从零实现”搭积木式实现策略“的回测系统 part V

前面系列文章，我们把回测系统的主要部件作了详细的说明，这些部件构成了回测引擎的主体。如果把回测引擎比作一台机器，那么数据就是生产原料，而策略就是加工方法。

策略需要对原始数据进行计算，得到各种中间指标，比如均线，MACD,布林带等等。我们基于talib这个指标计算库，提供了相应的指标计算功能，另外还实现了金叉，死叉这种常用的时间序列状态判断。

有了上述这些准备工作，我们通过python eval功能，实现写文本表达式的方式来写策略，大大简化了代码。

比如：收盘价5日均线向上突破收盘价10日均线。

eval('cross_up(ma(close,5),ma(close,10')

有了这种灵活的表达方式，我们很容易就能够实现像海龟策略这种技术形态判断。

technical/indicators.py

如下代码可以看出，直接调用talib可以实现大部分的技术指标计算。

import talib

def rolling_max(se,n):
    max_n = se.rolling(n).max()
    return max_n

def rolling_min(se,n):
    min_n = se.rolling(n).min()
    return min_n

def ma(se,n):
    ma_n = se.rolling(n).mean()
    return ma_n

def ema(se,n):
    ema_n = talib.EMA(se,n)
    return ema_n

def macd(se,fast=12,slow=26,signal=9):
    macd_n, macd_sig, macd_hist = talib.MACD(se,fast,slow,signal)
    return macd_n,macd_sig,macd_hist

def rsi(se,n):
    rsi_n = talib.RSI(se,n)
    return rsi_n

def obv(se,volume,n):
    obv_n = talib.OBV(se, volume)
    return obv_n

def mom(se,n):
    mom_n = talib.MOM(se,timeperiod=n)
    return mom_n

def bbands(se,n):
    upper, middle, lower = talib.BBANDS(
        se.values,
        timeperiod=n,
        # number of non-biased standard deviations from the mean
        nbdevup=2,
        nbdevdn=2,
        # Moving average type: simple moving average here
        matype=0)
    return upper,middle,lower

technical/cross.py

crossup实现了快线金叉慢线；而crossdown实现了快线向下突破慢线。

import numpy as np
import pandas as pd

def cross(fast, slow):
    data = pd.DataFrame(index=fast.index)
    data['signal'] = fast - slow  # data[fast] - data[slow]
    data['signal'] = np.where(data['signal'] > 0, 1, data['signal'])
    data['signal'] = np.where(data['signal'] < 0, -1, data['signal'])

    data['signal'] = data['signal'] - data['signal'].shift(1)
    data['signal'] = np.where(data['signal'] > 0, 1, data['signal'])
    data['signal'] = np.where(data['signal'] < 0, -1, data['signal'])
    return data['signal']


def cross_up(fast, slow):
    data = pd.DataFrame(index=fast.index)
    data['signal'] = fast - slow  # data[fast] - data[slow]
    data['signal'] = np.where(data['signal'] > 0, 1, data['signal'])
    data['signal'] = np.where(data['signal'] < 0, -1, data['signal'])

    data['signal'] = data['signal'] - data['signal'].shift(1)
    data['signal'] = np.where(data['signal'] > 0, 1, 0)
    #data['signal'] = np.where(data['signal'] < 0, -1, data['signal'])
    return data['signal']

def cross_down(fast, slow):
    data = pd.DataFrame(index=fast.index)
    data['signal'] = fast - slow  # data[fast] - data[slow]
    data['signal'] = np.where(data['signal'] > 0, 1, data['signal'])
    data['signal'] = np.where(data['signal'] < 0, -1, data['signal'])

    data['signal'] = data['signal'] - data['signal'].shift(1)
    data['signal'] = np.where(data['signal'] < 0, -1,0)
    return data['signal']

后续我们会对比ailabx与pyalgotrade书写策略的代码做对比，看看ailabx到底有多么简洁！

项目在github上开源，欢迎star。

代码在github上开源ailabx

转载于:https://my.oschina.net/u/3289203/blog/2252171