29.06 47.37 50.08

2.交易

让我们继续一个简单的策略，这次模拟实际交易。这个想法很简单：

如果调整后的收盘价高于SMA（15），我们将输入多头头寸（我们下达买入市场定单）。
如果有多头头寸，并且调整后的收盘价跌至SMA（15）以下，我们将退出多头头寸（我们下达卖出市场订单）。

from __future__ import print_function

from pyalgotrade import strategy
from pyalgotrade.barfeed import quandlfeed
from pyalgotrade.technical import ma


class MyStrategy(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument, smaPeriod):
        super(MyStrategy, self).__init__(feed, 1000)
        self.__position = None
        self.__instrument = instrument
        # We'll use adjusted close values instead of regular close values.
        self.setUseAdjustedValues(True)
        self.__sma = 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):
        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):
        # 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 10 shares. The order is good till canceled.
                self.__position = self.enterLong(self.__instrument, 10, 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 bar feed from the CSV file
    feed = quandlfeed.Feed()
    feed.addBarsFromCSV("orcl", "WIKI-ORCL-2000-quandl.csv")

    # Evaluate the strategy with the feed.
    myStrategy = MyStrategy(feed, "orcl", smaPeriod)
    myStrategy.run()
    print("Final portfolio value: $%.2f" % myStrategy.getBroker().getEquity())

run_strategy(15)

如果运行脚本，您应该会看到类似以下内容的内容：

2000-01-26 00:00:00 strategy [INFO] BUY at $25.84
2000-01-28 00:00:00 strategy [INFO] SELL at $23.45
2000-02-03 00:00:00 strategy [INFO] BUY at $25.22
2000-02-22 00:00:00 strategy [INFO] SELL at $26.92
2000-02-23 00:00:00 strategy [INFO] BUY at $27.41
2000-03-31 00:00:00 strategy [INFO] SELL at $36.51
2000-04-07 00:00:00 strategy [INFO] BUY at $38.11
2000-04-12 00:00:00 strategy [INFO] SELL at $35.49
2000-04-19 00:00:00 strategy [INFO] BUY at $35.80
2000-04-20 00:00:00 strategy [INFO] SELL at $33.61
2000-04-28 00:00:00 strategy [INFO] BUY at $35.74
2000-05-05 00:00:00 strategy [INFO] SELL at $33.70
2000-05-08 00:00:00 strategy [INFO] BUY at $34.29
2000-05-09 00:00:00 strategy [INFO] SELL at $33.55
2000-05-16 00:00:00 strategy [INFO] BUY at $35.35
2000-05-19 00:00:00 strategy [INFO] SELL at $32.78
2000-05-31 00:00:00 strategy [INFO] BUY at $33.35
2000-06-23 00:00:00 strategy [INFO] SELL at $36.80
2000-06-27 00:00:00 strategy [INFO] BUY at $37.51
2000-06-28 00:00:00 strategy [INFO] SELL at $37.37
2000-06-29 00:00:00 strategy [INFO] BUY at $37.37
2000-06-30 00:00:00 strategy [INFO] SELL at $36.60
2000-07-03 00:00:00 strategy [INFO] BUY at $36.94
2000-07-05 00:00:00 strategy [INFO] SELL at $34.97
2000-07-21 00:00:00 strategy [INFO] BUY at $35.26
2000-07-24 00:00:00 strategy [INFO] SELL at $35.12
2000-07-26 00:00:00 strategy [INFO] BUY at $34.06
2000-07-28 00:00:00 strategy [INFO] SELL at $34.21
2000-08-01 00:00:00 strategy [INFO] BUY at $34.24
2000-08-02 00:00:00 strategy [INFO] SELL at $33.24
2000-08-04 00:00:00 strategy [INFO] BUY at $35.66
2000-09-11 00:00:00 strategy [INFO] SELL at $39.19
2000-09-29 00:00:00 strategy [INFO] BUY at $37.05
2000-10-02 00:00:00 strategy [INFO] SELL at $36.31
2000-10-20 00:00:00 strategy [INFO] BUY at $32.90
2000-10-31 00:00:00 strategy [INFO] SELL at $29.72
2000-11-20 00:00:00 strategy [INFO] BUY at $22.14
2000-11-21 00:00:00 strategy [INFO] SELL at $22.59
2000-12-01 00:00:00 strategy [INFO] BUY at $24.02
2000-12-15 00:00:00 strategy [INFO] SELL at $26.81
2000-12-18 00:00:00 strategy [INFO] BUY at $27.32
2000-12-21 00:00:00 strategy [INFO] SELL at $25.33
2000-12-22 00:00:00 strategy [INFO] BUY at $27.67
Final portfolio value: $974.87

但是，如果我们使用30作为SMA周期而不是15？会产生更好的结果还是更差的结果？我们当然可以做这样的事情：

for i in range(10, 30):
    run_strategy(i)

并且我们发现使用SMA（20）可以获得更好的结果：

Final portfolio value: $1071.03

如果我们只需要尝试一组有限的参数值，那就可以了。但是，如果我们必须测试具有多个参数的策略，那么随着策略变得越来越复杂，串行方法肯定不会扩展。

3.优化

满足优化器组件。这个想法很简单：

有一个服务器负责：

提供执行策略的标杆。
提供参数以运行策略。
记录每个工作器的策略结果。

有多个工人负责：

使用服务器提供的指示条和参数运行策略。

为了说明这一点，我们将使用称为RSI2的策略，该策略需要以下参数：

SMA趋势识别时段。我们将其称为entrySMA，范围在150到250之间。
出口点的SMA周期较小。我们将其称为exitSMA，范围为5到15。
输入两个空头/多头头寸的RSI期间。我们将其称为rsiPeriod，范围在2到10之间。
允许多头头寸进入的RSI超卖阈值。我们将其称为overSoldThreshold，范围为5到25。
空头入场的RSI超买阈值。我们将其称为overBoughtThreshold，范围在75到95之间。

如果我的数学没问题，那是4409559个不同的组合。

测试此策略的一组参数花费了我约0.16秒的时间。如果我依次执行所有组合，则大约需要8.5天的时间来评估所有组合并找到最佳的参数集。那是很长的时间，但是如果我可以让十台8核计算机来完成这项工作，那么总时间将减少到大约2.5小时。

长话短说，我们需要平行进行。

让我们从下载“ IBM”的3年每日Bar数据开始：

python -m "pyalgotrade.tools.quandl" --source-code="WIKI" --table-code="IBM" --from-year=2009 --to-year=2011 --storage=. --force-download --frequency=daily

将此代码另存为rsi2.py：

from pyalgotrade import strategy
from pyalgotrade.technical import ma
from pyalgotrade.technical import rsi
from pyalgotrade.technical import cross


class RSI2(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument, entrySMA, exitSMA, rsiPeriod, overBoughtThreshold, overSoldThreshold):
        super(RSI2, self).__init__(feed)
        self.__instrument = instrument
        # We'll use adjusted close values, if available, instead of regular close values.
        if feed.barsHaveAdjClose():
            self.setUseAdjustedValues(True)
        self.__priceDS = feed[instrument].getPriceDataSeries()
        self.__entrySMA = ma.SMA(self.__priceDS, entrySMA)
        self.__exitSMA = ma.SMA(self.__priceDS, exitSMA)
        self.__rsi = rsi.RSI(self.__priceDS, rsiPeriod)
        self.__overBoughtThreshold = overBoughtThreshold
        self.__overSoldThreshold = overSoldThreshold
        self.__longPos = None
        self.__shortPos = None

    def getEntrySMA(self):
        return self.__entrySMA

    def getExitSMA(self):
        return self.__exitSMA

    def getRSI(self):
        return self.__rsi

    def onEnterCanceled(self, position):
        if self.__longPos == position:
            self.__longPos = None
        elif self.__shortPos == position:
            self.__shortPos = None
        else:
            assert(False)

    def onExitOk(self, position):
        if self.__longPos == position:
            self.__longPos = None
        elif self.__shortPos == position:
            self.__shortPos = None
        else:
            assert(False)

    def onExitCanceled(self, position):
        # If the exit was canceled, re-submit it.
        position.exitMarket()

    def onBars(self, bars):
        # Wait for enough bars to be available to calculate SMA and RSI.
        if self.__exitSMA[-1] is None or self.__entrySMA[-1] is None or self.__rsi[-1] is None:
            return

        bar = bars[self.__instrument]
        if self.__longPos is not None:
            if self.exitLongSignal():
                self.__longPos.exitMarket()
        elif self.__shortPos is not None:
            if self.exitShortSignal():
                self.__shortPos.exitMarket()
        else:
            if self.enterLongSignal(bar):
                shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
                self.__longPos = self.enterLong(self.__instrument, shares, True)
            elif self.enterShortSignal(bar):
                shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
                self.__shortPos = self.enterShort(self.__instrument, shares, True)

    def enterLongSignal(self, bar):
        return bar.getPrice() > self.__entrySMA[-1] and self.__rsi[-1] <= self.__overSoldThreshold

    def exitLongSignal(self):
        return cross.cross_above(self.__priceDS, self.__exitSMA) and not self.__longPos.exitActive()

    def enterShortSignal(self, bar):
        return bar.getPrice() < self.__entrySMA[-1] and self.__rsi[-1] >= self.__overBoughtThreshold

    def exitShortSignal(self):
        return cross.cross_below(self.__priceDS, self.__exitSMA) and not self.__shortPos.exitActive()

这是服务器脚本：

import itertools
from pyalgotrade.optimizer import server
from pyalgotrade.barfeed import quandlfeed


def parameters_generator():
    instrument = ["ibm"]
    entrySMA = range(150, 251)
    exitSMA = range(5, 16)
    rsiPeriod = range(2, 11)
    overBoughtThreshold = range(75, 96)
    overSoldThreshold = range(5, 26)
    return itertools.product(instrument, entrySMA, exitSMA, rsiPeriod, overBoughtThreshold, overSoldThreshold)


# The if __name__ == '__main__' part is necessary if running on Windows.
if __name__ == '__main__':
    # Load the bar feed from the CSV files.
    feed = quandlfeed.Feed()
    feed.addBarsFromCSV("ibm", "WIKI-IBM-2009-quandl.csv")
    feed.addBarsFromCSV("ibm", "WIKI-IBM-2010-quandl.csv")
    feed.addBarsFromCSV("ibm", "WIKI-IBM-2011-quandl.csv")

    # Run the server.
    server.serve(feed, parameters_generator(), "localhost", 5000)

服务器代码执行了3件事：

声明一个生成器函数，该函数会为该策略产生不同的参数组合。
使用我们下载的CSV文件加载Feed。
运行服务器，等待端口5000传入的连接。

这是使用pyalgotrade.optimizer.worker模块的工作程序脚本，以与服务器提供的数据并行运行策略：

from pyalgotrade.optimizer import worker
import rsi2

# The if __name__ == '__main__' part is necessary if running on Windows.
if __name__ == '__main__':
    worker.run(rsi2.RSI2, "localhost", 5000, workerName="localworker")

当您运行服务器和客户端时，您将在服务器控制台上看到以下内容：

2017-07-21 22:56:51,944 pyalgotrade.optimizer.server [INFO] Starting server
2017-07-21 22:56:51,944 pyalgotrade.optimizer.xmlrpcserver [INFO] Loading bars
2017-07-21 22:56:52,609 pyalgotrade.optimizer.xmlrpcserver [INFO] Started serving
2017-07-21 22:58:50,073 pyalgotrade.optimizer.xmlrpcserver [INFO] Best result so far 1261295.07089 with parameters ('ibm', 150, 5, 2, 83, 24)
.
.

在工作器控制台上是这样的：

2017-07-21 22:56:57,884 localworker [INFO] Started running
2017-07-21 22:56:57,884 localworker [INFO] Started running
2017-07-21 22:56:58,439 localworker [INFO] Running strategy with parameters ('ibm', 150, 5, 2, 84, 15)
2017-07-21 22:56:58,498 localworker [INFO] Running strategy with parameters ('ibm', 150, 5, 2, 94, 5)
2017-07-21 22:56:58,918 localworker [INFO] Result 1137855.88871
2017-07-21 22:56:58,918 localworker [INFO] Running strategy with parameters ('ibm', 150, 5, 2, 84, 14)
2017-07-21 22:56:58,996 localworker [INFO] Result 1027761.85581
2017-07-21 22:56:58,997 localworker [INFO] Running strategy with parameters ('ibm', 150, 5, 2, 93, 25)
2017-07-21 22:56:59,427 localworker [INFO] Result 1092194.67448
2017-07-21 22:57:00,016 localworker [INFO] Result 1260766.64479
.
.

请注意，您应仅运行一台服务器和一台或多台工作器。

如果您只想在自己的桌面上并行运行策略，则可以利用pyalgotrade.optimizer.local 模块，如下所示：

import itertools
from pyalgotrade.optimizer import local
from pyalgotrade.barfeed import quandlfeed
import rsi2


def parameters_generator():
    instrument = ["ibm"]
    entrySMA = range(150, 251)
    exitSMA = range(5, 16)
    rsiPeriod = range(2, 11)
    overBoughtThreshold = range(75, 96)
    overSoldThreshold = range(5, 26)
    return itertools.product(instrument, entrySMA, exitSMA, rsiPeriod, overBoughtThreshold, overSoldThreshold)


# The if __name__ == '__main__' part is necessary if running on Windows.
if __name__ == '__main__':
    # Load the bar feed from the CSV files.
    feed = quandlfeed.Feed()
    feed.addBarsFromCSV("ibm", "WIKI-IBM-2009-quandl.csv")
    feed.addBarsFromCSV("ibm", "WIKI-IBM-2010-quandl.csv")
    feed.addBarsFromCSV("ibm", "WIKI-IBM-2011-quandl.csv")

    local.run(rsi2.RSI2, feed, parameters_generator())

该代码执行3件事：

声明产生不同参数组合的生成器函数。
使用我们下载的CSV文件加载Feed。
使用pyalgotrade.optimizer.local模块并行运行策略并找到最佳结果。

运行此代码时，您应该会看到类似以下内容的内容：

2017-07-21 22:59:26,921 pyalgotrade.optimizer.local [INFO] Starting server
2017-07-21 22:59:26,922 pyalgotrade.optimizer.xmlrpcserver [INFO] Loading bars
2017-07-21 22:59:26,922 pyalgotrade.optimizer.local [INFO] Starting workers
2017-07-21 22:59:27,642 pyalgotrade.optimizer.xmlrpcserver [INFO] Started serving
2017-07-21 23:01:14,306 pyalgotrade.optimizer.xmlrpcserver [INFO] Best result so far 1261295.07089 with parameters ('ibm', 150, 5, 2, 83, 24)
.
.

4.绘图

PyAlgoTrade使绘制战略执行变得非常容易。

将以下代码另存为sma_crossover.py：

from pyalgotrade import strategy
from pyalgotrade.technical import ma
from pyalgotrade.technical import cross


class SMACrossOver(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument, smaPeriod):
        super(SMACrossOver, self).__init__(feed)
        self.__instrument = instrument
        self.__position = None
        # We'll use adjusted close values instead of regular close values.
        self.setUseAdjustedValues(True)
        self.__prices = feed[instrument].getPriceDataSeries()
        self.__sma = ma.SMA(self.__prices, smaPeriod)

    def getSMA(self):
        return self.__sma

    def onEnterCanceled(self, position):
        self.__position = None

    def onExitOk(self, position):
        self.__position = None

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

    def onBars(self, bars):
        # If a position was not opened, check if we should enter a long position.
        if self.__position is None:
            if cross.cross_above(self.__prices, self.__sma) > 0:
                shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
                # Enter a buy market order. The order is good till canceled.
                self.__position = self.enterLong(self.__instrument, shares, True)
        # Check if we have to exit the position.
        elif not self.__position.exitActive() and cross.cross_below(self.__prices, self.__sma) > 0:
            self.__position.exitMarket()

并将此代码保存到其他文件中：

from pyalgotrade import plotter
from pyalgotrade.barfeed import quandlfeed
from pyalgotrade.stratanalyzer import returns
import sma_crossover

# Load the bar feed from the CSV file
feed = quandlfeed.Feed()
feed.addBarsFromCSV("orcl", "WIKI-ORCL-2000-quandl.csv")

# Evaluate the strategy with the feed's bars.
myStrategy = sma_crossover.SMACrossOver(feed, "orcl", 20)

# Attach a returns analyzers to the strategy.
returnsAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(returnsAnalyzer)

# Attach the plotter to the strategy.
plt = plotter.StrategyPlotter(myStrategy)
# Include the SMA in the instrument's subplot to get it displayed along with the closing prices.
plt.getInstrumentSubplot("orcl").addDataSeries("SMA", myStrategy.getSMA())
# Plot the simple returns on each bar.
plt.getOrCreateSubplot("returns").addDataSeries("Simple returns", returnsAnalyzer.getReturns())

# Run the strategy.
myStrategy.run()
myStrategy.info("Final portfolio value: $%.2f" % myStrategy.getResult())

# Plot the strategy.
plt.plot()